TRNG AI HOC A LAT

KHOA TOAN - TIN HOC

Y Z

NGUYEN VINH QUANG

LY THUYET O O VA TCH PHAN

(Bai Giang Tom Tat)

-- Lu hanh noi bo -Y a Lat 2008 Z

Mc lc
1 o
1.1 Tp hp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.1.1 Cc khi nim . . . . . . . . . . . . . . . . . . . . . . .
1.1.2 Cc php ton trn tp hp . . . . . . . . . . . . . . . .
1.1.3 Gii hn . . . . . . . . . . . . . . . . . . . . . . . . . .
1.2 i s v - i s . . . . . . . . . . . . . . . . . . . . . . . .
1.2.1 i s . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.2.2 - i s . . . . . . . . . . . . . . . . . . . . . . . . . .
1.2.3 - i s tch . . . . . . . . . . . . . . . . . . . . . . .
1.3 Hm tp v o . . . . . . . . . . . . . . . . . . . . . . . . . .
1.3.1 Hm tp . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.3.2 o . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.3.3 Tp khng ng k ( - khng ng k) - Khng gian c
1.3.4 o ngoi - o trong . . . . . . . . . . . . . . . .
1.3.5 o Lebesgue - Stieltjes v Hm phn phi . . . . . .
1.3.6 o c du ( o suy rng) . . . . . . . . . . . . . .
2 Tch
2.1
2.2
2.3

phn Lebesgue
Hm o c . . . . . . . . . . .
Tch phn Lebesgue . . . . . . .
nh l Radon - Nikodym . . . .
2.3.1 Tnh tuyt i lin tc ca
2.3.2 nh l Radon - Nikodym

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Chng 1
o
1.1 Tp hp
1.1.1 Cc khi nim

Gi s khng gian
= .
Phn t: Nhng im thuc c gi l cc phn t ca .
K hiu: , 1 , 2 , . . . , n .
Tp con: A c gi l tp con ca .
K hiu: A A .
Tp bng nhau: A = B A B, B A.
Lp cc tp: Tp m cc phn t ca n l tp hp gi l lp cc tp.
K hiu: A, B, C, . . .
Dy cc tp: L lp gm mt s m c cc tp.
K hiu: {An }nN , {Bn }nN , . . .

1.1.2 Cc php ton trn tp hp

1.Hp

2.Giao

C = A B := { : A hay B}.

C=
An := { : n0 N, An0 }.
n=1

A B := { : A v B}.


An := { : An , n}.
n=0

3.Hiu hai tp hp
A\B := { : A v
/ B}.

4.Hiu i xng hai tp hp

AB := (A\B) (B\A).
Ch : Khi A B = th A B = A + B.
5.Php ly phn b (trn )
K hiu: B (hay B c ) := \B = { :
/ B}.
6.Phn hoch

Lp C gm cc tp ri nhau c gi l mt phn hoch trn nu =
C.
Tnh cht 1.1.1.
1.Giao hon
AB =BA
AB =BA
AB = BA.
2.Kt hp
A (B C) = (A B) C
A (B C) = (A B) C
3.Phn phi
A (B C) = (A B) (A C)
A (B C) = (A B) (A C)
(*)A (BC) = (A B)(A C)
(*)Cng thc De Morgan


 
An =
An
n=1



n=1

An =

n=1


n=1

An

1.1.3 Gii hn

1.Dy tng (gim)

Cho dQy {An } trn , ta ni {An } l dQy tng nu A1 A2 . . .
K hiu: An n .
{An } l dQy gim theo n nu A1 A2 . . .
K hiu: An n .
2.Gii hn trn (lim n )
Cho {An }nN trn


lim n An = inf n
1 supk
n Ak =
Ak
3.Gii hn di (lim n )

n=1 k=n

C C

lim n An = supn
1 inf k
n Ak =

n=1 k=n

Ak

Ta ni dQy {An } c gii hn (khi n ) nu ta c lim n An = lim n An v khi gii hn ca

dQy {An } chnh l lim v cng l lim .
K hiu: limn An = lim n An = lim n An .
Bi tp 1: Chng minh mi dQy n iu th hi t, hn na

An n , A =
An th An A.
An , A =
n

n=1


n=1

An th An A.

Bi tp 2: (Ly phn b)
lim n An = lim n An .

1.2 i s v - i s
1.2.1 i s

nh ngha 1.2.1. Cho khng gian
= , F0 l lp cc tp con trn . F0 c gi l i s nu

n tha:
1. F0
2. A F0 th A F0
3. A, B F0 th A B F0 .
V d.

- (, ) l i s trn v c gi l a s tm thng.
- Lp cc tp con trn , k hiu 2 l i s trn (a s ln nht).
- (A) = {, , A, A} l i s b nht cha A.


n
-C=
[ai , bi ) : < ai
bi < + l i s trn R.
i=1

= {1, 2, 3, 4}.
F0 = {, {1}, {2, 3, 4}, } l i s trn .

Tnh cht 1.2.1.

1. F0
2. A, B F0 A B, A\B, AB F0
n


3. {Ai }i=1,n F0
Ai F0 .
Chng minh.
1. Suy trc tip t nh ngha.
2. Ta c A B = (A B)

i=1

V A, B F0 nn A, B F0 . Suy ra(A B) F0 (theo tin (3)).

Do vy, vi mi A, B F0 th (A B) F0 hay A B F0 .
A\B = A B F0 v A, B F0 .
AB = (A\B) (B\A) F0 v (A\B), (B\A) F0 .
3. Dng quy np.
Vi n = 2 ta c A1 A2 F0 theo tin (3).
Gi s ng cho trng hp n = k, ta c






k+1
k
k


Ai =
Ai Ak+1 F0 v
Ai F0 (theo gi thit quy np) v Ak+1 F0 .
Vy

i=1

n

i=1

1.2.2

Ai F0 .

i=1

i=1

- i s

nh ngha 1.2.2. Cho khng gian , ta ni F l - i s trn nu tha mQn cc tin sau:
1. F
2. A F th A F

3. {An }nN F ta c
An F.
n=1

Tnh cht 1.2.2.

1. F
2. - i s l i s.


3. {An }nN F
An F.
n=1

Chng minh.
1. Hin nhin.
2. A, B F t A1 = A, A2 = B, An = n = 3, .

AB =
An F (do tin 3).
n=1

3. {An }nN F {An }nN F (tin 2).

Theo tin 3
An F.
n=1

S dng tin 2 v cng thc DeMorgan






An =
An F.
n=1

n=1

Khng gian o c
Cho khng gian v F l - i s trn . Khi :
- (, F) c gi l khng gian o c.
- A F ta gi A l o c.
5

 - i s sinh
nh ngha 1.2.3. Cho C l lp cc tp trn . Ta ni - i s sinh bi C l - i s b nht
cha C. K hiu: (C).
- i s Borel trn R
- i s Borel trn R l - i s b nht cha mi khong ng trn R.
K hiu: B hay B(R) hay B1 .
Gi C l lp tp c dng C = {[a, b] : < a
b < +}. Khi (C) = B.
Bi tp:Cho a
b, a, b R. Xt cc tp sau:
1.(a, b)
2.[a, b)
3.(, a)
4.(, a]
5.(a, +)
6.[a, +)
Gi C l lp cc tp c dng nh trong 1, 2, . . . , 6. CMR (C) = B.
Lp n iu

nh ngha 1.2.4. Cho , M l lp cc tp trn . Ta ni M l lp n iu nu n cha tt c

cc gii hn ca dQy n iu trong M
{An }nN M, An n A (hay An n A) A M.
Lp n iu sinh bi C
L lp n iu b nht cha C. K hiu: M(C).

nh l 1.2.1. Cho F l lp cc tp trn . Khi ta c:

F l - i s trn F l i s, n iu.
Chng minh.
[] Gi s F l - i s F l i s.
Chng minh F n iu.
Cho {An }nN F, An n A, ta chng minh A F.

Ta c: An n A A =
An (tng v sup).
n=1

Theo tin (3) ca - i s ta c A =

n=1

An F.
6

An n A A =

Vy F n iu.


n=1

An F (theo tnh cht (3) ca - i s).

