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Volume 2

D.H.Fremlin

By the same author:

Topological Riesz Spaces and Measure Theory, Cambridge University Press, 1974.

Consequences of Martins Axiom, Cambridge University Press, 1982.

Measure Theory, vol. 1, Torres Fremlin, 2000.

Measure Theory, vol. 3, Torres Fremlin, 2002.

MEASURE THEORY

Volume 2

Broad Foundations

D.H.Fremlin

Reader in Mathematics, University of Essex

Dedicated by the Author

to the Publisher

This book may be ordered from the publisher at the address below. For price and means of pay-

ment see the authors Web page http://www.essex.ac.uk/maths/staff/fremlin/mtsales.htm,

or enquire from fremdh@essex.ac.uk.

by Torres Fremlin, 25 Ireton Road, Colchester CO3 3AT, England

c D.H.Fremlin 2001

The right of D.H.Fremlin to be identified as author of this work has been asserted in accordance with

the Copyright, Designs and Patents Act 1988. This work is issued under the terms of the Design Science

License as published in http://dsl.org/copyleft/dsl.txt. For the source files see http://www.essex.

ac.uk/maths/staff/fremlin/mt2.2003/index.htm.

Library of Congress classification QA312.F72

AMS 2000 classification 28A99

ISBN 0-9538129-2-8

Typeset by AMS-TEX

Printed in England by Biddles Short Run Books, Kings Lynn

5

Contents

General Introduction 9

Introduction to Volume 2 10

Introduction 12

211 Definitions 12

Complete, totally finite, -finite, strictly localizable, semi-finite, localizable, locally determined measure

spaces; atoms; elementary relationships; countable-cocountable measures.

212 Complete spaces 18

Measurable and integrable functions on complete spaces; completion of a measure.

213 Semi-finite, locally determined and localizable spaces 24

Integration on semi-finite spaces; c.l.d. versions; measurable envelopes; characterizing localizability, strict

localizability, -finiteness.

214 Subspaces 36

Subspace measures on arbitrary subsets; integration; direct sums of measure spaces.

215 -finite spaces and the principle of exhaustion 43

The principle of exhaustion; characterizations of -finiteness; the intermediate value theorem for atomless

measures.

*216 Examples 47

A complete localizable non-locally-determined space; a complete locally determined non-localizable

space; a complete locally determined localizable space which is not strictly localizable.

Introduction 54

221 Vitalis theorem in R 54

Vitalis theorem for intervals in R.

222 Differentiating an indefinite integral Rx

57

d

Monotonic functions are differentiable a.e., and their derivatives are integrable; dx a f = f a.e.

223 Lebesgues density theorems 63

1

R x+h 1

R x+h

f (x) = limh0 h x f a.e. (x); density points; limh0 2h xh |f f (x)| = 0 a.e. (x); the Lebesgue set

of a function.

224 Functions of bounded variation 68

Variation of a function; differences of monotonic functions;

R sums and products, limits, continuity and

differentiability for b.v. functions; an inequality for f g.

225 Absolutely continuous functions 77

Absolute continuity of indefinite integrals; absolutely continuous functions on R; integration by parts;

lower semi-continuous functions; *direct images of negligible sets; the Cantor function.

*226 The Lebesgue decomposition of a function of bounded variation 87

Sums over arbitrary index sets; saltus functions; the Lebesgue decomposition.

Introduction 95

231 Countably additive functionals 95

Additive and countably additive functionals; Jordan and Hahn decompositions.

232 The Radon-Nikodym theorem 100

Absolutely and truly continuous additive functionals; truly continuous functionals are indefinite integrals;

*the Lebesgue decomposition of a countably additive functional.

233 Conditional expectations 109

-subalgebras; conditional expectations of integrable functions; convex functions; Jensens inequality.

234 Indefinite-integral measures 117

Measures f and their basic properties.

235 MeasurableR transformations

R

121

The formula g(y)(dy) = J(x)g((x))(dx); detailed conditions of applicability; inverse-measure-

preserving functions; the image measure catastrophe; using the Radon-Nikodym theorem.

6

Introduction 133

241 L0 and L0 133

The linear, order and multiplicative structure of L0 ; action of Borel functions; Dedekind completeness

and localizability.

