221 Analysis 2, 200809

Summary of theorems and denitions

Measure theory
Denition. The extended real line is the set
[, ] = R {, }
where and are two symbols which do not belong to R. We extend
order, addition and product on R to [, ] in the natural way by
dening, for any x R:
(i). < x, x < and < ;
(ii). () +x = = x + (), +x = = x +, + =
and () + () = (note that () + is not dened);
(iii). x = x =
_

_
if x > 0
0 if x = 0
if x < 0
, = = () () and
() y = ( y) = y () for any y [, ].
Denition. Let X be a set. We write P(X) = {all subsets of X}.
Denition. Let X be a set. A collection A P(X) of subsets of X is
called a ring of subsets of X , or simply a ring , if
(i). A,
(ii). A, B A = A \ B A, and
(iii). A, B A = A B A.
Denition. A measure is a function m: A [0, ], where A is a ring of
subsets of a set X, such that
(i). m() = 0, and
(ii). m
_

_
i=1
A
i
_
=

i=1
m(A
i
) whenever
A
i
A for i 1,
A
i
A
j
= for i = j, and

i=1
A
i
A.
We abbreviate property (ii) by saying that m is
countably additive on disjoint unions , or just countably additive .
1
Proposition. Let m: A [0, ] be a measure, where A is a ring of
subsets of X. Then
(i). if A, B A with A B, then m(A) m(B);
(ii). if A, B A with A B and m(B) < then
m(B \ A) = m(B) m(A).
Lemma (The disjoint unions trick). If A is a ring of subsets of a set X
and A
i
A for i = 1, 2, . . . then there are pairwise disjoint sets

A
i
A with

A
i
A
i
and

_
i=1

A
i
=

_
i=1
A
i
.
Theorem (Measures are countably subadditive). Let m: A [0, ] be a
measure where A is a ring. For any A
i
A, i = 1, 2, . . . , we have
m
_

_
i=1
A
i
_

i=1
m(A
i
).
Denition. If A
i
X for i = 1, 2, . . . and A X,
A
i
A means A
1
A
2
. . . and A =

_
i=1
A
i
;
A
i
A means A
1
A
2
. . . and A =

i=1
A
i
.
Theorem (Increasing unions and decreasing intersections).
Let m: A [0, ] be a measure, where A is a ring of subsets of X, and let
A
i
A for i = 1, 2, . . . .
(i). If A
i
A where A A, then m(A
i
) m(A) as i .
(ii). If A
i
A where A A and if m(A
1
) < , then m(A
i
) m(A) as
i .
Denition. Let X be a set. A collection A P(X) of subsets of X is
called a -algebra if
(i). A,
(ii). A A = A

A [we write A

= X \ A], and
(iii). A
i
A for i = 1, 2, . . . =

i=1
A
i
A.
Proposition.
If A is a -algebra and A
i
A for i = 1, 2, . . . then

i=1
A
i
A.
2
Denition. Let m: A [0, ] be a measure where A is a ring of subsets
of a set X. The outer-measure of m is the function m

: P(X) [0, ]
dened for any Y X by
m

(Y ) = inf
_

i=1
m(A
i
): A
i
A for i = 1, 2, . . . and Y

_
i=1
A
i
_
.
Theorem. If A A then m

(A) = m(A). So m

extends m.
Theorem. (i). If A, B X with A B then m

(A) m

(B).
(ii). m

is countably subadditive. That is, if Y

i
X for i = 1, 2, . . . then
m

_

_
i=1
Y
i
_

i=1
m

(Y
i
).
Denition. Let m: A [0, ] be a measure where A is a ring of subsets
of a set X. A set B X is m-measurable if for any Y X,
m

