Modern Analysis MAA5229 Spring 2013

September 11, 2013

The Integral
1/7/2013
Denition 1 A partition of [a, b] is a nite set P with a, b P [a, b]. Standard notation
P = t
0
, t
1
, . . . , t
N
with
a = t
0
t
1
t
N1
t
N
= b.
The set of all partitions of [a, b] denoted by P[a, b] is ordered by inclusion. When P Q,
we say that Q is ner than (or is a renement of) P. Any two partitions have a smallest
common renement namely, their union.
Denition 2 Let f : [a, b] R be bounded. The upper sum
U
P
(f) =
N

n=1
sup
In
(f) [I
n
[.
The lower sum
L
P
(f) =
N

n=1
inf
In
(f) [I
n
[.
Plainly, L
P
(f) U
P
(f) and for c
n
I
n
,
L
P
(f)
N

n=1
f(c
n
) [I
n
[ U
P
(f)
Note that L
P
(f) and U
P
(f) may not be Riemann sum (extreme values may not be attained).
Lemma 1 If P Q, then
L
P
(f) L
Q
(f) U
Q
(f) U
P
(f).
1
Proof: WLOG, assume Q = P t with t [t
M1
, t
M
]. Then
sup
[t
M1
,t]
(f) [t t
M1
[ + sup
[t
M1
,t]
(f) [t t
M1
[
sup
I
M
(f) [t t
M1
[ + sup
I
M
(f) [t t
M1
[
=sup
I
M
(f) [I
M
[.
Add
N

n=1,=M
inf
In
(f) [I
n
[ on both sides gives
U
Q
(f) U
P
(f).

Corollary 1 For P, Q P[a, b], L

P
(f) U
Q
(f).
Proof:
L
P
(f) L
PQ
(f) U
PQ
(f) U
Q
(f).

Denition 3 The upper integral

_
b
a
f = infU
P
(f) : P P.
The lower integral
_
b
a
f = supL
P
(f) : P P.
Say f is (Riemann) integrable over [a, b] i
_
b
a
f =
_
b
a
f.
Constant, continuous, and jump discontinuous functions are integrable. The character-
istic function of rational is not integrable.
Remarks: f 1[a, b] implies f
2
1[a, b] because [ sup f
2
inf f
2
[ 2M[ sup f inf f[.
Moreover, f, g 1[a, b] imply fg 1[a, b] since fg =
1
2
[(f +g)
2
f
2
g
2
].
1/14/2013
Theorem 1 (FTC) Let f 1[a, b] and dene F : [a, b] R by F(t) =
_
t
a
f.
(i) F is continuous on [a, b].
(ii) If f is continuous at t, then F is dierentiable at t with F

(t) = f(t).
2
Proof: Given > 0.
(i) f 1[a, b] implies f is bounded by (say) M > 0. There exists =

M
> 0 such that
when (points in [a, b]) [t x[ < ,
[F(t) F(x)[ =

_
t
a
f
_
x
a
f

_
t
x
[f[

< M = .
Hence, F is continuous on [a, b].
(ii) When x t with x ,= t, since f is continuous, [f(x) f(t)[ < .

F(x) F(t)
x t
f(t)

1
x t
_
x
t
f(u) du f(t)

=
1
[x t[

_
x
t
f(u) f(t) du

<
1
[x t[
[x t[ = .
Hence, F is dierentiable at t with F

(t) = f(t).
Corollary 2 If f is continuous on [a, b], then there exists c (a, b) such that
_
b
a
f = (b a)f(c).
Theorem 2 (FTC) Let F : [a, b] R be dierentiable. If F

1[a, b], then

_
b
a
F

= F(b) F(a).
Proof: Given > 0. Choose partition P such that U
p
(F

) L
P
(F

) < . Since F is
dierentiable, MVT asserts that there exists u
n
(t
n1
, t
n
) such that
F(t
n
) F(t
n1
) = F

(u
n
)(t
n
t
n1
).
Sum over all the subintervals, we have
F(b) F(a) =
N

n=1
F

(u
n
)(t
n
t
n1
)
=
_
b
a
F

3
Corollary 3 If u, v : [a, b] R are dierentiable with u

, v

1[a, b], then

_
b
a
uv

= [uv]
b
a

_
b
a
vu

.
Theorem 3 (calculus of variation) Let f C[a, b]. If
_
b
a
f

= 0 for all continuously

dierentiable function on [a, b] with (a) = (b) = 0, then f is constant.
Proof: Dene k =
1
ba
_
b
a
f. We prove that f = k by showing
_
b
a
(f k)
2
=
_
b
a
f(f k) +
_
b
a
(f k)(k) = 0.
Since f k is continuous, (t) =
_
t
a
(f k) is continuously dierentiable with (a) = (b) = 0.
Hence,
_
b
a
f

=
_
b
a
f(f k) = 0.
Moreover,
_
b
a
(f k)(k) = (k)[(b) (a)] = 0.
Hence, f k.
1/16/2013
Corollary 4 (Euler-Lagrange) Let f, g C[a, b]. If
_
b
a
(f

+g) = 0 for all continuously

dierentiable with (a) = (b) = 0, then f is dierentiable with f

= g.
Theorem 4 Let 0 f 1[a, b]. If
_
b
a
f = 0, then f is zero at each of its point of
continuity.
Corollary 5 Let 0 f. If
_
b
a
f = 0, then f is zero at each of its point of continuity.
Theorem 5 Let f : [a, b] R be bounded. If f is continuous except at nitely many points,
then f 1[a, b].
Theorem 6 The bounded function f : [a, b] R is integrable i its discontinuity form a
set of measure zero.
Lemma 2 Let 0 f 1[a, b] and
_
b
a
f > 0. Then f > 0 on I [a, b].
Proof: We show more. Say 0 f < M and let
_
b
a
f > > 0. Dene m =

M+ba
. We
claim that
X := t [a, b] : f(t) m = f
1
[m, )
contains nitely many disjoint open intervals Is such that

[I[ m.
4
Choose any P = t
0
, t
1
, . . . , t
n
such that L
P
(f) . Let A := n : [t
n1
, t
n
] X.
Then if n / A, there exists u
n
[t
n1
, t
n
] such that
f(u
n
) < m inf
In
(f) < m.

nA
inf
In
(f) [I
n
[ +

n/ A
inf
In
(f) [I
n
[ = L
P
(f)

nA
inf
In
(f) [I
n
[ m(b a)
M

[I
n
[ m(b a)

[I
n
[
1
M
_
m(M +b a) m(b a)
_
= m.

Theorem 7 (MCT) Let f

n
decrease to f pointwise on [a, b]. If f
n
and f belong to 1[a, b],
then
_
b
a
f
n
decrease to
_
b
a
f.
Proof: We may assume f = 0 by replacing f
n
by f
n
f 0. Then f
n
0. Suppose
_
b
a
f
n
> > 0. Then f
n
> 0 in some intervals with length m. Then
_
b
a
f m > 0. But
_
b
a
f = 0. Hence,
_
b
a
(f
n
f) = 0.
Sequence of Functions
1/18/2013
Theorem 8 If f : [a, b] R is bounded and continuous except perhaps at a, then f
1[a, b].
Theorem 9 Let f : [a, b] R be bounded. If L
P
(f) = U
Q
(f). Show that f is constant.
Proof: Consider R = P Q. Then
0 = U
R
(f) L
R
(f)
=
N

n=1
_
sup
In
(f) inf
In
(f)
_
[I
n
[
Hence sup
In
(f) = inf
In
(f) on each I
n
of positive length. Even if t
n
R are not distinct,
t
n
I
m
for some interval of positive length. Hence, f is constant.
5
1/23/2013
Denition 4 Let (f
n
)
nN
be a sequence of function from set X to metric space Y . Let
f : X Y . Say f
n
f pointwise i
(x X)( > 0)(N
x,
)(n N) : d
Y
(f(x), f
n
(x)) < .
Say f
n
f uniformly i
( > 0)(N

)(x X)(n N) : d
Y
(f(x), f
n
(x)) < .
When f
n
f,
(f
n
) bounded implies f bounded.
(f
n
) continuous implies f continuous.
(f
n
) integrable implies f integrable.
(f
n
) dierentiable (almost) implies f dierentiable.
These are false when f
n
f only pointwise.
Theorem 10 Let (f
n
) sequence of bounded functions from set X to metric space Y that
converges uniformly to f : X Y . Then f is bounded.
Proof: Since each f
n
is bounded, there exist y
n
Y,
n
> 0 such that f
n
(x) B
n
(y
n
).
Since f
n
f, there exists N such that
(x X)(n N) : d(f(x), f
n
(x)) < .
If x X, then
d(f(x), y
N
) d(f(x), f
N
(x)) +d(f
N
(x), y
N
)
< +
N
.
Hence, f(X) B
+
N
(y
N
).
Remark: Moreover, (f
n
) is uniformly bounded by B
R
(y
N
) where R = max
1
+d(y
1
, y
N
), . . . , +

N
.
1/25/2013
Theorem 11 Let (f
n
) sequence of continuous (at a) functions from metric space X to
metric space Y that converges uniformly to f : X Y . Then f is continuous (at a).
Proof: Given > 0. Since f
n
f, there exists N such that
(x X)(n N) : d(f(x), f
n
(x)) <

3
.
Since f
N
is continuous at a, there exists > 0 so that when d
X
(x, a) < ,
d
Y
(f
N
(x), f
N
(a)) <

3
.
6
Then when d
X
(x, a) < ,
d
Y
(f(x), f(a)) d
Y
(f(x), f
N
(x)) +d
Y
(f
N
(x), f(a))

u
3
+d
Y
(f
N
(x), f
N
(a)) +d
Y
(f
N
(a), f(a))

3
+

c
3
+

u
3
= .
Hence, f is continuous.
Theorem 12 (Dini) Let continuous function f
n
: X
met
R converges pointwise to f. If
(i) X compact,
(ii) f
n
is pointwise monotonic,
(iii) f is continuous, then f
n
f.
Proof: By subtraction, we assume f
n
0 pointwise. Given > 0. Let U
n
:= x X :
f
n
< . Since each f
n
is continuous, each U
n
is open. Since f
n
0, X =

n
U
n
. U
n
U
n+1
since f
n
f
n+1
. Since X is compact, X is covered by U
n
1
, . . . , U
n
k
. Let N = max
i
n
i
. Then
X = U
N
= U
n
for n N. If x X, n N, then x U
n
and
[f
n
(x) 0[ < .