[] {An }nN F ta cn chng minh

t Bn =

n

k=1

n=1

An F.

Ak F (v c tnh cht i s).

Mt khc Bn n

k=1

Vy F l - i s.

Ak F.

nh l 1.2.2. Cho F0 l i s trn khi ta c (F0 ) = M(F0 ) ( - i s sinh bi F0 cng

l lp n iu sinh bi F0 ).

Chng minh.
[] (F0 ) M(F0 )
Ta c (F0 ) l lp n iu cha F0 nn n cha lp n iu b nht cha F0 . Ni khc i
(F0 ) M(F0 ).
[] (F0 ) M(F0 )
A M(F0 ) t MA = {B M(F0 ) : A\B, B\A, A B M(F0 )}.
Vi cch t MA nh trn ta c:
1. MA l lp n iu.
2. B MA A MB (do tnh cht i xng t trn MA ).
Thc vy, ta c A M(F0 ), MA
= v A MA .
Ta chng minh (1). Xt {Bn } MA , Bn n B ta ch ra B MA .
Do M(F0 ) l lp n iu v {Bn } M(F0 ) (v {Bn } MA ) nn suy ra B M(F0 ).
Ta c {A\Bn } M(F0 ) v (A\Bn ) n (A\B), suy ra A\B M(F0 ).
Hon ton tng t ta suy ra B\A, A B M(F0 ).
Vy B MA .
Vic chng minh cho mt dQy Bn n B, {Bn } MA hon ton tng t.
Vy MA l lp n iu.
Xt A F0 bt k. Vi cch xy dng MA nh trn th MA M(F0 ). Mt khc,
B F0 M(F0 ), A\B, B\A, A B F0 M(F0 ) (v F0 l i s).
Vy B MA . Suy ra F0 MA .
Do MA l lp n iu cha F0 nn n s cha M(F0 ).
Kt qu trn cho ta MA = M(F0 ), A F0 .
Xt B M(F0 ) bt k. Theo trn A F0 , MA = M(F0 ) nn B MA , A F0 .
S dng tnh cht (2) ca MA ta c A F0 , A MB . Vy nn F0 MB .
Vy MB = M(F0 ), B M(F0 ).
By gi ta ch ra M(F0 ) l i s. iu ny l hin nhin:
- M(F0 ) (v F0 M(F0 )).
- A M(F0 ), A = \A M(F0 ) (v MA ).
7

- A, B M(F0 ), A B M(F0 ) (v B MA ).
M(F0 ) l i s v l lp n iu nn M(F0 ) l - i s cha F0 .
T ta c (F0 ) M(F0 ).

1.2.3

- i s tch

Khng gian tch

Cho hai khng gian o c (1 , F1 ), (2 , F2 ) vi A1 1 , A2 2 . Ta nh ngha tch Descartes:
A1 A2 = {(1 , 2 ) : 1 A1 , 2 A2 }.
c bit khi A1 = 1 , A2 = 2 th 1 2 gi l tch ca 2 khng gian 1 , 2 .
Nu A1 F1 , A2 F2 th A1 A2 gi l hnh ch nht.
Ni chung: Lp tt c cc hnh ch nht khng phi l - i s. Khi - i s b nht lm
cho tt c cc hnh ch nht o c (cha tt c cc hnh ch nht) c gi l - i s tch.
(1 2 , F1 F2 ) gi l khng gian tch ca 2 khng gian (1 , F1 ), (2 , F2 ).

1.3 Hm tp v o
1.3.1 Hm tp

Cho C l lp cc tp con trn . Hm xc nh trn C v nhn gi tr s

: C R
A C, ! x R : (A) = x
c gi l hm tp vi gi tr s.
- Hm tp c gi l hu hn khi (A) < , A C.
- Hm tp c gi l khng m nu (A)  0, A C.
- Hm tp c gi l cng tnh hu hn nu:
n

{Ai }i=1,n C, Ai Aj = vi i
= j; i, j = 1, n v
Ai C, ta c
(

n


i=1

Ai ) =

n


i=1

(Ai ).

i=1

- Hm tp c gi l cng tnh m c ( - cng tnh) nu:


Ai C, ta c
{An }nN C : Ai Aj = vi i
= j; i, j = 1, v
(

i=1

Ai ) =

i=1

(Ai ).

i=1

- Hm tp c gi l - hu hn nu ta c:

C C th {Ck }kN C :
Ck = C v (Ck ) hu hn k = 1, .
k=1

1.3.2 o

nh ngha 1.3.1. Cho khng gian o c (, F) v mt hm xc nh trn F v nhn gi

tr trong [0, ]. c gi l o nu l - cng tnh ({An }nN F : Ai Aj = vi



i
= j; i, j = 1, th ( Ai ) =
(Ai )).
i=1

i=1

- c gi l hu hn (k hiu < ) nu: () < .

- c gi l cng tnh hu hn nu:
{Ai }i=1,n F, Ai Aj = vi i
= j; i, j = 1, n, ta c:
n
n


( Ai ) =
(Ai ).
i=1

- l - hu hn nu: {An }nN F :

i=1

n=1

An = v (An ) < , n = 1, n.

Cho khng gian o c (, F) v l mt o trn (, F). Khi (, F, ) c gi l mt

khng gian c o (hay khng gian o).
c bit: Khi () = 1 th (, F, ) c gi l khng gian xc sut.
Tnh cht 1.3.1.
a) Nu A F sao cho (A) < ((A) hu hn) th () = 0.
b) Tnh cng tnh hu hn ca o.
c) Nu A, B F v A B th (A)
(B).
d) Gi s < , A, B F v A B th (B\A) = (B) (A).
e) Nu < th A, B F ta c: (A B) = (A) + (B) (A B).


f) {An }n F ta c (
An )

(An ) (Bt ng thc Boole).
n=1

n=1

Chng minh.
a) Ta c A F : A = A + + + . . .


(A) = (A + + + . . .) = (
An ) trong A1 = A, Ai = i  2.
V l - cng tnh nn (

n=1

n=1

An ) =

n=1

V (A) < suy ra 0 = (A) (A) =

b) Ta c
(

n


i=1

n


i=1

Ai =

Ai ) = (

i=1


i=1

(An ) = (A) +

n=2

(An ) = (

Ai , Ai = i = n + 1, .
Ai ) =

i=1

(Ai ) =

n


i=1

n=2

n=2

(An )

An ) = ().

(Ai ) (do tnh - cng tnh).

9

c) V A B suy ra B = B\A + A.
V cng tnh hu hn nn (B) = (B\A + A) = (B\A) + (A). V A, B F nn B\A F
suy ra (B\A)  0. (B)  (A).
d) S dng kt qu cu c) v thm tnh cht < ta c (B\A) = (B) (A).
e) Ta c A B = A + B\A v B = B\A + B A.
S dng tnh cng tnh hu hn s c (AB) = (A)+(B\A) v (B) = (B\A)+(B A).
Mt khc do < v A, B F nn ta c kt qu (A B) = (A) + (B) (A B).
f) t B1 = A1
B2 = A2 \(A2 A1 )
B3 = A3 \(A3 (A1 A2 ))
..
.
k1


Bk = Ak \(Ak ( Ai ))
Lc ny,

i=1

n=1

Ta c:
V


n=1

An =


i=1

Bi v Bi Bj = vi i
= j; i, j = 1, .

Bi Ai i = 1, .
(

n=1

(Bn )

An ) = (

n=1


n=1

Bn ) =


n=1

(Bn )(do tnh - cng tnh).

(An ) (v Bn An , n).

T cho ra kt qu.

nh l 1.3.1 (S lin tc ca o).

1. Nu An n A th (An ) n (A) (tnh lin tc di).
2. Nu An n A v (A1 ) < th (An ) n (A) (tnh lin tc trn).
Chng minh. Cho khng gian o (, F, ) v {An }nN l dQy cc tp trong F o c tha mQn:

1. An n A A =
An .
n=1

t B1 = A1 , Bn = An \An1 v do An n A nn c th vit
A = A1 + (A2 \A1 ) + (A3 \A2 ) + . . . = B1 + B2 + . . .