(Y ) = m

(Y B) +m

(Y \ B).
no proof Theorem (The Extension Theorem). Let m: A [0, ] be a measure
where A is a ring of subsets of a set X, and let M denote the collection of
all m-measurable subsets of X.
(i). A M,
(ii). M is a -algebra, and
(iii). m

|
M
: M [0, ] is a measure which extends m.
Corollary. For any measure m: A [0, ], there is an extension of m to
a measure on the -algebra M of all m-measurable sets.
Denition. Let m: A [0, ] be a measure where A is a ring of subsets
of a set X. We say that m is -nite if there are sets X
i
A with X
i
X
such that m(X
i
) < for i = 1, 2, . . . .
Theorem (Uniqueness of extensions for -nite measures).
For any -nite measure m: A [0, ], there is a unique extension of m
to a measure on the -algebra M of all m-measurable sets.
3
Lebesgue measure on R
Denition. The interval ring is the set I P(R),
I = {all nite unions of intervals of the form (a, b] where a, b R}.
Denition. The length measure m: I [0, ] is dened by
m((a
1
, b
1
] (a
2
, b
2
] (a
n
, b
n
]) = b
1
a
1
+ b
2
a
2
+ . . . +b
n
a
n
where a
1
< b
1
< a
2
< b
2
< < a
n
< b
n
.
no proof Theorem. The length measure m: I [0, ] is a (well-dened) -nite
measure.
Denition. Let m: I [0, ] be the length measure.
A set B R is Lebesgue measurable if it is m-measurable.
Let M denote the collection of all Lebesgue measurable sets.
Lebesgue measure m: M [0, ] is the measure obtained by extending
the length measure to the -algebra M of Lebesgue measurable sets using
the Extension Theorem.
For the rest of this section, we will write m for Lebesgue measure and M
for the collection of all Lebesgue measurable sets.
Proposition. Let A M and c R.
(i). m(A +c) = m(A) [m is translation invariant], and
(ii). m(cA) = |c|m(A).
no proof Theorem. There is a subset of R which is not Lebesgue measurable.
Denition. Let S P(R) be any collection of subsets of R.
The -algebra generated by S is
(S) =

_
A P(R): A is a -algebra and S A
_
Proposition. (S) is the smallest -algebra of subsets of R which
contains S. That is,
(i). (S) is a -algebra and S (S), and
(ii). If B P(R) is any -algebra with S B then (S) B.
Denition. The collection of Borel subsets of R is dened to be (O)
where O is the collection of open subsets of R.
Theorem. The collection of Borel subsets of R is equal to (I). So
I (I) = (O) M P(R).
Theorem. For any Lebesgue measurable set A M, there is a Borel set B
with A B and m(B \ A) = 0.
4
Integration with respect to a measure
Denition. A measure space consists of a set X, a -algebra M P(X)
and a measure m: M [0, ].
Let us x a measure space (X, M, m). We refer to the sets in M as
measurable sets.
Denition. A function f : X [, ] is measurable if the set
f
1
(, ] = {x X: f(x) > }
is in M for every R.
Denition. If A X then the characteristic function of A is the function

A
: X R dened by

A
(x) =
_
1 if x A,
0 if x A.
Proposition. If f, g : X [, ] are two measurable functions, A M
is a measurable set and c [, ], then f +g, f
A
and cf are all
measurable functions.
Denition. A function : X R is simple if the range of is a nite
set.
Proposition. Let : X R be a simple function. There is a partition
X = A
1
A
n
of X and a
1
, . . . , a
n
R with a
i
= a
j
if i = j such that
= a
1

1
+ +a
n

n
. ()
Apart from re-ordering, there is only one way to write in this form.
Moreover, is measurable if and only if each set A
1
, . . . , A
n
is measurable.
Denition. If : X [0, ) is a nonnegative, simple measurable function
written in the form () then the integral of with respect to m is
dened as
_
dm = a
1
m(A
1
) + +a
n
m(A
n
).
If A is a measurable set then
A
is a nonnegative, simple measurable
function, so we can dene the integral of over A with respect to m by
_
A
dm =
_

