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CHAPTER 2

Abstract integration and the Lebesgue integral

Throughout this chapter, unless otherwise specified, (X , F ) is a measurable space and


Y is a topological space. We will make use of the Borel -algebra of Y , denoted by B(Y ),
which is the smallest -algebra containing the open sets in Y .
2.1 Measurable functions. Let now Y be a topological space. A function f : X ! Y is said
F -measurable (or briefly, measurable) F -measurable if f 1 (O) 2 F for all O ⇢ Y open sets.
2.1.1 REMARK. Assume (X , F ) and (X , F 0 ) are measurable spaces with F ⇢ F 0 . Clearly
f : X ! Y is F -measurable implies f : X ! Y is F 0 -measurable as well.
2.1.2 REMARK. Assume now that X is also a topological space and that f : X ! Y is con-
tinuous, or equivalently f 1 (O) is open in X , whenever O is open in Y . Thus f 1 (O) 2 F =
B(X ) whenever O is open in Y , that is to say f : X ! Y is B(X )-measurable (or Borel
measurable).
The next lemma will lead us to a useful equivalent definition of measurable function.
2.1.3 LEMMA. Let Y be a nonempty set and f : X ! Y . The collection
1
(2.1) G := {A ⇢ Y : f (A) 2 F } ⇢ P (Y )
is a -algebra, referred to as the push-forward of F under f 1. Furthermore, if Y is a topological
space
f : X ! Y measurable () B(Y ) ⇢ G .
1
PROOF. We first prove that G is a -algebra. Since f (Y ) = X 2 F , we have Y 2 G .
Let A 2 G . Then f 1 (A) = B 2 F . Now
x 2 B c =) f (x) 62 A =) f (x) 2 Ac =) x 2 f 1
(Ac )
and all the implications are reversible. Thus f 1 (Ac ) = B c 2 F , and hence Ac 2 G . The
closure under countable union is similar.
We now prove the equivalence. By definition we have that f : X ! Y is measurable if
and only if G contains all open sets. But then by minimality of B(Y ), B(Y ) ⇢ G . ⇤
In other words f : X ! Y is measurable if all Borel sets belong to the push-forward (2.1)
of (X , F ) via f . A further consequence is that whenever C is a collection of subsets of Y
such that ⌃(C ) = B(Y ), then
1
f : X ! Y measurable () f (C) 2 F 8C 2 C .
1
Sometimes the notation f⇤ F is used for G
15
16 2. ABSTRACT INTEGRATION AND THE LEBESGUE INTEGRAL

2.1.4 REMARK (TOPOLOGY IN THE EXTENDED REAL LINE). We recall that the open sets in the
extended real line [ 1, 1] are declared to be the closure under arbitrary union of the
collection
[ 1, a), (a, b), (a, 1] : a, b 2 R
Since each of the three type of intervals above can be written as a countable union of inter-
vals of the type (a, 1] or their complements, for instance
✓ ◆c
[ ⇤
[ 1, a) = a 1n , 1
n2N

the Borel -algebra is generated by such intervals. Thus, f : X ! [ 1, 1] is F -measurable


if and only if f 1 ((a, 1]) 2 F for all a 2 R.
We now show that a measurable function f on a measure space (X , F , µ) induces a
measure on (Y, G ), which is referred to as the pushforward of µ.
2.1.5 PUSH-FORWARD LEMMA. Let (X , F , µ) be a measure space, Y be a topological space and
f : X ! Y be a Borel-measurable function with G := {A ⇢ Y : f 1 (A) 2 F } its push-forward
-algebra. Then
A 2 G 7! f⇤ µ(A) = µ( f 1 (A))
defines a measure on (Y, G ) called the pushforward of µ via f .
PROOF. We already know G is a -algebra. To verify countable additivity of µ, let A j 2 G
be a sequence of pairwise disjoint sets whose union is A. We have
Ç å
[ X X
f⇤ µ(A) = µ( f 1 (A)) = µ f 1 (A j ) = µ f 1 (A j ) = f⇤ µ A j
j j j

since the sets f 1


(A j ) are be pairwise disjoint. ⇤
In the next proposition, we record some elementary properties of the notion of measur-
ability.
2.1.6 PROPOSITION. Throughout, fix a measurable space (X , F ).
1. Let E ⇢ X and 1 E : X ! R be the indicator function of E, Then 1 E is F -measurable
if and only if E 2 F .
2. Let M , N be topological spaces, f : X ! M be F -measurable, g : M ! N be Borel
measurable. Then g f is F -measurable.
3. Let f , g : X ! R be measurable functions. Let : X ! R2 be defined by
(x) = ( f (x), g(x)), x 2 X.
Then is measurable.
4. Let u, v : X ! R be F -measurable. Then f := u + iv : X ! C is F -measurable.
5. Let f , g : X ! C be F -measurable. Then
u = Re f , v = Im f , | f |, f + g, fg
are F -measurable. Furthermore there exists ↵ : X ! C F -measurable such that
|↵(x)| = 1 8x 2 C, f = ↵| f |.
2. ABSTRACT INTEGRATION AND THE LEBESGUE INTEGRAL 17

