Monotone convergence theorem

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Jump to: navigation, search In mathematics, the monotone convergence theorem is any of several theorems. Some major examples are presented here.

Contents
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1 Convergence of a monotone sequence of real numbers o 1.1 Theorem o 1.2 Proof o 1.3 Remark 2 Convergence of a monotone series o 2.1 Theorem 3 Lebesgue's monotone convergence theorem o 3.1 Theorem o 3.2 Proof 4 See also 5 Notes

[edit] Convergence of a monotone sequence of real numbers

[edit] Theorem
If an is a monotone sequence of real numbers (e.g., if an an+1), then this sequence has a finite limit if and only if the sequence is bounded.[1]

[edit] Proof
We prove that if an increasing sequence the limit is Since . is non-empty and by assumption, it is bounded above, therefore, by the Least exists and is finite. Now for every , since otherwise is an upper bound . Then since is increasing, is bounded above, then it is convergent and

upper bound property of real numbers, , there exists such that of , which contradicts to being

, hence by definition, the limit of is

[edit] Remark
If a sequence of real numbers is decreasing and bounded below, then its infimum is the limit.

[edit] Convergence of a monotone series

[edit] Theorem
If for all natural numbers j and k, aj,k is a non-negative real number and aj,k aj+1,k, then (see for instance [2] page 168)

The theorem states that if you have an infinite matrix of non-negative real numbers such that 1. the columns are weakly increasing and bounded, and 2. for each row, the series whose terms are given by this row has a convergent sum, then the limit of the sums of the rows is equal to the sum of the series whose term k is given by the limit of column k (which is also its supremum). The series has a convergent sum if and only if the (weakly increasing) sequence of row sums is bounded and therefore convergent. As an example, consider the infinite series of rows

where n approaches infinity (the limit of this series is e). Here the matrix entry in row n and column k is

the columns (fixed k) are indeed weakly increasing with n and bounded (by 1/k!), while the rows only have finitely many nonzero terms, so condition 2 is satisfied; the theorem now says that you can compute the limit of the row sums of the column limits, namely . by taking the sum

[edit] Lebesgue's monotone convergence theorem

This theorem generalizes the previous one, and is probably the most important monotone convergence theorem. It is also known as Beppo Levi's theorem.

[edit] Theorem
Let (X, , ) be a measure space. Let be a pointwise non-decreasing sequence of [0, )-valued measurable functions, i.e. for every k 1 and every x in X,

Next, set the pointwise limit of the sequence

to be f. That is, for every x in X,

Then f is measurable (see for instance [3] section 21.38) and

Remark. If the sequence every

satisfies the assumptions almost everywhere, one can is non-decreasing for

find a set N with (N) = 0 such that the sequence . The result remains true because for every k,

[edit] Proof
We will first show that f is measurable. To do this, it is sufficient to show that the inverse image of an interval [0, t] under f is an element of the sigma algebra on X, because (closed) intervals generate the Borel sigma algebra on the reals. Let I = [0, t] be such a subinterval of [0, ]. Let

Since I is a closed interval and

Thus,

Note that each set in the countable intersection is an element of because it is the inverse image of a Borel subset under a -measurable function . Since sigma algebras are, by definition, closed under countable intersections, this shows that f is -measurable. In general, the supremum of any countable family of measurable functions is also measurable. Now we will prove the rest of the monotone convergence theorem. The fact that f is measurable implies that the expression is well defined.

We will start by showing that By the definition of the Lebesgue integral,

where SF is the set of -measurable simple functions on X. Since every x X, we have that

at

Hence, since the supremum of a subset cannot be larger than that of the whole set, we have that:

and the limit on the right exists, since the sequence is monotonic. We now prove the inequality in the other direction (which also follows from Fatou's lemma), that is we seek to show that

It follows from the definition of integral, that there is a non-decreasing sequence (gk) of non-negative simple functions such that gk f and such that

It suffices to prove that for each

because if this is true for each k, then the limit of the left-hand side will also be less than or equal to the right-hand side. We will show that if gk is a simple function and

for every x, then

Since the integral is linear, we may break up the function into its constant value parts, reducing to the case in which is the indicator function of an element B of the sigma algebra . In this case, we assume that is a sequence of measurable functions whose supremum at every point of B is greater than or equal to one. To prove this result, fix > 0 and define the sequence of measurable sets

By monotonicity of the integral, it follows that for any

By the assumption that high values of n, and therefore

, any x in B will be in

for sufficiently

Thus, we have that

Using the monotonicity property of measures, we can continue the above equalities as follows:

Taking k , and using the fact that this is true for any positive , the result follows.

[edit] See also

Infinite series Dominated convergence theorem