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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
n
X
i 1Ai
i=1
where n 1, i R+ , Ai F and = A1 ] . . . ] An .
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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.
3. Show that
Pn
i=1
i (Ai ) =
Pm
j=1
j (Bj ).
I (s) =
where s =
Pn
i=1
n
X
i (Ai ) [0, +]
i=1
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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sn =
n
n2
1
X
k=0
k
1 k
k+1
+ n1{nf }
2n { 2n f < 2n }
(1)
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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n
X
i (Ai A)
i=1
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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11
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12
13
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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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15
(2)
16
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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17
Z
gd =
gf d
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18
19
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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20
21
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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22
2. Show that
hd =
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23
lim fn () = f () in C
n+
(ii)
n 1 , |fn | g
(iii)
g L1R (, F , )
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.
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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