A
dm.
Proposition. If A is any measurable set then
_

A
dm = m(A).
5
Proposition. If c [0, ) and , : X [0, ) are nonnegative, simple
measurable functions then
(i). + is nonnegative, simple and measurable, and
_
+ dm =
_
dm+
_
dm, and
(ii). c is nonnegative, simple and measurable, and
_
cdm = c
_
dm.
Theorem. If : X [0, ) is a nonnegative, simple measurable function
then the map : M [0, ],
(A) =
_
A
dm, for A M
is a measure.
Corollary. Let : X [0, ) be a nonnegative, simple measurable
function. Let A M and A
n
M for n = 1, 2, . . . , with A
n
A. Then
_
A
n
dm
_
A
dm as n .
Denition. Let f : X [0, ] be a nonnegative measurable function. The
integral of f with respect to m is dened as
_
f dm = sup
_
_
dm:
: X [0, ) is a nonnegative, simple
measurable function with 0 f
_
.
If A is a measurable set then f
A
is a nonnegative measurable function, so
we can dene the integral of f over A with respect to m by
_
A
f dm =
_
f
A
dm.
Proposition. Let f and g be nonnegative measurable functions X [0, ]
and let A, B M.
(i). If f g then
_
f dm
_
g dm.
(ii). If A B then
_
A
f dm
_
B
f dm.
Denition. A sequence (f
n
)
n1
of functions f
n
: X [, ] is
monotone increasing if f
1
(x) f
2
(x) f
3
(x) . . . for every x X.
If f : X [, ], we write f = lim
n
f
n
or f
n
f as n if
f
n
(x) f(x) for every x X.
Proposition. Let (f
n
)
n1
be a monotone increasing sequence of functions
f
n
: X [, ].
(i). There is a function f : X [, ] with f = lim
n
f
n
.
(ii). If each f
n
is a measurable function, then so is f = lim
n
f
n
.
6
Theorem (The Monotone Convergence Theorem). If (f
n
)
n1
is a
monotone increasing sequence of nonnegative measurable functions
f
n
: X [0, ] then
_
lim
n
f
n
dm = lim
n
_
f
n
dm.
Theorem. Let f : X [0, ] be any nonnegative measurable function.
There is a monotone increasing sequence (
n
)
n1
of nonnegative, simple
measurable functions
n
: X [0, ) with f = lim
n

n
.
Corollary. (i). If f, g : X [0, ] are nonnegative measurable functions
and c 0 then f +g and cf are nonnegative measurable functions,
and
_
f +g dm =
_
f dm +
_
g dm and
_
cf dm = c
_
f dm.
(ii). If f
n
: X [0, ] are nonnegative measurable functions for n 1
then

n=1
f
n
is a nonnegative measurable function and
_

n=1
f
n
dm =

n=1
_
f
n
dm.
Corollary. If f : X [0, ) is a nonnegative measurable function then the
map : M [0, ],
(A) =
_
A
f dm, for A M
is a measure.
Corollary. Let f : X [0, ) be a nonnegative measurable function. Let
A
i
M for i = 1, 2, . . . .
(i). If A =

i=1
A
i
is a countable disjoint union then
_
A
f dm =

i=1
_
A
i
f dm.
(ii). If A
i
A then
_
A
i
f dm
_
A
f dm as i .
(iii). If A
i
A and
_
A
1
f dm < then
_
A
i
f dm
_
A
f dm as i .
7
Denition. A set A M is m-null , or null , if m(A) = 0.
Denition. Let f, g : X [, ] be measurable functions. We say that
f = g almost everywhere , or f = g a.e. if the set {x X: f(x) = g(x)}
is m-null.
Theorem. Let f : X [0, ] be a nonnegative measurable function. Then
_
f dm = 0 f = 0 almost everywhere.
Corollary. If A is an m-null set and f : X [0, ] is any nonnegative
measurable function then
_
A
f dm = 0.
Corollary. If f, g : X [0, ] are nonnegative measurable functions with
f = g almost everywhere, then
_
f dm =
_
g dm.
Theorem (An almost everywhere version of the MCT). If (f
n
)
n1
is a
monotone increasing sequence of nonnegative measurable functions
f
n
: X [0, ] with f
n
f almost everywhere then
_
f dm = lim
n
_
f
n
dm.
Denition. If f : X R is a measurable function, we say f is
integrable with respect to m if
_
f
+
dm < and
_
f

dm <
where f
+
, f

: X [0, ) are the nonnegative measurable functions

f
+
(x) =
_
f(x) if f(x) 0
0 if f(x) < 0
and f

(x) =
_
f(x) if f(x) 0
0 if f(x) > 0
If f is integrable with respect to m, we dene the
integral of f with respect to m by
_
f dm =
_
f
+
dm
_
f