1. Compactness is needed. Dene f

n
: (0, 1) R by f(t) = t
n
.
2. Monotone is needed. Dene f
n
: [0, 1] R by 0 to 1 at
1
2n
to 0 at
1
n
linear function.
3. Continuous of f is needed. Dene f
n
: [0, 1] R by f(t) = t
n
.
Theorem 13 Let f
n
: [a, b] R converges uniformly to f. If each f
n
1[a, b], then
f 1[a, b] and
_
b
a
f
n

_
b
a
f.
lim
n
_
b
a
f
n

_
b
a
lim
n
f
n
.
Proof: Since f
n
f, ( > 0)(N) : f
n
< f < f
n
+ on [a, b]. Then f is bounded
and
_
_
f <
_
f
n
+(b a)
_
f >
_
f
n
(b a)

_
f
_
f <
_
f
n

_
f
n
+ 2(b a).
Since f
n
1 and is arbitrary, f 1. By linearity and monotonicity of the integral, for
n N,

_
b
a
f
_
b
a
f
n

_
b
a
[f f
n
[ < (b a)
Hence,
lim
n
_
b
a
f
n

_
b
a
lim
n
f
n
.

7
1/28/2013
Theorem 14 Let f
n
be a sequence of continuously dierentiable functions on [a, b]. If
f

n
g on [a, b] and f
n
(p) q, then f
n
f on [a, b] and f

n
f

.
Proof: Since (continuous) f

n
g, g is continuous. Since f
n
is dierentiable, FTC
asserts that
_
t
p
f

n
= f
n
(t) f
n
(p).
Let n , previous theorem asserts that
f
n
(t) q +
_
t
p
g.
Let f = q +
_
t
p
g, then the continuity of f and FTC assert that f

= g. It remains to show
f
n
f. For any t [a, b],
[f
n
(t) f(t)[ =

f
n
(p) +
_
t
p
f

_
q +
_
t
p
g
_

[f
n
(p) q[ +

_
t
p
(f

n
g)

< +[b a[.

Denition 5 Let (f
n
) map set X to metric space Y . We call (f
n
) uniformly Cauchy i
( > 0)(N)(x X)(p, q N) : d(f
p
(x), f
q
(x)) < .
Theorem 15 Let Y be compete, each uniformly Cauchy (f
n
) is uniformly convergent.
Remark: Uniformly convergent implies uniformly Cauchy, but the converse is not true in
general.
Proof: Pick arbitrary (xed) x X. Since Y is complete, the Cauchy sequence f
n
(x)
converges to f(x) Y . Dene f : X Y such that f(x) is the pointwise limit f
n
(x). Given
> 0, there exists N
x
such that
d(f
n
(x), f(x)) < for all n N
x
.
Since (f
n
) is uniformly Cauchy,
(N)(x X)(p, q N) : d(f
p
(x), f
q
(x)) < .
Then for x X, pick p N and M N N
x
to get
d(f
p
(x), f(x)) d(f
p
(x), f
M
(x)) +d(f
M
(x), f(x))
< 2.
Hence, f
n
f. Note that one N works for all x X, but we use dierent jump points.

8
1/30/2013
Let X be a compact metric space. The set C(X) of continuous function X R carries
pointwise algebraic operations making it a real vector space:
(f +g)(x) = f(x) +g(x).
(kf)(x) = kf(x).
and a ring:
(fg)(x) = f(x)g(x).
Moreover, dene |f| := sup
X
[f(x)[ [0, ). Properties of | | norm:
1. |f| 0 and |f| = 0 i f = 0.
2. |kf| = [k[ |f|.
3. |f +g| |f| +|g|.
A metric (sup metric) is now dened on C(X) by
d(f, g) = |f g|.
Theorem 16 Take f
n
and f C(x).
(1) f
n
f on X i f
n
f in (C(X), d).
(2) (f
n
) is uniformly Cauchy on X i (f
n
) is Cauchy in (C(X), d).
Proof: (1) () Given > 0. Since f
n
f,
(N)(x X)(n N) : [f
n
(x) f(x)[ < .
Then for n N,
M
n
:= sup
xX
[f
n
(x) f(x)[ < .
Hence, M
n
0 as n . by denition, f
n
f in (C(X), d).
() M
n
0 as n implies f
n
f is clear.
(2) () (f
n
) is uniformly Cauchy on X implies (f
n
) is uniformly convergent. By (1), (f
n
)
is Cauchy in (C(X), d).
() Suppose (f
n
) is Cauchy in (C(X), d). Then to each > 0 corresponds an N such
that
|f
m
f
n
| < m, n N.
This is independent of x X since | | is sup
xX
. Hence, (f
n
) is uniformly Cauchy on X.

Corollary 6 C(X) is complete.

Proof: Use last two theorems with Y = R.
Remark: C(X) is a complete normed space, which is a Banach space. If X is not compact,
we may not dene |f| = sup
X
[f[. Replacement: C
b
(X) bounded real continuous function is
also a Banach space. C[0, 1] (continues complex function) contains every separable Banach
space.
9
2/1/2013
The Arzela-Ascoli Theorem
Denition 6 Let X be a compact metric space. We say T C(X) is equicontinuous at
a X i
()()(f T) : x B

(a) [f(x) f(a)[ < .

(one for all) Equicontinuous = equicontinuous at all points.
Theorem 17 If T C(X) is equicontinuous, then T is uniformly equicontinuous in the
sense that
()(

)(f T) : d(x, x

) < [f(x) f(x

)[ < .
Proof: Given > 0. For a X,
(
a
)(f f) : x B
a
(a) [f(x) f(a)[ <

2
.
Since X is compact,
X = Ba
1
2
(a
1
) Ba
2
2
(a
2
) Ba
N
2
(a
N
).
Set = min
1iN

a
i
. Now let f T and d(x, x

) <

2
. We have x Ban
2
(a
n
) for some n.
Then
d(x, a
n
) <

an
2
and d(x

, a
n
) <
an
.
By equicontinuous of T,
[f(x) f(x

)[ [f(x) f(a
n
)[ +[f(a
n
) f(x

)[ < .

Theorem 18 (Arzela-Ascoli) If X is a compact metric space and T C(X), then

TFAE:
(i) T is compact (sup metric).
(ii) T is closed, bounded, and equicontinuous.
Corollary 7 If X is a compact metric space and T C(X), then TFAE:
(i) T is precompact.
(ii) T is bounded and equicontinuous.
2/4/2013
Theorem 19 If (f
n
) is converges uniformly in C(X), then (f
n
) is equicontinuous.
10
Proof: Given > 0. Since (f
n
) converges uniformly in C(X), there exist N such that
(x X)(n N) : |f
n
(x) f
N
(x)| < .
Since continuous function on a compact set is uniformly continuous, there exists > 0 such
that
|f
i
(x) f
i
(t)| < , ()
for 1 i N and d(x, t) < .
For n N and d(x, t) < , we have
|f
n
(x) f
n
(t)| |f
n
(x) f
N
(x)| +|f
N
(x) f
N
(t)| +|f
N
(t) f
n
(t)|
< + + = 3.
This together with () gives (f
n
) is equicontinuous.
Theorem 20 Each bounded equicontinuous sequence in C(X) has a (uniformly) convergent
subsequence.
Proof: Let T = f
n
: n N be bounded and equicontinuous. Then T is precompact.
Then each sequence in T has a Cauchy subsequence, which converges in the complete space
C(X).
Alternatively, T is compact. So (f
n
) T has a convergent subsequence.
Theorem 21 Let (f
n
) be a sequence of continuous function from compact metric space X
to R which decrease pointwise to zero. Then (f
n
) is equicontinuous.
Proof: Given > 0. Since f
n
0 for arbitrary (xed) a X, choose N such that
0 f
n
(a) < n N.
Since f
n
is continuous, there exists
N
> 0 such that for all n N and d(a, x) <
N
,
[f
n
(x) f
n
(a)[ [f
n
(x) f
N
(x)[ +[f
N
(x) f
N
(a)[ +[f
N
(a) f
n
(a)[
< 3.
For each n < N, choose
n
> 0 so that
[f
n
(x) f
n
(a)[ < when d(a, x) <
n
.
Then = min
1nN

n
gives (f
n
) is equicontinuous.
Remark: It now follows (by Arzela-Ascoli) that (f
n
) has a uniformly convergent subse-
quence. Now f
n
0 shows that f
n
is uniformly convergent. This reprove Dinis theorem.
Theorem 22 For (f
n
) a sequence in C(X), TFAE
(i) (f
n
) is uniformly convergent.
(ii) (f
n
) is equicontinuous and pointwise convergent.
11
Proof: (i) (ii): Theorem 19. Or observe that f
n
is uniformly Cauchy. Choose N
for

3
and then choose for [f
N
(x) f
N
(t)[ <

3
.
(i) (ii). Pick x X. Since (f
n
) is equicontinuous, there exists > 0 such that
[f
n
(x) f
n
(t)[ < whenever [x t[ < .
Since X is compact, X = B

(x
1
) B

(x
N
) with x B

(x
k
) (k depends on x). The
pointwise convergence implies there exists N such that
[f
n
(x
k
) f(x
k
)[ < n N.
Then for all n N, pointwise convergence, equicontinuity, and completeness of C(X) imply
[f
n
(x) f(x)[ [f
n
(x) f
n
(x
k
)[ +[f
n
(x
k
) f(x
k
)[ +[f(x
k
) f(x)[
< 3.
on X. Hence, the convergence is uniform.
Theorem 23 For T C(X) with T is equicontinuous, TFAE
(i) T is uniformly bounded.
(ii) T is pointwise bounded.
Proof: (i) (ii): Clear.
(i) (ii): Given > 0. Since T is equicontinuous, there exists > 0 such that
[f(x) f(t)[ < whenever [x t[ < , f T.
Since X is compact, X = B

(x
1
) B

(x
N
) with x B

(x
k
) (k depends on x). The
pointwise bounded condition implies there exists M > 0 such that at x
k
,
[f(x
k
)[ < M f T.
Then on X,
[f(x)[ < [f(x
k
)[ + M +.