242 L1 141

The normed lattice L1 ; integration as a linear functional; completeness and Dedekind completeness; the

Radon-Nikodym theorem and conditional expectations; convex functions; dense subspaces.

243 L 152

The normed lattice L ; completeness; the duality between L1 and L ; localizability, Dedekind com-

pleteness and the identification L

= (L1 ) .

244 Lp 160

The normed lattices Lp , for 1 < p < ; Holders inequality; completeness and Dedekind completeness;

(Lp )

= Lq ; conditional expectations.

245 Convergence in measure 173

The topology of (local) convergence in measure on L0 ; pointwise convergence; localizability and Dede-

kind completeness; embedding Lp in L0 ; k k1 -convergence and convergence in measure; -finite spaces,

metrizability and sequential convergence.

246 Uniform integrability 184

Uniformly integrable sets in L1 and L1 ; elementary properties; disjoint-sequence characterizations; k k1

and convergence in measure on uniformly integrable sets.

A subset of L1 is uniformly integrable iff it is relatively weakly compact.

Introduction 199

251 Finite products 199

Primitive and c.l.d. products; basic properties; Lebesgue measure on R r+s as a product measure; prod-

ucts of direct sums and subspaces; c.l.d. versions.

252 Fubinis

RR

theorem R

215

When f (x, y)dxdy and f (x, y)d(x, y) are equal; measures of ordinate sets; *the volume of a ball in

Rr .

253 Tensor products 233

L1 () as a completion of L1 ()L1 (); bounded bilinear maps; the ordering of L1 (); conditional

expectations.

254 Infinite products 244

Products of arbitrary families of probability spaces; basic properties; inverse-measure-preserving func-

tions; usual measure on {0, 1}I ; {0, 1}N isomorphic, as measure space, to [0, 1]; subspaces of full outer

measure; sets determined by coordinates in a subset of the index set; generalized associative law for prod-

ucts of measures; subproducts as image measures; factoring functions through subproducts; conditional

expectations on subalgebras corresponding to subproducts.

255 Convolutions of functions R R

263

Shifts in R 2 as measure space automorphisms; convolutions of functions on R; h (f g) = h(x +

y)f (x)g(y)d(x, y); f (g h) = (f g) h; kf gk1 kf k1 kgk1 ; the groups R r and ], ].

256 Radon measures on R r 275

Definition of Radon measures on R r ; completions of Borel measures; Lusin measurability; image mea-

sures; products of two Radon measures; semi-continuous functions.

257 Convolutions of measures R RR

284

Convolution of totally finite Radon measures on R r ; h d(1 2 ) = h(x+y)1 (dx)2 (dy); 1 (2 3 ) =

(1 2 ) 3 .

7

Introduction 287

261 Vitalis theorem in R r 287

Vitalis theorem for balls in R r ; Lebesgues Density Theorem.

262 Lipschitz and differentiable functions 295

Lipschitz functions; elementary properties; differentiable functions from R r to R s ; differentiability and

partial derivatives; approximating a differentiable function by piecewise affine functions; *Rademachers

theorem.

263 DifferentiableR transformations

R

in R r 308

In the formula g(y)dy = J(x)g((x))dx, find J when is (i) linear (ii) differentiable; detailed condi-

tions of applicability; polar coordinates; the one-dimensional case.

264 Hausdorff measures 319

r-dimensional Hausdorff measure on R s ; Borel sets are measurable; Lipschitz functions; if s = r, we have

a multiple of Lebesgue measure; *Cantor measure as a Hausdorff measure.

265 Surface measures 329

Normalized Hausdorff measure; action of linear operators and differentiable functions; surface measure

on a sphere.

Introduction 338

271 Distributions 339

Terminology; distributions as Radon measures; distribution functions; densities; transformations of ran-

dom variables.

272 Independence 346

Independent families of random variables; characterizations of independence; joint distributions of (finite)

independent families, and product measures; the zero-one law; E(XY ), Var(X + Y ); distribution of a

sum as convolution of distributions; *Etemadis inequality.

273 The strong law of large numbers 357

1 Pn P 1

n+1

Xi 0 a.e. if the Xn are independent with zero expectation and either (i)

i=0 n=0 (n+1)2

P 1+

Var(Xn ) < or (ii) n=0 E(|Xn | ) < for some > 0 or (iii) the Xn are identically distributed.