dm.
Proposition. If f
1
, f
2
: X [0, ) are measurable functions with
_
f
1
dm < and
_
f
2
dm < then the function f = f
1
f
2
is integrable
and
_
f dm =
_
f
1
dm
_
f
2
dm.
Corollary. If f, g : X R are integrable functions and c R then f +g
and cf are integrable with
_
f +g dm =
_
f dm +
_
g dm and
_
cf dm = c
_
f dm.
8
Theorem. If f, g : X R are integrable functions with f = g almost
everywhere then
_
f dm =
_
g dm.
Theorem. If f : X R is measurable then |f| is measurable and
(i). f is integrable |f| is integrable; and
(ii). if f is integrable then |
_
f dm|
_
|f| dm.
Denition. A complex-valued function f : X C is integrable if the
real-valued functions Re f and Imf are both integrable. If f is integrable,
the integral of f with respect to m is the complex number
_
f dm =
_
Re f dm +i
_
Imf dm.
Theorem. If f : X C is integrable then |
_
f dm|
_
|f| dm.
Denition. Let (a
n
)
n1
be a sequence in [, ]. The lim sup and
lim inf of this sequence are dened by
limsup
n
a
n
= lim
n
_
sup
in
a
i
_
and liminf
n
a
n
= lim
n
_
inf
in
a
i
_
.
Theorem (Fatous lemma). If (f
n
)
n1
is a sequence of nonnegative
measurable functions f
n
: X [0, ] then
_
liminf
n
f
n
dm liminf
n
_
f
n
dm.
Theorem (The Dominated Convergence Theorem). Suppose that (f
n
)
n1
is
a sequence of integrable functions f
n
: X R and that f
n
f as n .
If there is an integrable function g : X R with |f
n
| g for all n 1, then
f is integrable, and
_
f dm = lim
n
_
f
n
dm.
Theorem. Let (f
n
)
n1
be a sequence of integrable functions f
n
: X R so
that

n=1
|f
n
(x)| < for every x X and with

n=1
_
|f
n
| dm < .
Then
_

n=1
f
n
dm =

n=1
_
f
n
dm.
Theorem (Dierentiation under the integral sign). Let f : X [a, b] R
be a function so that
(i). for each t [a, b], x f(x, t) is an integrable function X R; and
(ii). for each x X, t f(x, t) is a dierentiable function [a, b] R; and
(iii). for some integrable g : X R we have

f
t
(x, t)

g(x)
for every t [a, b] and x X.
Then
d
dt
_
f(x, t) dx =
_
f
t
(x, t) dx
9
Lebesgue integration on R
Denition. The Lebesgue integral is the integral with respect to
Lebesgue measure m: M R where M is the collection of Lebesgue
measurable subsets of R. In other words, integrals with respect to m are
dened by applying the preceding theory to the measure space (R, M, m)
where M and m are the Lebesgue measurable subsets of R, and Lebesgue
measure on R, respectively. For a b, well write
_
b
a
f(x) dx =
_
a
b
f(x) dx instead of
_
(a,b)
f dm
Proposition. For any a, b, c R and any integrable function f : R R,
_
b
a
f(x) dx +
_
c
b
f(x) dx =
_
c
a
f(x) dx.
Theorem (The Fundamental Theorem of Calculus). Let a R, let
f : R R be continuous and let F(t) =
_
t
a
f(x) dx for t R. Then
F

(t) = f(t) for all t R.

Corollary. If G: R R is continuously dierentiable and a, b R then
_
b
a
G

(x) dx = G(b) G(a).

Corollary. If a, b, c, d R and u and f are functions [a, b]
u
[c, d]
f
R
with u continuously dierentiable and f continuous, then
_
b
a
f(u(x)) u

(x) dx =
_
u(b)
u(a)
f(y) dy.
Theorem. Let f : R R be an integrable function and let c R.
(i).
_
f(x +c) dx =
_
f(x) dx
(ii). If c = 0 then
_
f(cx) dx =
1
|c|
_
f(x) dx.
10
Multiple integration
Let (X, L, ) and (Y, M, m) be measure spaces. We will write
_
f(x) d(x) =
_
f d and
_
g(y) dm(y) =
_
g dm
whenever the expressions on the right hand side make sense.
Denition. If A L and B M then the set A B is called a
rectangle . We write rect(L, M) = {A B: A L, B M} for the set of
all rectangles. We also write
A
rect
(L, M) = {all nite unions of rectangles A B rect(L, M)}.
Proposition. A
rect
(L, M) is a ring of subsets of X Y , and every element
of A
rect
(L, M) is a nite disjoint union of rectangles from rect(L, M).
Denition. If E A
rect
(L, M) with E =

