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1 Existence of Riemann Integral

Definition 1.1 Let f : [a, b] → R and c ∈ [a, b]. The limit superior, limit inferior, and oscillation
of f at c are, respectively, defined by

limx→c f (x) := lim sup{f (x) : x ∈ [a, b] ∩ [c − δ, c + δ]},


δ→0
limx→c f (x) := lim inf{f (x) : x ∈ [a, b] ∩ [c − δ, c + δ]},
δ→0
ω(f ; c) := limx→c f (x) − limx→c f (x).

1. The function f is continuous at x if and only if ω(f ; x) = 0.

2. If ω(f ; c) < ² for all c on the interval [a, b], there exists δ > 0 such that for all x, y ∈ [a, b]
with [x − y| < δ we have
|f (x) − f (y)| < ².

3. (Lebesgue, 1902)
A bounded function f is defined on [a, b] is Riemann integrable if and only if it is continuous
almost everywhere.
(That is, the set of discontinuities points of f has measure zero.)

The above exercise not only has great intrinsic interest, but also can be very useful. For example,
see the following exercises.

4. If f and g are defined on [a, b] and are Riemann integrable, show that the functions max{f, g},
min{f, g}, |f |, and f 2 are Riemann integrable.

5. Show that the Dirichlet function h : [0, 1] → R which takes 1 on the rationals and 0 otherwise
is not Riemann integrable.

6. Let C be the Cantor set. The function χC : [0, 1] → R which takes 1 on C and 0 otherwise is
Riemann integrable. What is its integral over [0, 1]?
Rb
7. Let f be a Riemann integrable on [a, b] and f (x) ≥ 0 for all x in [a, b]. Show that a f (x)dx = 0
if and only if f (x) = 0 for almost all x.

1
2 Deficiencies of Riemann Integral
The definition of integral by Cauchy and Riemann turns out to be inadequate from a more general
point of view. One of the deficiencies is that limiting operations often lead to insurmountable
difficulties.

1. We enumerate the rationals in [a, b] by r1 , r2 , . . . , rn , . . .. Let


½
1 if x = rk , k = 1, 2, . . . , n,
fn (x) =
0 otherwise.
Rb
The fn is Riemann integrable and a fn (x)dx = 0. On the other hand, f (x) = lim fn (x) is
the Dichlet function which takes 1 on the rationals and 0 on the irrationals is not Riemann
integrable.

2. For n ≥ 2, define fn : [0, 1] → R by


 2
 n x for 0 ≤ x ≤ 1/n,
fn (x) = −n2 (x − 2/n) for 1/n ≤ x ≤ 2/n,

0 for 2/n ≤ x ≤ 1.

Show that fn → f pointwise on [0, 1], where f is the zero function and
Z 1 Z 1
lim fn (x)dx = 1 6= 0 = f (x)dx.
n→+∞ 0 0

3. Let f : [0, 1] → R be such that


½
x2 sin 1/x2 for x 6= 0,
fn (x) =
0 for 1/n ≤ x = 0.

Then f is continuous and differentiable. Show that f 0 is not Riemann integrable.

2
3 Lebesgue measure
Lebesgue measurable set
1. (i) Let E ⊂ [a, b] be a measurable set such that both E and its complement are dense
in [a, b]. Show that the characteristic function χE is Lebesgue integrable, but is not
Riemann integrable.
(ii) Construct a measurable set E satisfying the preceding exercise.

2. Show that there exists a measurable set which is not Borel set.

3. Let A ⊂ [a, b] be measurable. For any number r 6= 0, let rA = {rx : x ∈ A}. Show that rA
is measurable and
|rA = |r| · |A|.

4. Let A ⊂ [a, b] be measurable. Let the set −A = {x : −x ∈ A}. Show that −A ⊂ [−b, −a] is
measurable and
| − A = |A|.

5. Suppose α > 2, and let

E := {x ∈ R| ∃ infinity many of rational numbers p/q with p, q ∈ N and (p, q) = 1,


such that |x − p/q| < 1/q α }.

Show that |E| = 0.


P
6. If {Ek }∞k=1 is a sequence of sets with |Ek |e < +∞, show that lim sup Ek (and so also
lim inf Ek ) has measure zero.

Cantor set
1. Show that the Cantor set C consists of all x such that x has some triadic expansion for which
every ck is either 0 or 2.

2. Construct a subset of [0, 1] in the same manner as the Cantor set by removing from each
remaining interval a subinterval of relative length θ , 0 < θ < 1. Show that the resulting set
is perfect and has measure zero.

3. Construct a subset of [0, 1] in the same manner as the Cantor set, expect that at the kth
stage, each interval removed has length δ3−k , 0 < δ < 1. Show that the resulting set is
perfect, has measure 1 − δ, and contains no intervals.

4. Construct a Cantor-type subset of [0, 1] by removing from each interval remaining at the kth
stage a subintervalPof relative length θk , 0 < θk < 1. Show that
Q the remainder has measure
zero if and only if θk = +∞. (Use the fact that for ak > 0, ∞ a converges, in the sense
QN P∞ k=1 k
that limN →∞ k=1 ak exists and is not zero, if and only if k=1 log ak converges.)

