MT Ex2011

COURSE EXERCISES ON MEASURE THEORY
SPRING 2011
JON AARONSON
Exercise 1, 23/2/2011
1. Semi-rings. Let X be a set and let S ` 2X be a collection of sets.
a) Show that if A, B > S
A 8 B, A B > S , then S is a ring.
b) Is it true that if A, B > S
A 8 B, A∆B > S , then S is a ring?
c) Let Γ ` R and for d C 1, let
d
Sd,Γ M ak , b k ak , b k > Γ ¦ 1 B k B d.
k 1
Show that Sd,Γ is a semi-ring.

2. Product spaces and cylinder sets and product semi-rings.
Let Xλ λ > Λ be a collection of sets. Set
X M Xλ x Λ Xλ x λ > X λ ¦ λ > Λ.
λ> Λ λ> Λ
Given N > N, λi > Λ, Ai ` Xλi 1 B i B N define the cylinder set

A1 , . . . , AN λ1 ,...,λN x > X xλi > Ai ¦ 1 B i B N .
Suppose that for each λ > Λ, Sλ ` 2X λ is a semi ring and let
S A1 , . . . , AN λ1 ,...,λN N > N, λi > Λ, Ai > Sλi 1 B i B N ` 2X .
a) Show that if each Sλ covers Xλ finitely, then S is a semi-ring which
covers X finitely.
b) Let Λ 1, 2, X1 X2 R and let S1 S2 be the semi-ring of
bounded intervals in R. Show that S is not a semi-ring.
3. Additive set functions on S Λ .
Let S be a finite set, Λ be a set and let X S Λ.
A cylinder set is a set of form
x > X xi ai ¦ i > F a F
where F ` Λ finite and a > S F . Let S cylinders.
(i) Suppose that ai Fi > S 1 B i B N are disjoint and that C
"i 1 aiFi > S . Show that § G ` S F (where F Ni 1 Fi) so that
N
C "g>G g F .
1
2 Measure Theory
Now suppose that µ S 0, ª satisfies

(+) Q µ a1, . . . , aN , sλ ,...,λ
1 N ,λ
µ a1 , . . . , aN λ1 ,...,λN .
s> S
(ii) Show that if F ` Λ is finite, G ` S F and C "g>G gF > S , then

µC Pg>G µ g F .
(iii) Using (i) and (ii) (or otherwise) show that µ S 0, ª is additive.
4. More additive set functions.

a) Let R ` 2X be a ring and let f R R be additive.
(i) Show that if f C 0, then f A 8 B B f A f B ¦ A, B > R.
(ii) Is it always true that Sf A 8 B S B Sf AS Sf B S ¦ A, B > R?
b) Let X 0, 1 9 Q, and let
A Nk 1 ak , bk 9 Q N C 1, bk1 B ak B bk ¦ 1 B k B N where b0 0.
Define µ A 0, ª by µN k 1 ak , bk Pk 1 bk ak . Show that
N
A is an algebra, that µ A 0, ª is additive and that ¨ ν σA

0, ª σ-additive such that ν SA µ.
5. σ-algebras. Is there a countably infinite σ-algebra?
Exercise 2, 11/3/2009
1. Outer measures.
Let µ 2R 0, ª be Lebesgue outer measure defined by
ª ª
µE inf Q SIn S I1 , I2 , . . . intervals, E d In.
n 1 n 1
a) Show that if A ` R, and µA 9 J B 1

2 SJ S for every interval J, then
µA 0.
Let An ` 0, 1 n C 1.
b) Is it true that
ª
A1 ` A2 ` . . . An ` An1 ` . . . µAn µ An as n ?
ª
n 1
c) Is it true that
ª
A1 a A2 a . . . An a An1 a . . . µAn µ An as n ?
ª
n 1
Jon. Aaronson ©2000-2011 3
2. Markov chain measure.