2/6/2013
Theorem 24 (Weierstrass) The classical Weierstrass theorem: If f : [a, b] R is con-
tinuous, then there exists polynomials P
n
such that P
n
f on [a, b]. (Only polynomial can
be arbitrarily approximated by polynomial on R. Suppose P
n
f, then f is continuous.)
We will take [a, b] to be [0, 1] and exhibit specic (Bernstein) polynomials that work.
For N 0 dene B
N
: C[0, 1] C[0, 1] by
(B
N
f)(t) =
N

n=0
f
_
n
N
_
_
N
n
_
t
n
(1 t)
Nn
.
Note that B
N
is a polynomial of degree at most N. We claim that B
N
f f on [0, 1]. (We
are weighting the numbers f
_
n
N
_
by a binomial distribution.)
12
Lemma 3 B
N
is linear and is p.w. positive: if f > 0, then B
N
f > 0.
(B
N
t)(1) =
N

n=0
_
N
n
_
t
n
(1 t)
Nn
= 1. (0)
t
d
dt
(B
N
1)(t) = t
N

n=0
n
_
N
n
_
t
n1
u
Nn
= Nt(t +u)
N1
. (1)
_
t
d
dt
_
2
(B
N
t)(t) =
N

n=0
n
2
_
N
n
_
t
n
u
Nn
= Nt(t +u)
N1
+N(N 1)t
2
(t +u)
N2
. (2)
Then (1) and (2) gives
(B
N
t)(t) =
N

n=0
n
N
_
N
n
_
t
n
(1 t)
Nn
= t.
(B
N
t
2
)(t) =
N

n=0
_
n
N
_
2
_
N
n
_
t
n
(1 t)
Nn
=
t
N
+
(N 1)t
2
N
= t
2
+
t t
2
N
.
Clearly, B
N
f f if f is quadratic.
Remark: If [f[ g, then [B
N
f[ B
N
g because
B
N
g = B
N
(g) B
N
f B
N
g.
Theorem 25 If f C[0, 1] then B
N
f f on [0, 1].
Proof: Given > 0. Choose > 0 so that for s, t [0, 1],
[s t[ < [f(s) f(t)[ <

2
.
Let sup
[0,1]
[f[ = K. Fix a [0, 1]. Let t [0, 1]. If [t a[ < , then [f(t) f(a)[ <

2
. If
[t a[ then
[f(t) f(a)[ 2K
2K

2
(t a)
2
.
So [f(t) f(a)[

2
+
2K

2
(t a)
2
. Then
[f() f(a)[

2
+
2K

2
( a)
2
13
So if g(t) = f(t) f(a) and h(t) =

2
+
2K

2
(t a)
2
, then [g[ h p.w. so that [B
N
g[ B
N
h.
Then
[B
N
f(t) f(a)[

2
+
2K

2
_
t
2
+
t t
2
N
2at +a
2
_
=

2
+
2K

2
(t a)
2
+
2K

2
N
(t t
2
).
Then for all a [0, 1],
[B
N
f(a) f(a)[

2
+
2K

2
N
(a a
2
)

2
+
K
2
2
N
.
Then
sup [B
N
f f[ < when N
K

2/8/2013
Theorem 26 (t) = t
d
, t [0, 1], d Z. Then f 1[0, 1] implies f 1[0, 1].
Proof: Let P = t
0
, t
1
, . . . , t
N
= I
1
I
N
be a partition of [0, 1]. Since is bijective
and f is integrable,
U
P
(f ) L
P
(f ) =

_
sup
I
(f ) inf
I
(f )
_
[I[
=

_
sup
(P)
(f) inf
(P)
(f)
_
[I[

_
sup
(P)
(f) inf
(P)
(f)
_
[(I)[
= U
(P)
(f) L
(P)
(f) < ,
by the following choice of P: Since f is bounded. We can pick a small a > 0 such that
U
P
(f) L
P
(f) < on [0, a]. The MVT on [a, 1] asserts that
(t
n
) (t
n1
) = (t
n
t
n1
)

(u
n
),
for some u
n
[t
n1
, t
n
]. Then
[(I)[ = [I[ du
d1
n
da
d1
[I[.
Any partition P of above property gives us the theorem.
In the last class, we have
14
Theorem 27 f C[0, 1] and
(B
N
f)(t) =
N

n=0
f
_
n
N
_
_
N
n
_
t
n
(1 t)
Nn
.
Then B
N
f f on [0, 1].
We may replace [0, 1] with [a, b] by using s a +s(b a).
Theorem 28 If f C[0, 1] and f(a) = 0, then there exists a sequence of polynomials
p
n
f and p
n
(a) = 0.
Proof: Choose polynomials q
n
f. Then q
n
(a) f(a). Then the polynomials p
n
=
q
n
q
n
(a) f f(a) = f.
Theorem 29 Let [a, b] , c and f C[a, b]. Then there exists a sequence of polynomials
p
n
f and p
n
(c) = 0 (or p
n
(c) = p

n
(c) = p
(d)
n
(c) for xed d).
Proof: Dene g on [a, b] be g(t) =
f(t)
tc
(or g(t) =
f(t)
(tc)
d
). Since c / [a, b], g is well-dene
and continuous. Choose polynomials q
n
g on [a, b]. Then
p
n
= (t c) q
n
f,
with p
n
(c) = 0.
E : Let f C(R) (or any unbounded interval). If (p
n
)

n=0
is a sequence of polynomials
such that p
n
f, then
(i) f is a polynomial;
(ii) there exists N such that f p
N
is constant for n N.
Proof: HW. Hint: any bounded polynomial on R is constant.
E : Continuous functions have antiderivative. Let f C[a, b]. We claim that there exists
a function F : [a, b] R such that F

= f.
Proof: Choose p
n
f on [a, b]. For each n, there exists (by algebra) polynomial P
n
such that P

n
= p
n
with (initial condition) P
n
(a) = 0. Now P

n
f and P(a) 0. Then
P
n
F such that F

= f.
See Rudin for proof without Weierstrass.
E : Dene (p
n
)

n=0
on [1, 1] by
p
0
(t) = 0
p
n+1
(t) =
1
2
t
2
+p
n
(t)
1
2
p
n
(t)
2
.
Then p
n
(t) [t[ on [1, 1].
This is what we use to prove Stone-Weierstrass Theorem.
15
2/11/2013
Theorem 30 (Stone-Weierstrass) Let X be a compact metric space. If A C(X)
satises
(1) A is a subring of C(X) contains constants,
(2) A separates points of X. If a ,= b X, then there exists f A such that f(a) ,= f(b)
and for dierent points we may use dierent f.
Then A is dense in C(X) in the sup metric.
Proof:
C1: If a ,= b and , R, then there exists g A such that g(a) = ,= = g(b).
C2: A is closed under and (max and min).
C3: Given > 0 and p X. There exists g
p
A such that g
p
(p) = f(p) for some f C(X)
and g
p
< f +.
C4: If f C(X) and > 0, then there exists g A such that [g f[ < on X so
sup
X
[g f[ < by Extreme Value Theorem.
Finally, d(f, g) < for all f C(X).
Corollary 8 If f C([a, b] [c, d]), then
_
b
a
__
d
c
f(x, y) dy
_
dx =
_
d
c
__
b
a
f(x, y) dx
_
dy.
Proof: When f(x, y) = mx
m1
ny
n1
,
_
b
a
__
d
c
mx
m1
ny
n1
dy
_
dx =
_
b
a
mx
m1
(d
n
c
n
) dx
= (b
m
a
m
)(d
n
c
n
)
=
_
d
c
(b
m
a
m
)ny
n1
dy
=
_
d
c
__
b
a
mx
m1
ny
n1
dx
_
dy.
Hence, the statement holds when f(x, y) is polynomials in x and y by the linearity of inte-
gral. For any f C([a, b] [c, d]), the Stone-Weierstrass theorem asserts the existence of
polynomials p
n
(x, y) f(x, y) on I
2
. The uniform convergent is componentwise, so that
__
p
n
(x, y)
__
f(x, y). Hence,
_
b
a
__
d
c
p
n
(x, y) dy
_
dx =
_
d
c
__
b
a
p
n
(x, y) dx
_
dy
implies their limits equal:
_
b
a
__
d
c
f(x, y) dy
_
dx =
_
d
c
__
b
a
f(x, y) dx
_
dy.

16
Theorem 31 There is no injective continuous function f : [0, 1] [0, 1] R.
Proof: Suppose f : I R is continuous and injective. Then f(I) is an interval. f is
homeomorphic. Remove a point in I and I is connected, while remove a point from R and
R is disconnected.
17
Lebesgue Measure
2/15/2013
Let be a set.
Denition 7 An algebra on (or an algebra of subsets in ) is a collection T P()
satises
(0) T.
(1) A T implies A
c
T.
(2) B, C T implies B C T.
Remark: =
c
T. B C = (B
c
C
c
)
c
T. T is closed under nite union and
intersection. Since
n
i=1
A
i

m
b=1
B
j
=

i,j
A
i
B
j
.
Example: P() = 2

.
Example: T P(R) such that T := all nite unions of intervals. Then
(0) (a, a) = T.
(1) I T implies I
c
is one or two interval which contained in T.
(2) By denition.
-algebra
Let T be an algebra on . Dene + and on T by
A +B := AB = (A B) (B A);
A B := A B.
Then T is an algebra over the led Z
2
= 0, 1. i.e., a vector space over Z
2
on which the
associative product is bilinear. (1 A = A, 0 A = and = 1
F
.)
An (associative) algebra over led T is a vector space over T equip with a (associative)
bilinear product A A A by a(b +c) ab +ac.
Lie algebra (Calculus 3 R
3
): a (b c) +b (c a) +c (a b) = 0.
Theorem 32 If is a set, then P() is an algebra over Z
2
with
A +B = AB;
A B = A B.
Proof: Clearly, is (commutative) associative. We show that is accusative so
ABC = A(BC). Consider the indicator functions
1
A
(x) :=
_
1 if x A,
0 if x A
c
.
18
Then
1
AB
= 1
A
+ 1
B
2 1
AB
,
1
AB
= 1
A
+ 1
B
1
AB
;
Since 2 = 0 Z
2
, we have
1
AB
= 1
A
+ 1
B
,
1
AB
= 1
A
1
B
.
(3)
Then the map from P() Maps(, Z
2
) by A 1
A
is bijection; also Maps(, Z
2
) is an
algebra over Z
2
for pointwise operator.
Finally, transfer pointwise operations on Maps(, Z
2
) to P() and get (3).

2/20/2013
Example: T P(R) such that T := A : A nite or A
c
nite is an algebra on .
(0) T.
(1) A T implies A
c
T.
(2) By denition.
Example: T P(R) such that T := A : A countable or A
c
countable is an algebra
on .
Denition 8 An -algebra on is a collection T P() satises
(0) T.
(1) A T implies A
c
T.
(2) A sequence A
n
T implies

n=1
A
n
T.
Remark: T; T is closed under countable intersection. F

countable union of closed

set and G

countable intersection of open set.

