Measurable functions

In mathematics, particularly in measure theory, measurable functions are structure-

preserving functions between measurable spaces; as such, they form a natural context for
the theory of integration. Specifically, a function between measurable spaces is said to be
measurable if the preimage of each measurable set is measurable, analogous to the
situation of continuous functions between topological spaces.

This definition can be deceptively simple, however, as special care must be taken
regarding the σ-algebras involved. In particular, when a function is said to
be Lebesgue measurable what is actually meant is that is a
measurable function—that is, the domain and range represent different σ-algebras on the
same underlying set (here is the sigma algebra of Lebesgue measurable sets, and is
the Borel algebra on ). As a result, the composition of Lebesgue-measurable functions
need not be Lebesgue-measurable.

By convention a topological space is assumed to be equipped with the Borel algebra

generated by its open subsets unless otherwise specified. Most commonly this space will
be the real or complex numbers. For instance, a real-valued measurable function is a
function for which the preimage of each Borel set is measurable. A complex-valued
measurable function is defined analogously. In practice, some authors use measurable
functions to refer only to real-valued measurable functions with respect to the Borel
algebra.[1] If the values of the function lie in an infinite-dimensional vector space instead
of R or C, usually other definitions of measurability are used, such as weak measurability
and Bochner measurability.

In probability theory, the sigma algebra often represents the set of available information,
and a function (in this context a random variable) is measurable if and only if it
represents an outcome that is knowable based on the available information. In contrast,
functions that are not Lebesgue measurable are generally considered pathological, at least
in the field of analysis.

Definitions
1)
Let  be a set and  be a  -algebra of subsets of .Function f :  R is measurable or
 -measurable if the set x : f (x) >a belongs to  for all a  R.
2)
Let X and Y be nonempty sets and M and N be  -algebras of subsets of X and Y respectively.
A function f : X  Y is said to be (M,N)-measurable if E  N  f _1 (E)  x  X| f(x)  E  M .
3)
An extended real valued function defined on a measurable set is said to
be Lebesgue Measurable (or measurable) on if

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 is a Lebesgue measurable subset of for every
.

4)

Let (X,Σ) and (Y,Τ) be measurable spaces, meaning that X and Y are sets equipped with
respective sigma algebras Σ and Τ. A function is said to be measurable if
for every . The notion of measurability depends on the sigma algebras
Σ and Τ. To emphasize this dependency, if is a measurable function, we will
write

Special measurable functions

 If (X,Σ) and (Y,Τ) are Borel spaces, a measurable function

is also called a Borel function. Continuous functions are
Borel functions but not all Borel functions are continuous. However, a measurable
function is nearly a continuous function; see Luzin's theorem. If a Borel function
happens to be a section of some map , it is called a Borel section.

 A Lebesgue measurable function is a measurable function ,

where is the sigma algebra of Lebesgue measurable sets, and is the Borel
algebra on the complex numbers . Lebesgue measurable functions are of
interest in mathematical analysis because they can be integrated.

 Random variables are by definition measurable functions defined on sample

spaces.

Properties of measurable functions

 The sum and product of two complex-valued measurable functions are

measurable. So is the quotient, so long as there is no division by zero.

 The composition of measurable functions is measurable; i.e., if

and are measurable functions, then so is
.But see the caveat regarding Lebesgue-measurable
functions in the introduction.

 The (pointwise) supremum, infimum, limit superior, and limit inferior of a

sequence (viz., countably many) of real-valued measurable functions are all
measurable as well.

 The pointwise limit of a sequence of measurable functions is measurable; note

that the corresponding statement for continuous functions requires stronger
conditions than pointwise convergence, such as uniform convergence. (This is

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 correct when the counter domain of the elements of the sequence is a metric
space.)

Theorem: Let (X, M, μ) be a measure space. Let f and g be measurable functions on X.

Let φ :  →  be continuous, and let c ∈  . Then, provided the following functions
are defined,
1. cf is measurable.
2. f + g is measurable.
3. Φ ◦ f is measurable (where f must be finite-valued).
4. fg is measurable.

Theorem: The following statements are equivalent:

is Lebesgue measurable on

is a Lebesgue measurable subset of for every

.

is a Lebesgue measurable subset of for every

.

is a Lebesgue measurable subset of for every

.

Adding and Multiplying Measurable Real-Valued Functions

One approach to the problem of adding and multiplying measurable functions on a

measurable space would be to define a two-dimensional version of Borel sets and
Lebesgue measure, and to tweak the definition of a measurable function to this space
like we did before to treat the additive identity specially. Then we could set
up products (which we will eventually do) and get a map and compose
this with the Borel map or the Borel map . In fact, if you’re
up for it, you can go ahead and try working out this approach as an exercise.

Instead, we’ll take more of a low road towards showing that the sum and product of two
measurable functions are measurable. We start with a useful lemma: if and are
extended real-valued measurable functions on a measurable space and if is any
real number, then each of the sets

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has a measurable intersection with every measurable set. If is itself measurable, of
course, this just means that these three sets are measurable.

To see this for the set , consider the (countable) set of rational numbers. If
really is strictly less than , then there must be some rational number between
them. That is, if then for some we have and . And thus we
can write as the countable union

By the measurability of and , this is the countable union of a collection of measurable

sets, and is thus measurable.