274 The Central Limit Theorem 370

Normally distributed r.v.s; Lindebergs conditions for the Central Limit Theorem; corollaries; estimating

R x2 /2

e dx.

275 Martingales 381

Sequences of -algebras, and martingales adapted to them; up-crossings; Doobs Martingale Convergence

Theorem; uniform integrability, k k1 -convergence and martingales as sequences of conditional expecta-

tions; reverse martingales; stopping times.

276 Martingale difference sequences 392

Martingale difference sequences; strong law of large numbers for m.d.ss.; Komlos theorem.

Introduction 401

281 The Stone-Weierstrass theorem 401

Approximating a function on a compact set by members of a given lattice or algebra of functions; real

and complex cases; approximation by polynomials and trigonometric functions; Weyls Equidistribution

Theorem in [0, 1]r .

282 Fourier series 413

Fourier and Fejer sums; Dirichlet and Fejer kernels; Riemann-Lebesgue lemma; uniform convergence

of Fejer sums of a continuous function; a.e. convergence of Fejer sums of an integrable function; k k2 -

convergence of Fourier sums of a square-integrable function; convergence of Fourier sums of a differen-

tiable or b.v. function; convolutions and Fourier coefficients.

283 Fourier Transforms I 432

R

Fourier and inverse Fourier transforms; elementary properties; 0 x1 sin x dx = 1

2

; the formula f =f

2 R R

for differentiable and b.v. f ; convolutions; ex /2 ; f g = f g.

8

Test functions; h = h; tempered functions; tempered functions which represent each others transforms;

convolutions; square-integrable functions; Diracs delta function.

285 Characteristic functions 465

The characteristic function of a distribution; independent r.v.s; the normal distribution; the vague

topology on the space of distributions, and sequential convergence of characteristic functions; Poissons

theorem.

286 Carlesons theorem 480

The Hardy-Littlewood Maximal Theorem; the Lacey-Thiele proof of Carlesons theorem.

Appendix to Volume 2

Introduction 513

2A1 Set theory 513

Ordered sets; transfinite recursion; ordinals; initial ordinals; Schroder-Bernstein theorem; filters; Axiom

of Choice; Zermelos Well-Ordering Theorem; Zorns Lemma; ultrafilters.

2A2 The topology of Euclidean space 519

Closures; compact sets; open sets in R.

2A3 General topology 523

Topologies; continuous functions; subspace topologies; Hausdorff topologies; pseudometrics; convergence

of sequences; compact spaces; cluster points of sequences; convergence of filters; product topologies;

dense subsets.

2A4 Normed spaces 532

Normed spaces; linear subspaces; Banach spaces; bounded linear operators; dual spaces; extending a

linear operator from a dense subspace; normed algebras.

2A5 Linear topological spaces 535

Linear topological spaces; topologies defined by functionals; completeness; weak topologies.

2A6 Factorization of matrices 539

Determinants; orthonormal families; T = P DQ where D is diagonal and P , Q are orthogonal.

Concordance 541

References for Volume 2 542

Index to Volumes 1 and 2

Principal topics and results 544

General index 548

General introduction 9

General introduction In this treatise I aim to give a comprehensive description of modern abstract measure

theory, with some indication of its principal applications. The first two volumes are set at an introductory

level; they are intended for students with a solid grounding in the concepts of real analysis, but possibly with

rather limited detailed knowledge. As the book proceeds, the level of sophistication and expertise demanded

will increase; thus for the volume on topological measure spaces, familiarity with general topology will be

assumed. The emphasis throughout is on the mathematical ideas involved, which in this subject are mostly

to be found in the details of the proofs.

My intention is that the book should be usable both as a first introduction to the subject and as a reference

work. For the sake of the first aim, I try to limit the ideas of the early volumes to those which are really

essential to the development of the basic theorems. For the sake of the second aim, I try to express these ideas

in their full natural generality, and in particular I take care to avoid suggesting any unnecessary restrictions

in their applicability. Of course these principles are to to some extent contradictory. Nevertheless, I find that

most of the time they are very nearly reconcilable, provided that I indulge in a certain degree of repetition.