E : T = A [ A nite or conite when is T a -algebra?
Ans: When is nite exactly. Otherwise, consider = N, take A
n
= 2n. Then

A
n
/ T.
E : (1) For each n, let Y
n
be an interval in [0, 1] with length > 0. Does there exist t
that lies in innitely many Y
n
s? Yes by compactness.
(2) For each n, let Y
n
be the union of nitely many disjoint intervals of total length . Does
there exist t that lies in innitely many Y
n
s? Yes.
(3) For each n, let Y
n
be an interval of positive length. Does there exist t that lies in innitely
many Y
n
s? No. Example: Y
n
= [
1
2n
,
1
n
] even if

[Y
n
[ = .
2/22/2013
Theorem 33 If C P(), then there exists a unique smallest -algebra on containing
C, denoted (C), the -algebra generated by C.
19
Proof: Consider the set of all -algebras on containing C. This set is nonempty since
it contains P(). Its intersection is (C).
E : If is a metric space, then the Borel -algebra on denoted B() is the -algebra
generated by the open (closed) sets.
Theorem 34 B(R) is generated by each of the following C P(R).
1. C
1
= open sets.
2. C
2
= closed sets.
3. C
3
= open intervals or closed.
4. C
4
= (a, b) : a, b R.
5. C
5
= (a, b] : a, b R.
6. C
6
= [a, ) : a R.
Proof: By denition, B(R) = (C
1
) (C
3
) since (C
3
) is the smallest. It suces to
show that (C
1
) (C
3
). Let U R be open. We show that U is a countable union of
open intervals. Introduce on U by
x y x, y I U.
Then is an equivalence relation.
1
The equivalent classes in U are intervals. Check that
they are disjoint and countable in number (each one contains a distinct rational number).
Hence, (C
1
) (C
3
).
Now (C
3
) = (C
4
) by considering (a, ) =

n=1
(a, a + n). Also, (C
5
) = (C
4
) by
Archimedes and (a, b] =

n=1
(a, b +
1
n
) and (a, b) =

n=1
(a, b
1
n
].
Denition 9 Let C P(). Then function : C [0, ] is called additive i A, B, A
B C and A B = implies (A B) = (A) + (B). And is called -additive
(countably) i A
n
,

A
n
C with A
i
A
j
= implies (

A
n
) =

(A
n
).
Denition 10 A measure on the -algebra T is a -additive function : T [0, ].
Denition 11 If is a measure on T, then a null set is a set A T such that (A) = 0.
Theorem 35 A countable union of null sets is null.
Read note for more example.
2/25/2013
Theorem 36 If is additive, then A, B T implies
(A) +(B) = (A B) +(A B).
1
(1) x x since U is open. (2) x y implies y x. (3) x y and y z implies x z by consider I J.
20
Proof:
A B = A . (B A B)
(A B) = (A) +(B A B)
(A B) +(A B) = (A) +(B A B) +(A B)
(A B) +(A B) = (A) +(B).

Theorem 37 Each additive : T [0, ] is subadditive. If A

1
, . . . , A
N
T, then

_
N
_
n=1
A
n
_

n=1
(A
n
).
Proof: Let A
0
= . Dene B
n
= A
n
A
n1
. The result follows from subadditivity and
B
n
A
n
(independent of n).
Corollary 9 Each -additive : T [0, ] is sub -additive. If A
n
T, then

_
_
n1
A
n
_

n1
(A
n
).
Corollary 10 If is a measure, then a countable union of -null sets is -null.
Discussion of HW4.
2/27/2013
No class.
3/1/2013
Theorem 38 Let T C[0, 1] be equicontinuous. If T is bounded at one point of [0, 1],
then T is bounded at all points.
Spring break 3/4 to 3/8.
3/11/2013
Theorem 39 Let (f
n
) be an equicontinuous sequence of functions on the metric space X
Y . Let A X be the set of all points x at which the sequence (f
n
(x)) is Cauchy.
(1) Prove that A is closed.
(2) Show that A need not be open.
21
Proof:
(1) By the denition of equicontinuous, each f
n
is continuous and X is compact. Let
A := x X : (f
n
(x)) Cauchy .
Let a
n
be a sequence in A converges to p X. Given > 0. Since (f
n
) is equicontinuous
(at p), there exists > 0 such that for all n,
[f
n
(x) f
n
(p)[ < whenever [x p[ < .
Since a
n
p, there exists K such that [a
K
p[ < .
Since a
K
A, there exists N such that
[f
m
(a
K
) f
n
(a
K
)[ < for all m, n N.
For the sequence (f
n
(p)), we then have for all m, n N,
[f
n
(p) f
m
(p)[ [f
n
(p) f
n
(a
K
)[ +[f
n
(a
K
) f
m
(a
K
)[ +[f
m
(a
K
) f
m
(p)[
< 3.
Now we have (f
n
(p)) is a Cauchy sequence, so p A. Therefore, A is closed.
(2) Consider the example f
n
(t) = (1)
n
t for t R. Given > 0, there exists = > 0
such that
[f
n
(x) f
n
(t)[ = [(1)
n
x (1)
n
t[ = [(1)
n
[ [x t[ < , [x t[ < .
So (f
n
) is an equicontinuous sequence functions. In this case, A = 0. For, at any point
,= 0, the sequence (f
n
) = , , . . . is not convergent (Cauchy).

Example of measures:
(1) Let be any set and T = P(). Then (A) = card(A) is a measure.
(2) Let be any set and T = P(). Fixed p , then
(A) =
_
1 p A
0 p / A
is a measure.
Lebesgue Outer Measure
Denition 12 An outer measure on is a function

: P() [0, ] such that

(1)

() = 0.
(2) If A B, then

(A)

(B).
(3) If C
n
P(), then

_
nN
C
n
_

nN

(C
n
).
Theorem 40 Let E P() and E . Let : E [0, ] with () = 0. Dene

: P() [0, ] by

(A) = inf
_

n
(E
n
) [ A
_
n
E
n
, E
n
E
_
.
Then

is an outer measure on .
22
3/13/2013
Denition 13 Let

: P() [0, ] be an outer measure. We say that A is

-measurable i for each X ,

(X) =

(X A) +

(X A
c
).
Denote the collection of all

-measurable subsets of by T

.
Theorem 41 If

is an outer measure, then T

is a -algebra on which

[
F

is a
measure.
Proof: To see that T

is an algebra, we already have T

and T

is closed under
compliment. All that remains then is A, B T

implies AB T

. Let X , we show
that

(X)

(X (A B)) +

(X (A B)
c
).
Since B T

(X A
c
)

(X A
c
B) +

(X A
c
B
c
).
Since A T

and (X A) (X A
c
B) = X (A B),

(X)

(X A) +

(X A
c
)

(X A) +

(X A
c
B) +

(X (A B)
c
)

(X (A B)) +

(X (A B)
c
).

E : Let : T [0, ] be a measure on the -algebra T. Dene

T

:= A [ L, R T : L A R (R L) = 0 .
Dene

(A) := (L). Then T

is a -algebra and (check well-dene)

is a measure.
3/15/2013
Theorem 42 If

is an outer measure on , then T

is an algebra. Moreover,

[
F

:
T

[0, ] is a measure.
Proof: We already seen that T

is an algebra. We show that T

is closed under
countable union.
Let A
n
T

for n 1. We may assume A

n
are pairwise disjoint
2
because T

is an
algebra. Dene B
N
=

N
n=1
A
n
T

, then B
1
B
2
and

N
B
N
= A. To show that
A is measurable, we show for any X ,

(X)

(X A) +

(X A
c
),
2
We can consider C
1
= A
1
, C
2
= A
2
A
1
, C
3
= A
3
(A
1
A
2
), and so on. Then

C
n
=

A
n
= A and
we want A T

.
23
by rst showing (induction on N) that

(X B
N
) =
N

n=1

(X A
n
).
Since B
1
T

, the case when N = 1 is clear. Suppose above equality holds for some N 1.
Then since B
N
T

(X B
N+1
) =

(X B
N+1
B
N
) +

(X B
N+1
B
c
N
)
=

(X B
N
) +

(X A
N+1
)
=
N

n=1

(X A
n
) +

(X A
N+1
).
Then for all N,

(X A)

(X B
N
)

n=1

(X A
n
).
By subadditivity,

(X A) =

n=1

(X A
n
). ()
Again, B
N
T

(X) =

(X B
N
) +

(X B
c
N
)

n=1

(X A
n
) +

(X A
c
) N
=

(X A) +

(X A
c
).
Hence, A T

. Finally,

[
F

is -additive by setting X = in ().

Recall if P() and if (any) : [0, ] with inf = 0, then determines an
outer measure

on by

(X) = inf
_

n=1
(E
n
) : X

_
n=1
E
n
, E
n

_
.
Note that for any > 0 and each n, we can choose E
n
such that (E
n
) <

2
n
and

n
E
n
so that

()

n=1
(E
n
) < . Hence,

() = 0.
Construction of Lebesgue Measure on R
Let be the collection of bounded open intervals. Dene (a, b) = b a. Construct

as
above. Then for all X R,

(X) = inf
_

n=1
(b
n
a
n
) : X

_
n=1
(a
n
, b
n
)
_
.
24
Then

is the Lebesgue outer measure. T

is the -algebra of Lebesgue measurable sets.

[
F

is Lebesgue measure.
Facts: All Borel sets are Lebesgue measurable. The Lebesgue measure of any interval is
its length.
E : If : [0, ] with inf = 0, can we hope for

(E) = (E) if E ? In general

it is true. It is true for Lebesgue measure using Heine-Borel Theorem.
E : In the denition of Lebesgue measure, may we replace by all bounded closed intervals
or by all bounded intervals to get the same measure on T

?
See HW6 for more example.
3/18/2013
Theorem 43 Each Borel set is Lebesgue measurable (B T

).
Proof: We need only show that if t R, then T := (, t] T

because these intervals

generates B. Let X R; we must show that

(X)

(X T) +

(X T
c
)
and may assume that

(X) < . Let > 0 and choose

3
(a
n
, b
n
)

n=1
such that
X

_
n=1
(a
n
, b
n
) and

n=1
(b
n
a
n
) <

(X) +.
Choose p
n
< q
n
and r
n
< s
n
so that
(a
n
, b
n
) T (p
n
, q
n
);
(a
n
, b
n
) T
c
(r
n
, s
n
);
(q
n
p
n
) + (s
n
r
n
) < (b
n
a
n
) +

2
n
.
Now
X T

_
n=1
(p
n
, q
n
)

(X T)

n=1
(q
n
p
n
),
and
X T
c

_
n=1
(r
n
, s
n
)

(X T
c
)

n=1
(s
n
r
n
).
Hence,

(X T) +

(X T
c
)

n=1
(b
n
a
n
) +

2
n

(X) + 2.
Since is arbitrary, we are done.