Mt khc (A) = ( An ) = (
Bn )
n=1

n=1

Do tnh - cng tnh suy ra (A) =

n=1

(Bn ) = limn [

n


i=1

(Bi )] = limn (An ).

Vy (An ) n (A).
2. Ta c An n A (A1 \An ) n (A1 \A)
(A1 \An ) n (A1 \A) (do tnh lin tc di ca o)
[(A1 )\(An )] n [(A1 )\(A)] (v (A1 ) < )
10

 (An ) n (A)
(An ) n (A).

nh l 1.3.2. Cho F l - i s, l hm tp, : F [0, ]. cng tnh hu hn. Khi :

a) Nu lin tc di th l - cng tnh.
b) Nu lin tc ti th l - cng tnh.
(Ta ni lin tc ti nu An n th (An ) n 0).

Chng minh.
a) Cho A =
Ta c

n


k=1

n=1

An , {An }nN F, Ai Aj = , i
= j. Chng minh (A) =

Ak n A. V lin tc di nn (

Mt khc v l cng tnh hu hn nn (

(A) =

n=1

b) Gi s A =

t Bn = (A\

k=1
n


k=1

Ak ) n (A).

Ak ) =

n


k=1

(Ak ) n (A).

(An ) (do tnh duy nht ca gii hn).

n=1
n

k=1

An , {An }nN F, Ai Aj = , i
= j.
Ak ) n , do vy A = Bn +

(A) = (Bn ) +

n


k=1

n=1

n


k=1

Ak .

(Ak ) (do cng tnh hu hn).

Cho n th (Bn ) + (
Vy (A) =

n


(An ).

n


k=1

Ak ) 0 +

n=1

(An ).

nh l 1.3.3 (BT Fatou di dng o).

Cho khng gian o (, F, ) v {An }nN o c. Khi ta c:
1. (lim n An )
lim n (An ).

2. Nu (
An ) < th lim n (An )
(lim n An ).
Chng minh.

n=1

1. Ta c lim n An =
n t Bn =
Bn = (

k=n

k=n

A k ) n

n=1 k=n

Ak .

Ak ({Bn }nN l dQy tng theo n).

n=1

Bn = lim n An .

T tnh lin tc di ca ta c (Bn ) n (lim n An ).

11


n=1

(Ai ).

Mt khc Bn An , n (Bn )
(An ) n.

lim n (Bn )
lim n (An ).
Hay (lim n An )
lim n (An ).


2. Ta c lim n (An ) =
Ak
t Bn =

k=n

Ak n

Mt khc B1 =

n=1

n=1 k=n

n=1

Bn = lim n An .

An (B1 ) = (

An ) < .

n=1
n

T nh l v s lin tc ta c: (Bn ) (lim n A). (1)

Li c An Bn n (An )
(Bn ), n.
lim n (An )
lim n (Bn ).
Kt hp vi (1) suy ra lim n (An )
(lim n An ).
H qu. Cho khng gian o (, F, ), < .
Nu An A khi n th ta c (An ) (A).

Chng minh.
V An A khi n nn (A) = (limn An ) = (lim n An ) = (lim n An ).
S dng BT Fatou ta c:
(A) = (lim n An )
lim n (An )
lim n (An )
(lim n An ) = (A) (do < ).
Vy limn (An ) = (A).
nh l 1.3.4 (nh l Borel - Cantelli).

Cho khng gian (, F, ), {An }nN F. Nu

Chng minh.

Ta c lim n An =
Vi Bn =

k=n


n=1 k=n

k=1

n=1

(An ) < th (lim n An ) = 0.

Ak

Ak n lim n An .

Mt khc B1 =

Ak (B1 ) = (

S dung BT Boole (B1 ) = (

k=1

k=1

Ak ).

Ak )

k=1

(Ak ) < (theo gi thit).

T nh l lin tc (Bn ) n (lim n An ).


Li c 0
(Bn ) = (
Ak )

(Ak ) (BT Boole), n.
k=n

k=n

Cho n th 0
(lim n An )
0
hay (lim n An ) = 0.

12

1.3.3 Tp khng ng k ( - khng ng k) - Khng gian c o

Cho khng gian (, F, ) v tp A . Ta ni A l tp khng ng k ( - khng ng k, hay

- khng) nu B F sao cho A B v (B) = 0.
Gi N l lp cc tp N l tp khng ng k.
N = {N : N l - khng ng k}.
Nu N F th (, F, ) c gi l khng gian c o . Khi c gi l o .
Vy trong khng gian c o , cc tp khng ng k u o c.
Tnh cht 1.3.2.
1. Nu N1 N v N l tp khng ng k th N1 khng ng k.
2. Tp N F v (N ) = 0 th N l khng ng k.
3. Hp m c cc tp khng ng k l khng ng k.
Chng minh.
1. V N l khng ng k nn
B F sao cho N B, (B) = 0.
V N1 N nn N1 B.
N1 l - khng ng k.
2. Hin nhin.
3. Xt {Ni }iN F, Ni l - khng i.
{Bi }iN F, Ni Bi v (Bi ) = 0, i.



Ni
Bi v ( Bi )

(Bi ) = 0.
i=1

Vy

i=1

i=1

i=1

Ni l - khng.

i=1

nh l 1.3.5 (Lm y khng gian c o).

Cho khng gian (, F, ) v N l lp cc tp khng ng k ( - khng).
a) Nu F = {A N : A F, N N} th F = (F N).
b) : F [0, ] c xc nh nh sau:
(A N ) F, (A N ) = (A).
A F, (A) = (A).
Khi l o ni rng duy nht ca ln F (|F = ).
c) (, F, ) l khng gian c o .

Ch :
Cho khng gian (, F, ) cha . Lm y khng gian c o (, F, ) ngha l i xy
dng (, F, ). Khi F c gi l - i s b sung cho - i s F, gi l o .
13

Chng minh.
Ta cn chng minh cc iu sau:
1. F = (F N).
2. Kim chng l nh x.
3. l o.
4. l duy nht.
5. l o .
1. F = (F N)
B F B = A N, A F, N N B (F N) F (F N).
Mt khc: B (F N) ta c B = A N, A F, N N B F .
Do vy (F N) F (F N).
Ta chng minh F l - i s.
- F = N (N N) F F.
- B F, B = A N, A F, N N.
Do N N nn N1 F, N N1 v (N1 ) = 0.
Ta c B = A N = (A N1 ) ((A N ) N1 ).

N1 v (N1 )=0

V th ((A N ) N1 ) l tp - khng. Suy ra B F.

Bn F.
- Cho {Bn }nN F ta chng minh
n=1

V {Bn }nN F Bn = An Nn . Trong :

An F, Nn N, n.







Bn =
(An Nn ) = (
An ) (
Nn ) F.

n=1

n=1

n=1
F

n=1
N

Vy F l - i s.
S dng tnh cht ca - i s cho ta (F N) F (F N).
2. l nh x
Gi s A1 N1 = A2 N2 (Ai F, Ni N).
(A1 N1 )\A2 N2
(A2 N2 )\A1 N1
Mt khc ta c: A1 \A2 A1 N1 \N2
A2 \A1 A2 N2 \N1
T suy ra A1 \A2 N2 v A2 \A1 N1
A1 A2 = (A1 \A2 ) (A2 \A1 ) (N1 N2 ).
Do N1 , N2 l tp - khng nn N1 N2 cng l tp - khng, ngha l B F, N1 N2
B, (B) = 0
14

 (A1 A2 )
(B) = 0

(A1 A2 ) = 0
(A1 ) = (A2 ).
Theo nh ngha : (A1 ) = (A1 N1 )
(A2 ) = (A2 N2 )
(A1 N1 ) = (A2 N2 )
Vy l nh x.
3. l o
Chng minh l - cng tnh.
Xt {Bn }nN F, Bi Bj = v i
= j.



Phi chng minh (
Bn ) =
(Bn ).
n=1

n=1

Ta c:
{Bn }nN F Bn = An Nn , An F, Nn N, n





Bn =
(An Nn ) = (
An ) (
Nn )

n=1

n=1

n=1

Bn ) = [(

n=1

An ) (

Mt khc Ai Aj = nn (

n=1

n=1

n=1

n=1

Nn )] = (

An ) =

Cng vy, da vo nh ngha ca th

n=1


n=1

n=1

An ) (theo nh ngha).