For instance, right at the beginning, the puzzle arises: should one develop Lebesgue measure first on the

real line, and then in spaces of higher dimension, or should one go straight to the multidimensional case? I

believe that there is no single correct answer to this question. Most students will find the one-dimensional

case easier, and it therefore seems more appropriate for a first introduction, since even in that case the

technical problems can be daunting. But certainly every student of measure theory must at a fairly early

stage come to terms with Lebesgue area and volume as well as length; and with the correct formulations, the

multidimensional case differs from the one-dimensional case only in a definition and a (substantial) lemma.

So what I have done is to write them both out (114-115). In the same spirit, I have been uninhibited,

when setting out exercises, by the fact that many of the results I invite students to look for will appear in

later chapters; I believe that throughout mathematics one has a better chance of understanding a theorem

if one has previously attempted something similar alone.

As I write this Introduction (March 2003), the plan of the work is as follows:

Volume 1: The Irreducible Minimum

Volume 2: Broad Foundations

Volume 3: Measure Algebras

Volume 4: Topological Measure Spaces

Volume 5: Set-theoretic Measure Theory.

Volume 1 is intended for those with no prior knowledge of measure theory, but competent in the elementary

techniques of real analysis. I hope that it will be found useful by undergraduates meeting Lebesgue measure

for the first time. Volume 2 aims to lay out some of the fundamental results of pure measure theory

(the Radon-Nikodym theorem, Fubinis theorem), but also gives short introductions to some of the most

important applications of measure theory (probability theory, Fourier analysis). While I should like to

believe that most of it is written at a level accessible to anyone who has mastered the contents of Volume 1,

I should not myself have the courage to try to cover it in an undergraduate course, though I would certainly

attempt to include some parts of it. Volumes 3 and 4 are set at a rather higher level, suitable to postgraduate

courses; while Volume 5 will assume a wide-ranging competence over large parts of analysis and set theory.

There is a disclaimer which I ought to make in a place where you might see it in time to avoid paying for

this book. I make no attempt to describe the history of the subject. This is not because I think the history

uninteresting or unimportant; rather, it is because I have no confidence of saying anything which would not

be seriously misleading. Indeed I have very little confidence in anything I have ever read concerning the

history of ideas. So while I am happy to honour the names of Lebesgue and Kolmogorov and Maharam in

more or less appropriate places, and I try to include in the bibliographies the works which I have myself

consulted, I leave any consideration of the details to those bolder and better qualified than myself.

The work as a whole is not yet complete; and when it is finished, it will undoubtedly be too long

to be printed as a single volume in any reasonable format. I am therefore publishing it one part at a

time. However, drafts of most of the rest are available on the Internet; see http://www.essex.ac.uk/

maths/staff/fremlin/mt.htm for detailed instructions. For the time being, at least, printing will be in

short runs. I hope that readers will be energetic in commenting on errors and omissions, since it should be

possible to correct these relatively promptly. An inevitable consequence of this is that paragraph references

may go out of date rather quickly. I shall be most flattered if anyone chooses to rely on this book as a source

10 General introduction

for basic material; and I am willing to attempt to maintain a concordance to such references, indicating

where migratory results have come to rest for the moment, if authors will supply me with copies of papers

which use them. Two such items can already be found in the concordance to the present volume.

I mention some minor points concerning the layout of the material. Most sections conclude with lists of

basic exercises and further exercises, which I hope will be generally instructive and occasionally enter-

taining. How many of these you should attempt must be for you and your teacher, if any, to decide, as no

two students will have quite the same needs. I mark with a > those which seem to me to be particularly

important. But while you may not need to write out solutions to all the basic exercises, if you are in any

doubt as to your capacity to do so you should take this as a warning to slow down a bit. The further

exercises are unbounded in difficulty, and are unified only by a presumption that each has at least one

solution based on ideas already introduced. Occasionally I add a final problem, a question to which I do

not know the answer and which seems to arise naturally in the course of the work.

The impulse to write this book is in large part a desire to present a unified account of the subject.