3
We can do this according to the denition of outer measure.
25
Theorem 44 The Lebesgue measure of any interval is its length in the usual sense.
Proof: Claim: if a b R, then [a, b] = b a.
Assume so. If I (with end points c and d) is any bounded interval, choose [a, b] I [c, d]
so that
b a (I) d c.
Choose a = c + and b = d to see that (I) is its length.
If I is an unbounded interval, then I contains [a, b]s of arbitrary large length and (I) = .
To show the claim, let [a, b]

n=1
(a
n
, b
n
). Then [a, b]

N
n=1
(a
n
, b
n
) for some N. By
induction we have b a

N
n=1
(b
n
a
n
). Then b a

n=1
(b
n
a
n
). Hence,
b a

([a, b]) = ([a, b]).

To see b a

([a, b]), let > 0 and a

o
= a and b
0
= b +. Repeatly, pick b
n
a
n
<

2
n
so that [a, b]

n=0
(a
n
, b
n
). So
[a, b]

n=0
(b
n
a
n
)
< (b a) + 2 +.
Hence, we arrive at our claim.
Remark: In particular, singletons are Lebesgue measurable with Lebesgue measure zero.
More generally, countable sets are null.
Example: Cantor (ternary, middle-thirds) set is an uncountable set with measure zero.
Proof:
0
= [0, 1].
1
= [0,
1
3
] [
2
3
, 1]. And

n
= union of 2
n
closed bounded intervals each of length
1
3
n
.
The Cantor set =

n=0

n
is compact (i.e., Borel and Lebesgue measurable).
() (
n
) =
2
n
3
n
,
which goes to zero as n . is uncountable. It contains all the endpoints of the intervals
of length
1
3
n
for all n. These endpoints are countable. Let (a
n
)

n=1
be a real sequence. We will
nd a point of that is not in this sequence. (This shows that is uncountable. Otherwise,
we could let = a
n
: n 1.)
a
1
is in at most one of the two intervals that make up
1
. Pick one that does not contains
a
1
and call it I
1
. a
2
is in at most one of the two intervals of
2
that I
1
. Pick one that
does not contains a
2
and call it I
2
. We get a sequence I
1
I
2
with decreasing length
1
3
n
. And

n=1
I
n
= p (is nonempty by B-W and in fact a singleton). For all n, p I
n
, a
n
.
Hence p such that p ,= a
n
for all n.
26
3/20/2013
Claim: [a, b]

N
n=1
(a
n
, b
n
) implies b a <

N
n=1
(b
n
a
n
).
N = 1 is clear. Assume true as stated and let [a, b]

N
n=0
(a
n
, b
n
) with a (a
n
, b
n
) for
some n; say for n = 0. Now [b
0
, b]

N
n=1
(a
n
, b
n
). By induction hypothesis,
b b
0
<
N

n=1
(b
n
a
n
)
b a <
N

n=1
(b
n
a
n
) + (b
0
a
0
) =
N

n=0
(b
n
a
n
).
Theorem 45 Let E R be Lebesgue measurable. If > 0, there exists open G E and
closed F E such that
(G E), (E F) < .
Proof: Suppose

(E) = (E) < . There exist bounded open intervals (a

n
, b
n
) for
n 1 such that
E

_
n=1
(a
n
, b
n
),

n=1
(b
n
a
n
) < (E) +.
Let G =

n=1
(a
n
, b
n
) is open and contains E.
(G E) +(E) = (G)

n=1
(b
n
a
n
) < (E) +
(G E) < .
Let (E) be arbitrary. E =

nZ
E
n
with E
n
:= E [n, n + 1) so that (E
n
)
[n, n + 1) = 1. Choose open G
n
E
n
so that (G
n
E
n
) <

2
|n|
. Take G =

nZ
G
n
. Now
G E
_
nZ
_
G
n
E
n
_
(G E)

nZ
(G
n
E
n
)
<
=0
+
>0
+
<0
= 3.
Choose open U E
c
such that (U E
c
) < . Let F = U
c
so closed and contained in E.
E F = E U = U E
c
(E F) < .

Theorem 46 If E R is Lebesgue measurable then there exists Borel set F, G R such

that
F E G
and (G F) = 0.
27
Proof: For each n N, choose open G
n
E and closed F
n
E such that
(G
n
E) <
1
n
, (E F
n
) <
1
n
.
Let G =

n=1
G
n
(G

-set) and F =

n=1
F
n
(F

-set) are Borel. Now (GE) (G

n
E) <
1
n
for all n. So (GE) = 0. Similarly, (EF) (EF
n
) <
1
n
for all n implies (EF) = 0.

Remark: If E is Lebesgue measurable, then E = (E F) F is a disjoint union of null

and Borel set.
E : Let > 0 for each n and Y
n
[0, 1] be a nite disjoint union of closed intervals of
total length at least . Then some point t [0, 1] lies in Y
n
for innitely many n. In fact,
the set of all such t is (Borel) Lebesgue measurable with measure . (Hint: Look at the

N=1

n=N
Y
n
= limsup Y
n
.)
Hausdo measures
Let s > 0 and > 0. Let E

be the collection of all subsets of (metric space or R

n
) of
diameter < where diameter of E is [E[ = supd(x, y) : x, y E. For X dene

(X) = inf
_

n=1
[E
n
[
s
: X

_
n=1
E
n
, E
n
E

_
.
Then
s

is a outer measure on .
As 0
+
, E

has smaller cardinality. So

s

(X) increase. Dene

s
(X) = sup
>0

(X).
Then
s
is s-dimensional Hausdo (outer) measure on .
Theorem 47 (R
n
) Borel sets are
s
-measurable and
s
[
B
is a measure.
Plot
s
(X) against s for xed X,

s
(X) =
_
s < p
0 s > p
and p is called Hausdo dimension dim
H
X. dim
H
() =
ln 2
ln 3
.
3/22/2013
Measurable functions
Denition 14 A measurable space is a set provided with a -algebra T. A measure space
is (, T, ) where : T [0, ] is a measure.
28
Denition 15 Let (, T) and (

, T

) be measurable spaces. The function

f :

is measurable (or T T

-measurable) i
A

f
1
(A

) T.
Remark: If T

= (C

) then in order to show that f :

is measurable, we need
only check that
C

f
1
(C

) T.
Assume this condition holds. Consider A = B

: f
1
(B

) T P(

). Then it
contains C

and is a -algebra and contains (C

) = T

.
1. f
1
() = T.
2. Suppose B

A, then f
1
(B

c
) = f
1
(B

)
c
T.
3. If B

n
A, then
f
1
_
_
n1
B

n
_
=
_
n1
f
1
(B

n
) T.
Standard case (

, T

) = (R, B)
In this case, f : R is measurable
i B B implies f
1
(B) T.
i U R open implies f
1
(U) := f U T.
i for all a < b R, f
1
(a, b) := a < f < b T.
i for all a R, f
1
(a, ) := f > a T.
i for all a R, f
1
[a, ) := f a T.
Remark: The composite of two measurable functions is measurable. f :

and
g :

.
(g f)
1
(A

) = f
1
(g
1
(A

)) T.
In particular, if f : R is measurable and g : R R is continuous, then g f : R is
also measurable. g is continuous implies g is measurable since g
1
(U) B and the -algebra
of open set is Borel.
Case (

, T

) = ([0, ], B[0, ])
B[0, ] := B[0, ) B [ B B[0, ). Check that this is a -algebra.
In this case, f : [0, ] is measurable i for all a [0, ), f > a T.
29
Case (

, T

) = ([, ], B[, ])
B[, ] := B B C [ B B, C , .
Again, f : [, ] is measurable i for all a R, f > a T. Note

nZ
f >
n = (, ] and

nZ
f > n = . We allow innity to enable us to take sup.
Theorem 48 If f : R is measurable then so are [f[ and f
2
.
Proof: [f[ < a = f < a f > a T and f
2
< a = [f[ <

a T. (Then
all powers)
Theorem 49 If f, g : R is measurable then so are f +g and fg.
Proof: Let w and a R. Then
f(w) +g(w) > a
f(w) > a g(w)
( q Q)(f(w) > q) (q > a g(w))
( q Q)(f(w) > q) (g(w) > a q).
Then
f +g > a =
_
qQ
_
f > q g > a q
_
T.
Note that fg =
1
2
_
(f +g)
2
f
2
g
2
_
.
Theorem 50 If (f
n
)

n=1
is a sequence of measurable function, then f = sup
n
f
n
and f =
inf
n
f
n
are measurable with f, f : [, ].
Proof: f > a =

n=1
f
n
> a
4
. Also, f < a =

n=1
f
n
< a
Theorem 51 Let f
n
f pointwise. If each f
n
is measurable then so is f.
Proof: f = limsup f
n
= inf
N1
sup
nN
f
n
is measurable by previous theorem.
3/25/2013
Lebesgue Integration
Denition 16 The function f on is simple i f() is nite.
4
Double inclusion using UB and LUB.
30
Let f : R be simple. Say f() = a
1
, . . . , a
M
(distinct values). A
m
= f
1
(a
m
).
Then f =

M
m=1
a
m
1
Am
5
. Note that f is measurable i each A
m
T. () Since a
m
is
Borel in R so A
m
= f
1
(a
m
) T. () If A T then 1
A
is measurable.
1
1
A
(B) = w [ 1
A
(w) B
=
_

_
0, 1 B
A 1 B , 0
A
c
1 / B 0
0, 1 / B
T.
Theorem 52 If f : [0, ) is a nonnegative measurable function, then there exists a
sequence (s
n
)
nN
of nonnegative simple function such that s
n
f on .
Proof: For each N > 0, dene
N
: [0, ) [0, ) by

N
:=
N2
N

n=1
n 1
2N
1
[
n1
2N
,
n
2N
)
+N1
[N,)
.
Note that [0, N) =

N2
N
n=1
[
n1
2N
,
n
2N
),
N
is simple and Borel measurable (the inverse image of
an interval is an interval). 0
N
(t) t for all t 0. Moreover,
N
t for all t 0. Let
s
N
:=
N
f.
Check
N
f(x) f(x).
Remark: If f : R measurable, then f = f
+
f

where f
+
= f 0 =
1
2
([f[ +f) and
f

= (f 0) =
1
2
([f[ f) both are measurable. There exist s

n
f

. So that s
+
n
s

n
f.
Let (f
n
)

n=1
be a sequence of measurable functions. Many subsets of associated with
this sequence are measurable. For example, w : f
n
(w) is bounded, w :
f
n
(w) is unbounded, w : f
n
(w) is convergent, w : f
n
(w) is alternating,
w : f
n
(w) is monotone.
E : w : f
n
(w) is bounded. (f
n
(w))

n=1
is bounded i there exists K for all n,
[f
n
(w)[ K. Then
w : f
n
(w) is bounded =