(An ).

(An ) =

Vy l - cng tnh, hay l o trn F.


n=1

(An Nn ) =

4. l duy nht
Gi s 1 cng l mt ni rng ca . Ta chng minh 1 chnh l .
Thc vy,
B F B = A N, A F, N N
(B) = (A) = 1 (B) (theo nh ngha ca o ni rng)
B F : (B) = 1 (B), hay = 1 .
Vy l duy nht.
5. l o
l o (, F, ) l khng gian
F cha tt c cc tp - khng.
V F = (F N) nn tt c cc tp - khng u cha trong F.
S chng minh mi tp - khng u l tp - khng.
Tht vy, vi M l tp - khng bt k M B F v (B) = 0.
V B F B = A N, A F, N N.
15


n=1

(Bn ).

Do N N nn N1 F, N N1 v (N1 ) = 0.
Mt khc (B) = (A) = 0, B = A N A N1 v (A N1 )
(A) + (N1 ) = 0.
Vy (A N1 ) F, M B (A N1 ) v (A N1 ) = 0.
V th M l - khng.

1.3.4 o ngoi - o trong

o ngoi
Cho khng gian (, F, ). : 2 [0, ] c gi l o ngoi nu n xc nh vi mi
A 2 : (A) = inf{(B) : B F, B A}.
o trong
: 2 [0, ] c gi l o trong nu n xc nh vi mi A 2 : (A) = sup{(B) :
B F, B A}.
B . Cho (, F, ), A . Khi A , A F:
A A A v: (A) = (A )
(A) = (A )

Chng minh.
Ta c (A) = inf{(B) : B F, B A}
{Bn }nN F : (Bn ) n (A).


Bn A A Bn , n (do A Bn )
t A =
n=1

(A)
(A )
(Bn ), n (BT: Gii thch s tn ti ca (A )).

Cho n (A)
(A )
(A) (A) = (A ).
(A) = sup{(B) : B F, B A}
{Bn }nN F : (Bn ) n (A).

t A =
Bn Bn A A, n (do Bn A).
n=1

n, (Bn )
(A )
(A).

Cho n : (A)
(A )
(A). Ni khc i (A) = (A ).
Nhc li F = {A N : A F, N N} = (F N).

nh l 1.3.6. Cho (, F, ), < . Khi :

a) F = {A : (A) = (A)}.
b) (A) = (A) = (A), A F.
16

Chng minh.
a) []
Xt A F bt k. Do vy A = B N, B F, N N.
Ta chng minh (A) = (A) = (A).
Tht vy,
V N N N1 F : N N1 v (N1 ) = 0.
Xt A = B N1 F.
R rng A A v (A ) = (B) = (A)
(A)
(A).
Mt khc, C F, C A C B (C)  (B)
(A)  (A).
Kt hp vi trn ta s c (A) = (A).
Vic chng minh cho (A) l hon ton tng t.
Vy, F {A : (A) = (A)}.
[]
A v phi A .
Theo b A , A F : A A A , (A) = (A ), (A) = (A ).
V A v phi nn (A) = (A).
A , A F : A A A , (A ) = (A ).
(A \A ) = 0 (do < ).
t N = A\A A \A F N N (do (A \A ) = 0).
Vy A = A N, A F, N N A F.
b) Theo kt qu cu a), (A) = (A) = (A) .
nh l 1.3.7 (Xp x).
Cho (, F, ), F0 l i s trn , (F0 ) = F v < . Khi ,
> 0, A F, B F0 : (AB ) < .

Chng minh.
t F = {A (F0 ) : ( > 0, B F0 : (AB ) < )}.
Cn chng minh F = (F0 ) = F.
Theo cch xy dng F ta c F (F0 ).
Mt khc ta c > 0, A F0 , B = A F0 : (AB ) < A F .
Vy F0 F (F0 ).
V th ta ch cn chng minh F l - i s.
- Ta c F (v F0 F ).
- A F > 0, B F0 : (AB ) < .
Thm vo (AB ) = (AB ).
> 0, B F0 : (AB ) < A F .

- {An }nN F chng minh
An F .
n=1

17

t A =
Ta c

n

k=1

k=1

Ak .

Ak A (

n


k=1

Ak ) (A) < (do tnh lin tc).

Suy ra N N kh ln sao cho (

N

k=1

Ak ) (A).

V {An }nN F {Bn }nN F0 : (An Bn ) < n+1 .

2
Vi N kh ln li c
N
N
N
N
N










(A
Bk )
(A
Ak ) + ( Bk 
Ak )
+
(Bk Ak )
+ .
2 k=1
2 2
k=1
k=1
k=1
k=1
1 N
N
N

1

(
)


1

2
= .
= . .
<
.
1
2k+1
2 k=1 2k
2 2
2
k=1
1
2
N


Bk F0 v (AB ) < .
Tm li: > 0, N > 0 sao cho B =

A F.
Vy F l - i s.

k=1

nh l 1.3.8 (Ni rng).

Cho (, F); , l o hu hn trn (, F) , F0 l i s trn , (F0 ) = F.
Nu = trn F0 th = trn F.

Chng minh.
t = {A F : (A) = (A)}. Cn chng minh = F.
Theo cch xy dng ta c F.
Theo gi thit = trn F0 A F0 ta c (A) = (A)
A F0 .
Do vy ta ch cn chng minh l lp n iu.
{An }n , An n A (A) n (An ) = (An ) n (A).
(A) = (A) A .
Tng t,
{An }n , An n A (A) n (An ) = (An ) n (A) (v , < ).
(A) = (A) A .
V th (F0 ) = M(F0 ) F = (F0 ).
Vy = F.
nh l 1.3.9 (nh l Carathodory).
Cho i s F0 trn . 0 l hm tp.
0 : F0 [0, ] tho:
1. 0 l - hu hn trn F0 .

18

2. 0 l - cng tnh trn F0 .

Khi ta c th ni rng 0 thnh o duy nht ln (F0 ).

1.3.5 o Lebesgue - Stieltjes v Hm phn phi

o Lebesgue - Stieltjes

nh ngha 1.3.2.
Cho (R, B). Khi hm tp : B [0, ] c gi l o Lebesgue - Stieltjes nu:
(Ik ) < , Ik l khong gii ni trong R.
Hm phn phi
F c gi l hm phn phi nu F : R R tho:
1. F l hm khng gim trn R.
2. F l hm lin tc tri x R.
nh l 1.3.10 (Tng ng 1-1 gia o Lebesgue - Stieltjes v hm phn phi).
a. Cho o Lebesgue - Stieltjes . Khi hm F : R R c xc nh bi:
F (b) F (a) = [a, b), a, b R, a
b l hm phn phi.
b. Ngc li, cho hm phn phi F . Khi c nh ngha bi (1), (2), (3) nh sau:
(1) [a, b) = F (b) F (a)
(2) (, a) = F (a) F ()
[a, +) = F (+) F (a)
(3) t F0 l lp cc tp c dng tng hu hn cc khong na h bn phi. A F0 , A =
n

Ik , trong Ik l mt khong na h bn phi.
k=1

(A) =

n


k=1

(Ik )

th l o Lebesgue - Stieltjes trn (F0 ) = B.

Chng minh.
a. Chng minh F l hm khng gim, lin tc tri.
- Gi s a < b ta c F (b) F (a) = [a, b)  0
F (a)
F (b). Vy F l hm khng gim.
- Cho xn n x ta chng minh F (xn ) n F (x).
Thc vy,
xn n x [xn , x) n
[xn , x) n () = 0.
Li c F (x) F (xn ) = [xn , x) n 0
F (xn ) n F (x). Ni khc i F (xn ) n F (x). V th F lin tc tri.
19

Vy F l hm phn phi.
b. Chng minh l o Lebesgue - Stieltjes.


n
Vi F0 =
[ai , bi ) : < ai
bi < + th F0 l i s trn R, (F0 ) = B.
V (

n


k=1

i=1

Ik ) =

n


k=1

(Ik ) cng tnh hu hn trn F0 .