i=1
A
i
B
i
is a disjoint union
(possibly with A
i
B
i
= for i suciently large) then we dene
(E) =

i1
(A
i
)m(B
i
).
Theorem. : A
rect
(L, M) [0, ] is a well-dened measure.
Denition. The product -algebra of the -algebras L and M is
L M = (A
rect
(L, M)).
The product measure of the measures and m is l m =

|
LM
, the
restriction of the outer measure

to L M.
Since L M is contained in the -measurable subsets of X Y , the
Extension Theorem shows that m is a measure.
Monotone classes
Denition. Let X be a set. A monotone class of subsets of X is a
non-empty collection C P(X) which is closed under increasing unions and
decreasing intersections:
(i). if A
n
C and A
n
A for some A X, then A C; and
(ii). if A
n
C then and A
n
A for some A X then A C.
If S P(X) is a non-empty collection of subsets of X, we write mon(S)
for the smallest monotone class of subsets of X which contains S.
11
Proposition. (i). A non-empty collection of subsets of X which is closed
under increasing unions and complements is a monotone class.
(ii). Any -algebra is a monotone class.
(iii). S mon(S) (S) for any non-empty collection S of subsets of X.
no proof Theorem (Monotone class lemma). If A P(X) is a ring of subsets of X
then mon(A) is also a ring of subsets of X.
Corollary. Let A be a ring of subsets of a set X. If X mon(A) then
mon(A) = (A).
Corollary. L M = mon(A
rect
(L, M)).
Integration using product measure
Denition. Let E X Y . For x X and y Y , we write
E
x
= {y Y : (x, y) E} and E
y
= {x X: (x, y) E}.
Theorem. If E L M then E
x
M for every x X, and E
y
L for
every y Y .
no proof Theorem. Let l and m be -nite measures and let E L M.
(i). Both of the functions X [0, ], x m(E
x
) and
Y [0, ], y m(E
y
) are measurable.
(ii). l m(E) =
_
X
m(E
x
) dl(x) =
_
Y
l(E
y
) dm(y).
Theorem (Tonellis theorem). If F : X Y [0, ] is a nonnegative
measurable function then
_
X
_
_
Y
F(x, y) dm(y)
_
dl(x) =
_
XY
F d(lm) =
_
Y
_
_
X
F(x, y) dl(y)
_
dm(x).
[In particular, all of the functions that must be measurable for these
integrals to be dened, are measurable!]
Theorem (Fubinis theorem). If F : X Y R is integrable then
_
X
_
_
Y
F(x, y) dm(y)
_
dl(x) =
_
XY
F d(lm) =
_
Y
_
_
X
F(x, y) dl(y)
_
dm(x).
Here, the integral
_
Y
F(x, y) dm(y) is dened for almost every x X,
and x
_
Y
F(x, y) dm(y) is integrable.
Similarly, the integral
_
X
F(x, y) dl(x) is dened for almost every y Y ,
and y
_
X
F(x, y) dl(x) is integrable.
12
Lebesgue measure and integration on R
n
Denition. Let (R, M, m) be the usual Lebesgue measure space, as on
page 10. Lebesgue measure on R
2
is the measure
mm: MM [0, ]. We obtain a corresponding integral from the
measure space (R
2
, MM, mm).
Similarly, we dene Lebesgue measure on R
n
by
m m: M M [0, ], and obtain a corresponding integral
from the measure space (R
n
, M M, m m).
If f : R
n
R is integrable then we write
_
R
n
f(x) dx
for the integral of f with respect to Lebesgue measure on R
n
.
We have the following generalisation of the nal theorem on page 10:
Theorem. Let A be an invertible n n matrix with real entries. If
f : R
n
R is integrable then
_
R
n
f(Ax) dx =
1
| det A|
_
R
n
f(x) dx.
Corollary. Let A be any n n matrix with real entries and let
= m m denote Lebesgue measure on R
n
. If S R
n
is a Lebesgue
measurable and we write A(S) = {Ax: x S} then
(A(S)) = | det A|(S).
13