Tutorial 4: Measurability

4. Measurability
Denition 25 Let A and B be two sets, and f : A B be a map. Given A A, we call direct image of A by f the set denoted f (A ), and dened by f (A ) = {f (x) : x A }. Denition 26 Let A and B be two sets, and f : A B be a map. Given B B , we call inverse image of B by f the set denoted f 1 (B ), and dened by f 1 (B ) = {x : x A , f (x) B }. Exercise 1. Let A and B be two sets, and f : A B be a bijection from A to B . Let A A and B B . 1. Explain why the notation f 1 (B ) is potentially ambiguous. 2. Show that the inverse image of B by f is in fact equal to the direct image of B by f 1 . 3. Show that the direct image of A by f is in fact equal to the inverse image of A by f 1 .
www.probability.net

Tutorial 4: Measurability

Denition 27 Let (, T ) and (S, TS ) be two topological spaces. A map f : S is said to be continuous if and only if: B TS , f 1 (B ) T In other words, if and only if the inverse image of any open set in S is an open set in . We Write f : (, T ) (S, TS ) is continuous, as a way of emphasizing the two topologies T and TS with respect to which f is continuous. Denition 28 Let E be a set. A map d : E E [0, +[ is said to be a metric on E , if and only if: (i) (ii) (iii) x, y E , d(x, y ) = 0 x = y x, y E , d(x, y ) = d(y, x) x, y, z E , d(x, y ) d(x, z ) + d(z, y )

Denition 29 A metric space is an ordered pair (E, d) where E is a set, and d is a metric on E .
www.probability.net

Tutorial 4: Measurability

Denition 30 Let (E, d) be a metric space. For all x E and > 0, we dene the so-called open ball in E : B (x, ) = {y : y E , d(x, y ) < }
d We call metric topology on E , associated with d, the topology TE dened by: d = {U E , x U, > 0, B (x, ) U } TE d be the metric topology associated with d, where Exercise 2. Let TE (E, d) is a metric space. d is indeed a topology on E . 1. Show that TE

2. Given x E and

> 0, show that B (x, ) is an open set in E .

Exercise 3. Show that the usual topology on R is nothing but the metric topology associated with d(x, y ) = |x y |.
www.probability.net

Tutorial 4: Measurability

Exercise 4. Let (E, d) and (F, ) be two metric spaces. Show that a map f : E F is continuous, if and only if for all x E and > 0, there exists > 0 such that for all y E : d(x, y ) < (f (x), f (y )) <

Denition 31 Let (, T ) and (S, TS ) be two topological spaces. A map f : S is said to be a homeomorphism, if and only if f is a continuous bijection, such that f 1 is also continuous. Denition 32 A topological space (, T ) is said to be metrizable, if and only if there exists a metric d on , such that the associated d =T. metric topology coincides with T , i.e. T

www.probability.net

Tutorial 4: Measurability

Denition 33 Let (E, d) be a metric space and F E . We call induced metric on F , denoted d|F , the restriction of the metric d to F F , i.e. d|F = d|F F . Exercise 5. Let (E, d) be a metric space and F E . We dene d )|F as the topology on F induced by the metric topology on TF = (TE E . Let TF = TF |F be the metric topology on F associated with the induced metric d|F on F . 1. Show that TF TF . 2. Given A TF , show that A = (xA B (x, x )) F for some x > 0, x A, where B (x, x ) denotes the open ball in E . 3. Show that TF TF . Theorem 12 Let (E, d) be a metric space and F E . Then, the topology on F induced by the metric topology, is equal to the metric d d )|F = TF |F . topology on F associated with the induced metric, i.e. (TE
www.probability.net d