_
K=1

n=1
[f
n
[ K T.
E : w : f
n
(w) is increasing. (f
n
(w))

n=1
is increasing i for all n, f
n+1
(w)f
n
(w)
0. Then
w : f
n
(w) is increasing =

n=1
f
n+1
f
n
0 T.
E : w : f
n
(w) is convergent. (f
n
(w))

n=1
is convergent i
(r)()(N)(n N)([f
n
(w) r[ < ).
5
If one of the a
m
= 0, we need to be careful in the proof.
31
Then
w : f
n
(w) is convergent =
_
rR

kN
_
NN

nN
_
[f
n
(w) r[ <
1
k
_
.
But we cannot replace r by rational. Replace convergent by Cauchy: w : f
n
(w) cauchy.
(f
n
(w))

n=1
is Cauchy i
()(N)(p, q N)([f
p
(w) f
q
(w)[ < ).
Then
w : f
n
(w) is Cauchy =

kN
_
NN

p,qN
_
[f
p
(w) f
q
(w)[ <
1
k
_
T.
3/27/2013
E : (Stunhaus) Let A R have Lebesgue measure (A) > 0. Then
x y [ x, y A
contains an open interval about 0. For example, A = [0, 1] Q contains no interval.
Let (, T, ) be a measure space i.e., is a set and T is a -algebra on and : T
[0, ] a measure. Dene the integral
_

f d of a measurable function f on by states as

follows.
First, consider simple (measurable) nonnegative function s : [0, ] with s =

M
m=1
a
m
1
Am
where A
m
= x [ s(x) = a
m
. Dene
I(s) :=
M

m=1
a
m
(A
m
).
Remark: 0 = 0.
Lemma 4 If also s =

N
n=1
b
n
1
Bn
where B
1
, . . . , B
N
are disjoint. Then
N

n=1
b
n
(B
n
) =
M

m=1
a
m
(A
m
).
Lemma 5 If s t, then I(s) I(t).
Proof: Since A
m
=

n
(A
m
B
n
), s =

m,n
a
m
1
AmBn
. Pick w A
m
B
n
,
a
m
= s(w) t(w) = b
n
.
Then
I(s) =

m,n
a
m
(A
m
B
n
)

m,n
b
n
(A
m
B
n
) = I(t).

Second, let f : [0, ] be nonnegative measurable. Dene

_

f d = supI(s) [ 0 s f.
32
Lemma 6 If t 0 is simple measurable, then
_

t d = I(t).
Proof: Since t is simple, by denition I(t)
_

t d. If s is simple with 0 s t, then

I(s) I(t).
Replace I(s) by
_

s d.
Lemma 7 If 0 f g, then
_

f d
_

g d.
Proof: s : 0 s f s : 0 s g.
Finally,
Denition 17 Let f be any measurable function from to R or [, ]. Dene
_

f d =
_

f
+
d
_

d,
provided RHS is not . We say that f is integrable i
_

f d R.
Notation: L(, T, ) = L() is the set of all integrable function.
Hope to have L() is a vector space on which
_

d is a linear map.
_

(kf) d = k
_

f d,
_

(f +g) d =
_

f d +
_

g d.
3/29/2013
s =
M

m=1
a
m
1
Am
_

s d =
M

m=1
a
m
(A
m
)
f 0
_

f d = sup
__

s d : 0 s f
_
f = f
+
f

f d =
_

f
+
d
_

d
Denote L = measurable f :
_

f d R. Remark: If f is measurable 0, then f has an

integral
_

f d such f is integrable i
_

f d < .
Theorem 53 If f L(), then [f[ L().
Proof: Note that [f[ = f
+
+ f

so that
_

[f[ d < because

_

f
+
d < and
_

d < with
_

(f
+
+f

) d =
_

f
+
d +
_

d.

33
Theorem 54 Let [f[ g. If g L() and f is measurable, then f L().
Proof: [f[ g implies g f g.
6
Then f
+
+ f

g and
_
f

d
_
g d < .
Hence f L().
In particular, if f is measurable and [f[ L(), then f L().
Example: = N, T = P(N) and =counting measure. Each f : N R is measurable
because T = P(). Let s 0 be simple on . Then s =

M
m=1
a
m
1
Am
=

n=0
s
n
1
{n}
.
_

s d =
M

m=1
a
m
#(A
m
) =

n=1
s
n
.
If f 0, then
_

f d = sup
__

s d : 0 s f
_
=

n=0
f
n
.
Each

n=0
s
n

n=0
f
n
. Hence,
_

f d

n=0
f
n
. Suppose LHS is nite.
Suppose
_

f d <

n=0
f
n
, there exists N such that
_

f d <
N

n=0
f
n
Dene
s(n) =
_
f(n) n N
0 n > N
.
Then s is simple with 0 s f. Then
_

f d <
_

s d =
N

n=0
f
n
.
This contradict to the denition of sup.
f : N R with f = f
+
f

. f L() i
_

f
+
d =

(+) < and

_

d =

() < i f is absolutely convergent. Then

_
f d =
_

f
+
d
_

d
=

(+)

()
=

n=0
f
n
.
End result: In (N, P(N),
#
),
_

.
E : be any set. Pick p and T = P()

p
(A) =
_
1 p A
0 p / A
.
6
If we have f g implies
_
f d
_
g d, then <
_
g d
_
f d
_
g d < .
34
If s is simple, then
_

s d
p
=
M

n=1
a
m

p
(A
m
) = a
m
1 = s(p).
Then f 0 or any measurable f,
_

f d
p
= sups(p) : 0 s f = f(p).
4/1/2013
Denition 18 Let (f(w))
w
be a family of real number parameterized by the set . We
say that the series

w
f(w) converges to sum R i for any > 0, there exists

such that for all nite such that

w
f(w)

< .
Remark: If = N, then this notion of summability coincides with absolute convergent.
Note that is not ordered.
Theorem 55 Let f : [0, ). The series

w
f(w) converges and has sum i f is

#
-integrable and has integral .
Proof: () Exercise.
() Suppose
_

f d
#
= . Given > 0. There exists a simple s such that 0 s f
and
_

s d
#
> . Write s =

M
m=1
a
m
1
Am
where each a
m
> 0. Then

#
(A
1
A
M
)

min
1mM
a
m

.
Let

= A
1
A
M
. Let be nite and

. Dene t =

w
f(w)1
{w}
so
that t(w) = f(w) if w and zero otherwise. t is simple and
_

t d
#
=

w
f(w)
#
(w) =

w
f(w). Now 0 s t f, so
<
_

s d
#

_

t d
#
=

w
f(w)
_

f d
#
= .
Hence,

w
f(w) has sum .
Remark: If f : R, then

w
f(w) = i
_

f d
#
= R.
Theorem 56 If simple measurable function s 0 and k [0, ], then
_
ks d = k
_
s d.
Proof: Say s =

M
m=1
a
m
1
Am
so that ks =

M
m=1
(ka
m
)1
Am
. Then
k
_
s d = k
M

m=1
a
m
(A
m
) =
M

m=1
(ka
m
)(A
m
) =
_
ks d.
Since 0 = 0 and p = with p > 0.
35
Theorem 57 If f 0 and k [0, ], then
_
kf d = k
_
f d.
Proof: It is clear when k = 0, . Let 0 < k < . For any 0 s f,
k
_
s d =
_
ks d =
_
kf d
_
s d
1
k
_
kf d s f
_
f d
1
k
_
kf d
k
_
f d
_
kf d.
Then consider k
1
k
and f kf,
1
k
_
kf d
_
1
k
(kf) d =
_
f d
_
kf d k
_
f d.

Theorem 58 If simple measurable functions s, t 0, then

_
(s +t) d =
_
s d +
_
t d.
Proof: Say
s =
M

m=1
a
m
1
Am
=

m,n
a
m
1
AmBn
,
t =
N

n=1
b
n
1
Bn
=

m,n
b
n
1
AmBn
,
where

n
(A
m
B
n
) = A
m
since B
n
are disjoint. Then
_
(s +t) d =

m,n
(a
m
+b
n
)(A
m
B
n
)
=

m,n
a
m
(A
m
B
n
) +

m,n
b
n
(A
m
B
n
)
=

m
a
m

n
(A
m
B
n
) +

n
b
n

m
(A
m
B
n
)
=

m
a
m
(A
m
) +

n
b
n
(B
n
)
=
_
s d +
_
t d.

36
4/3/2013
HW6: (, T, ) and

(X) = inf(A) [ X A T.
(1)

is a outer measure.
(3) T T

. Let A T. Let T B X, then

(B) = (B A) +(B A
c
)

(X A) +

(X A
c
) B

(X)

(X A) +

(X A
c
).
(4) If A T then

(A) = (A). Since T A A,

(A) (A). For any T B A,

(B) (A) so that

(A) (A). Hence,

(A) = (A).
(2) If X , there exists A T such that

(X) = (A). For each n, choose T A

n
X
so that (A
n
) <

(X) +
1
n
. Then T A =

n
A
n
X. Since X A A
n
for all n.

(X) (A) (A
n
) <

(X) +
1
n
.
We may use (2) to give new proofs of (1)

Z
n
)

(Z
n
). Choose T C
n
Z
n
with (C
n
) =

(Z
n
). Now

Z
n

C
n
,

_
_
Z
n
_

_
_
C
n
_

(C
n
) =

(Z
n
).
Denition 19 Say the measure space (, T, ) is complete i A B T with (B) = 0
implies A T. Every null set is a set of measure zero.
Not all measures are complete. Lebesgue measure on B is not complete.
Theorem 59 (, T

[
F

) is complete. Start with : C [0, ] and inf = 0.

(X) = inf
_

(A
n
) : X
_
A
n
, A
n
C
_
.
Proof: All we need to do is to show that if

(A) = 0, then A T

. For any X ,
since

is subadditive:

(X A) +

(X A
c
)

(A) +

(X A
c
)

(X).