6. Let f : X ! [ 1, 1] be measurable. Then


f + := max{ f , 0}, f := min{ f , 0}, |f | = f + + f
are measurable functions.
7. Let f n : X ! [ 1, 1] be a sequence of F -measurable functions. Then
g = sup f n , h = lim sup f n
n

are F -measurable functions.


PROOF. Assertion 1. is simply verified by inspection.
To prove 2. let A ⇢ N be a Borel set and h = g f . Then g 1 (A) is a Borel set in M by Borel
measurability of g. But f 1 (B) 2 F for all B ⇢ M Borel. Thus h 1 (A) = f 1 (g 1 (A)) 2 F .
To prove 3. let us recall that open sets in R2 are countable unions of products of open
intervals I ⇥ J. Thus it suffices to prove that 1 (I ⇥ J) is measurable. But this follows since
1
(I ⇥ J) = f 1 (I) \ g 1 (J).
To prove 4. recall that the map : R2 ! C, (u, v) 7! u + iv is continuous. So f (x) =
u(x) + i v(x) = (x), with as in previous point is measurable by part 2. To prove 4. use
2. and the the fact that max{·, 0} : R ! [0, 1), and (u, v) 7! u + iv : R2 ! C are continuous
functions (and thus Borel measurable).
To prove the first part of 5. use also 2. and continuity of the corresponding maps. We
prove the last statement which is the most involved. Observe that the z 7! (z) = |z|z 1 is a
continuous map of C\{0} into C. Let A = f 1 ({0}) which is clearly measurable. We define
↵= ( f + 1A)
which clearly satisfies ↵ f = | f |. By the first part, f + 1A is measurable, and is continuous,
so that ↵ is also measurable. We leave the very similar proof of 6. as an exercise.
To prove the first part of 7. simply use that
[
g 1 ((a, 1]) = f n 1 ((a, 1])
n

and Remark 2.1.4. The remaining claim is immediate and left as an exercise. ⇤
2.2 Invariances of the Lebesgue measure under GL(d, R). We exploit the above defini-
tions of measurability to establish two further invariance properties of the Lebesgue measure
µ on Rd . Let hx, yi denote the standard
p bilinear scalar product on Rd and let us endow Rd
with the Euclidean norm kxk = hx, xi. A linear map T : Rd ! Rd is said to be orthogonal
if hx, yi = hT x, T yi for all x, y 2 Rd . Notice in particular that kT xk = kxk for all x 2 Rd .
The pushforward of the Lebesgue measure via an orthogonal transformation is the Lebes-
gue measure itself.
2.2.1 LEMMA. Let T : Rd ! Rd be an orthogonal transformation. Then A 2 B(Rd ) if and
only if T 1 A 2 B(Rd ). Furthermore T⇤ µ = µ.
PROOF. Since T is a linear orthogonal map, both T and T 1 are continuous and thus
Borel measurable, which is the first claim. For the second claim, observe that for all x 2 Rd
and Borel sets A
1 1 1 1
T⇤ µ(x + A) := µ(T (x + A)) = µ(T x+T A) = µ(T A) = T⇤ µ(A)
18 2. ABSTRACT INTEGRATION AND THE LEBESGUE INTEGRAL

using Lebesgue translation invariance in the third step. In other words T⇤ µ is a translation
invariant Borel measure. It follows from Exercise 1.6 that T⇤ µ(A) = µ(A) for some constant
 and all Borel sets A. Taking A to be the closed unit ball B, which is such that T 1 B = B, it
follows that  = 1. ⇤
2.2.2 LEMMA. Let T : Rd ! Rd be a linear invertible transformation. Then A 2 B(Rd ) if and
only if T 1 A 2 B(Rd ). Furthermore T⇤ µ = |detT |µ.
PROOF. Exercise. It can be used freely that µ(T 1
([0, 1)d )) = |detT 1
|. ⇤
2.3 Simple functions. Let (X , F ) be a measurable space. A function s : X ! C is said to
be simple if it is of the form
X
N
(2.2) s(x) = a j 1A j (x)
j=1

where a j , j = 1, . . . , N are complex coefficients and A j , j = 1, . . . , N are measurable sets.