5. Construct a two-dimensional Cantor set in the unit square {(x, y) : 0 ≤ x, y ≤ 1} as follows.


Subdivide the square into nine equal parts and keep only the four closed corner squares,
removing the remaining region (which forms a cross). Then repeat this process in a suitably
scaled version for the remaining squares, ad inf initum. Show that the resulting set is perfect,
has plane measure zero, and equals C × C.

3
6. Construct a measurable subset E of [0,1] such that for every subinterval I, both E ∩ I and
I − E have positive measure. [Take a Cantor-type subset of [0,1] with positive measure (see
Exercise 5), and on each subinterval of the complement of this set, construct another such
set, and so on. The measures can be arranged so that the union of all the sets has the desired
property.]

Lipschitz transformations of Rn
1. (i) Let Z1 be a subset of [a, b] with measure zero, where a, b ∈ R and b > a. Show that the
set {x2 | x ∈ Z1 } also has measure zero.
(ii) Let Z2 be a subset of R with measure zero. Show that the set {x2 | x ∈ Z2 } also has
measure zero.

2. Give an example which shows that image of a measurable set under a continuous transfor-
mation may not be measurable. (Consider the Cantor-Lebesgue function and the pre-image
of an appropriate nonmeasurable subset of its range.)

Nonmeasurable set
S P
1. Show that there exist disjoint sets E1 , E2 , . . . , Ek , . . . such that | Ek |e < |Ek |e with strict
inequality.

2. Show that there exist sets E1 , E2 , . . ., Ek ,. . . such that Ek & E, |Ek |e < +∞, and
limk→∞ |Ek |e > |E|e with strict inequality.

3. Show that there exists a nonmeasurable set which is dense in [0, 1].

4. Let A be a nonmeasurable set in (0, 1). Define f : (0, 1) → (0, 2) by


½
x + 1 if x ∈ A,
f (x) =
x if x 6∈ A

(i) Show that if E is a set of measurable zero, then f (E) is of measure zero.
(ii) Show that there is a measurable set E in (0, 1) such that f (E) is nonmeasurable.

4
4 Lebesgue measurable functions
1. Let f and g be measurable functions in R. Suppose that f > 0 on R. Show that the function
h : x 7−→ f (x)g(x) is measurable in R.

2. Let f be a measurable function on [a, b], and satisfy m ≤ f (x) ≤ M for all x ∈ [a, b]. Suppose
that g(x) is monotone on [m, M ]. Show that g(f (x)) is measurable on [a, b].

3. Let f (x), x ∈ R, be continuous at almost every point of an interval [a, b]. Show that f is
measurable on [a, b].
Hint: Use the subintervals of a sequence of partitions to define a sequence of simple measur-
able functions converging to f a.e. in [a, b].

Egorov’s Theorem
1. The Egorov’s Theorem does not claim that there exists a subset Z ⊂ [a, b] with |Z| = 0 such
that the sequence {fn } converges to f uniformly on E \ Z. However, prove that there exists
a sequence of measurable sets {En } in E such that |E \ ∪∞
n=1 En | = 0 and {fn } converges to
f uniformly on each En .

2. Let {fn } be a sequence of measurable functions on [a, b] which converges to f almost every-
where. Then for each ² > 0, we have
¯n o¯
¯ ¯
lim ¯ x ∈ [a, b] : |fn (x) − f (x)| ≥ ² ¯ = 0.
n→+∞

3. Let {fn } be a sequence of measurable functions defined on a measurable set E with |E| < +∞.
Show that
fn → 0 a.e. on E
if and only if given ² > 0, there holds
¯n o¯
¯ ¯
lim ¯ x ∈ E : sup |fk (x)| ≥ ² ¯ = 0.
n→+∞ k≥n

4. Let {fn } be a sequence of measurable functions on [0, 1]. Suppose that for each ² > 0, there
exists n0 ∈ N such that
¯n o¯
¯ ¯
¯ x ∈ [0, 1] : |fn (x)| < ² for each n > n0 ¯ = 1.

Show that there exists E ⊂ [0, 1] and |E| = 1 such that {fn } converges to 0 uniformly on E.
Hint: Find a increasing sequence {nk } such that
¯ \
∞ n o¯
¯ ¯
¯ x ∈ [0, 1] : |fn (x)| ≥ 1/k ¯ = 0.
n=nk

5. Let {fn } be a sequence of measurable functions on [a, b]. Suppose that

(i) |fn (x)| ≤ Mn , n = 1, 2, . . ., x ∈ [a, b];


(ii) limn→+∞ fn (x) = f (x), a.e. x ∈ [a, b].

5
Show that for each δ > 0, there exist a positive number M and a measurable subset E of
[a, b] with |E| < δ such that

|f (x) ≤ M, |fn (x)| ≤ M, n = 1, 2, . . . , x ∈ [a, b] \ E.

