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Tutorial 5: Lebesgue Integration

5. Lebesgue Integration
In the following, (, F , ) is a measure space.
Definition 39 Let A . We call characteristic function of A,
the map 1A : R, defined by:

1 if A
4
, 1A () =
0 if 6 A
B(R))
is
Exercise 1. Given A , show that 1A : (, F ) (R,
measurable if and only if A F.
Definition 40 Let (, F ) be a measurable space. We say that a map
s : R+ is a simple function on (, F ), if and only if s is of
the form :
n
X
i 1Ai
s=
i=1

where n 1, i R+ and Ai F, for all i = 1, . . . , n.


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Tutorial 5: Lebesgue Integration

Exercise 2. Show that s : (, F ) (R+ , B(R+ )) is measurable,


whenever s is a simple function on (, F ).
Exercise
Pn 3. Let s be a simple function on (, F ) with representation
n
s =
i=1 i 1Ai . Consider the map : {0, 1} defined by
() = (1A1 (), . . . , 1An ()). For each y s(), pick one y
such that y = s( y ). Consider the map : s() {0, 1}n defined by
(y) = ( y ).
1. Show that is injective, and that s() is a finite subset of R+ .
P
2. Show that s = s() 1{s=}
3. Show that any simple function s can be represented as:
s=

n
X

i 1Ai

i=1

where n 1, i R+ , Ai F and = A1 ] . . . ] An .

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Tutorial 5: Lebesgue Integration

Definition 41 Let (, F ) be a measurable space, and s be a simple


function on (, F ). We call partition of the simple function s, any
representation of the form:
s=

n
X

i 1Ai

i=1

where n 1, i R+ , Ai F and = A1 ] . . . ] An .
Exercise 4. Let s be a simple function on (, F ) with two partitions:
s=

n
X
i=1

1. Show that s =

P
i,j

i 1Ai =

m
X

j 1Bj

j=1

i 1Ai Bj is a partition of s.

2. Recall the convention 0 (+) = 0 and (+) = +


if > 0. For all a1 , . . . , ap in [0, +], p 1 and x [0, +],
prove the distributive property: x(a1 +. . .+ap ) = xa1 +. . .+xap .
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Tutorial 5: Lebesgue Integration

3. Show that

Pn
i=1

i (Ai ) =

Pm
j=1

j (Bj ).

4. Explain why the following definition is legitimate.


Definition 42 Let (, F , ) be a measure space, and s be a simple
function on (, F ). We define the integral of s with respect to , as
the sum, denoted I (s), defined by:
4

I (s) =
where s =

Pn
i=1

n
X

i (Ai ) [0, +]

i=1

i 1Ai is any partition of s.

Exercise
5. Let s, t be two
F ) with partitions
P simple functions on (,
P
+
s = ni=1 i 1Ai and t = m
j=1 j 1Bj . Let R .
1. Show that s + t is a simple function on (, F ) with partition:
s+t=

m
n X
X

(i + j )1Ai Bj

i=1 j=1

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Tutorial 5: Lebesgue Integration

2. Show that I (s + t) = I (s) + I (t).


3. Show that s is a simple function on (, F ).
4. Show that I (s) = I (s).
5. Why is the notation I (s) meaningless if = + or < 0.
6. Show that if s t then I (s) I (t).
Exercise 6. Let f : (, F ) [0, +] be a non-negative and measurable map. For all n 1, we define:
4

sn =

n
n2
1
X

k=0

k
1 k
k+1
+ n1{nf }
2n { 2n f < 2n }

(1)

1. Show that sn is a simple function on (, F ), for all n 1.


2. Show that equation (1) is a partition sn , for all n 1.
3. Show that sn sn+1 f , for all n 1.
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Tutorial 5: Lebesgue Integration

4. Show that sn f as n +1 .
Theorem 18 Let f : (, F ) [0, +] be a non-negative and measurable map, where (, F ) is a measurable space. There exists a sequence (sn )n1 of simple functions on (, F ) such that sn f .
Definition 43 Let f : (, F ) [0, +] be a non-negative and
measurable map, where (, F , ) is a measure space.R We define the
Lebesgue integral of f with respect to , denoted f d, as:
Z
4
f d = sup{I (s) : s simple function on (, F ) , s f }
where, given any simple function s on (, F ), I (s) denotes its integral with respect to .
1 i.e. for all , the sequence (s ())
n
n1 is non-decreasing and converges
to f () [0, +].

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Tutorial 5: Lebesgue Integration

Exercise 7. Let f : (, F ) [0, +] be a non-negative and measurable map.