2.3.1 LEMMA. Let s be a simple function as in (2.2). Then
1. s is measurable;
2. s can be uniquely written as
XM [
M
(2.3) s = b j 1B j , B j 2 F 8 j = 1, . . . , M , B j 6= ;, B j \ Bk = ; when j 6= k, Bj = X
j=1 j=1

with values b j 6= bk whenever k 6= j, which we call standard form of s.


PROOF. The measurability of s follows by points 1. and 5. of Proposition 2.1.6 and in-
duction. To prove the second part, notice that the range of s is contained in the finite set
a j1 + · · · + a jn : j1 , . . . , jn 2 {1, . . . , N }, n 2 {0, . . . , N } .
Thus if {b1 , . . . , b M } is an enumeration of the range of s, the unique representation above is
obtained by setting B j = s 1 (b j ). It remains to prove that each B j is measurable. This is left
as an exercise. ⇤
2.3.2 LEMMA. Let f : X ! [0, 1] be a measurable function. Then there exists a sequence of
simple functions sn : X ! [0, 1) such that
sn (x)  sn+1 (x) 8x 2 X , n 2 N,
(2.4)
f (x) = lim sn (x) 8x 2 X .
n!1

PROOF. By replacing f by ⇡2 arctan f , we can assume f takes values in [0, 1]. Let n 2 N
and define

A j,n = f 1 ( j 1)2 n , j2 n , j = 1, . . . 2n 1, A2n ,n = f 1 [1 2 n , 1]
The sets A j,n are measurable, as they are preimages of Borel sets via a measurable function.
Define
Xn
sn (x) = ( j 1)2 n 1A j,n (x).
j=1
n
namely sn (x) is the left endpoint of the dyadic subinterval of [0, 1] of length 2 containing
f (x). This immediately entails both properties of (2.4). ⇤
2. ABSTRACT INTEGRATION AND THE LEBESGUE INTEGRAL 19

2.3.3 REMARK. Inspection of the above proof entails immediately that, if supX f (x) < 1
has bounded range,
lim sup f n (x) s(x) = 0
n!1 x2X

that is sn ! f uniformly on X .
2.4 Integration of simple functions. Let (X , F , µ) be a measure space. We define the
µ-integral of a simple function s written in standard form as in (2.3) by
Z XM
(2.5) s dµ = b j µ(B j ).
j=1

Here, we use the convention that, if µ(B j ) = 1 for some j, then b j µ(B j ) = 1 if b j > 0,
while b j µ(B j ) = 0 if b j = 0.
2.4.1 PROPOSITION. Let s, u be simple functions and ↵ 2 R. Then
Z
1. s 0 =) s dµ 0
Z Z Z
2. s + ↵u dµ = s dµ + ↵ u dµ
Z Z
3. s u =) s dµ u dµ
X
N Z X
N
4. s = ak 1Ak =) s dµ = ak µ(Ak ).
j=1 j=1

PROOF. The first assertion is immediate from the definitions. The third follows by cou-
pling 1. and 2. with ↵ = 1. The fourth is an immediate consequence of 2. and of the fact
that Z
1A dµ = µ(A),

which is immediate from the definition. It remains to prove the second assertion. To do so,
write
Xn Xm
s= b j 1B j , u= c j 1C j
j=1 j=1
in standard form. The range of s + ↵u is given by the finite set
R = {⇠ : ⇠ = (b j + ↵ck ), j = 1, . . . , n, k = 1, . . . , m}.
Let {⇠` : ` = 1, . . . , L} be an enumeration of R (so that the values ⇠` are all distinct). Let I`
be the set of those ordered pairs ( j, k) such that ⇠` = b j + ↵ck . Defining the measurable sets
[
A` = B j \ Ck
( j,k)2I`

then s + ↵u has standard form


X
r
s + ↵u = ⇠` 1A`
`=1
20 2. ABSTRACT INTEGRATION AND THE LEBESGUE INTEGRAL

is also in standard form. Using definitions and, in the second step the fact that {B j \
Ck , ( j, k) 2 I` } partition A`
Z X
L X
L X
s + ↵u dµ = ⇠` µ(A` ) = (b j + ↵ck )µ(B j \ Ck )
`=1 `=1 ( j,k)2I`
X
n X
m X
m X
n
= bj µ(B j \ Ck ) + ↵ ck µ(B j \ Ck )
j=1 k=1 k=1 j=1
X
n X
m Z Z
= b j µ(B j ) + ↵ ck µ(Ck ) = s dµ + ↵ u dµ
j=1 k=1

and in the last step the fact that {B j \ Ck : k = 1, . . . , m} partition B j and similarly for the
other summand. ⇤
2.4.2 PROPOSITION. Let s be a nonnegative simple function. Then
Z Z
A 2 F 7! µs (A) := s dµ := s1A dµ
A

defines a measure µs on F .
PROOF. Immediate from the definitions. ⇤
2.5 Integration of positive functions. Let (X , F , µ) be a measure space. For f : X !
[0, 1] measurable, define
Z ⇢Z
f dµ = sup s dµ : s simple, 0  s  f 2 [0, 1].