Given a measure space (, T, ) (not complete), we can construct T

T and a measure

: T

[0, ] such that

[
F
= such that (, T

) is complete.
Theorem 60 If measurable functions f, g 0, then
_
(f +g) d =
_
f d +
_
g d.
37
Proof: If nonnegative, simple, measurable s f and t g, then s +t f +g so that
_
s d +
_
t d =
_
(s +t) d
_
(f +g) d.
Take the sup over all s and t,
_
f d +
_
g d
_
(f +g) d.
For the reverse inequality in general we shall use MCT. Special case without MCT: () <
and 0 f, g bounded above. Then by HW7 #2, if > 0, there exists simple s f and
t g such that
_
s d +
_
t d <
_
f d +
_
g d + 2.
Now s +t f +g is simple measurable so
_
(f +g) d
_
s d +
_
t d <
_
f d +
_
g d + 2.
Hence,
_
(f +g) d
_
f d +
_
g d.

Alternative approach to
_
. Dene
_
f d := lim
n
_
s
n
d for s
n
f. We need to take
care of well-dened. But this approach enable us to dene integral in Banach space where
there is no order.
4/5/2013
Theorem 61 (Continuity of Measure) Let (A
n
)

n=1
be an increasing sequence in T with
union A. Then
(A) = lim
n
(A
n
).
Proof: Introduce B
n
= A
n
A
n1
with A
0
= . Then A =

B
n
in T. So
(A) =

n=1
(B
n
) = lim
N
N

n=1
(B
n
) = lim
N

_
_
B
n
_
= lim
N
(A
N
).
Alternatively, note that we have shown 1
An
1
A
. Then
(A
n
) =
_
1
An
d
_
1
A
d = (A).

38
Theorem 62 (MCT) Let (f
n
)

n=1
be an nonnegative sequence of measurable functions.
Then If f
n
f pointwise, then
_
f
n
d
_
f d.
Proof: Each
_
f
n
d
_
f d so
_
f d is an upper bound of the increasing sequence
__
f
n
d
_

n=1
. Hence,
lim
n
_
f
n
d = sup
_
f
n
d
_
f d.
We show that (by stages)
_
f d lim
n
_
f
n
d.
Case: f = a1
A
an indicator. If a = 0 or (A) = 0, then we are done. Otherwise, pick any
(0, a). Then
f f
n
f
n
1
{fn}
1
{fn}
.
Then _
f d
_
f
n
d (f
n
).
Note that f
n
f
n+1
is an increasing sequence goes to A. Then by previous
theorem, (f
n
) (A). Then for all < a,
_
f d lim
n
_
f
n
d (A).
Hence,
_
f d = lim
n
_
f
n
d.
Case: f =

M
m=1
a
m
1
Am
with A
1
A
M
= and id = 1 =

M
m=1
1
Am
. Write f
n
=

M
m=1
f
n
1
Am
. For each m, f
n
1
Am
a
m
1
Am
. By the preceding case,
_
f
n
1
Am
d a
m
(A
m
).
Then
lim
n
M

m=1
_
f
n
1
Am
d =
M

m=1
a
m
(A
m
) =
_
f d.
39
Since
7
M

m=1
_
f
n
1
Am
d
_
M

m=1
f
n
1
Am
d =
_
f
n
d
_
f d,
We have _
f d = lim
n
_
f
n
d.
Case: f 0 measurable. Choose simple measurable function s such that 0 s f. Then
f
n
f s f
n
s f = s.
Then by the preceding case,
_
s d = lim
n
_
(s f
n
) d lim
n
_
f
n
d,
is true for all s f. Hence,
_
f d lim
n
_
f
n
d.

Remark: If 0 f
n
are measurable and f
n
f, then it may not be true that
_
f
n
d
_
f d unless some
_
f
n
d < . For example, let f
n
: [0, ) R dened by f
n
= 1
[n,)
and use the Lebesgue measure on R. Then 0 f
n
0. Then = [n, ) =
_
f
n
d ,=
_
f d = 0
Theorem 63 If f, g 0 are measurable, then
_
(f +g) d =
_
f d +
_
g d.
Proof: Choose simple s
n
f and t
n
g. Then s
n
+t
n
f +g. So
_
(f +g) d = lim
n
_
(s
n
+t
n
) d = lim
n
_
s
n
d + lim
n
_
t
n
d =
_
f d +
_
g d.

7
Prior to MCT, we saw if 0 f, g then
_
f d +
_
g d
_
(f + g) d. We show that equality holds if
f > 0 g > 0 = . i.e., if f 0 is measurable with A, B T disjoint, then
_
f1
A
d +
_
f1
B
d =
_
(f1
A
+f1
B
) d. In fact, if =

A
m
then
_
f1
A1
d+ +
_
f1
A
M
d =
_
f d. For, pick any 0 s f,
then s = s1
A1
+ +s1
A
M
with simple measurable 0 s1
Am
f1
Am
. Then
_
s =
_
s1
A1
+ +
_
s1
A
M

_
f1
A1
+ +
_
f1
A
M
.
We actually have
M

m=1
_
f
n
1
Am
d =
_
M

m=1
f
n
1
Am
d.
40
Theorem 64 If f, g L(), then
_
(f +g) d =
_
f d +
_
g d.
Proof: f
+
f

+g
+
g

= f +g = (f +g)
+
(f +g)

. Then
_
(f +g)
+
d +
_
f

d +
_
g

d =
_
(f +g)

d +
_
f
+
d +
_
g
+
d.
Now subtract
_
(f +g)

d < on both sides, we arrive at the theorem.

Theorem 65 If h L() and k R, then
_
khd = k
_
hd
Proof: (kh)
+
= kh
+
sometimes.
4/8/2013
Read Rud MCT implies FL implies DCT. We show FL implies MCT implies DCT and DCT
implies MCT.
Theorem 66 (Fatou) If (f
n
)

n=1
is a sequence of nonnegative measurable functions, then
_
liminf f
n
d liminf
_
f
n
d.
Remark: FL implies MCT as follows
Proof: Suppose measurable 0 f
n
f. Then liminf f
n
= f. Then Fatous lemma
implies
_
f d liminf
_
f
n
d.
By the monotonicity of integral,
limsup
_
f
n
d
_
f d.
Hence,
_
f d liminf
_
f
n
d limsup
_
f
n
d
_
f d.

Theorem 67 (Dominated) Let (f

n
)

n=1
be a sequence of nonnegative measurable func-
tions such that for all n, [f
n
[ g L(). If f
n
f, then
_
f
n
d
_
f d.
41
Remark: we may remove the extraneous g L() by hypothesizing sup [f
n
[ L(). In
particular, if () < , then [f
n
[ K for all n with f
n
f implies
_
f
n

_
f.
Proof: We have [f[ g with f measurable, so f L(). Dene f
n
:= inff
n
, f
n+1
, . . . .
So f
n
liminf f
n
= f. Dene f
n
:= supf
n
, f
n+1
, . . . . So f
n
limsup f
n
= f. Now
nonnegative measurable g +f
n
g +f. By MCT,
_
(g +f
n
) d
_
(g +f) d
_
f
n
d
_
f d.
Similarly, g f
n
g f and
_
f
n
d
_
f d.
Finally, f
n
f
n
f
n
implies the theorem.
Remark: DCT implies MCT. Suppose 0 f
n
f. If
_
f d < , then f L() so f
dominate the (f
n
) and f
n
f gives
_
f
n
d
_
f d. If
_
f d = , then we show that
__
f
n
d
_

n=1
is unbounded. Pick N (0, ). Choose (prove the existence of such s
8
) an
integrable simple function s such that 0 s f and >
_
s d > N. Now f
n
f implies
0 s f
n
s f = s. Then the DCT implies
_
(s f
n
) d
_
s d > N. Eventually,
_
f
n
d
_
(s f
n
) d > N
4/10/2013
Denition 20 Let f : R be measurable and F T be measurable. We dene
_
F
f d :=
_

f1
F
d =
_
F
(f[
F
) d.
Since F, T T
F
= A F : A T. Also,
F
= [
F
F
.
Denition 21 A property is said to hold almost everywhere (or -a.e.) i it holds on the
complement of a null set.
Rud 1. Let A
n
= f
1
n
T. Then f f1
An

1
n
1
An
so that
0 =
_
f d
_
1
n
1
An
d =
1
n
(A
n
).
Hence, (A
n
) = 0 for all n. Since

n=1
f
1
n
= f > 0. Hence, f > 0

n=1
(A
n
) = 0.
E : Let 0 f L(). Then f is nite a.e. so that f = = 0.
E : Let f, g be measurable and f = g a.e. If f L(), then g L() and
_
f d =
_
g d.
8
Suppose all simple s such that 0 s f satisfy
_
s d = 0 or
_
s d = . If there exists some n and
s f
n
such that
_
s d = , then we are done. If for all n, s f
n
with
_
s d = 0, then each
_
f
n
d = 0.
Then each f
n
= 0 a.e. Say f
n
= 0 on A
c
n
with (A
n
) = 0. Since f
n
f, f = 0 o

A
n
a null set. Hence,
f = 0 a.e. and
_
f d = 0 a contradiction.
42
Theorem 68 (DCT) Let 0 g L() and f, (f
n
)

n=1
be a sequence of measurable func-
tions. Assume f
n
f a.e. (o A) and [f
n
[ g a.e. (o A
n
) Then
_
f
n
d
_
f d.
Proof: Let B = A

A
n
null. Consider f
n
1
B
c, f1
B
c, g1
B
c. Then we can apply DCT
and get
_
f
n
d =
_
f
n
1
B
c d
_
f1
B
c d =
_
f d.

Remark: Similarly, we can extend Fatou and MCT.