Cross-references are correspondingly abundant and wide-ranging. In order to be able to refer freely across

the whole text, I have chosen a reference system which gives the same code name to a paragraph wherever

it is being called from. Thus 132E is the fifth paragraph in the second section of the third chapter of

Volume 1, and is referred to by that name throughout. Let me emphasize that cross-references are supposed

to help the reader, not distract her. Do not take the interpolation (121A) as an instruction, or even a

recommendation, to lift Volume 1 off the shelf and hunt for 121. If you are happy with an argument as it

stands, independently of the reference, then carry on. If, however, I seem to have made rather a large jump,

or the notation has suddenly become opaque, local cross-references may help you to fill in the gaps.

Each volume will have an appendix of useful facts, in which I set out material which is called on

somewhere in that volume, and which I do not feel I can take for granted. Typically the arrangement of

material in these appendices is directed very narrowly at the particular applications I have in mind, and is

unlikely to be a satisfactory substitute for conventional treatments of the topics touched on. Moreover, the

ideas may well be needed only on rare and isolated occasions. So as a rule I recommend you to ignore the

appendices until you have some direct reason to suppose that a fragment may be useful to you.

During the extended gestation of this project I have been helped by many people, and I hope that my

friends and colleagues will be pleased when they recognise their ideas scattered through the pages below.

But I am especially grateful to those who have taken the trouble to read through earlier drafts and comment

on obscurities and errors.

Introduction to Volume 2

For this second volume I have chosen seven topics through which to explore the insights and challenges

offered by measure theory. Some, like the Radon-Nikodym theorem (Chapter 23) are necessary for any

understanding of the structure of the subject; others, like Fourier analysis (Chapter 28) and the discussion

of function spaces (Chapter 24) demonstrate the power of measure theory to attack problems in general

real and functional analysis. But all have applications outside measure theory, and all have influenced its

development. These are the parts of measure theory which any analyst may find himself using.

Every topic is one which ideally one would wish undergraduates to have seen, but the length of this

volume makes it plain that no ordinary undergraduate course could include very much of it. It is directed

rather at graduate level, where I hope it will be found adequate to support all but the most ambitious

courses in measure theory, though it is perhaps a bit too solid to be suitable for direct use as a course text,

except with careful selection of the parts to be covered. If you are using it to teach yourself measure theory,

I strongly recommend an eclectic approach, looking for particular subjects and theorems that seem startling

or useful, and working backwards from them. My other objective, of course, is to provide an account of the

central ideas at this level in measure theory, rather fuller than can easily be found in one volume elsewhere.

I cannot claim that it is definitive, but I do think I cover a good deal of ground in ways that provide

a firm foundation for further study. As in Volume 1, I usually do not shrink from giving best results,

like Lindebergs conditions for the Central Limit Theorem (274), or the theory of products of arbitrary

measure spaces (251). If I were teaching this material to students in a PhD programme I would rather

accept a limitation in the breadth of the course than leave them unaware of what could be done in the areas

discussed.

Introduction to Volume 2 11

The topics interact in complex ways one of the purposes of this book is to exhibit their relationships.

There is no canonical linear ordering in which they should be taken. Nor do I think organization charts are

very helpful, not least because it may be only two or three paragraphs in a section which are needed for a

given chapter later on. I do at least try to lay the material of each section out in an order which makes

initial segments useful by themselves. But the order in which to take the chapters is to a considerable extent

for you to choose, perhaps after a glance at their individual introductions. I have done my best to pitch the

exposition at much the same level throughout the volume, sometimes allowing gradients to steepen in the

course of a chapter or a section, but always trying to return to something which anyone who has mastered

Volume 1 ought to be able to cope with. (Though perhaps the main theorems of Chapter 26 are harder

work than the principal results elsewhere, and 286 is only for the most determined.)

I said there were seven topics, and you will see eight chapters ahead of you. This is because Chapter 21

is rather different from the rest. It is the purest of pure measure theory, and is here only because there are

places later in the volume where (in my view) the theorems make sense only in the light of some abstract

concepts which are not particularly difficult, but are also not obvious. However it is fair to say that the

most important ideas of this volume do not really depend on the work of Chapter 21.

As always, it is a puzzle to know how much prior knowledge to assume in this volume. I do of course call

on the results of Volume 1 of this treatise whenever they seem to be relevant. I do not doubt, however, that

there will be readers who have learnt the elementary theory from other sources. Provided you can, from first

principles, construct Lebesgue measure and prove the basic convergence theorems for integrals on arbitrary

measure spaces, you ought to be able to embark on the present volume. Perhaps it would be helpful to have

in hand the results-only version of Volume 1, since that includes the most important definitions as well as

statements of the theorems.