From property 3. of Proposition 2.5.4, if s is simple, the two definitions coincide (and the
abuse of notation is thus justified). The following two important properties are immediate
consequence of the definition.
2.5.1 MONOTONICITY LEMMA. Let f , g : X ! [0, 1] be measurable. Then
Z Z
g  f =) gdµ  f dµ.

2.5.2 MONOTONE CONVERGENCE THEOREM. Let f n : X ! [0, 1] be an increasing sequence,


namely such that f n  f n+1 for all n. Assume each f n is measurable and let f : X ! [0, 1] be
the pointwise limit of the sequence { f n }. Then
Z Z
f dµ = lim f n dµ.

PROOF. Note that f is measurable by Proposition 2.1.6, fourth point. Of course f n  f


for all n, so that using Lemma 2.5.1 with g = f n and passing to the limit on the left hand
sides, we get Z Z
B := lim f n dµ  A := f dµ.
2. ABSTRACT INTEGRATION AND THE LEBESGUE INTEGRAL 21

Let now s be a simple function with 0  s  f and 0  c < 1 be arbitrary. The sets
En = { f n cs 0} are measurable (since the functions f n cs are), moreover En ⇢ En+1 , and
their union is X (since f n increase to f and f > cs). Therefore
Z Z Z
f n dµ f n 1 En dµ c s1 En dµ = cµs (En )

The second inequality is monotonicity, and third inequality follows by definition since cs1 En
is simple and cs1 En  f n 1 En . Passing to the limit on both sides, and using Proposition 2.4.2
Z
B cµs (X ) = c sdµ.

But since 0  c < 1 and s are arbitrary, B A as well. ⇤


2.5.3 FATOU’S LEMMA. Let f n : X ! [0, 1] be a sequence of measurable functions. Then
Z Z
lim inf f n dµ  lim inf f n dµ.
n!1 n!1

PROOF. Let
g n = inf f n , g = lim inf f n = sup g n
k n n!1
We know that g n , g are measurable functions. Moreover g n increases to g. Therefore, by
the monotone convergence Theorem 2.5.2
Z Z Z Z
gdµ = lim g n dµ = lim inf g n dµ  lim inf f n dµ
n!1 n!1 n!1
R R
where the right inequality follows from gn  f n , by lim inf on both sides, since g n 
fn. ⇤
We now use the monotone convergence theorem to extend the remaining point of Propo-
sition 2.5.4, as well as Proposition 2.4.2 to the cone of positive functions.
2.5.4 PROPOSITION. Let f , g : X ! [0, 1] be measurable functions. Then
Z Z Z
1. f + ↵g dµ = f dµ + ↵ g dµ if ↵ 0;
2. The set function
Z Z
A 2 F 7! µ f (A) := f dµ := f 1A dµ
A

defines a measure µ f on F and2


Z Z
g dµ f = g f dµ.

PROOF. Exercise. Essentially a combinations of the simple function versions, Theorem


2.5.2 and Lemma 2.3.2. ⇤
2
We say that f is the Radon-Nykodym derivative of µ f with respect to µ.
22 2. ABSTRACT INTEGRATION AND THE LEBESGUE INTEGRAL

2.5.5 MONOTONE CONVERGENCE THEOREM FOR SERIES . Let f n : X ! [0, 1] be a sequence


of measurable functions. Then
Z ✓X ◆ XZ
f n dµ = f n dµ.
n n

PROOF. Let Fn = f1 + · · · + f n . Then Fn increases to F , and


Z XN Z
FN dµ = f n dµ.
n=1

Passing to the limit on both sides and using the monotone convergence theorem the result
follows. ⇤
We provide a probabilistic example of application of the monotone convergence theo-
rem.
2.5.6 B OREL-CANTELLI PRINCIPLE, I. Let En be a sequence of measurable sets and E = lim sup En .
Then X
µ(En ) < 1 =) µ(E) = 0.
n
P
PROOF. Let F = 1 En . It is easy to see that E = {x 2 X : f (x) = 1}. From the
assumption and the monotone convergence theorem for series
Z X
F dµ = µ(En ) < 1.
n

whence µ(E) = 0. ⇤
2.6 Integration of complex functions. The space L 1 . Throughout this paragraph, we
keep the measure space (X , F , µ) fixed unless otherwise noted. We define
⇢ Z
L 1 = L 1 (X , F , µ) := f = u + iv : X ! C measurable : | f | dµ < 1 .