Li c [n, n) = F (n) F (n) < v R =

[n, n) nn l - hu hn trn i s F0 .

n=1

Nu thm iu kin l - cng tnh trn F0 th theo nh l Carathodory ta c th ni rng

thnh o duy nht ln (F0 ).
Vy kt thc chng minh nh l ta ch ra l - cng tnh. C 2 trng hp:
1. F (+) F () <
2. F (+) F () =
1. F (+) F () <
Ta c (R) = (, +) = F (+) F () < nn < .
V th vic chng minh l - cng tnh tng ng vi vic chng minh lin tc ti .
Ta cn lm vic trn khng gian compac R.
nh ngha F : R R nh biu thc F () = lim F (x).
x

{An }n F0 (hay {An }n F = (F0 )) theo nh l xp x

{Bn }n F0 , Bn An , n tho mQn (An Bn ) < n . Trong Bn l bao ng ca Bn trong

2
R.


Do An n ,
An = .
n=1

V Bn An , n = 1,

Bn = .
n=1

Mt khc R l compact N kh ln sao cho

Hn na

An = An \

N

k=1

Bk +

(An ) = (An \
= (

N


k=1

N

k=1
N


k=1

N

k=1

Bk

Bk ) + (

An \Bk ) + (

N


k=1
N


k=1

V An n A1 A2 . . . An
n > N ta c:

Bk )

Bk ).

20

Bk = .

(An )
(

n


k=1

(An )
(

Ak \Bk ) + (

n

k=1

n

k=1

B k ).

Ak \Bk )

= 0
n

k=1

(Ak \Bk )

Vy lin tc ti , hay l - cng tnh.

n

< .
k
k=1 2

2. F (+) F () =

nu |x|
N
F (x)
t FN = F (N )
nu x > N

F (N ) nu x < N
N [a, b) = FN (b) FN (a)
N (, a) = FN (a) FN ()
N [a, +) = FN (+) FN (a)
lim FN (x) = F (x)
N

lim N (A) = (A).

N

Chng minh l - cng tnh A =

Ta c (A)  (
(A)  lim
Nu
Nu

k=1


k=1

n


k=1
n


n k=1

Ak ) =

n


n=1

An (A) =


n=1

(An ).

(Ak ), n (do cng tnh hu hn).

k=1

(Ak ) =

k=1

(Ak ).

(Ak ) = th (A) =

k=1

(Ak ) = .

(Ak ) < th 0
(A)

k=1

(Ak ).

Hn na (A) = lim N (A), N l - cng tnh (v N (R) = FN (+) FN () =

N

F (N ) F (N ) < ).

lim N (A) = lim N (

N

0
(A)
= lim

k=1


k=1

(Ak ) = lim

Cho 0 (A) =


k=1

(Ak ).

k=1

N (Ak )

N k=1

N (Ak )
N k=1

[N (Ak ) (Ak )] <

N k=1

Ak ) = lim

= .
2k

k=1

(Ak )

Vy l - cng tnh trn F0 .

21

 o Lebesgue
Cho o Lebesgue - Stieltjes trn (R, B) v F l hm phn phi tng ng vi o Lebesgue
- Stieltjes. Nu F (b) F (a) = b a, a
b, a, b R.
Khi [a, b) = b a v trong trng hp c bit ny c gi l o Lebesgue trn R.

1.3.6 o c du ( o suy rng)

Cho khng gian o c (, F). Ta ni l o c du trn (, F) nu:

: F [, +) (hoc (, +]) tho mQn 2 tnh cht:
- () = 0
- l - cng tnh.
Khi nim
Tp m v tp khng m. Cho o c du : F [, +). Ta ni:
- A F l tp m i vi nu E A, E F, (E) < 0.
- A l tp khng m i vi nu E A, (E)  0.
Phn hoch Hahn.
Cho l o c du trn F. Tn ti (A, A) sao cho A l tp m i vi v A l tp khng m
i vi . Khi (A, A) c gi l mt phn hoch Hahn ca i vi o c du (phn
hoch Hahn khng l duy nht).
Phn tch Jordan
Cho o c du : F [, +), (A, A) mt phn hoch Hahn ca i vi o c du
. Ta nh ngha + , , || l hm tp i t F [0, +) xc nh nh sau:
E F, + (E) = (E A)
(E) = (E A)
||(E) = + (E) + (E).
T nh ngha ta c + , , || l nhng o trn (, F). = + .
Khi vit = + ngha l ta Q phn tch Jordan i vi o c du .
Bi tp chng I

1) Chng minh mi dQy {An }nN cc tp n iu th hi t.

HD: Chng minh lim n An = lim n An cho 2 trng hp An n , An n .
2) Tm phn v d chng t F1 , F2 l i s nhng F1 F2 khng l i s.
3) Cho {Fn }n l dQy - i s. Chng minh


n=1

Fn l - i s.

4) F1 , F2 l hai - i s. Lp G c nh ngha:
G = {A1 A2 : A1 F1 , A2 F2 }.
22

a. Chng t rng G cha chc l i s.

b. Chng minh (G) = (F1 F2 ).
5) Cho 1 = {[a, b] : < a
b < +}
2 = {(a, b) : < a
b < +}
3 = {[a, ) : a R}
Chng minh:
a. 1 , 2 , 3 B. Vi B l - i s Borel trn R.
b. (i ) = B, i = 1, 2, 3.
6) Chng minh dQy {A
n }n hi t 1 An hi t. Trong
1 nu An
1An () =
.
0 nu
/ An

7) Chng minh:
a. A1 A2 (A1 )
(A2 )
b. (A B)
(A) + (B) (A B).

23

Chng 2
Tch phn Lebesgue
2.1 Hm o c
nh ngha 2.1.1. Cho (, F), ( , F  ) l 2 khng gian o c. Ta ni hm f : (, F) ( , F  )
l o c (cn gi f l F o c) nu:
B F  : f 1 (B) F
f 1 (F  ) F.
Trong trng hp (, F) = ( , F  ) = (R, B) v f : (R, B) (R, B) o c th f cn c gi
l hm Borel.
Mnh 2.1.1.
f : R, (R, B) l khng gian o c. Khi ta c f 1 (B) = {f 1 (B) : B B} l - i
s b nht f o c.

Chng minh.
1. f 1 (B) l - i s
- Ta c = f 1 (R). M R B f 1 (B).
- A f 1 (B), B B : f 1 (B) = A.
Li c A = \A = f 1 (R)\f 1 (B) = f 1 (R\B). V R\B B
A f 1 (B).

-{An }n f 1 (B), chng minh
An f 1 (B).
n=1

{An }n f 1 (B) {Bn }n B : An = f 1 (Bn ), n

An =
f 1 (Bn ) = f 1 (
Bn ) f 1 (B) (do
Bn B).
n=1

n=1

n=1

n=1

2.f 1 (B) l - i s b nht f o c

Xt F bt k lm cho f o c.
B B, f 1 (B) F.

24

Li c A f 1 (B), B B : A = f 1 (B) F
f 1 (B) F.
Vy f 1 (B) l - i s b nht f o c.

Ch :
1. - Nghch nh ca - i s l mt - i s.
- Nu f o c th f 1 (nh ngc ca - i s) l - i s b nht lm cho f o c.
2. - Nu X : (, F) (R, B) l hm o c. Khi X 1 (B) c k hiu l (X).
3. - Nu f : (, F) (R, B) l hm o c th khi ngi ta k hiu f L0 (, F) (lp cc
hm o c trn (, F)).
- Nu f L0 (, F) v (, F, ) l khng gian c o y . Khi f gi l - o c.