There is also the question of how much material from outside measure theory is needed. Chapter 21

calls for some non-trivial set theory (given in 2A1), but the more advanced ideas are needed only for the

counter-examples in 216, and can be passed over to begin with. The problems become acute in Chapter

24. Here we need a variety of results from functional analysis, some of them depending on non-trivial ideas

in general topology. For a full understanding of this material there is no substitute for a course in normed

spaces up to and including a study of weak compactness. But I do not like to insist on such a preparation,

because it is likely to be simultaneously too much and too little. Too much, because I hardly mention linear

operators at this stage; too little, because I do ask for some of the theory of non-locally-convex spaces,

which is often omitted in first courses on functional analysis. At the risk, therefore, of wasting paper, I have

written out condensed accounts of the essential facts (2A3-2A5).

For the second printing of this volume, I have made two substantial corrections to inadequate proofs and

a large number of minor amendments; I am most grateful to T.D.Austin for his careful reading of the first

printing. In addition, I have added a dozen exercises and a handful of straightforward results which turn

out to be relevant to the work of later volumes and fit naturally here.

The regular process of revision of this work has led me to make a couple of notational innovations not

described explicitly in the early editions of Volume 1. I trust that most readers will find these immediately

comprehensible. If, however, you find that there is a puzzling cross-reference which you are unable to match

with anything in the version of Volume 1 which you are using, it may be worth while checking the errata

pages in http://www.essex.ac.uk/maths/staff/fremlin/mterr.htm.

12 Taxonomy of measure spaces

*Chapter 21

Taxonomy of measure spaces

I begin this volume with a starred chapter. The point is that I do not really recommend this chapter

for beginners. It deals with a variety of technical questions which are of great importance for the later

development of the subject, but are likely to be both abstract and obscure for anyone who has not encoun-

tered the problems these techniques are designed to solve. On the other hand, if (as is customary) this

work is omitted, and the ideas are introduced only when urgently needed, the student is likely to finish with

very vague ideas on which theorems can be expected to apply to which types of measure space, and with

no vocabulary in which to express those ideas. I therefore take a few pages to introduce the terminology

and concepts which can be used to distinguish good measure spaces from others, with a few of the basic

relationships. The only paragraphs which are immediately relevant to the theory set out in Volume 1 are

those on complete, -finite and semi-finite measure spaces (211A, 211D, 211F, 211Lc, 212, 213A-213B,

215B), and on Lebesgue measure (211M). For the rest, I think that a newcomer to the subject can very

well pass over this chapter for the time being, and return to it for particular items when the text of later

chapters refers to it. On the other hand, it can also be used as an introduction to the flavour of the purest

kind of measure theory, the study of measure spaces for their own sake, with a systematic discussion of a

few of the elementary constructions.

211 Definitions

I start with a list of definitions, corresponding to the concepts which I have found to be of value in

distinguishing different types of measure space. Necessarily, the significance of many of these ideas is likely

to be obscure until you have encountered some of the obstacles which arise later on. Nevertheless, you

will I hope be able to deal with these definitions on a formal, abstract basis, and to follow the elementary

arguments involved in establishing the relationships between them (211L).

In 216 I give three substantial examples to demonstrate the rich variety of objects which the definition of

measure space encompasses. In the present section, therefore, I content myself with very brief descriptions

of sufficient cases to show at least that each of the definitions here discriminates between different spaces

(211M-211R).

211A Definition Let (X, , ) be a measure space. Then , or (X, , ), is (Caratheodory) complete

if whenever A E and E = 0 then A ; that is, if every negligible subset of X is measurable.

211B Definition Let (X, , ) be a measure space. Then (X, , ), is a probability space if X = 1.

In this case is called a probability or probability measure.

211C Definition Let (X, , ) be a measure space. Then , or (X, , ), is totally finite if X < .

211D Definition Let (X, , ) be a measure space. Then , or S (X, , ), is -finite if there is a

sequence hEn inN of measurable sets of finite measure such that X = nN En .