R
1. Show that f d [0, +].
R
2. Show that f d = I (f ), whenever f is a simple function.
R
R
3. Show that gd f d, whenever g : (, F ) [0, +] is
non-negative and measurable map with g f .
R
R
4. Show that (cf )d = c f d, if 0 < c < +. Explain why
both integrals are well defined. Is the equality still true for
c = 0.
5. For n 1, put An = {f > 1/n}, and sn = (1/n)1An . Show
that sn is a simple function on (, F ) with sn f . Show that
An {f > 0}.
R
6. Show that f d = 0 ({f > 0}) = 0.

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Tutorial 5: Lebesgue Integration

7. Show that if s is a simple function on (, F ) with s f , then


({f > 0}) = 0 implies I (s) = 0.
R
8. Show that f d = 0 ({f > 0}) = 0.
R
R
9. Show that (+)f d = (+) f d. Explain why both integrals are well defined.
10. Show that (+)1{f =+} f and:
Z
(+)1{f =+} d = (+)({f = +})
11. Show that

f d < + ({f = +}) = 0.

12. Suppose that () = + and take f = 1. Show that the


converse of the previous implication is not true.

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Tutorial 5: Lebesgue Integration

Exercise 8. Let s be a simple function on (, F ). Let A F.


1. Show that s1A is a simple function on (, F ).
Pn
2. Show that for any partition s = i=1 i 1Ai of s, we have:
I (s1A ) =

n
X

i (Ai A)

i=1

3. Let : F [0, +] be defined by (A) = I (s1A ). Show that


is a measure on F .
4. Suppose An F, An A. Show that I (s1An ) I (s1A ).
Exercise 9. Let (fn )n1 be a sequence of non-negative and measurable maps fn : (, F ) [0, +], such that fn f .
1. Recall what the notation fn f means.
B(R))
is measurable.
2. Explain why f : (, F ) (R,
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Tutorial 5: Lebesgue Integration

10

R
R
3. Let = supn1 fn d. Show that fn d .
R
4. Show that f d.
5. Let s be any simple function on (, F ) such that s f . Let
c ]0, 1[. For n 1, define An = {cs fn }. Show that An F
and An .
R
6. Show that cI (s1An ) fn d, for all n 1.
7. Show that cI (s) .
8. Show that I (s) .
R
9. Show that f d .
R
R
10. Conclude that fn d f d.
Theorem 19 (Monotone Convergence) Let (, F , ) be a measure space. Let (fn )n1 be a sequence of non-negativeR and measurable
R
maps fn : (, F ) [0, +] such that fn f . Then fn d f d.
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Tutorial 5: Lebesgue Integration

11

Exercise 10. Let f, g : (, F ) [0, +] be two non-negative and


measurable maps. Let a, b [0, +].
1. Show that if (fn )n1 and (gn )n1 are two sequences of nonnegative and measurable maps such that fn f and gn g,
then fn + gn f + g.
R
R
R
2. Show that (f + g)d = f d + gd.
R
R
R
3. Show that (af + bg)d = a f d + b gd.
Exercise 11. Let (fn )n1 be a sequence of non-negative and meaP+
surable maps fn : (, F ) [0, +]. Define f = n=1 fn .
1. Explain why f : (, F ) [0, +] is well defined, non-negative
and measurable.
R
P+ R
2. Show that f d = n=1 fn d.

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Tutorial 5: Lebesgue Integration

12

Definition 44 Let (, F , ) be a measure space and let P() be a


property depending on . We say that the property P() holds
-almost surely, and we write P() -a.s., if and only if:
N F , (N ) = 0 , N c , P() holds
Exercise 12. Let P() be a property depending on , such that
{ : P() holds} is an element of the -algebra F .
1. Show that P() , -a.s. ({ : P() holds}c ) = 0.
2. Explain why in general, the right-hand side of this equivalence
cannot be used to defined -almost sure properties.
Exercise 13. Let (, F , ) be a measure space and (An )n1 be a
P+
sequence of elements of F . Show that (+
n=1 An )
n=1 (An ).
Exercise 14. Let (fn )n1 be a sequence of maps fn : [0, +].
1. Translate formally the statement fn f -a.s.
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Tutorial 5: Lebesgue Integration

13

2. Translate formally fn f -a.s. and n, (fn fn+1 -a.s.)


3. Show that the statements 1. and 2. are equivalent.
Exercise 15. Suppose that f, g : (, F ) [0, +] are non-negative
and measurable with f = g -a.s..
Let N
R
R F, (N )R= 0 such that
f = g on N c . Explain why f d = R (f 1N )d
R + (f 1N c )d, all
integrals being well defined. Show that f d = gd.
Exercise 16. Suppose (fn )n1 is a sequence of non-negative and
measurable maps and f is a non-negative and measurable map, such
that fn f -a.s.. Let N F, (N ) = 0, such that fn f on N c .
Define fn = fn 1N c and f = f 1N c .
1. Explain why f and the fn s are non-negative and measurable.
2. Show that fn f.
R
R
3. Show that fn d f d.