Tutorial 4: Measurability

Exercise 6. Let : R ] 1, 1[ be the map dened by: x x R , (x) = |x| + 1 1. Show that [1, 0[ is not open in R. 2. Show that [1, 0[ is open in [1, 1]. 3. Show that is a homeomorphism between R and ] 1, 1[. 4. Show that limx+ (x) = 1 and limx (x) = 1. = [, +] = R {, +}. Let be dened Exercise 7. Let R :R [1, 1] be the map dened by: as in exercise (6), and (x) if x R (x) = 1 if x = + 1 if x = Dene: (U ) is open in [1, 1]} , TR = {U R
www.probability.net

Tutorial 4: Measurability

is a bijection from R to [1, 1], and let = 1 . 1. Show that . 2. Show that TR is a topology on R is a homeomorphism between R and [1, 1]. 3. Show that . 4. Show that [, 2[, ]3, +], ]3, +[ are open in R [1, 1] is an arbitrary homeomorphism, 5. Show that if : R is open, if and only if (U ) is open in [1, 1]. then U R is dened as: Denition 34 The usual topology on R , (U ) is open in [1, 1]} TR = {U R :R () = 1, (+) = 1 and: [1, 1] is dened by where x (x) = x R , |x| + 1

www.probability.net

Tutorial 4: Measurability

be as in exercise (7). Dene: Exercise 8. Let and T = (TR )|R = {U R , U TR } 1. Recall why T is a topology on R. (U )] 1, 1[. , (U R) = 2. Show that for all U R 3. Explain why if U TR , (U R) is open in ] 1, 1[. 4. Show that T TR , (the usual topology on R). (U ) is open in ] 1, 1[ and [1, 1]. 5. Let U TR . Show that 6. Show that TR TR induces 7. Show that TR = T , i.e. that the usual topology on R the usual topology on R. )} )|R = {B R , B B (R 8. Show that B (R) = B (R

www.probability.net

Tutorial 4: Measurability

R [0, +[ be dened by: Exercise 9. Let d : R R , (x, y ) R d(x, y ) = |(x) (y )| to [1, 1]. where is an arbitrary homeomorphism from R . 1. Show that d is a metric on R 2. Show that if U TR , then (U ) is open in [1, 1] 3. Show that for all U TR and y (U ), there exists that: z [1, 1] , |z y | < z (U )
d 4. Show that TR TR . d 5. Show that for all U TR and x U , there is

> 0 such

> 0 such that:

, |(x) (y )| < y R

yU

d 6. Show that for all U TR , (U ) is open in [1, 1].

www.probability.net

Tutorial 4: Measurability
d 7. Show that TR TR

10

8. Prove the following theorem. , TR Theorem 13 The topological space (R ) is metrizable. Denition 35 Let (, F ) and (S, ) be two measurable spaces. A map f : S is said to be measurable with respect to F and , if and only if: B , f 1 (B ) F We Write f : (, F ) (S, ) is measurable, as a way of emphasizing the two -algebras F and with respect to which f is measurable. Exercise 10. Let (, F ) and (S, ) be two measurable spaces. Let S be a set and f : S be a map such that f () S S . We dene as the trace of on S , i.e. = |S . 1. Show that for all B , we have f 1 (B ) = f 1 (B S )
www.probability.net

Tutorial 4: Measurability

11

2. Show that f : (, F ) (S, ) is measurable, if and only if f : (, F ) (S , ) is itself measurable. 3. Let f : R+ . Show that the following are equivalent: (i) (ii) (iii) f : (, F ) (R+ , B (R+ )) is measurable f : (, F ) (R, B (R)) is measurable , B (R )) is measurable f : (, F ) (R

Exercise 11. Let (, F ), (S, ), (S1 , 1 ) be three measurable spaces. let f : (, F ) (S, ) and g : (S, ) (S1 , 1 ) be two measurable maps. 1. For all B S1 , show that (g f )1 (B ) = f 1 (g 1 (B )) 2. Show that g f : (, F ) (S1 , 1 ) is measurable.