Mnh 2.1.2.
Cho f :  . C l lp cc tp con ca  . Khi :
f 1 ((C)) = (f 1 (C)).
Chng minh.
[]
Ta c C (C) f 1 (C) f 1 ((C)).
Mt khc f 1 ((C)) l - i s (do tnh cht trn).
(f 1 (C)) f 1 ((C)).
[]
Tin hnh t F = {B  : f 1 (B) (f 1 (C)}.
Nhn xt: Ta lun c f 1 (C) (f 1 (C)}
C F.
Nu F l - i s trn  (C) F.
Nhng theo cch xy dng
f 1 ((C)) (f 1 (C)).
Gi ta chng minh F l - i s.
- Ta c   v f 1 ( ) = (f 1 (C)).
 F.
- B F f 1 (B) (f 1 (C)).
Hn na, B =  \B
f 1 (B) = f 1 ( \B) = f 1 ( )\f 1 (B) = \f 1 (B)
Theo gi thit f 1 (B) (f 1 (C)).
\f 1 (B) (f 1 (C)).
Vy B F.
- {Bn }n F f 1 (Bn ) (f 1 (C)), n.

Mt khc f 1 (
Bn ) =
f 1 (Bn ).
n=1

n=1

25

V f 1 (Bn ) (f 1 (C))

n=1

Bn F.

n=1

f 1 (Bn ) (f 1 (C))

Vy F l - i s.

Mnh 2.1.3. Hp 2 hm o c l o c.

Chng minh.
Gi s f : (, F) (R, B).
g : (R, B) (R, B).
f l F o c v g l B o c.
Ta chng minh g f l F o c i vi khng gian u tin.
B B, (g f )1 (B) = f 1 [g 1 (B)]. V g l B o c g 1 (B) B.
Do f 1 [g 1 (B)] F v f l F o c.
Mnh 2.1.4.
Cho f : (R, B) (R, B). Nu f lin tc th f o c.

Chng minh. B (ng) trong B v f lin tc f 1 (B) l ng.

f 1 (B) B (nh ngha - i s Borel).
f l B o c.

Mnh 2.1.5.
Cho f : (, F) (R, B). Cc mnh sau l tng ng:
1.f L0 (, F, )
x R,
2.{ : f () < x} F
3.{ : f ()
x} F
4.{ : f () > x} F
5.{ : f ()  x} F.

Chng minh.
Ch cn chng minh (1) (2). Cc trng hp cn li chng minh tng t.
[]
Gi s f L0 (, F, ) ta c { : f () < x} = f 1 (, x).
M (, x) B suy ra f 1 (, x) F.
[]
Gi C l lp cc tp c dng (, x) vi x R.
(C) = B (Bi tp).
f L0 (, F, ) f 1 (B) F.
Tht vy, f 1 (B) = f 1 ((C)) = (f 1 (C)).
T gi thit f 1 (C) F suy ra f 1 (B) F (do tnh cht b nht ca - i s (f 1 (C)).
26

Mnh 2.1.6.
Cho {fn }n L0 (, F, ). Khi i L0 (, F), i = 1, 6. Trong :
1 = maxi=1, fi
4 = inf i=1, fi
2 = mini=1, fi
5 = lim i=1, fi
3 = supi=1, fi
6 = lim i=1, fi .

Chng minh.
Vn dng mnh f L0 (, F, ) {f < x} F, x R.
n

{1 < x} = {fi < x} F (v {fi < x} F)
i=1

1 L0 (, F, ).
Tng t ta c:
n


{2 < x} = {fi < x} F.
{3 < x} =
{4 < x} =
{5 < x} =
{6 < x} =

i=1

{fi < x} F.

i=1

{fi <
i=1


n=1 i=n


n=1 i=n

x} F.

{fi < x} F.
{fi < x} F.

Mnh 2.1.7.
Cng, tr, nhn, chia (nu xc nh) ca 2 hm o c l o c.

Chng minh.
f, g L0 (, F, ). Chng minh f + g L0 (, F, ).
Xy dng cc nh x sau:
h : (, F) (R2 , B2 )
k : (R2 , B2 ) (R, B)
vi h() = (f (), g()) v k(f, g) = f + g.
Ta ch ra h l F o c.
Thc vy, B B2 , B = B1 B2 , (B1 B, B2 B)
h1 (B) = h1 (B1 B2 ) = f 1 (B1 ) g 1 (B2 ) F (v f 1 (B1 ), g 1 (B2 ) F).
V th h l F o c.
Li c k(f, g) = f + g nn k lin tc k l B2 o c.
Theo mnh 2.1.3 th k h l F o c. Nhng k h = k(f, g) = f + g.
Vy f + g l F o c.
Cc trng hp cn li chng minh tng t.
27

Ch : Mnh trn ng hu khp ni.

nh ngha 2.1.2. Cho khng gian (, F, ) y . Ta ni P () ng hu khp ni nu { :
P () khng ng} = 0
( N F : (N ) = 0, P () ng N ).

V d.
fn f, n (h.k.n)
({ : fn ()  f ()}) = 0
( N F : (N ) = 0, fn () f (), N ).

Mnh 2.1.8. Cho khng gian (, F, ) y .

a) Nu f L0 (, F, ) v f = g (h.k.n) th g L0 (, F, ).
b) Nu {fn }n L0 (, F, ), v fn f (h.k.n) th f L0 (, F, ).

Chng minh.
a) f = g (h.k.n) N F : (N ) = 0 v g = f trn N nn a R ta c:
{g < a} = {g < a} N + {g < a} N = {f < a} N + {g < a} N .
Mt khc {g < a} N N nn {g < a} N khng ng k {g < a} N F (do (, F, )
l khng gian y ).
{f < a} N F (v f L0 (, F, )).
Vy {g < a} F, a R g L0 (, F, ).
b) Ta c fn f (h.k.n) N F : (N ) = 0 sao cho:
{f < a} = {f < a} N + {f < a} N v fn f trn N .
{f < a} F, a R.
Vy f L0 (, F, ).
Mnh 2.1.9.
Cho {fn }n L0 (, F, ), fn hi t (h.k.n) th f L0 (, F, ) sao cho fn f (h.k.n).

Chng minh.
t A = { 
: fn () hi t}. Theo gi thit fn hi t (h.k.n) suy ra (A) = 0.
lim fn () vi A
t f () =
0
vi A.
Vy fn f (h.k.n) v theo mnh 2.1.8 th f L0 (, F, ).
Hm ch tiu (hm c trng)
1A : {0, 1}

1 nu A
1A () =
.
0 nu
/A

28

Hm bc thang
Cho f : R. Ta ni f l hm bc thang nu f () ch nhn hu hn gi tr thc.
Gi s f () = {a1 , a2 , . . . , an }. Khi ta c th biu din hm bc thang thng qua cc hm sau:
n

f () =
ai .1Ai (), trong Ai = { : f () = ai }, i = 1, n.
Nhn xt:

1. Nu

i=1

n

i=1

ai .1Ai L0 (, F, ) Ai F, i = 1, n.

2. Ai Aj = ; i
= j, i, j = 1, n v cc Ai , i = 1, n to nn mt phn hoch trn .

Bi tp: Cho f, g l 2 hm bc thang. Chng minh f + g cng l hm bc thang.
K hiu: L+
0 l lp cc hm khng m o c.

nh l 2.1.1. iu kin cn v f L+
0 (, F, ) l {fn }nN bc thang khng gim, khng
m, o c fn f .

Chng minh.
[]
fn f v fn o c f o c.
[]

k
k+1
k
, n
f ()

n
, k = 1, n2n 1.
t fn () = 2
2
2n
n
, f ()  n
n 1
n2
k
fn =
.1 k
k+1 + n.1 {f
n}
n [ 2n f  2n ]
k=1 2
fn l hm bc thang, khng m, o c.
Cho n th fn f .
Vy: Cho mt hm khng m o c th lun tn ti dQy hm bc thang tng v ti n.

2.2 Tch phn Lebesgue

nh ngha 2.2.1 (Tch phn Lebesgue).
Cho hm f L0 (, F, ). Ta ccc nh 
ngha sau:
1. Nu f = 1A , A F th
f d =
1A d := (A).


n
n


2. Nu f =
ai .1Ai th
f d :=
ai (Ai ).
i=1

i=1


+
f d := sup{ hd : 0
h
f, h l hm bc thang}.
3. Nu f L0 (, F, ) th
4. Nu f L0 (, F, )

29

t f + = max(f, 0)

0)

f =f f
 f = max(f,

f + d
f d




+

- Nu
f d = , f d = th
fd khng tn ti.


