1. Let (R2 , S, λ) be the product measure in the sense of Royden.

Then open sets are

measurable.

Proof. Consider the standard basis B = {U × V : U and V are open in R} for the
product space R2 . Thus every open set in R2 is in Bσ , so it suffices to show that
B ⊆ S. First note that if U is open in R then U is a countable union of basic open sets
(intervals), thus U is measurable, so every set in B is a measurable rectangle. Thus
as is described on page 304 of the text, S contains B, as needed.

2. Let `2 denote the Hilbert space of real-valuedP

sequences hxn : n ∈ ωi such that n∈ω x2n <
P
∞, with product defined by hhxn i , hyn ii = n∈ω xn yn .
If µ is a measure on `2 that is invariant under isometries then for any open set U ,
µ(U ) ∈ {0, ∞}.

Proof. Suppose that µ is a translation invariant (Borel) measure. It suffices to show

that if U is any basic open set then µ(U ) ∈ {0, ∞}, as any open set will thus have
measure equal to a sum of (possibly countably many) copies of zero or ∞, which will
again either be zero or infinity.
Now if Bε (x) is a basic open set and 0 is the zero sequence then µ(Bε (x)) = µ(Bε (0))
by translation invariance, so in fact it suffices to show that µ(Bε (0)) ∈ {0, ∞}
Let us denote by ϕ the shift isometry ϕ : `2 → `2 : (x0 , x1 , . . .) 7→ (0, x0 , x1 , . . .).
Now let B0 = Bε (0), and if Bn has been defined, let Bn+1 = ϕ(Bn ). Thus for all n
we have Bn+1 ⊆ Bn . Now for each n ∈ {0, 1, . . .} let En = Bn \ Bn+1 . Note that by
S∞ m 6= n ⇒ En ∩ Em = ∅. Thus we can write Bε (0) as the disjoint union
construction
Bε (0) = n=0 En . Also note that ϕ(En ) = En+1 , thus by induction µ(En ) = µ(Em )
for all m, n ∈ {0, 1, . . .}. Thus if µ(E0 ) = k we have, by σ-additivity,
∞
X
µ(Bε (0)) = µ(Ei ) = lim nk,
n→∞
i=0

thus if k > 0 we have µ(Bε (0)) = 0, while if k > 0 we have µ(Bε (0)) = ∞, as
needed.

3. Let X = {x, y}. Then there is a measure µ defined on P(X) such that (L1 (X))∗ 6=
L∞ (X).
We give several proofs. Note that
Z
1
f ∈ L (X) ⇔ f dµ = f (x) · µ({x}) + f (y) · µ({y}) < ∞,
X

and f ∈ L∞ (X) ⇔ ∃M ∈ R : µ({α ∈ X : f (α) > M }) = 0, but as µ(∅) = 0, we may

always take M = max {f (x), f (y)}, thus for any µ, L∞ (X) is the set of all functions
mapping X into R.

1
 Proof. (Take 1). First let µ be identically zero. Then L1 (X) is the set of all functions
f : X → R, thus every F ∈ (L1 (X)) in particular has infinite domain, but every
member of L∞ (X) is a function whose domain is X, which is finite, so the sets have
no chance of being equal (or even being isomorphic in any sense).

Proof. (Take 2). Now suppose that µ(∅) = 0 and µ(S)

1
R = ∞ for every S ∈ P(X) \ {∅}.
R L (X) = {0} where 0 is the zero function, as X f dµ = f (x) · ∞1 + f (y)
Then
∗
· ∞, thus
if X f < ∞ we must have f = 0. Then every linear functional in L (X) is also the
zero map, because if not, say F (0) = r 6= 0, then F (0) + F (0) = 2r 6= r = F (0 + 0), a
contradiction of linearity. So |L1 (X)| = |(L1 (X))∗ | = 1. On the other hand as argued
above, L∞ is the set of all functions from X to R, thus

|L∞ (X)| = R2  = 2ℵ0  > 1 = (L1 (X))∗  ,

     

thus again, as the sets have (uncountably) different cardinalities, they have no chance
of being equal.

4. Suppose that µ1 , µ2 , ν1 , and ν2 are σ-finite measures on X, Y , X and Y , respectively.

Suppose further that ν1  µ1 and ν2  µ2 . Then ν1 × ν2  µ1 × µ2 and
    
d(ν1 × ν1 ) dν1 dν2
= .
d(µ1 × µ2 ) dµ1 dµ2

Proof. Suppose first that E is a µ1 × µ2 measurable set with µ1 × µ2 (E) = 0. Consider

the characteristic function χ of E. Now χ is measurable thus by Tonelli’s theorem for
each x the set Ex := {y : χx (y) = χ(x, y) = 1} is a measurable subset of Y . Similarly
for each y the set Ey := {x : χy (x) = 1} is a measurable subset of X. By Lemma
17 µ1 (Ey ) = 0 = µ2 (Ex ) for almost all x, y. Thus by absolute continuity we have
ν1 (Ey ) = 0 = ν2 (Ex ), so
Z Z
ν1 (Ey ) dν2 = 0 = ν2 (Ex ) dν1 ,

thus by completeness of ν1 × ν2 and proposition 18 we have 0 = ν1 × ν2 (E), thus

ν1 × ν2  µ1 × µ2 as needed.
Thus by the R-N theorem there is a (unique1 ) measurable
R function f such that for all
measurable E in X × Y we have ν1 × ν2 (E) = E f dµ1 × µ2 .
On the other hand the R-N theorem also gives functions f1 and f2 such that for every
measurable F ⊆ X and G ⊆ Y we have
Z Z
ν1 (F ) = f1 dµ1 and ν2 (G) = f2 dµ2 .
F G
1
almost everywhere

2
 Now ν1 × ν2 is the unique measure such that ν1 × ν2 (F × G) = ν1 (F ) × ν2 (G), thus
Z  Z  Z Z  Z
ν1 ×ν2 (F ×G) = f1 dµ1 f2 dµ2 = f1 f2 dµ2 dµ1 = f1 f2 dµ1 ×µ2 ,
F G F G F ×G

by Tonelli’s theorem. Thus by uniqueness of the f above we must have f1 f2 = f

(almost everywhere), as desired.

5. Let X be a metric space and E be a Borel subset of X. If 0 < α < β then

(a) mα (E) < ∞ ⇒ mβ (E) = 0, and

(b) mβ (E) > 0 ⇒ mα (E) = ∞.

Proof. (a) Suppose that mα (E) = k where 0 < k < ∞. Using the notation in Royden
we have
(ε)
X β
mβ (E) = lim λβ = lim inf ri
ε→0 ε→0
i∈N
X
= lim inf (riα )riβ−α
ε→0
i∈N
X
≤ lim inf riα εβ
ε→0
i∈N
" #
X
= lim εβ−α · inf riα
ε→0
i∈N
β−α
= lim ε ·k =0
ε→0

(b) We proved in (a) that mα (E) 6= ∞ ⇒ mβ (E) = 0. Thus (by contraposition),

mβ (E) 6= 0 ⇒ mα (E) = ∞, So (b) is proved.