Let S be a finite set, and let X S N .
Let p S S 0, 1 be a stochastic matrix (i.e. Pt>S ps, t 1 ¦ s >
S) and let π S 0, 1 be a probability (Pt>S π t 1).
Show that § a probability measure µ σ S > P S N such that ¦ n C
1, a1 , . . . , an > S,
µ a1 , a2 , . . . , an π a1 pa1 , a2 pa2 , a3 . . . pan1 , an
where a1 , a2 , . . . , an x > S N xk ak ¦ 1 B k B n.
3. Borel measures.
Let X be a topological space. The Borel σ-algebra is B X
σ open sets and a Borel probability on X is a probability measure
P B X 0, 1. In this exercise, you show that if X is a separable
metric space, then Borel probabilities on X are regular in the sense that
P A inf P U A ` U, U open. Proving the following propositions
might help.
Fix a Borel probability P on X and let
C A > B X ¦ ε A 0, § F closed, U open, F ` A ` U, P U F @ ε .
Show that:
(i) C is a σ-algebra;
(ii) open sets b C ;
(iii) P is regular.
4. Measurable union of a hereditary collection.
Let X, B , m be a finite measure space. Let H ` B be a hereditary
collection in the sense that
C > H, B ` C, B > B Ô B > H.
Show that
(i) § A1 , A2 , > H disjoint such that U "ª n 1 An covers H in the
sense that A ` U mod m ¦ A > H;
(ii) if V "ª n 1 Bn Bn > H also covers H, then U V mod m.
The set U > B above is called the measure theoretic union of the
hereditary collection H and denoted U H.
5. Non-atomicity.
Let X, B , m be a probability space. An atom of X, B , m is a set
A > B satisfying mA A 0 and B > B , B b A mB 0, mA.
Show that if X, B , m is non-atomic (i.e. has no atoms), then § A >
B with mA 21 .
4 Measure Theory
Hint: Use ex.4 to show that ¦ ε A 0 § a finite partition α `

B of X with µA @ ε ¦ A > α.
Exercise 3, 18/3/2009
1. Regularity.
Given a metric space X and a probability p B X 0, ª.
a) Show that p is regular in the sense that ¦ A > B X :
(o) ¦ εA0 § F ` A closed & U a open such that pU F @ ε.
Hint A > B X o holds is a σ-algebra.....

b) Define p 2X 0, 1 by
pA inf pB A ` B > B X .
Show that
Mp σ B X 8 N where N A ` X pA 0.

c) Let µ 2X 0, ª be a metric outer measure. Is it true that
ª
A1 ` A2 ` . . . An ` An1 ` . . . µAn µ An as n ?
ª
n 1
2. An extended measure space.

Let X, B , m be the unit interval equipped with Borel sets and
Lebesgue measure and let E ` 0, 1 be a Bernstein set.
(a) Show that µE µ 0, 1 E 1 (where µ denotes Lebesgue outer
measure on 0, 1).
B1 be the σ-algebra generated by B, and E. Show that

Let
(b) B1 B1 E B2 E c B1 , B2 > B ; that
9 8 9
(c) B1 9 E 8B2 9 E c

B1 9 E 8 B2 9 E c
mB1 ∆B1 mB2 ∆B2 0,
and hence that

1
(d) pB1 9 E 8 B2 9 E c mB1 mB2
2
defines a probability p B1 0, 1.
3. Separability. Let X, B , m be a finite measure space. Define a

relation on B by A B if mA∆B 0.
a) Show that is an equivalence relation.
b) Let B A A > B A A A > B be the collection of
equivalence classes.
Show that
da, b mA∆B for a, b > B , A > a, B > b
defines a metric on B , and that B , d is a complete metric space.
c) Show that the following are equivalent:
(i) B is separable;
(ii) § An > B n C 1 such that ¦ A > B § A > σ An ª n 1 with
mA∆A 0;
d) Is there a probability space X, B , µ equipped with sets As s >
0, 1 ` B such that µAs ∆At C 4 ¦ s x t ?
1
4. Generalised Cantor sets. For I a c, a c a bounded closed

interval, and 0 @ h @ 1, define
I0 h a c, a 1 hc, I1 h a 1 hc, a c;
I h I0 h > I1 h I a 1 hc, a 1 hc.
For A "k Ik a disjoint union of closed intervals, define
A h # Ik h.
k
Clearly SA hS hSAS. For h1 , h2 , > 0, 1 define