We can write as , and so the assertion for follows

from that for . And we can write , so the statement is true for that set as
well.

Anyway, now we can verify that the sum and product of two measurable extended real-
valued functions are measurable as well. We first handle infinite values separately. For
the product, if and only if . Since the sets
and are both measurable, the set
— their union — is measurable. We can handle ,
, and similarly.

So now we turn to our convenient condition for measurability. Since we’ve handled the
sets where and are infinite, we can assume that they’re finite. Given a real
number , we find

which is measurable by our lemma above (with in place of ). Since this is true for
every real number , the sum is measurable.

To verify our assertion for the product , we turn and recall the polarization identities
from when we worked with inner products. Remember, they told us that if we know how
to calculate squares, we can calculate products. Something similar is true now, as we
write

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We just found that the sum and the difference are measurable. And any
positive integral power of a measurable function is measurable, so the squares of the sum
and difference functions are measurable. And then the product is a scalar multiple of
the difference of these squares, and is thus measurable.

Non-measurable functions

Real-valued functions encountered in applications tend to be measurable; however, it is

not difficult to find non-measurable functions.

 So long as there are non-measurable sets in a measure space, there are non-
measurable functions from that space. If (X,Σ) is some measurable space and
is a non-measurable set, i.e. if , then the indicator function
is non-measurable (where is equipped with the Borel
algebra as usual), since the preimage of the measurable set {1} is the non-
measurable set A. Here 1A is given by

 Any non-constant function can be made non-measurable by equipping the domain

and range with appropriate σ-algebras. If is an arbitrary non-
constant, real-valued function, then f is non-measurable if X is equipped with the
indiscrete algebra Σ = {0,X}, since the preimage of any point in the range is
some proper, nonempty subset of X, and therefore does not lie in Σ.

Sequences of measurable functions

We let be a sequence of extended real-valued measurable functions on a

measurable space , and ask what we can say about limits of this sequence.

First of all, the function is measurable. The preimage is

the union of the countable collection , while the preimage is the
intersection of the countable collection . And so both of these sets are
measurable, and we can restrict to the case of finite-valued functions.

So now let’s use our convenient condition. Given a real number we know that
if and only if for some . That is, we can write

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Each term on the right is measurable since each is a measurable function, and so the set
on the left is measurable. Thus we conclude that is measurable as well.

Similarly, we find that the function is

measurable.

Indeed, in proving that is measurable we can use the exact same technique as above to
prove that the inner supremum is measurable; it doesn’t really depend on the supremum
starting at or higher. And then the outer infimum is exactly as before. Proving is
measurable is similar.

Now we can talk about pointwise convergence of a sequence of measurable functions.

That is, for a fixed point we have the sequence which has some limit
superior and some limit inferior . If these two coincide, then the sequence has
a proper limit . But one of our lemmas tells us that the set
of points where any two measurable functions coincide has a nice property:
has a measurable intersection with every measurable set. And
thus if we define the function on this subspace of for which the limit
exists, the resulting function is measurable.

Sequences of measurable functions

Theorem 1 Let fg be a sequence, such that ! µ-a.e., ! 1.

Suppose that µ(Ω) 1. Then ! in µ as ! 1.
Proof. 1. Set = j¡j . Then fg is a sequence of measurable functions, ≥ 0 ,
such that ! 0 µ -a.e. in Ω as ! 1. For any 0 define

E tj = f2Ω () ≥ g
We must show that for any t > 0
Ω( E tj ) ! 0 as ! 1
2. For any t > 0 the inclusion
  Def
lim sup ( E tj )   x   : lim sup g j  x   t   Lt
j  j  
holds. At the same time clearly

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To use this fact, recall the expression

Hence by the continuity of Ω along the monotone sequences of sets

Examples of measurable functions

Let be a measurable space. Then
Example 1: Constant functions are always measurable.
Example 2: Characteristic function of a set E, which is

is measurable if and only if E is measurable, i.e. 3

Example 3: Continuous functions f : R→ R are Borel measurable.
Take E1 ,E 2 ,........,E n   ;c1 ,c2 ,........cn   and let
f (x) = i=1
n
ci X E  x  Such function is called simple. Simple functions are measurable.
i

Example 4: Show that if is measurable then is also measurable. The converse is not
true. Clearly since is measurable, then for every , the sets, and
are measurable and so the set

is measurable. This shows that

is measurable. Now let be a measurable set and let be a non- measurable subset of
. The define the function by

One can see that this function is non measurable even though is measurable.

Example 6: Let be a real valued function defined on . Show that the measurability of
the set for every is not sufficient, for to be measurable.

Let be a non measurable set of , and consider the function defined as follows,

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Then the sets are either empty or singletons, and so they are measurable, but the
function is not measurable.

Example 7: Let be dense in . Show that a function defined, on a measurable

set , is measurable if and only if the set is measurable for every .
So given a real number , there is an increasing sequence, of elements in such that

Hence

is a measurable set.

Example 8: Continuous real valued functions defined on measurable sets are measurable.
Let be a continuous function, on the measurable set , and be any real number.
We must show that is a measurable subset of . When ,
then it is measurable. Otherwise if , then by continuity, in some
neighborhood of , say . Consequently,

This shows that, is the intersection of an open set and a measurable set , and hence its
measurable.