www.probability.net

Tutorial 4: Measurability

12

Exercise 12. Let (, F ) and (S, ) be two measurable spaces. Let f : S be a map. We dene: = {B , f 1 (B ) F } 1. Show that f 1 (S ) = . 2. Show that for all B S , f 1 (B c ) = (f 1 (B ))c .
+ 1 (Bn ) 3. Show that if Bn S, n 1, then f 1 (+ n=1 Bn ) = n=1 f

4. Show that is a -algebra on S . 5. Prove the following theorem. Theorem 14 Let (, F ) and (S, ) be two measurable spaces, and A be a set of subsets of S generating , i.e. such that = (A). Then f : (, F ) (S, ) is measurable, if and only if: B A , f 1 (B ) F

www.probability.net

Tutorial 4: Measurability

13

Exercise 13. Let (, T ) and (S, TS ) be two topological spaces. Let f : S be a map. Show that if f : (, T ) (S, TS ) is continuous, then f : (, B ()) (S, B (S )) is measurable. ): Exercise 14. We dene the following subsets of the power set P (R C1 C2 C3 C4 = {[, c] , c R} = {[, c[ , c R} = {[c, +] , c R} = {]c, +] , c R}

1. Show that C2 and C4 are subsets of TR . . 2. Show that the elements of C1 and C3 are closed in R ). 3. Show that for all i = 1, 2, 3, 4, (Ci ) B (R . Explain why U R is open in R. 4. Let U be open in R
www.probability.net

Tutorial 4: Measurability

14

5. Show that any open subset of R is a countable union of open bounded intervals in R. 6. Let a < b, a, b R. Show that we have:
+ +

]a, b[=

]a, b 1/n] =
n=1

[a + 1/n, b[
n=1

7. Show that for all i = 1, 2, 3, 4, ]a, b[ (Ci ). 8. Show that for all i = 1, 2, 3, 4, {{}, {+}} (Ci ). ) 9. Show that for all i = 1, 2, 3, 4, (Ci ) = B (R 10. Prove the following theorem.

www.probability.net

Tutorial 4: Measurability

15

be Theorem 15 Let (, F ) be a measurable space, and f : R a map. The following are equivalent: (i) (ii) (iii) (iv ) (v ) (vi) , B (R )) is measurable f : (, F ) (R ) , {f B } F B B (R c R , {f c} F c R , {f < c} F c R , {c f } F c R , {c < f } F

Exercise 15. Let (, F ) be a measurable space. Let (fn )n1 be a , B (R )). Let g and h be sequence of measurable maps fn : (, F ) (R the maps dened by g ( ) = inf n1 fn ( ) and h( ) = supn1 fn ( ), for all .
1. Let c R. Show that {c g } = + n=1 {c fn }. 2. Let c R. Show that {h c} = + n=1 {fn c}. www.probability.net

Tutorial 4: Measurability

16

, B (R )) are measurable. 3. Show that g, h : (, F ) (R . We dene: Denition 36 Let (vn )n1 be a sequence in R u = lim inf vn = sup
n+ n1 k n

inf vk

and: w = lim sup vn = inf

sup vk

are respectively called lower limit and upper limit Then, u, w R of the sequence (vn )n1 . . for n 1 we dene Exercise 16. Let (vn )n1 be a sequence in R un = inf kn vk and wn = supkn vk . Let u and w be the lower limit and upper limit of (vn )n1 , respectively. 1. Show that un un+1 u, for all n 1.
www.probability.net

Tutorial 4: Measurability

17

2. Show that w wn+1 wn , for all n 1. 3. Show that un u and wn w as n +. 4. Show that un vn wn , for all n 1. 5. Show that u w. , 6. Show that if u = w then (vn )n1 converges to a limit v R with u = v = w. 7. Show that if a, b R are such that u < a < b < w then for all n 1, there exist N1 , N2 n such that vN1 < a < b < vN2 . 8. Show that if a, b R are such that u < a < b < w then there exist two strictly increasing sequences of integers (nk )k1 and (mk )k1 such that for all k 1, we have vnk < a < b < vmk . , then u = w. 9. Show that if (vn )n1 converges to some v R