- Nu ch mt trong hai bng th ta ni
f d tn ti nhng khng kh tch.


- Nu <
f + d < , <
f d < th f kh tch. V ta s k hiu


fd < ).
f L1 (, F, ) lp cc hm kh tch Lebesgue ( <
fd :=

Tnh cht 2.2.1. 




1. a R v nu
fd tn ti th
afd tn ti v
afd = a fd.



2. Nu f
g th
f d

gd.



3. | fd|

|f |d.



4. Nu
fd tn ti th
fd tn ti A F.

5. Cho f L1 (, F, ) f.1A L1 (, F, ), A F.
Chng
 minh. 
1.
af d = a f d.

n

TH1: f =
ai .1Ai af = a ai .1Ai
i=1
i=1


n


afd = a
ai .(Ai ) = a. fd.

n


i=1
L+
0 (, F, ),
 a

TH2:
 f
afd := sup{

> 0 af L+
0 (, F, )


ah
h
hd : 0
h
af, h BT } = sup{
d : 0

f, h BT }.
a

a 

h
ah
h

t h =
sup{
d : 0


f, h BT } = a. sup{ h d : 0
h
f, h BT } =
a
a
a


a f d.

TH3: f L0 (, F, )
TH a 
>0


afd =

(af ) d
+

(af) d =

af d
+

30

af d (v a > 0) = a

f da
+

f d





+

(theo cmt) = a
f d f d = a fd.

TH a < 0
+
(af) = af , (af ) = af+

afd =

a f d.

(af) d
+

(af ) d =

af d




+
af d = a
f d f d =
+

+
2.
 TH1: f, g L
 0 (, F, ). Ta c,

f d = sup{ hd : 0
h
f, h BT }
sup{ hd : 0
h
g, h BT } (v f
g).

gd

TH2: f, g L0 (, F, ), f
g, f = f + f , g = g + g .
Do f
g f+
g + , g 
f



+

fd =
f d f d

g d g d =
gd.




fd

|f |d (theo tnh cht 2).
3. Ta c |f |
f
|f | |f |d



| fd|

|f |d.



4. Gi s
f d tn ti v
f + d < .

Lic (f.1A )+ = 1A.f +
f + , A F.

(f.1A )+ d

f + d < .



Vy
fd = (f.1A )d tn ti.

5. Lp lun tng t nh trn ta lun c


f d < .


<
f.1A d < .

(f.1A ) d

+

f d < v
+

Vy f.1A L1 (, F, ).

nh l 2.2.1 (nh l hi t n iu).

Cho {fn }n L0 (, F, ) tho 0
fn , n, fn n f th

Chng minh.
31

fn d

f d, n .

(f.1A ) d

Ta c fn
f
fn d

fd, n





limn fn d

fd. S chng minh limn fn d 
fd.

(0, 1), t Bn = {, fn ()  (1 )h}, trong 0
hBT
f .

V fn n f Bn n .


fn d 
fn d  (1 )
hd (1 ) hd, n .
Li c

(V h =

k


Bn

Bn

hd =
ai .(Ai Bn )
i=1


Tm li: (0, 1) : (1 ) hd

fn d.



hd

fn d
Cho 0



sup{ hd : 0
h
f, h BT }
limn fn d.

 
i=1

Vy limn

ai .1Ai

k


Bn

k

i=1

ai .(Ai ) =

f d

fn d =
fd.

k

i=1

ai .(Ai ) =

hd).

nh l 2.2.2 (Tnh cng tnh hu hnca tch phn).



Cho f, g L0 (, F, ), f + g xc nh.
(f + g)d tn ti v
fd + gd xc nh. Khi




(f + g)d =
fd + gd.

c bit f, g L1 (, F, ) th (f + g) L1 (, F, ).
Chng minh.
TH1: f, g l hm bc thang. Vi
n

ai .1Ai
f=
g=

i=1
m


bj .1Bj
j=1
n


f +g =

i=1

ai .1Ai +

m

j=1

bj .1Bj .

V {Bj }, j = 1, m to nn mt phn hoch ca

n
m
n 
m
n
m





f +g =
ai
1Ai Bj +
bj
1Bj Ai =
(ai + bj ).1Ai Bj .
i=1
j=1
j=1
i=1
i=1 j=1

n 
m

(f + g)d =
(ai + bj )(Ai Bj )

i=1 j=1

32

=
=

n

i=1
n

i=1

ai (

m


j=1

m


(Ai Bj ) +


(Ai )
m


ai (Ai ) +

j=1

j=1

bj (

n


(Ai Bj )

i=1





bj (Bj ) =
fd +
gd.

(Bj )

TH2: 0
f, g L0 (, F, )
{fn }n  0, {gn }n  0 l cc dQy hm bc thang, fn n f, gn n g

(fn + gn ) n (f + g)


(fn + gn )d n (f + g)d (nh l hi t n iu).






Li c (fn + gn )d =
fn d + gn d n
fd + gd (v fn , gn l cc hm bc thang).




Do tinh duy nht ca gii hn nn (f + g)d = fd + gd.

TH3: f, g L0 (, F, ), g
0, f  0, f + g  0
t h = f + g f = h + (g)
 0. 

fd =
S dng kt qu TH2





hd =
fd + gd.

(h + (g))d =

hd

gd

Nhng trng hp khc l tng t.

nh l 2.2.3 (Tnh cng tnh m c).

Cho {fn }n L0 (, F, ), 0
fn n. Khi
 



(
fn )d =
fn d.
n=1

n=1

Chng minh.
k



t gk =
fn th 0
gk k
fn .
n=1
n=1

 

Theo nh l hi t n iu ta c
gk d k (
fn )d.
Mt khc

gk d =

k 

n=1

fn d k



n=1

n=1

fn d (do tnh hu hn cng tnh).

 



S dng tnh duy nht ca gii hn ta c (
fn )d =
fn d.
nh l 2.2.4 (Hi t n iu ni rng).
Cho {fn }n L0 (, F, ).

n=1

33

n=1

a) Nu g
fn n,
b) Nu g  fn n,




gd > v fn n f th
gd < + v fn n f th




fn d n
fn d n




fd.
fd.

Chng minh.

a) TH1:
gd = .



Ta c g
fn , n
gd

fn d


lim fn d = (1).
n

Mt khcg
fn , n
 g
limn fn = f
=
gd

fd

fd = (2).



T (1) , (2) limn fn d =
fd.


TH2: gd < g < (h.k.n).

t B = { : g() < }
(B) = 0.
Vy ta c B, n : 0
fn g n f g
T nh l hi t n iu:

(fn g)d n (f g)d

B 



fn d
gd n
f d
gd
B
B
B
B

fn d n
f d
B
B



fn d +
fn d n
fd +
f d (v (B) = 0)).
B
B
B
B

fn d n
fd.


b) Ta c fn
g, n g
fn , gd  .





n
Chng minh tng t cu a)
fn d n
fd
fn d
fd.
B

nh l 2.2.5 (BT Fatou cho tch phn).

34

Cho {fn }n L0 (, F, ) tho:

a) g
fn , n, gd > . Khi ta c:


lim n fn d
lim n fn d.


b) g  fn , n, gd < . Khi ta c:


lim n fn d  lim n fn d.
Chng minh.

a) Ta c: lim n fn =
t n =

n=1 k=n

fk .

fk n lim n fn
n d
lim n fn d (nh l hi t n iu ni rng).



Mt khc n
fn , n
n d

fn d




lim n n d
lim n fn d
lim n fn d
lim n fn d.

k=n

b) Tng t cu a) ta c: lim n fn =


n=1 k=n

fk .

fk n lim n fn
t n =
 k=n
n
g, gd <




n d
lim n fn d (nh l hi t n iu ni rng).



n d 
fn d
Mt khc n  fn , n



lim
 n n d  lim n  fn d

lim n fn d  lim n fn d.

nh l 2.2.6 (nh l hi t b chn).

Cho {fn }n o c trn (, F, ) v |fn |
g L1 (, F, ).
Nu fn f, n th:
a) 
f L1 (, F, ).
b)

fn d

f d, n .