ª
A1 0, 1, An1 An hn , A An.
n 1
a) Prove that A is closed and nowhere dense.

b) Prove that the Lebesgue measure of A is mA limn ª Lnk 1 hn .
5. Volterra’s function (1881).
Here you construct this differentiable function V R R whose
uniformly bounded derivative is not Riemann integrable on 0, 1.
a) For the construction, you need a closed, nowhere dense subset E
of 0, 1, with positive Lebesgue measure. Construct such (e.g. as in
exercise 3.4 above).
Set f x x2 sin x1 when x x 0, and f 0 0 and recall that
Y f is differentiable on R;
Y f x 2x sin x1 cos x1 when x x 0, f 0 0; and
Y
there is a sequence yn 0 such that f yn 0.
6 Measure Theory
For r A 0, set z zr max z > 0, r~2 f z 0, and define

fr R R by
¢̈
¨
¨
f x 0 B x B z,
¨
¨
¨
¨ f z z B x B r z,
f r x ¦
¨
¨
¨
f r z r z B x B r,
¨
¨
¨ 0 else.
¤̈
b) For I a, b, define fI R R by fI x fba x a.
Show that SfI S B SI4S ; fI is differentiable on R with SfI S B SI S 1 and
2
ω fI , x 2 1∂I x

where for g x η, x η R,
ω g, x lim sup g y g z S.
S
ε 0 y,z >xε,xε
For E ` 0, 1 a closed, nowhere dense set, write R E n In where

the In are disjoint, open intervals, and set
fIn x x > In
V x
0 else.
c) Show that V is differentiable on R, sup 0,1 SV S B 2, V SE 0 and
that ω V , x 2 1E x.
Hint SV y S B Sy xS2 ¦ x > E, y > R.
d) Show that if mE A 0, then V is not Riemann integrable on
0, 1.
Exercise 4, 16/3/2011
1. Baire space and the irrationals.

(a) Show (using continued fractions or otherwise) that NN is home-
omorphic with 0, 1 Q.
(b) Show that in every uncountable Polish space there is a dense Gδ
set which is homeomorphic with NN .
2. Polish probability spaces.
(a) Let X be a metric space, and let p > P X, B X . The support
of p is defined by
Sp x > X pB x, ε A 0 ¦ ε A 0.
Show that Sp is closed and if X is separable, then pSpc 0.
(b) Let X be a Polish space, and let p > P X, B X be non-atomic.