Theorem 69 (Generalized DCT) Let 0 g
n
and 0 g be integrable. Let (f
n
)

n=1
be
measurable with [f
n
[ g
n
. Let f
n
f and g
n
g. If
_
g
n
d
_
g d, then
_
f
n
d
_
f d.
Proof: Let h
n
= g
n
+ f
n
and consider h
n
g + f. Let k
n
= g
n
f
n
and consider
k
n
g f. By MCT,
_
h
n
d
_
g d +
_
f d
_
k
n
d
_
g d
_
f d
_
h
n
d
_
g
n
d +
_
f
n
d
_
k
n
d
_
g
n
d
_
f
n
d
_
h
n
d
_
g
n
d
_
f
n
d
_
g
n
d
_
k
n
d.
Hence,
_
f
n
d
_
f d.
Given an example that Generalized covers but the regular DCT does not.
4/12/2013
Compare Lebesgue integrable functions with Riemann integrable functions.
Theorem 70 Let 0 f L(). Then f = = 0.
Proof: Let A := f = T. Then since 0 = 0,
f 1
A
>
_
f d (A).
43
Hence, (A) = 0.
Alternatively, if n R 0, then
f n 1
A
R
_
f d
n
(A).
Hence, (A) = 0.
Theorem 71 Let f
n
0 be measure for n 1. If

n=1
_
f
n
d < , then dened pointwise

n=1
f
n
converges a.e,. so that (A) = 0 where A = w :

n=1
_
f
n
(w) diverges.
Proof: Let F
N
=

N
n=1
f
n
F =

n=1
f
n
. Then
_
F
N
d =
N

n=1
_
f
n
d

n=1
_
f
n
d =: s < .
As F
N
F, the MCT asserts that
_
F
N
d
_
F d s. In particular, F L() so that
the preceding theorem asserts that (A) = F = = 0.
4/15/2013
Theorem 72 Let f : R R be Lebesgue integrable. Dene
F(t) :=
_
t

f d =
_
R
f1
(,t]
d.
Prove that F is continuous.
9
Proof: We show that t
n
t implies F(t
n
) F(t) i.e,
_
R
f1
(,tn]
d
_
R
f1
(,t]
d.
If s R, then f1
(,tn]
f1
(,t]
when s ,= t. If s < t, there exists N such that t
n
> s
whenever n N. So n N and f1
(,tn]
= f(s). Similarly, if s > t, f1
(,tn]
0.
Hence, f1
(,tn]
f1
(,t]
-a.e,. Moreover, [f1
(,tn]
[ f L(). The DCT asserts
that F(t
n
) F(t).
Remark: Under suitable condition, F

(s) =
_

s
f(s, t) dt = lim
sns
F(s
n
) F(s)
s
n
s
.
9
Variation: Let f be nonnegative measurable function on R such that F(t) :=
_
t

f d < . Prove
that F is continuous. Proof: We show that F maps convergent sequence to convergent sequence. Since
f 0, F is increasing. Let x
n
x, then f 1
(,xn]
f 1
(,x]
. By MCT, F(x
n
) F(x).
44
Theorem 73 Let f L(). Show that for > 0, there exists > 0 such that if A T
with (A) < . Then

_
A
f d

< .
Proof: We may assume f 0 because

_
A
f d

_
A
[f[ d. This allows us to replace f
by [f[. Suppose f is bounded f < K. Then
_
A
f d K(A).
Take =

K
, we are done in this case. Dene f
n
= n f (truncation technique). Then f
n
is
measurable and bounded therefore, the statement still holds. Then MCT asserts that
_
f
n
d
_
f d.
Choose N so that _
f d
_
f
N
d <

2
.
For this f
N
, choose so that A T with (A) < implies
_
A
f
N
d <

2
.
Finally,
_
A
f d
_
(f f
N
) d +
_
A
f
N
d <

2
+
_
A
f
N
d < .
Alternative: (more elementary approach) Choose simple s such that 0 s f and
_
f d
_
s d <

2
.
Since
_
f d
_
s d a
m
(A
m
). If a
m
= , then (A
m
) = 0. So we may assume that s
is bounded without changing the value of the integral.
_
A
f d =
_
A
(f s) d +
_
A
s d

_
(f s) d +
_
A
s d
<

2
+K(A) < .

4/17/2013
E : Let > 0. For each n, let Y
n
[0, 1] be a nite union of disjoint intervals with total
length at least . Then some point of [0, 1] lies in Y
n
for innitely many n.
45
Proof: We show that the set of points which lay in Y
n
for innitely many n has positive
lebesgue measure. Hence, there are uncountably many points that lies in Y
n
for innitely
many n. Let
T = Lebesgue measurable sets in [0, 1].
Then each Y
n
T. Moreover,

nN
Y
n
T and
_
nN
Y
n
_
for all N. Now
10
T limsup
n
Y
n
:=

NN
_
nN
Y
n
= t [0, 1] : t Y
n
innitely many n
and

NN
_
nN
Y
n
_
.
Hence,
(t [0, 1] : t Y
n
i.o) > 0.

Theorem 74 Let (W
n
)

n=1
be a decreasing sequence in T with intersection W. Then
(W
n
) (W),
provided some (W
N
) < .
11
Proof: Consider A
n
= W
N
W
n
for n > N.
Theorem 75 Let f L() and write m =
_

f d. Prove that if > 0 then

[f m[
2
_

[f m[
2
d.
The hypotheses do not need to be so restrictive. Suggest how they may be relaxed.
Proof: Let A

= [f m[ T. Observe that
_

[f m[
2
d
_
A

[f m[
2
d
2
(A

).

Theorem 76 Let (, T, ) and (f

n
)

n=1
be integrable with
_
[f
n
[ d
1
2
n
. Discuss conver-
gence of

n=1
f
n
(w) for w .
10
liminf
n
Y
n
:=

NN

nN
Y
n
all but nitely many.
11
W
n
= (n, ) so (W
n
) = but (W) = () = 0.
46
Proof: Dene F
N
=

N
n=1
[f
n
[ increase to F =

n=1
[f
n
[. Now
_
F
N
=
N

n=1
_
[f
n
[
N

n=1
1
2
n
1.
The MCT implies that
_
F
N

_
F and
_
F d 1 so that 0 F L(). Hence, F <
a.e,. Hence, w :

n=1
[f
n
(w)[ = is null. Hence,

n=1
f
n
a.e, absolutely convergent.

Theorem 77 (X, , ) is complete.

12
Let f, g : X R with f measurable and E = x
X : f(x) ,= g(x) is a set of measure zero (E and (E) = 0). Show that g is measurable.
Proof: Let B R be Borel (or open or closed). We will show g
1
(B) . f
1
(B) .
We have f
1
(B) g
1
(B) E. Similarly, g
1
(B) f
1
(B) E. Then f
1
(B) and g
1
(B)
dier by a null set. Since (X, , ) is complete and E (f
1
(B) E) g
1
(B) is null,
g
1
(B) = (f
1
(B) E) [(f
1
(B) E) g
1
(B)] .

4/19/2013
Theorem 78 If 0 f L and > 0, there exists > 0 such that A T and (A) <
imply

_
A
f d

< .
Proof:(3) Suppose > 0 is such that no works. For each n, there exists A
n
T such
that (A
n
) <
1
2
n
but
_
f 1
An
d . Take
A =

n
_
nN
A
n
T (A)
_
_
nN
A
n
_

nN
(A
n
) =
1
2
N1
0,
as N . Hence (A) = 0. (Borel Cantali) Recall limsup
n
1
An
= 1
A
. Hence, limsup
n
f
1
An
= f 1
A
. Then
_
limsup
n
f 1
An
d =
_
f 1
A
d = 0.
But the limsup
n
_
f 1
An
d . The reverse Fatou lemma says
13
_
limsup f
n
d limsup
_
f
n
d,
provided all 0 f
n
g L where f
n
= f 1
An
. This is a contradiction.
12
Subset of measure zero sets are null.
13
Apply Fatou to g f
n
.
47
Theorem 79 (2011.J.) Let f L on [0, 1] and 0 a b 1 implies
_
b
a
fd = 0. Show
_
A
f d = 0 for all measurable A [0, 1].
14
Proof: By assumption,
_
(a,b)
f d = 0. Any open set U =

n=1
I
n
for some I
n
= (a
n
, b
n
).
We show that
_
U
f d =

n=1
_
(an,bn)
f d = 0.
N

n=1
f1
(an,bn)
f 1
U
_
N

n=1
f1
(an,bn)
d
_
f 1
U
f d,
by DCT since each

N
n=1
f1
(an,bn)

[f[ L. Then
0 = lim
N
N

n=1
_
(an,bn)
f d =
_
f 1
U
f d.
Let > 0 and A measurable, there exists an open U A such that (U A) < . Now
_
f 1
U
f d =
_
A
f d +
_
UA
f d

_
A
f d

_
UA
f d

Given > 0, there exists > 0 such that if C is measurable and (C) < then

_
C
f d

< .
Given A and > 0, choose > 0 satisfying previous theorem. Choose open interval such
that

_
A
f d

_
UA
f d

< .
Hence,
_
A
f d = 0 on every A.
Test: How did we construct Lebesgue measure?
Theorem 80 (Rudin.2) If
_
A
f d = 0 for each A T, then f = 0 a.e.
Proof: Let A
+
= f > 0 T. Then 0 =
_
A+
f d =
_

f1
A
+
d with f1
A
+
0. Hence,
by Rudin 1, f1
A
+
= 0 a.e,. Hence, (A
+
) = 0. Similarly, (A

) = 0 and f ,= 0 = A
+
A

is null. Hence, f = 0 a.e.

Exam at 7:15 LIT 127. 6000 Analysis Jury.
14
What is the value of the integral on an open subset of [0, 1]? Then apply # 7.
48
4/22/2013
Theorem 81 (09.M.8) Prove or provide example
(a) (f
n
) nonnegative, integrable on [0, 1] such that f
n
f, f integrable,
_
f
n
,
_
f.
(b) (f
n
) uniformly bounded, integrable on R such that f
n
f, f integrable,
_
f
n
,
_
f.
(c) As (b) but on [0, 1].
Proof:
(a) f
n
= n 1
(0,
1
n
)
is nonnegative, integrable and f
n
0. But 1 =
_
f
n
,
_
f = 0.
(b) f
n
=
1
n
1
(0,n)
is uniformly bounded by 1, integrable and f
n
0. But 1 =
_
f
n
,
_
f = 0.
(c) Assume f
n
is Lebesgue integrable and use DCT. [f
n
[ K L.

Theorem 82 Given [f(s, t)[ 1 for s, t [0, 1] [0, 1] such that f(s, ) is measurable
(or continuous) for each s. f(, t) is continuous for each t.
15
Dene F : [0, 1] R by
F(s) =
_
1
0
f(s, t) dt (with respect to Lebesgue measure). Is F continuous?
Proof: It suces to show that as s
n
s, F(s
n
) F(s) or
_
1
0
f(s
n
, t) dt
_
1
0
f(s, t) dt.
Now the sequence of measurable [f(s
n
, )[ 1 converges to measurable function f(s, )
because f(, t) is continuous. By the DCT,
_
1
0
f(s
n
, ) d
_
1
0
f(s, ) d.
If f(s, ) is continuous instead, we note that Riemann integral is the same as the Lebesgue
integral for continuous function on the real line.
Theorem 83 Given (
n
) continuous on [0, 1] with K
1

n

n+1
0.
What can you say about lim
n
_
1
0

n
?
Proof: By Dinis theorem, the convergence is uniform. Then limit of the (Riemann)
integral is the integral of limit. Use DCT or MCT in terms of Lebesgue integrable.
15
Note that this is separated continuous. Consider f(x, y) =
2xy
x
2
+y
2
for (x, y) ,= (0, 0) and zero at (0, 0).
49