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Tutorial 5: Lebesgue Integration

14

Exercise 17. Let (fn )n1 be a sequence of non-negative and measurable maps fn : (, F ) [0, +]. For n 1, we define gn = inf kn fk .
1. Explain why the gn s are non-negative and measurable.
2. Show that gn lim inf fn .
R
R
3. Show that gn d fn d, for all n 1.
with
4. Show that if (un )n1 and (vn )n1 are two sequences in R
un vn for all n 1, then lim inf un lim inf vn .
R
R
5. Show that (lim inf fn )d lim inf fn d, and recall why all
integrals are well defined.
Theorem 20 (Fatou Lemma) Let (, F , ) be a measure space,
and let (fn )n1 be a sequence of non-negative and measurable maps
fn : (, F ) [0, +]. Then:
Z
Z
(lim inf fn )d lim inf fn d
n+

n+

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Tutorial 5: Lebesgue Integration

15

Exercise 18. Let f : (, F ) [0, +] be a non-negative and measurable map. Let A F.


1. Recall what is meant by the induced measure space (A, F|A , |A).
Why is it important to have A F. Show that the restriction
of f to A, f|A : (A, F|A ) [0, +] is measurable.
2. We define the map A : F [0, +] by A (E) = (A E), for
all E F. Show that (, F , A ) is a measure space.
3. Consider the equalities:
Z
Z
Z
(f 1A )d = f dA = (f|A )d|A

(2)

For each of the above integrals, what is the underlying measure


space on which the integral is considered. What is the map
being integrated. Explain why each integral is well defined.
4. Show that in order to prove (2), it is sufficient to consider the
case when f is a simple function on (, F ).
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Tutorial 5: Lebesgue Integration

16

5. Show that in order to prove (2), it is sufficient to consider the


case when f is of the form f = 1B , for some B F.
6. Show that (2) is indeed true.
Definition 45 Let f : (, F ) [0, +] be a non-negative and measurable map, where (, F , ) is a measure space. let A F. We call
partial Lebesgue
integral of f with respect to over A, the integral
R
denoted A f d, defined as:
Z
Z
Z
Z
4
f d = (f 1A )d = f dA = (f|A )d|A
A

where is the measure on (, F ), A = (A ), f|A is the restriction of f to A and |A is the restriction of to F|A , the trace of F
on A.
A

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Tutorial 5: Lebesgue Integration

17

Exercise 19. Let f, g : (, F ) [0, +] be two non-negative


R and
measurable maps. Let : F [0, +] be defined by (A) = A f d,
for all A F.
1. Show that is a measure on F .
2. Show that:

Z
gd =

gf d

Theorem 21 Let f : (, F ) [0, +] be a non-negative and measurable map, where (,


R F , ) is a measure space. Let : F [0, +]
be defined by (A) = A f d, for all A F. Then, is a measure on
F , and for all g : (, F ) [0, +] non-negative and measurable, we
have:
Z
Z
gd = gf d

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Tutorial 5: Lebesgue Integration

18

Definition 46 The L1 -spaces on a measure space (, F , ), are:




Z
4
1
LR (, F , )= f : (, F ) (R, B(R)) measurable, |f |d < +


Z
4
1
LC (, F , )= f : (, F ) (C, B(C)) measurable, |f |d < +
Exercise 20. Let f : (, F ) (C, B(C)) be a measurable map.
R
1. Explain why the integral |f |d makes sense.
2. Show that f : (, F ) (R, B(R)) is measurable, if f () R.
3. Show that L1R (, F , ) L1C (, F , ).
4. Show that L1R (, F , ) = {f L1C (, F , ) , f () R}
5. Show that L1R (, F , ) is closed under R-linear combinations.
6. Show that L1C (, F , ) is closed under C-linear combinations.
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Tutorial 5: Lebesgue Integration

19

Definition 47 Let u : R be a real-valued function defined on a


set . We call positive part and negative part of u the maps u+
and u respectively, defined as u+ = max(u, 0) and u = max(u, 0).
Exercise 21. Let f L1C (, F , ). Let u = Re(f ) and v = Im(f ).
1. Show that u = u+ u , v = v + v , f = u+ u + i(v + v ).
2. Show that |u| = u+ + u , |v| = v + + v
3. Show that u+ , u , v + , v , |f |, u, v, |u|, |v| all lie in L1R (, F , ).
R
R
R
R
4. Explain why the integrals u+ d, u d, v + d, v d are
all well defined.
R
5. RWe defineR the integral
of f withR respect to
, denoted
f d, as
R
R

+

u
d
+
i
v
d

v
d
.
Explain
why
f
d
=
u
R
f d is a well defined complex number.