Let Y, B Y , λ, the unit interval equipped with its Borel sets and
Lebesgue measure. Show that X, , B X , p and Y, B Y , λ are iso-
morphic in the sense that there are sets X > B X , Y > B Y such
that pX X λY Y 0; and a bimeasurable bijection π X Y
satisfying p X π 1 λ.
Hint: First use Kuratowski’s theorem to show that X, , BX , p is isomorphic with
Y, B Y , q for some nonatomic q > P Y, B Y .
3. Bernstein sets.
Let X be an uncountable, Polish space.
(a) Let p > P X, B X be non-atomic. Define p 2X 0, 1 by
pA inf pB A ` B > B X .
Show that if A ` X is a Bernstein set then pA pAc 1.
b) Show that there is a disjoint collection B of Bernstein sets so that
SBS c and "B >B B X.
4. Analytic sets.
Show that countable unions and intersections of analytic sets are
analytic.
Exercise No 5 23/3/2011
1. Riemann integrability I.
Let X, B , m 0, 1, B 0, 1, Lebesgue.
For a bounded function f X R show that the following are
equivalent:
(i) f is Riemann integrable;
(ii) if mX Cf 0 where
Cf x > X xn x f xn f x continuity points of f ;
r ¦ ε A 0,
(iii) r § f , f > C X with f B f B f and
X
f dm X f dm @ ε.
2. Borel-Cantelli lemma I.
Let X, B , m be a probability space, and let An > B , n C 1.
(i) Show that if PnC1 mAn @ ª, then Pª n 1 1An @ ª m-a.e.;
(ii) Exhibit a sequence An > B , n C 1 satisfying PnC1 mAn ª and
Pªn 1 1An @ ª m-a.e.;
(iii) Show that if An > B , n C 1 are independent in the sense that
mn>F An Ln>F mAn ¦ finite sets F ` N, and PnC1 mAn ª,
then Pª n 1 1An ª m-a.e..
8 Measure Theory
Hint for (iii): mª

n k An Lªn k mAn 0.
3. Convergence in measure.
Let X, B , m be a probability space, and suppose that fk X
R k C 1 are measurable functions. Recall that fn
m
0 means Ð
m Sfn S C ε Ð
0 ¦ ε A 0.
n ª
(i) Show that if fn Ðm 0, then § n1 @ n2 @ ª such that fnk Ð 0

a.e..
(ii) Is it true that
Ðm Q fk Ðm
n
1
fn 0 as n ª
n 0 as n ª ?
k 1
4. Non-decreasing re-arrangement.
Suppose that X, B , m is a probability space, and f X R is
measurable. Show that there is a non-decreasing function g 0, 1 R
such that m f A y λ g A y ¦ y > R where λ is Lebesgue measure
on I.
5. Linear change of variable.

Let
G nonsingular linear transformations of Rd
and let m B Rd 0, ª be Lebesgue measure.
(i) Show that if T > G then m X T B Rd 0, ª is a translation
invariant, locally finite measure which is homogeneous in the sense that
m X T aB ad m X T B ¦ a A 0.
(ii) Show that § a multiplicative homomorphism ∆ G 0, ª so
that m X T ∆T m.
(iii) Show that ∆T S det T S.
Exercise No 6 30/3/2011
1. Hölder’s, and Minkowski’s inequalities.

Let 1 @ p @ ª, and q pp 1 .
a) Prove that for a, b C 0, ab B ap bq .
p q
(Hint: One way to do this is to prove that αλ β 1λ B λα 1 λβ α, β C 0, 0 @ λ @ 1,

¦
and substitute α ap , β bq with appropriate λ...)

Now suppose that X, B , m is a σ-finite measure r spacer and that
f, g X IR are measurable functions satisfying X Sf Sp dm, X Sg Sq dm @
ª.
b) Prove that f g is integrable, and

w w w
S f gdmS B p
1 p 1 q
Sf S dm q Sg S dm.
X X X
r
c) Using b), or otherwise, prove Hölder’s inequality: S X f gdmS B
1
r p
Y f Y p Yg Y q where Yf Yp X Sf Sp dm .
d) For which functions f, gr is there equality in Hölder’s inequality?
e) Prove that Yf Yp sup X f gdm Yg Yq B 1.
f) Prove Minkowski’s inequality: Yf g Yp B Yf Yp Yg Yp . When is there
equality?
2. Uniformly integrable example.
Let X, B , m 0, 1, B 0, 1, Lebesgue. For x, y > X, define
ry x x ` y x y mod 1.
(i) Show that for each a > X, ra X X is a measure preserving
transformation in the sense that mra A mA ¦ A > B X .
(ii) Show
r that if g r 0, 1 R is integrable and a > X, then so is g X ra
with X g X ra dm X gdm.
(iii) Set f x º1x , F f X ra a > X . Show that F is uniformly
integrable and supq>X 9Q f X rq ª.
3. Baire classes.
Let X be a polish space. The collection of Baire class 0 functions is
B0 CB X f X R f continuous & sup Sf @ ª.
X
For α > Ω countable ordinals, define the collection of Baire

