Advanced Calculus

1 Lebesgue measure
Definition 1.1. Let be a set and F be a collection of subsets of which satisfies the
following properties:

1. F .

2. If E F , then E c F .
S
3. If En F for n N, then n=1 En F

Then F is called a -algebra. If F is a -algebra and : F [0, ] is a function which

is countably additive, i.e.,

[ X
( En ) = (En )
n=1 n=1

where each En F and Ej Ek = if j 6= k, then we say that is a measure and call

the triple
(, F , )
a measure space.

Definition 1.2. Let m := m |M where M is the collection of all measurable subsets of R.

m is called the Lebesgue measure on R.

Theorem 1.3. The triple (R, M , m) is a measure space.

Proof. We need to show that M is a -algebra.

1. R = (, ) is an interval and hence in M .

2. If E M , by the definition of measurability, E c M .

3. We divide the proof of the third condition into several steps. The countably additive
property of m is proved in step 1. Let A R.

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Step 1: Suppose that Ek M for k N and Ei Ej = if i 6= j. Since E1 M ,
m (A) = m (A E1 ) + m (A E1c )
Assume
n1
X n1
[

m (A) = m (A Ek ) + m (A ( Ek )c )
k=1 k=1
Note that
n1
[ n1
[ n1
[
c c
m (A ( Ek ) ) = m (A ( Ek ) En ) + m (A ( Ek )c Enc )
k=1 k=1 k=1
n
[
= m (A En ) + m (A ( Ek )c )
k=1

Therefore
n
X n
[

m (A) = m (A Ek ) + m (A ( Ek )c )
k=1 k=1

By induction, the above equality is true for all n N. Let n , we get

X
[
m (A) = m (A Ek ) + m (A ( Ek )c ) ()
k=1 k=1

[
[
m (A ( Ek ) + m (A ( Ek )c )
k=1 k=1
S S
This implies k=1 Ek M . Substitute A = k=1 Ek in (), we get

[
X
[
[
[
X

m( Ek ) = m (( Ek ) En ) + m (( Ek ) ( c
Ek ) ) = m (En )
k=1 n=1 k=1 k=1 k=1 n=1

This shows that m is countably additive.

Step 2: Suppose that E1 , E2 M . Since
m (A E1 ) + m (A E1c E2 ) m ((A E1 ) (A E1c E2 ))
= m (A (E1 (E1c E2 )) = m (A (E1 E2 ))
we have
m (A) = m (A E1 ) + m (A E1c )
= m (A E1 ) + m (A E1c E2 ) + m (A (E1 E2 )c )
m (A (E1 E2 )) + m (A (E1 E2 )c )

Therefore E1 E2 M .

2
Step 3: If E1 , E2 , ..., Ek M , then Ek M . This follows from a simple induc-
Sn
k=1
tion by using the equality
n
[ n1
[
Ek = ( Ek ) En
k=1 k=1

and the result of step 2.

Step 4: If E1 , E2 M , then E1 E2 M . To prove this, note that E1c , E2c M and
by step 2,
E1c E2c = (E1 E2 )c M
Therefore E1 E2 M .
S
Step 5: If Ek M for each k N, then k=1 Ek M .

Proof. Let

F1 := E1
F2 := E2 E1 = E2 E1c
F3 := E3 (E1 E2 ) = E3 (E1 E2 )c
..
.
Fk := Ek (E1 Ek1 ) = Ek (E1 Ek1 )c

Then by step 3 and 4, we have each Fk M and Fi Fj = for i 6= j. By step

1,
[ [
Ek = Fk M
k=1 k=1

This shows that M is a -algebra and (R, M , m) is a measure space.