Notice that, from Proposition 2.1.6, | f | is measurable whenever f is, so that the integral in
the above definition makes sense. We then define
Z Z Z Z Z
f dµ = u+ dµ u dµ + i v + dµ i v dµ.

From the same proposition, u± , v± are all positive measurable functions, dominated by | f | so
that the four summands in the above definition are well defined and finite. Notice also that
if f : X ! [0, 1) the above definition coincides with the one given for positive functions.
2.6.1 LEMMA. Let f , g 2 L 1 , ↵ 2 C.
• L 1 is a linear space, namely f + ↵g 2 L 1 ;
• integration is a linear bounded functional on L 1 , namely
Z Z Z Z Z
f + ↵g dµ = f dµ + ↵ g dµ, f dµ  | f |dµ.
2. ABSTRACT INTEGRATION AND THE LEBESGUE INTEGRAL 23

PROOF. The proof of the first part is straightforward, since f + ↵g is measurable and
| f + ↵g|  | f | + ↵|g|. For the second part, linearity follows from the definitions and the cor-
responding result for positive functions. We leave details as an exercise. For the inequality,
we can assume the left hand side is strictly positive, otherwise there isRnothing to prove. Let
↵ be a complex unimodular such that the left hand side is equal to ↵ f dµ. Then
Z Z Z Z Z Z Z
f dµ = ↵ f dµ = ↵ f dµ = Re ↵ f dµ = Re(↵ f )dµ  |Re(↵ f )|dµ  | f |dµ.

We have used linearity in the second equality, the fact that the first left hand side (and thus
all members) are real in the third, the definition of integral in the fourth equality and fifth
inequality and finally the fact that |Re(↵ f )|  |↵ f | = | f |. ⇤
2.6.2 DOMINATED CONVERGENCE THEOREM. Let f n : X ! C be a sequence of measurable
functions such that
f (x) = lim f n (x)
n!1
exists for all x 2 X . Suppose that there exists g 2 L 1 such that
| f n (x)|  g(x) 8x 2 X .
Then Z
1
f 2L , lim | fn f | dµ = 0
n!1

2.6.3 REMARK. In particular, if the assumptions of the theorem are satisfied,


Z Z
lim f n dµ = f dµ.
n!1

PROOF OF THEOREM 2.6.2. Since | f |  g it is clear that f 2 L 1 . The function hn =


2g | f f n | are nonnegative and their pointwise limit is 2g. Therefore, using Fatou’s
lemma and linearity in the second step
Z Z Z Z
2g dµ  lim inf hn dµ = 2g dµ lim sup |f f n | dµ.
R
Subtracting the finite number 2g dµ, we obtain the last inequality
Z Z
0  lim inf |f f n | dµ  lim sup |f f n | dµ  0

which yields the conclusion of the theorem. ⇤


2.7 Change of variable formula. Let (X , F ), (X 0 , F 0 ) be measurable spaces and :X !
X 0 be a function with the property that
1
(E 0 ) 2 F 8E 0 2 F 0 ,
in other words the pushforward of F via contains F 0 . Let ⌫ = ⇤µ be the pushforward
of µ, in other words
⌫(E 0 ) = µ( 1 (E 0 )) 8E 0 2 F 0 .
24 2. ABSTRACT INTEGRATION AND THE LEBESGUE INTEGRAL

2.7.1 LEMMA. Let f : X 0 ! [0, 1] be measurable. Then f : X ! [0, 1] is measurable


and Z Z
f d⌫ = f dµ.

The same equality holds whenever f 2 L 1 (X 0 , F 0 , ⌫), in which case f 2 L 1 (X , F , µ).


PROOF. Exercise. ⇤
2.8 The role of sets of measure zero. Let (X , F , µ) be a measure space and P be a property
that x 2 X may or may not have. For instance, given f : X ! [0, 1], P can be “ f (x) < 1
at the point x. We say that P holds almost everywhere with respect to µ, a.e.[µ] if
A = {x 2 X : P fails at x} 2 F , µ(A) = 0.
Letting Y be a topological space, we can define an equivalence relation on the class of
measurable functions f : X ! Y by saying
f ⇠ g () f = g a.e.[µ].
2.8.1 LEMMA. Let f , g : X ! [0, 1] be measurable. Then
Z Z
f =g a.e.[µ] =) f dµ = g dµ 8E 2 F .
E E

The same statement holds for f , g 2 L 1 (X , F , µ).