class α functions
Bα f X R § β > Ω, β @ α, fn > Bβ , fn x Ðª
n
f x ¦ x > X
(i.e. B1 limits of bounded continuous functions,
B2 limits of limits of bounded continuous functions, etc.)
Show that
(i) Bα Borel measurable functions;
α> Ω
(ii) if m > P X and f X R is measurable then § g > B2 such that

f g m - a.e..
Let X, B , m 0, 1, Borel, Leb. The rest of this exercise shows
§ a measurable function f X R for which ¨ g > B1 , f g m - a.e..
10 Measure Theory
(iii) Show that for f > B1 , continuity points of f is a dense Gδ set;

Hint Show that ωf @ ε is open and dense ¦ ε A 0 where
ωf x limr 0 diam f x r, x r and use Baire’s category theorem.
As in exercise 3.3, let B A A > B A A A > B where

A B if mA∆B 0. Recall (!) that B , d is a Polish metric space
where da, b mA∆B for a, b > B , A > a, B > b.
(iv) Show that
d a > B mA9s, t A 0 & mAc 9s, t A 0 ¦ A > a, s, t > Q, s @ t
is dense in B.
Hint Use Baire’s category theorem.
(v) Show that if A > a > d, then ¨ g > B1 , 1A g m - a.e..
4. Fundamental theorem of calculus?

Let X, B , m 0, 1, Borel, Leb.
A measurable function rf X R is called locally integrable at x >
0, 1 if § ε A 0 such that xε,xε Sf Sdm @ ª. Show that
(i) for f X R measurable,

loc-int f x > 0, 1 f locally integrable at x
is open in 0, 1;
(ii) if f 0, 1 R is differentiable on 0, 1, then loc-int f is dense
in 0, 1;
Hint f > B1 .
(iii) By suitably modifying Volterra’s construction (or otherwise), show

that ¦ 0 @ λ @ 1, § f 0, 1 R differentiable on 0, 1 so that
m 0, 1 loc-int f A λ.
Exercise (No 7), 6/4/2011
1. σ-finiteness and separability.

Let X, B , m be a measure space.
(i) Show that m is σ-finite iff § f > L1 m, f A 0 a.e..
(ii) Suppose that m is finite. Show that L1 m is separable (as a Banach
space) iff X, B , m is a separable measure space (as in exercise 3.3).
2. Measurability and Fubini.

(i) Let X, B , µ and Y, C , ν be finite, non-atomic, Polish, probability
spaces and let m µ ν F B a C 0, 1 be product measure.
Show that § E ` X Y so that ν Ex 0 µE y ¦ x > X, y > Y
and so that E ¶ F σ F 8 N >F , mN 0 2N .
Hint: For X, B, µ Y, C , ν 0, 1, Borel, Leb. use a Sierpinsky set, and then use ex.
4.2b) for the general case.
(ii) Show that there is a continuum of disjoint Sierpinski sets in R2 .
3. Invariant measures on Rd .
(i) Show that if µ B Rd 0, ª is a σ-finite measure which is
Y locally finite in the sense that µA @ ª ¦ A > B Rd bounded; and
Y translation invariant in the sense that µx A µA whenever
x > Rd , A > B Rd (where x A x y y > A), then µ is a multiple
of Lebesgue measure.
(ii) Let m B Rd 0, ª be Lebesgue measure and let f > L1 m.
Show that x (
f X Rx is uniformly continuous (R L1 m) where
Rx y y x.
4. Convolutions.
Let m denote Lebesgue measure on Rd .
(i) Show that if f, g Rd R are Lebesgue measurable, then so is the
function h Rd Rd R defined by hx, y f x y g y .
(ii) Prove that if f, g Rd 0, ª are measurable, then f g g f.
(iii) Show, using Hölder’s inequality (or otherwise), that if f > L1 Rd ,
and g > Lp Rd where 1 @ p @ ª, then Yf g Yp B Yf Y1 Yg Yp . When is
there equality?
r
(iv) Suppose that h Rd R is measurable, and suppose that Rd hxdx
1. Define, for t A 0, ht Rd R by ht x 1t h xt . Prove that for
1 B p @ ª,
Yf ht f Yp 0 ¦ f > Lp Rd . Ðt 0
5. Fourier transform on L1 Rd . For f > L1 Rd , define the Fourier
transform of f by
w
fÂt f xei`x,te dx t > Rd
Rd
where `x, te `x1 , . . . , xd , t1 , . . . , td e Pdk 1 xk tk .