www.probability.net

Tutorial 4: Measurability

18

. Then, the following Theorem 16 Let (vn )n1 be a sequence in R are equivalent: (i) (ii) in which case:
n+

lim inf vn = lim sup vn

. lim vn exists in R

lim vn = lim inf vn = lim sup vn

, B (R )) be two measurable Exercise 17. Let f, g : (, F ) (R maps, where (, F ) is a measurable space. 1. Show that {f < g } = rQ ({f < r} {r < g }). 2. Show that the sets {f < g }, {f > g }, {f = g }, {f g }, {f g } belong to the -algebra F .

www.probability.net

Tutorial 4: Measurability

19

Exercise 18. Let (, F ) be a measurable space. Let (fn )n1 be , B (R )). We dene a sequence of measurable maps fn : (, F ) (R g = lim inf fn and h = lim sup fn in the obvious way: , g ( ) = lim inf fn ( )
n+

, h() = lim sup fn ( )

, B (R )) are measurable. 1. Show that g, h : (, F ) (R 2. Show that g h, i.e. , g () h( ). 3. Show that {g = h} F . } F. 4. Show that { : , limn+ fn ( ) exists in R 5. Suppose = {g = h}, and let f () = limn+ fn ( ), for all , B (R )) is measurable. . Show that f : (, F ) (R

www.probability.net

Tutorial 4: Measurability

20

, B (R )) be two measurable Exercise 19. Let f, g : (, F ) (R maps, where (, F ) is a measurable space. 1. Show that f, |f |, f + = max(f, 0) and f = max(f, 0) are ). measurable with respect to F and B (R . Explain why the map a + f may not be well dened. 2. Let a R , B (R )) is measurable, whenever 3. Show that (a + f ) : (, F ) (R a R. , B (R )) is measurable, for all 4. Show that (a.f ) : (, F ) (R . (Recall the convention 0. = 0). aR 5. Explain why the map f + g may not be well dened. 6. Suppose that f 0 and g 0, i.e. f () [0, +] and also g () [0, +]. Show that {f + g < c} = {f < c g }, for all , B (R )) is measurable. c R. Show that f + g : (, F ) (R

www.probability.net

Tutorial 4: Measurability

21

, B (R )) is measurable whenever 7. Show that f + g : (, F ) (R f + g is well-dened, i.e. when the following condition holds: ({f = +} {g = }) ({f = } {g = +}) = , B (R )) is measurable, in the case 8. Show that 1/f : (, F ) (R when f () R \ {0}. dened by f ( ) = 9. Suppose that f is R-valued. Show that f ( ) = 1 if f ( ) = 0, is measurable with f () if f () = 0 and f ). respect to F and B (R be dened as in 9. 10. Suppose f and g take values in R. Let f Show that for all c R, the set {f g < c} can be expressed as: }) ({f < 0}{g > c/f }) ({f = 0}{f < c}) ({f > 0}{g < c/f , B (R )) is measurable, in the case 11. Show that f g : (, F ) (R when f and g take values in R.

www.probability.net

Tutorial 4: Measurability

22

, B (R )) be two measurable maps, Exercise 20. Let f, g : (, F ) (R , g where (, F ) is a measurable space. Let f , be dened by: ( ) = f f () 1 if if f ( ) {, +} f ( ) {, +}

g ( ) being dened in a similar way. Consider the partitions of , = A1 A2 A3 A4 A5 and = B1 B2 B3 B4 B5 , where A1 = {f ]0, +[}, A2 = {f ] , 0[}, A3 = {f = 0}, A4 = {f = }, A5 = {f = +} and B1 , B2 , B3 , B4 , B5 being dened in a similar way with g . Recall the conventions 0 (+) = 0, () (+) = (), etc. . . and g ). 1. Show that f are measurable with respect to F and B (R 2. Show that all Ai s and Bj s are elements of F . ): 3. Show that for all B B (R
5