PROOF. We only prove the first part. Let N = {x 2 X : f (x) = g(x)}. Note that this is
a measurable set. Then µ(N c ) = 0, which we use in the first and last step of the chain of
equalities
Z Z Z Z
f dµ = f dµ = gdµ = g dµ.
E E\N E\N E
The proof is complete. ⇤
The above lemma shows that, within the scope of µ-integration, functions which are
equal a.e.[µ] are undistinguishable. This suggests that the notion of measurability can
be suitably enlarged, at least when the measure space (X , F , µ) is complete. We say that
f : X ! Y is measurable if there exists X 0 2 F with µ(X 0c ) = 0 such that f 1 (A) \ X 0 is
measurable for all open sets A ⇢ Y . If so, we can redefine f to be constant on X 0c (for in-
stance, setting f = 0 on X 0c if Y = [0, 1]) obtaining a new function which is equal to f
almost everywhere and is measurable in the previous sense. Indeed, with this redefinition,
f 1 (A) \ X 0c is either empty or X 0c for all (not just open) sets A ⇢ Y .
We dwell more explicitly on some examples of properties defined almost everywhere.
• We say f : X ! [1, 1], measurable is finite a.e. if
1 1
µ( f ({1}) = µ( f ({ 1}) = 0.
• We say f : X ! [1, 1], measurable is essentially bounded if there exists M 0
such that
µ( f 1 ((M , 1]) = µ( f 1 ([ 1, M )) = 0.
2. ABSTRACT INTEGRATION AND THE LEBESGUE INTEGRAL 25

• We say f : X ! [1, 1] measurable is continuous almost everywhere if the set


of discontinuity points of f has zero measure. Notice that there are functions f
that are continuous a.e. but for which there exist no continuous function g with
g ⇠ f . Viceversa, f may be equal a.e. to some continuous function g, but not
almost everywhere continuous.
2.8.2 REMARK. Both the monotone and dominated convergence theorems can be reformu-
lated by requiring monotonicity and domination a.e.[µ]. An example of this is the next
corollary.
2.8.3 COROLLARY. Let f n : X ! C be a sequence of measurable functions such that
X1 Z
| f n | dµ < 1.
n=1

Then the series


X
1
f (x) := f n (x)
n=1

converges a.e., f 2 L 1 and


Z 1 Z
X
f dµ = f n dµ.
n=1

PROOF. Let
X
1
F (x) = | f n (x)|.
n=0
By the monotone convergence theorem for series, we have
Z 1 Z
X
F dµ = | f n |dµ < 1,
n=1
P
so in particular F is finite almost everywhere. It means that the series f = f n converges
absolutely almost everywhere. Since | f1 + . . . + f N |  F almost everywhere, by the (almost
everywhere) dominated convergence theorem, f 2 L 1 , and
Z Z ÇXN
å N Z
X
f dµ = lim fn dµ = lim f n dµ
N !1 N !1
n=1 n=1

which was the final claim to be proved. ⇤


2.8.4 REMARK. However, if f = g a.e. it is not necessarily true that f = g a.e.;
hence, when dealing with composition, the choice of the representative in the equivalence
classes does matter.
2.9 The spaces L 1 (X , F , µ), L p (X , F , µ). The preceding section shows how, for integration
purposes, we can identify functions which are equal almost everywhere. The following
lemma gives us a further reason to do so.
2.9.1 LEMMA. Let (X , F , µ) be a measure space.
26 2. ABSTRACT INTEGRATION AND THE LEBESGUE INTEGRAL

1. If f : X ! [0, 1] is measurable, then


Z
f dµ = 0 () f = 0 a.e.[µ].

2. If f 2 L 1 ,
Z
| f | dµ = 0 () f = 0 a.e.[µ].

3 If f 2 L 1 ,
Z Z
f dµ = | f | dµ () 9↵ 2 C : f = ↵| f | a.e.[µ]

PROOF. Let us prove the first part. Let E = {x : f (x) > 0}. The sets Ek = {x : f (x) > k 1 }
increase to E. Moreover
Z Z
0  k 1 µ(Ek )  f dµ  f dµ = 0
Ek

thus µ(Ek ) = 0 for all k. It follows µ(E) = 0 as well. The second part for f real is simply
the first part applied to positive and negative parts of f . For f complex, we omit the easy
details. To prove the third claim, we notice that if the left hand side condition holds, the
proof of the second part of Lemma 2.6.1 yields for some unimodular ↵ the equality
Z
|f | Re ↵ f dµ = 0

but since | f | Re↵ f is nonnegative, it must be equal to zero almost everywhere by 1st part.
It means that | f | = |↵ f | = Re↵ f a.e. which is the same as f = ↵| f | a.e., which is what we
had to prove. ⇤
We now define L 1 (X , µ, F ) as the space of equivalence classes of functions in L 1 (X , µ, F )
with respect to the equivalence relation f = g a.e.[µ]. For f 2 L 1 (X , µ, F ), we introduce
the 1-norm Z
k f k L 1 (X ,µ,F ) = k f k1 = | f | dµ