a) Prove that fÂ Rd C is bounded, and uniformly continuous
¦ f > L1 Rd ,
12 Measure Theory
g f Â
b) Show that fÅ Â g ¦ f, g > L1 Rd .
c) Show that if f Rd R is C 1 and f x 0 is compact, then

Æ©f k t itk fÂt where f k x ∂x
©
∂f
x.
k
d) Prove the Riemann-Lebesgue Lemma, that if f > L1 Rd , then

fÂt 0 as t ª.
6. Invariant measures on groups.
Let G x0 1y x, y > R2 , x A 0 equipped with the topology
inherited from R2 , and matrix multiplication.
Find measures mL , mR B G 0, ª such that ¦ f G R
measurable,
w w w w
f ghdmL h f hdmL h, f ghdmR g f hdmR h.
G G G G
x y
Hint: Try dmJ 0 1 pJ x, y dxdy J L, R.
Exercise (No 8), 13/4/2011

1. Clarkson’s inequalities. Let X, B , m be a σ-finite measure
space, and let f, g > Lp m. Prove that
B 2Yf Ypp Yg Ypp for p > 1, 2,
Yf g Ypp Yf g Ypp
C 2Yf Ypp Yg Ypp for p > 2, ª,
and that for p x 2, f, g > Lp , there is equality in the relevant inequality
iff f g 0 a.e..
Hints (i) By convexity, for a A 0, t A 1,
@ t 1a t 1a a A 1,
2ta
A t 1a t 1a a @ 1.
Set fp t t 1p t 1p 2tp 2, then fp 1 2p 4 A 0p A 2 and
@ 0 p @ 2. Also fp t A 0 ¦ t A 1 p A 2 and fp t @ 0 ¦ t A 1 p @ 2.
Thus fp t A 0 ¦ t A 1 p A 2 and fp t @ 0 ¦ t A 1 p @ 2.
2. Non-singular bijections.
Let X, B , µ be a σ-finite measure space, and let A, B > B . A non-
singular bijection of A and B is a T A B, such that both T and T 1
are measurable, and such that m X T, m X T 1 P m. Show that
(i) if T A B is a non-singular bijection, then § T A R, positive
on A, such that mT C RC T dm ¦ C > B 9 A;
(ii) (Chain rule for R-N derivatives) if S A B, and T B C are
non-singular bijections, then so is T X S A C, and T X S T X S S
a.e..
(iii) Let T X X be a non-singular bijection of X. For 1 B p @ ª