{f g B } =
i,j =1

(Ai Bj {f g B })
www.probability.net

Tutorial 4: Measurability

23

g 4. Show that Ai Bj {f g B } = Ai Bj {f B }, in the case when 1 i 3 and 1 j 3. 5. Show that Ai Bj {f g B } is either equal to or Ai Bj , in the case when i 4 or j 4. , B (R )) is measurable. 6. Show that f g : (, F ) (R Denition 37 Let (, T ) be a topological space, and A . We , the set dened by: call closure of A in , denoted A = {x : x U T U A = } A Exercise 21. Let (E, T ) be a topological space, and A E . Let A be the closure of A. and that A is closed. 1. Show that A A B. 2. Show that if B is closed and A B , then A
www.probability.net

Tutorial 4: Measurability

24

is the smallest closed set in E containing A. 3. Show that A . 4. Show that A is closed if and only if A = A 5. Show that if (E, T ) is metrizable, then: = {x E : > 0 , B (x, ) A = } A
d =T. where B (x, ) is relative to any metric d such that TE

Exercise 22. Let (E, d) be a metric space. Let A E . For all x E , we dene: d(x, A) = inf {d(x, y ) : y A} = A (x) where it is understood that inf = +. ). 1. Show that for all x E , d(x, A) = d(x, A . 2. Show that d(x, A) = 0, if and only if x A 3. Show that for all x, y E , d(x, A) d(x, y ) + d(y, A).
www.probability.net

Tutorial 4: Measurability

25

4. Show that if A = , |d(x, A) d(y, A)| d(x, y ).

Exercise 23. Let (, F ) be a measurable space. Let (fn )n1 be a sequence of measurable maps fn : (, F ) (E, B (E )), where (E, d) is a metric space. We assume that for all , the sequence (fn ( ))n1 converges to some f ( ) E . 1. Explain why lim inf fn and lim sup fn may not be dened in an arbitrary metric space E . 2. Show that f : (, F ) (E, B (E )) is measurable, if and only if f 1 (A) F for all closed subsets A of E . 3. Show that for all A closed in E , f 1 (A) = (A f )1 ({0}), is dened as in exercise (22). where the map A : E R
www.probability.net

Tutorial 4: Measurability

26

, B (R )) is measurable. 4. Show that A fn : (, F ) (R 5. Show that f : (, F ) (E, B (E )) is measurable. Theorem 17 Let (, F ) be a measurable space. Let (fn )n1 be a sequence of measurable maps fn : (, F ) (E, B (E )), where (E, d) is a metric space. Then, if the limit f = lim fn exists on , the map f : (, F ) (E, B (E )) is itself measurable. Denition 38 The usual topology on C, the set of complex numbers, is dened as the metric topology associated with d(z, z ) = |z z |. Exercise 24. Let f : (, F ) (C, B (C)) be a measurable map, where (, F ) is a measurable space. Let u = Re(f ) and v = Im(f ). , B (R )) are all measurable. Show that u, v, |f | : (, F ) (R Exercise 25. Dene the subset of the power set P (C): C = {]a, b[]c, d[ , a, b, c, d R}
www.probability.net

Tutorial 4: Measurability

27

where it is understood that: ]a, b[]c, d[= {z = x + iy C , (x, y ) ]a, b[]c, d[} 1. Show that any element of C is open in C. 2. Show that (C ) B (C). 3. Let z = x + iy C. Show that if |x| < and |y | < then we have |z | < 2 . 4. Let U be open in C. Show that for all z U , there are rational numbers az , bz , cz , dz such that z ]az , bz []cz , dz [ U .
5. Show that U can be written as U = + n=1 An where An C .

6. Show that (C ) = B (C). 7. Let (, F ) be a measurable space, and u, v : (, F ) (R, B (R)) be two measurable maps. Show that u + iv : (, F ) (C, B (C)) is measurable.
www.probability.net