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Tutorial 5: Lebesgue Integration

20

6. In the case when f () C [0, +] = R+ , explain why this


new definition of the integral of f with respect to is consistent
with the one already known (43) for non-negative and measurable maps.
R
R
R
7. Show that f d = ud+i vd and explain why all integrals
involved are well defined.
Definition 48 Let f = u + iv L1C (, F , ) where (, F , ) is a
measure space.R We define the Lebesgue integral of f with respect
to , denoted f d, as:
Z

Z
Z
Z
Z
4
v + d v d
f d = u+ d u d + i
Exercise 22. Let f = u + iv L1C (, F , ) and A F.
1. Show that f 1A L1C (, F , ).
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Tutorial 5: Lebesgue Integration

21

2. Show that f L1C (, F , A ).


3. Show that f|A L1C (A, F|A , |A )
R
R
R
4. Show that (f 1A )d = f dA = f|A d|A .

R
R
R
R
5. Show that 4. is: A u+ d A u d + i A v + d A v d .
Definition 49 Let f L1C (, F , ) , where (, F , ) is a measure
space. let A F. We call partial Lebesgue
integral of f with
R
respect to over A, the integral denoted A f d, defined as:
Z
Z
Z
Z
4
A
f d = (f 1A )d = f d = (f|A )d|A
A

where is the measure on (, F ), A = (A ), f|A is the restriction of f to A and |A is the restriction of to F|A , the trace of F
on A.
A

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Tutorial 5: Lebesgue Integration

22

Exercise 23. Let f, g L1R (, F , ) and let h = f + g


1. Show that:
Z
Z
Z
Z
Z
Z
h+ d + f d + g d = h d + f + d + g + d
R
f d + gd.
R
R
3. Show that (f )d = f d
R
R
4. Show that if R then (f )d = f d.
R
R
5. Show that if f g then f d gd

2. Show that

hd =

6. Show the following theorem.


Theorem 22 For all f, g L1C (, F , ) and C, we have:
Z
Z
Z
(f + g)d = f d + gd

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Tutorial 5: Lebesgue Integration

23

Exercise 24. Let f, g be two maps, and (fn )n1 be a sequence of


measurable maps fn : (, F ) (C, B(C)), such that:
(i)

lim fn () = f () in C

n+

(ii)

n 1 , |fn | g

(iii)

g L1R (, F , )

Let (un )n1 be an arbitrary sequence in R.


1. Show that f L1C (, F , ) and fn L1C (, F , ) for all n 1.
2. For n 1, define hn = 2g |fn f |. Explain why Fatou
lemma (20) can be applied to the sequence (hn )n1 .
3. Show that lim inf(un ) = lim sup un .
4. Show that if R, then lim inf( + un ) = + lim inf un .
5. Show that un 0 as n + if and only if lim sup |un | = 0.
R
R
R
6. Show that (2g)d (2g)d lim sup |fn f |d
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Tutorial 5: Lebesgue Integration

24

R
7. Show that lim sup |fn f |d = 0.
R
8. Conclude that |fn f |d 0 as n +.
Theorem 23 (Dominated Convergence) Let (fn )n1 be a sequence of measurable maps fn : (, F ) (C, B(C)) such that fn f
in C2 . Suppose that there exists some g L1R (, F , ) such that
|fn | g for all n 1. Then f, fn L1C (, F , ) for all n 1, and:
Z
lim
|fn f |d = 0
n+

R
Exercise 25. Let f L1C (, F , ) and put z = f d. Let C,
be such that || = 1 and z = |z|. Put u = Re(f ).
1. Show that u L1R (, F , )
2. Show that u |f |
2 i.e.

for all , the sequence (fn ())n1 converges to f () C


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Tutorial 5: Lebesgue Integration

25

R
R
3. Show that | f d| = (f )d.
R
R
4. Show that (f )d = ud.
5. Prove the following theorem.
Theorem 24 Let f L1C (, F , ) where (, F , ) is a measure
space. We have:
Z
Z


f d |f |d

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