R measurable, define Vp f T p f X T . Show that
1
and f X
Vp Lp µ Lp µ is an invertible isometry.
(iv) Let X, B , µ 0, 1, Borel, Leb. and let T X X be C 1 and
strictly increasing. Is T X X a non-singular bijection?
3. Fourier transform on L2 R.
t2
Let ϕt e 2 º t > R .
a) Show that ϕ Â 2πϕ.
d
Hint dx Âx xϕ
ϕ Âx??
Let f > L1 R 9 L2 R.
b) Show that
w x º w º
ϕ º SfÂxS2 dx 2nπ ϕx ng xdx
R
n R
r
where g x R f x y f y dy.
c) Deduce that
º w
Â 2
Yf Y2 º
2nπ ϕx ng xdx 2πg 0 2π Yf Y22 .
R
d) Show that there is a bounded linear operator T L2 R L2 R

so that T f fÂ ¦ f > L1 R 9 L2 R.
4. Which inequality?
Let X, B , µ and Y, C , ν be probability spaces, and let m B a C
0, 1 be the product measure.
Suppose that f X Y 0, ª is B a C -measurable, 1 @ p @ ª and
for x > X define fx Y 0, ª by fx f x, y .
Which of the following (if any) is true:
w w
Yf YL m B
p Yfx YL ν dµx, or Yf YL m C
p p Yfx YLp ν dµx ?
X X
When is there equality?

5. A measure on product space.
Let I 0, 1 and Ω 0, 1N equipped with their natural topologies.
a) Show that there is a probability m B I Ω 0, 1 such that

¦ n C 1, a1 , . . . , an > 0, 1 & J > B I ,
nsn
mJ a1 , . . . , an SJ ts n
1 t dt
14 Measure Theory
where
a1 , . . . , a n x1 , x2 , . . . > Ω xk ak 1 B k B n
and sn a1 an .
b) Show that
1
SI Ω An T 2 dm
6n
where T t, x t and An t, x n1 Pnk 1 xk .
c) Calculate E f SA for f I Ω 0, ª measurable, where A
I B Ω I A A > B Ω .
6. Martingale basics.
Suppose that X, B , m is a probability space. A filtration on X, B , m
is an increasing sequence of sub-σ-algebras Fn nC1 , Fn ` Fn1 Fª
σ nC1 Fn b B .
A sequence of measurable functions f0 , f1 , . . . is adapted to the filtra-
tion Fn nC0 (Fn nC0 -adapted) if fn is Fn -measurable ¦ n C 0.
Y A Fn nC0 -adapted sequence f1 , f2 , . . . with fn > L1 m ¦ n is a:
- Fn nC0 -martingale if E fn1 SFn fn ;
- Fn nC0 -submartingale if E fn1 SFn C fn .
Show that
(a) if f > L1 m and fn E f SFn , then fn nC0 is a Fn nC0 -martingale.
(b) if fn nC0 is a Fn nC0 -submartingale, then E fk SFj C fj ¦ k C j;
(c) if fn nC0 is a Fn nC0 -martingale, then Sfn SnC0 is a Fn nC0 - sub-
martingale.

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MT Ex2011

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COURSE EXERCISES ON MEASURE THEORY

Show that Sd,Γ is a semi-ring.

Given N > N, λi > Λ, Ai ` Xλi 1 B i B N  define the cylinder set

Now suppose that µ S 0, ª satisfies

(ii) Show that if F ` Λ is finite, G ` S F and C "g>G gF > S , then

4. More additive set functions.

A is an algebra, that µ A 0, ª is additive and that ¨ ν σA

5. σ-algebras. Is there a countably infinite σ-algebra?

a) Show that if A ` R, and µA 9 J  B 1

2. Markov chain measure.

Hint: Use ex.4 to show that ¦ ε A 0 § a finite partition α `

(o) ¦ εA0 § F ` A closed & U a open such that pU  F  @ ε.

Hint A > B X  o holds is a σ-algebra.....

pA inf pB  A ` B > B X .

Mp σ B X  8 N  where N A ` X pA 0.

2. An extended measure space.

B1 be the σ-algebra generated by B, and E. Show that

(c) B1 9 E 8B2 9 E c  

and hence that

3. Separability. Let X, B , m be a finite measure space. Define a

4. Generalised Cantor sets. For I a  c, a  c a bounded closed

Clearly SA hS hSAS. For h1 , h2 , > 0, 1 define

a) Prove that A is closed and nowhere dense.

