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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
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
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`
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.
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.
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
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
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
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
• 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
"
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