Notice that we omit, in the notation, the distinction between f 2 L 1 (X , µ, F ) (appearing in


the first two members) and its representative (appearing in the right hand side), since the
right hand side is clearly independent from the representative chosen.
It follows from Lemma 2.6.1 that L 1 (X , µ, F ) is a linear space. Moreover, k · k1 is a norm
on L 1 (X , µ, F ), in the sense that the following properties are satisfied:
• k f k1 = 0 =) f = 0;
• ↵ 2 C, f 2 L 1 (X , µ, F ) =) k↵ f k1 = |↵|k f k1
• f , g 2 L 1 (X , µ, F ) =) k f + gk1  k f k1 + kgk1
The first property, which has to be understood in the a.e.[µ] sense, in particular, is a conse-
quence of Lemma 2.9.1, second part. The second property is linearity of the integral, and
the third property is linearity and monotonicity of the integral.
2. ABSTRACT INTEGRATION AND THE LEBESGUE INTEGRAL 27

2.10 The relationship between in measure, pointwise, uniform and L 1 convergence.


Let (X , F , µ) be a measure space and f n , f : X ! [ 1, 1] be measurable functions. We
say that
• f n ! f in measure if 8" > 0
lim µ ({x 2 X : | f n (x) f (x)| > "}) = 0.
n!1

• f n ! f pointwise a.e.[µ] if
µ ({x 2 X : lim sup | f n (x) f (x)| > 0}) = 0
1
• f n ! f in L if
lim k f n f k1 = 0
n!1
• f n ! f almost uniformly if for all " > 0 there exists a set X " 2 F with
µ(X \X " ) < ", lim sup | f n (x) f (x)| = 0.
n!1 x2X
"

• f n ! f uniformly a.e.[µ] if there exists X 0 2 F with µ(X \X 0 ) = 0 and


lim sup | f n (x) f (x)| = 0.
n!1 x2X 0

The exercises explore some of the implications and forbidden implications between the four
types of convergence. The next lemma, whose easy proof is left as an exercise, tells us that
all the notions of convergence are stable under finite linear combination.
2.10.1 LEMMA. Let f n , g n : X ! C be measurable functions. Assume that
fn ! f , gn ! g
according to any one of the above convergence modes. Then, for all ↵ 2 C,
f n + ↵g n ! f + ↵g.
Pointwise convergence a.e.[µ] implies almost uniform convergence on sets of finite mea-
sure.
2.10.2 EGOROV ’S THEOREM. Let (X , F , µ) be a measure space and f n : X ! C be measurable
functions such that f n ! f pointwise a.e.[µ]. Let A 2 F have µ(A) < 1. Then f n ! f almost
uniformly on A, in the sense that f n 1A ! f 1A almost uniformly.
PROOF. We can assume without loss of generality that f n , f are equal to zero on Ac . For
each k 1 let Ck,m = {x 2 A : | f m (x) f (x)| > k 1 }. Then
ß ™ \[ \ [
1
Bk = x 2 A : lim sup | f n (x) f (x)| > k = Ck,m = Bk,n , Bk,n := Ck,m .
n!1 n m n n m n

Since f n ! f a.e., we know that µ(Bk ) = 0. Since µ(Bk,1 )  µ(A) < 1, and Bk,n decreases
in n, one has
lim µ(Bk,n ) = µ(Bk ) = 0.
n!1
Now let " > 0 be given and for each k choose nk large enough so that µ(Bk,nk ) < "2 k .
S1
Letting Y = k=1 Bk,nk , we set X " = Y c , so that µ(X "c ) = µ(Y ) < ". Furthermore for all k
1
n nk =) sup | f n (x) f (x)| < k
x2X "
28 2. ABSTRACT INTEGRATION AND THE LEBESGUE INTEGRAL

which is uniform convergence on X " . The proof is complete. ⇤


2.11 Approximation of L 1 functions. Let (X , F , µ) be a measure space and Y , Z be a
class of complex-valued measurable functions. We say that the class Y is dense in the class
Z , with respect to one of the above modes of convergence if for any f 2 Z , there exists a
sequence { f n } ⇢ Y such that f n ! f in that mode of convergence. It has to be noted that, in
each of the modes considered, being dense is a transitive property. Furthermore, by Lemma
2.10.1, if Y is dense in Z and Y is closed under finite linear combinations, then Y is also
dense in the class of finite linear combinations of functions from Z . We leave the simple
proof of these relevant properties as an exercise.
Almost by construction, simple functions are dense in L 1 (X , F , µ).
2.11.1 PROPOSITION. Let f 2 L 1 (X , F , µ). Then there is a sequence of simple functions f n :
X ! C with f n ! f in L 1 .
PROOF. Let f = u + iv. By the linearity Lemma 2.10.1, it suffices to construct four
sequences of simple functions converging respectively to u± , v ± . This allows us to reduce
to the case where f 0. Lemma 2.3.2 yields a sequence f n of simple functions whose
pointwise increasing limit is f . By the monotone convergence theorem (for instance)
Z Z Z
0 kf f n k1 = f f n dµ = f dµ f n dµ ! 0