For r A 0, set z zr max z > 0, r~2 f  z  0, and define

ω fI , x 2 1∂I x

For E ` 0, 1 a closed, nowhere dense set, write R  E n In where

1. Baire space and the irrationals.

(b) Let X be a Polish space, and let p > P X, B X  be non-atomic.

Hint for (iii): mª

(i) Show that if fn Ðm 0, then § n1 @ n2 @ ª such that fnk Ð 0

5. Linear change of variable.

1. Hölder’s, and Minkowski’s inequalities.

(Hint: One way to do this is to prove that αλ β 1λ B λα 1 λβ α, β C 0, 0 @ λ @ 1,

and substitute α ap , β bq with appropriate λ...)

b) Prove that f g is integrable, and

For α > Ω countable ordinals, define the collection of Baire

(ii) if m > P X  and f X R is measurable then § g > B2 such that

(iii) Show that for f > B1 , continuity points of f  is a dense Gδ set;

As in exercise 3.3, let B  A A > B A A A > B  where

(v) Show that if A > a > d, then ¨ g > B1 , 1A g m - a.e..

4. Fundamental theorem of calculus?

(i) for f X R measurable,

(iii) By suitably modifying Volterra’s construction (or otherwise), show

Exercise (No 7), 6/4/2011

1. σ-finiteness and separability.

2. Measurability and Fubini.

where `x, te `x1 , . . . , xd , t1 , . . . , td e Pdk 1 xk tk .

c) Show that if f Rd R is C 1 and f x 0 is compact, then

d) Prove the Riemann-Lebesgue Lemma, that if f > L1 Rd , then

Exercise (No 8), 13/4/2011

(iii) Let T X X be a non-singular bijection of X. For 1 B p @ ª

d) Show that there is a bounded linear operator T L2 R L2 R

When is there equality?

a) Show that there is a probability m B I  Ω 0, 1 such that

Anda mungkin juga menyukai

Given N > N, λi > Λ, Ai ` Xλi 1 B i B N define the cylinder set

Now suppose that µ S 0, ª satisfies

(ii) Show that if F ` Λ is finite, G ` S F and C "g>G gF > S , then

A is an algebra, that µ A 0, ª is additive and that ¨ ν σA

a) Show that if A ` R, and µA 9 J B 1

(o) ¦ εA0 § F ` A closed & U a open such that pU F @ ε.

Hint A > B X o holds is a σ-algebra.....

pA inf pB A ` B > B X .

Mp σ B X 8 N where N A ` X pA 0.

(c) B1 9 E 8B2 9 E c

3. Separability. Let X, B , m be a finite measure space. Define a

4. Generalised Cantor sets. For I a c, a c a bounded closed

Clearly SA hS hSAS. For h1 , h2 , > 0, 1 define

For r A 0, set z zr max z > 0, r~2 f z 0, and define

ω fI , x 2 1∂I x

For E ` 0, 1 a closed, nowhere dense set, write R E n In where

(b) Let X be a Polish space, and let p > P X, B X be non-atomic.

Hint for (iii): mª

(Hint: One way to do this is to prove that αλ β 1λ B λα 1 λβ α, β C 0, 0 @ λ @ 1,

For α > Ω countable ordinals, define the collection of Baire

(ii) if m > P X and f X R is measurable then § g > B2 such that

(iii) Show that for f > B1 , continuity points of f is a dense Gδ set;

As in exercise 3.3, let B A A > B A A A > B where

where `x, te `x1 , . . . , xd , t1 , . . . , td e Pdk 1 xk tk .

c) Show that if f Rd R is C 1 and f x 0 is compact, then

d) Prove the Riemann-Lebesgue Lemma, that if f > L1 Rd , then

d) Show that there is a bounded linear operator T L2 R L2 R

a) Show that there is a probability m B I Ω 0, 1 such that