Chng minh.
a) V |fn | b chn bi g L1 (, F, )
35

 limn |fn |
g L1 (, F, ) |f |
g L1 (, F, )
|f | L1 (, F, ) f L1 (, F, ).



b) S dng b Fatou ta c:
fd =
lim n fn d
lim n fn d
lim n fn d



lim n fn d =
f d.



fn d
f d, n .

nh l 2.2.7.
Cho f : [a, b] R. Nu f kh tch Riemann trn [a, b] th f kh tch theo ngha Lebesgue v hn
na, a, b R 
 b
f d =
f (x)dx.
[a,b]

2.3 nh l Radon - Nikodym

2.3.1 Tnh tuyt i lin tc ca o

nh ngha 2.3.1. Cho o c du (suy rng) , v o trn (, F). Ta ni tuyt i lin

tc i vi (  ) nu:
(A) = 0 (A) = 0, A F.

Mnh 2.3.1.
Cc mnh sau l tng ng:
a) 
b) +  , 
c) ||  .
Trong + , : F [0, ] l o xc nh bi
A F : + (A) = (A E), (A) = (A E),
vi (E, E) l phn hoch Hahn trn .

Chng minh.
[a b]
Ta c:  (A) = 0 (A) = 0, A F
(A E) = 0 +  .
Tng t,  .
[b c]
T (b) ta c: A F, (A) = 0 + (A) = 0, (A) = 0
||(A) = + (A) + (A) = 0. Do vy ||  .
[c a]
36

T (c) cho ta: A F, (A) = 0 ||(A) = 0.

Li c
|| (A)
||(A) = 0
(A) = 0  .

Mnh 2.3.2. Cho l o c du v l o trn khng gian o c (, F), < .

Khi hai mnh sau l tng ng:
a)  .
b) (An ) 0, n th (An ) 0, n .

Chng minh.
[b a]
l o, A F : (A) = 0, t An = A, n.
Mt khc do (b) suy ra (An ) 0, n ngha l (A) = 0.
Vy  .
[a b]
- Vi l o. Gi s  v (b) sai, tc
1
> 0, n0 : n  n0 (An ) < n , (An ) > .
2


t A = lim n An =
Ak .
n=1 k=n

(A) = (lim n An )
(
Theo BT Boole (

k=n

k=n

Ak ).

Ak )

k=n

(Ak ) <

1

< .
k
k=n 2

1

Cho n
0 (chui hi t).
k
k=n 2
(A) = 0 v v  (A) = 0 (*).
Tuy nhin, vi > 0 trn ta li c (A) = (lim n An )  lim n (An ) > (BT Fatou). Mu
thun vi (*).
Vy [a b] ng.
- Vi l o c du = + , || = + + . Theo chng minh th ||(A) = 0, ||(A) >
, > 0 (mu thun). Suy ra kt qu.

2.3.2 nh l Radon - Nikodym

nh l 2.3.1 (nh l Radon - Nikodym).

Cho l o c du, l o trn (, F). Gi s , < ,  . Khi tn ti hm
f L1 (, F, ) sao cho

(A) =

f d, A F.

Lc ny f c gi l o hm Radon - Nicodym ca i vi v vit f =

37

d
.
d

Chng minh.
Trc ht ta nhc li b Zorn.
Cho tp (S,
) v S
= . Nu mi xch C S u c mt chn trn trong S th S c phn t cc
i f (ngha l  g S : g > f ).
TH: l o.

t M = {g  0 o c, kh tch:


A

gd
(A), A F}.

Trn M ta nh ngha quan h th t f
g.

Nu mi xch C M u c chn trn th M c phn t cc i.

Xt xch C M bt k, t s = sup{

gn d n s (1).
{gn }n C :

gd, g C}

Mt khc ta c gn 
n (v nu khng
 s tn ti n0 : gn0 +1
gn0 ).
gn d n s
gn0 d

gn0 +1 d gn0
gn0 +1 .
V

Vy gn0 = gn0 +1 (h.k.n).

g0 : gn n g0 .

Theo nh l hi t n iu th

T (1), (2) s =
g0 d.

gn d n

g0 d (2).

Ta chng minh g0 l mt chn trn.

Tht
vy,



gn d
(A), n v
gn d n
g0 d
A
A
A

g0 d
(A), A F g0 M .
A

Hn na,
g C, n0 : g
gn0 g
sup
 n g n = g0 .

Gi s gn
g, n
g0 d

gd
s =



Vy
gd =
g0 d g = g0 (h.k.n).

g0 d.

Kt lun:Vi mi xch C M u c chn trn trong M . Do M phi c phn t cc i gi l f .


Cui cng ta ch ra (A) =
fd, A F.
A

t 1 (A) = (A)
fd.
A

Vi cch t trn th 1 (A)  0 v 1  .

38

Ta chng minh 1 () = 0 (1 (A) = 0, A F).

Gi s ngc li 1 () > 0, () < (v hu hn).
K > 0 : () K.1 () < 0 (**). K.1 l o c du.
Gi S l tp khng dng trong phn hoch Hahn ca i vi K.1 .
A F,
(A S) K.1 (A S)
0 (a)
(A S) K.1 (A S) > 0 (b).
c bit vi A = th t (b) (S) K.1 (S) > 0.
Li c (S) > 0 v nu khng th (S) = 0, lc
( S) K.1 ( S) = 0 (v 1  )
(S) K.1 (S) = () K.1 () > 0 (mu thun vi (**)).
1
t h = .1S > 0 trn S
K


1
1
A F, hd =
.1S d = (A S)
1 (A S) (do (a))
1 (A) = (A) fd.
A
A

A K
 K
Vy
hd
(A)
f d (h + f )d
(A)
A

h + f M, h + f > f trn S, (S) > 0(mu thun v f l phn t cc i ca M ).

V th 1 () = 0 0 = 1 (A) = (A)

(A) =
f d, A F.

fd, A F

Trng hp tng qut l o c du.

Phn tch Jordan : = + .

Vi c f1 kh tch dng: (A) =

+


A

f1 d, A F.

Vi c f2 kh tch dng: (A) =

f2 d, A F.
A

(A) = + (A) (A) = (f1 f2 )d
A

f = f1 f2 kh tch: (A) =
fd, A F.
A

nh l 2.3.2 (nh l Fubini).

Cho khng
gian tch (, F, ) = (1 2 , F1 F2 , 1 2 ) v f l F o c.

Nu

|f |d < th

 
f d =

 

f d2 d1 =
2

Bi tp chng II

39


fd1 d2 .

1) Cho 2 khng gian o c (, F), ( , F  ). Gi s F0 l i s trn  v (F0 ) = F  .

f :  .
Chng minh f L0 (, F, ) f 1 (F0 ) F.

|f |d = 0.
2) Chng minh f L1 (, F, ) limn
|f |
n

3) Cho f L1 (, F, ). Chng minh limn n[{ : |f ()| > n|}] = 0.

4) Cho chui s thc o c trn (, F, ),

fn . Gi s

n=1

n=1

({ : |fn ()| > n }) < .

fn < (h.k.n).
 n

x n
x n
x
5) Cho bit 1
e , n . Chng minh limn
1
dx = 1.
n
n
0
Trong chui dng

n=1

n < . Chng minh

n=1

6) Chng minh f L1 (, F, ) |f | L1 (, F, ).

7) |f |
g L1 (, F, ) f L1 (, F, ).

8) f = 0 (h.k.n). Chng minh
fd = 0.


fd = 0.
9) f L0 (, F, ), (A) = 0. Chng minh

 A
10) f = g (h.k.n). Chng minh
f d =
gd.

11) Chng minh f kh tch (f L1 ) th f < (h.k.n).


12) Chng minh f  0, f d = 0 th f = 0 (h.k.n).




f, g L1

13)
fd

gd, A F.
f
g(h.k.n)
A
A
14)

f, g L0
f
g(h.k.n)


A

fd


A

gd, A F.

40

Ti liu tham kho

[1] ng nh Ang, L thuyt tch phn, NXB Gio dc, 1997.
[2] Nguyn Bch Huy, Php tnh tch phn, NXB i hc quc gia Tp.HCM, 2000.
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