and the lemma is proved. ⇤


The next approximation theorem is specialized to Rd with the Lebesgue measure. We
denote by C0 (Rd ) the linear space of continuous, complex-valued functions on Rd with
compact support3.
2.11.2 THEOREM. Let f 2 L 1 (Rd ) (Rd with Lebesgue measure). Then there is a sequence
f n 2 C0 (Rd ) with f n ! f in L 1 .
PROOF. The statement is equivalent to: for all " > 0, f 2 L 1 (Rd ), there exists g 2 C (Rd )
with k f gk1 < ". We use the strategy of reducing this statement to functions f in smaller
and smaller classes.
Firstly, by Proposition 2.11.1, we can reduce to f being a nonnegative simple function
in L 1 . Secondly, by transitivity under finite linear combination, we can reduce to f = 1A,
where A is a Lebesgue measurable set of finite measure. Thirdly, we can reduce to open
sets. Suppose that for every > 0 and open set O ⇢ R of finite measure, there exists a
function gO, 2 C0 (Rd ) with kgO, 1O k1 < . Let then A ⇢ Rd be a set of finite measure.
By regularity of Lebesgue measure, there exists O A open with µ(O\A) < "/2. Then
"
kgO,"/2 1Ak1  kgO,"/2 1O k1 + k1O 1Ak1  2 + µ(O\A) < "
and the reduction is complete. Subsequently, we can reduce to sets B which are finite union
of disjoint dyadic cubes. Let O be an open set of finite measure. By the Whitney lemma,
3
Recall that the support of f : X ! Y , where X is a topological space and Y is a linear space, is the closure
of the set {x 2 X : f (x) 6= 0}.
2. ABSTRACT INTEGRATION AND THE LEBESGUE INTEGRAL 29

there is a sequence of disjoint dyadic cubes {Q n } with


X
1O = 1Q n .
n
P
In particular, µ(O) = n µ(Q n ). Given " > 0 we can choose N large enough so that
X X X
N
µ(Q n ) = 1Q n 1O 1Q n <"
n>N n>N 1 n=1 1
The first equality is simply the dominated convergence theorem for series. With B = Q 1 [
· · · [ Q N , we are done. By closure under linear combination, we have reduced to the case of
f = 1Q , where Q is a dyadic cube. By translation and dilation invariance, it suffices to treat
Q = [0, 1)d . The proof is finished by the construction of g 2 C0 (Rd ) with
kg 1[0,1)d k1 < "
which is is left as an exercise. ⇤
In particular, the above theorem tells us that C0 ([0, 1]d ), for instance, is not complete
with respect to the metric induced by the L 1 -norm. We present one more approximation
result for measurable functions, where L 1 plays a role in the proof.
2.11.3 LUSIN’S THEOREM. Let f : Rd ! C be a measurable function and " > 0. Then there
exists a measurable set E such that f 1 E is a continuous function on E, and µ([0, 1]d \E c ) < ".
Before the proof, we remark that the continuity of the above theorem has to be under-
stood in the sense of the induced topology on E. This means that
x n , x 2 E, x n ! x =) f (x n ) ! f (x).
This does not mean that f is continuous at points in E in the usual sense. For instance,
f = 1Q is nowhere continuous, while if one defines E = R\Q, µ(E c ) = ; and f 1 E : E ! is
identically zero, and thus a continuous function in the above sense.
PROOF. Filling in the details of the proof are left as an exercise. It suffices to prove the
theorem for f 0. Furthermore, by using the arctan trick, we can reduce to the case where
f : Rd ! [0, 1). Let BN be the unit ball of radius N . Now f 1BN 2 L 1 . thus there exists a
sequence f n,N of continuous functions with compact support such that k f f N ,n k < "2 N 2n .
It follows by Chebychev’s inequality that
Fn,N := {x 2 BN : | f (x) f n,N (x)| > 2 n }, µ(Fn,N )  "2 n N
S1 S1
Define F = N =1 n=1 Fn,N . Then µ(F ) < ". Now set E = F c . You should see why f is a
continuous function on E, first argue for E \ BN . ⇤