6. Let f , {fn }, n = 1, 2, . . ., be positive measurable functions defined on a measurable set E


with |E| < +∞, which satisfy
limn→+∞ fn (x) = f (x)
for all x ∈ E. Show that for each given δ > 0, there exist n0 ∈ N and A ⊂ E with |A| < δ
such that
fn (x) ≤ f (x) + δ
for all x ∈ E \ A and n > n0 .

Lusin’s Theorem
1. Let f be a measurable function on R. Does there exist a continuous function g defined on R
such that ¯n o¯
¯ ¯
¯ x ∈ R : |f (x) − g(x)| > 0 ¯ = 0?

Convergence in measure
m m
1. Suppose that fk −→ f and gk −→ g on E.
m
(i) Show that fk + gk −→ f + g on E.
m
(ii) Show that fk gk −→ f g on E if |E| < +∞.
Hint: Write

fk gk − f g = (fk − f )(gk − g) + f (gk − g) + g(fk − f ).

Consider each term separately, using the fact that a function which is finite on E,
|E| < +∞, is bounded outside a subset of E with small measure.
m
(iii) If, in addition, gk → g on E, g 6= 0 a.e., and |E| < +∞, show that fk /gk −→ f /g on E.
m
2. Suppose that fk −→ 0 and g is a real-valued measurable function on E. If |E| = +∞, prove
m
or disprove that fk g −→ 0 on E

3. Let fn (x) = (cos x)n , n = 1, 2, . . ., on [0, π]. Does {fn } converge in measure on [0, π]?
m
4. Suppose that fk −→ 0 on E ⊂ R. Prove or disprove that
¯n o¯
¯ ¯
lim ¯ x ∈ E : |fn (x)| > 0 ¯ = 0.
n→+∞

m
5. Suppose that fk −→ 0 on E ⊂ R and satisfies that

fn (x) ≥ fn+1 (x), n = 1, 2, . . . .

Prove or disprove that fk −→ 0 a.e. on E.

6
m
6. Suppose that fk −→ 0 on [0, 1] and satisfies that

fn+1 (x) ≥ fn (x), n = 1, 2, . . . , on [0, 1].

Prove that if f is continuous at x0 , then we have that

lim fn (x0 ) = f (x0 ).


n→+∞

7. Let Ek , k = 1, 2, . . ., be measurable sets in Rn .


m
(i) Show that χEk −→ 0 if and only if |Ek | → 0 as k → +∞.
(ii) Show that χEk −→ 0 a.e. in Rn if and only if | lim supk→+∞ Ek | = 0.

8. Let {fn } be measurable functions on [a, b] and f a real-valued function on [a, b]. Suppose
that

(i) |fn | ≤ Mn , n = 1, 2, . . ., on [a, b];


(ii) limn→+∞ fn = f , a.e. on [a, b].

Prove that for each given δ > 0, there exist a positive constant M and a subset E of [a, b]
with |E| < δ such that
|f (x)| ≤ M, |fn (x)| ≤ M,
for all n ∈ N and x ∈ [a, b] \ E.

7
5 The Lebesgue Integral
1. Let {fk } be a sequence of nonnegative measurable functions defined on E. If fk → f and
fk ≤ f a.e. on E, show that Z Z
fk → f.
E E
R1
2. If f ∈ L(0, 1), show that xk f (x) ∈ L(0, 1) for k = 1, 2, . . ., and 0 xk f (x)dx → 0.

3. Use Egorov’s theorem to prove the bounded convergence theorem.


R
4. If p > 0 and E |f − fk |p → 0 as k → ∞, show that
m
fk −→ f

on E.
R R
5. If p > 0, E |f − fk |p → 0 as k → ∞, and E |fk |p ≤ M for all k, show that
Z
|f |p ≤ M.
E

6. Give an example of a bounded continuous function f on (0, ∞) such that limx→∞ f (x) = 0
but f 6∈ Lp (0, ∞) for any p > 0.
P
7. (i) Let {fk } be a sequence
P R of measurable functions on E. Show that fk converges abso-
lutely a.e. in E if E |fk | < +∞.
P
(ii) If {rk } denotes the rational numbers in [0, 1] and {ak } satisfies |ak | < +∞, show that
+∞
X
ak |x − rk |−1/2
k=1

converges absolutely a.e. in [0, 1].


R
8. If Af = 0 for every measurable subset A of a measurable set E, show that f = 0 a.e. in E.

9. Let f (x, y), 0 ≤ x, y ≤ 1, satisfy the following conditions: for each x, f (x, y) is an integrable
function of y, and ∂f (x, y)/∂x is a bounded function of (x, y). Show that ∂f (x, y)/∂x is a
measurable function of y for each x and
Z 1 Z 1
d ∂
f (x, y)dy = f (x, y)dy.
dx 0 0 ∂x

10. Give an example of an f which is not integrable, but whose improper Riemann integral exists
and is finite.

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