Remark Note that in this case we can set

S S

Fn = En \ i<n Ei , Gn = in Ei

for each n, to obtain a disjoint cover hFn inN of X by measurable sets of finite measure, and a non-decreasing

sequence hGn inN of sets of finite measure covering X.

211E Definition Let (X, , ) be a measure space. Then , or (X, , ), is strictly localizable or

decomposable

S if there is a disjoint family hXi iiI of measurable sets of finite measure such that X =

iI Xi and

= {E : E X, E Xi i I},

211L Definitions 13

P

E = iI (E Xi ) for every E .

I will call such a family hXi iiI a decomposition of X.

P

Remark In this context, we can interpret the sum iI (E Xi ) simply as

P

sup{ iJ (E Xi ) : J is a finite subset of I},

P

taking i (E Xi ) = 0, because we are concerned only with sums of non-negative terms (cf. 112Bd).

211F Definition Let (X, , ) be a measure space. Then , or (X, , ), is semi-finite if whenever

E and E = there is an F E such that F and 0 < F < .

211G Definition Let (X, , ) be a measure space. Then , or (X, , ), is localizable or Maharam

if it is semi-finite and, for every E , there is an H such that (i) E \ H is negligible for every E E

(ii) if G and E \ G is negligible for every E E, then H \ G is negligible. It will be convenient to call

such a set H an essential supremum of E in .

Remark The definition here is clumsy, because really the concept applies to measure algebras rather than to

measure spaces (see 211Yb-211Yc). However, the present definition can be made to work (see 213N, 241G,

243G below) and enables us to proceed without a formal introduction to the concept of measure algebra

before the time comes to do the job properly in Volume 3.

211H Definition Let (X, , ) be a measure space. Then , or (X, , ), is locally determined if it

is semi-finite and

= {E : E X, E F whenever F and F < };

that is to say, for any E PX \ there is an F such that F < and E F

/ .

211I Definition Let (X, , ) be a measure space. A set E is an atom for if E > 0 and

whenever F , F E one of F , E \ F is negligible.

211J Definition Let (X, , ) be a measure space. Then , or (X, , ), is atomless or diffused if

there are no atoms for . (Note that this is not the same thing as saying that all finite sets are negligible;

see 211R below.)

211K Definition Let (X, , ) be a measure space. Then , or (X, , ), is purely atomic if whenever

E and E is not negligible there is an atom for included in E.

Remark

P Recall that a measure on a set X is point-supported if measures every subset of X and

E = xE {x} for every E X (112Bd). Every point-supported measure is purely atomic, because {x}

must be an atom whenever {x} > 0, but not every purely atomic measure is point-supported (211R).

211L The relationships between the concepts above are in a sense very straightforward; all the direct

implications in which one property implies another are given in the next theorem.

Theorem (a) A probability space is totally finite.

(b) A totally finite measure space is -finite.

(c) A -finite measure space is strictly localizable.

(d) A strictly localizable measure space is localizable and locally determined.

(e) A localizable measure space is semi-finite.

(f) A locally determined measure space is semi-finite.

proof (a), (b), (e) and (f) are trivial.

(c) Let (X, , ) be a -finite measure space; let hFn inN be a disjoint sequence of measurable sets of

finite measure covering X (see the remark in 211D). If E , then of course E Fn for every n N,

and

14 Taxonomy of measure spaces 211L

P P

E = n=0 (E Fn ) = nN (E Fn ).

If E X and E Fn for every n N, then

S

E = nN E Fn .

So hFn inN is a decomposition of X and (X, , ) is strictly localizable.

(d) Let (X, , ) be a strictly localizable measure space; let hXi iiI be a decomposition of X.

(i) Let E be a family of measurable subsets of X. Let F be the family of measurable sets F X

such

S that (F E) = 0 for every E E. Note that F and, if hFn inN is any sequence in F, then

nN Fn F. For each i I, set i = sup{(F Xi ) : F F} and choose a sequence hFin inN in F such

that limn (Fin Xi ) = i ; set

S

Fi = nN Fin F .

Set

S

F = iI Fi Xi X

and H = X \ F .

We see that F Xi = Fi Xi for each i I (because hXi iiI is disjoint), so F and H . For any

E E,

P P

(E \ H) = (E F ) = iI (E F Xi ) = iI (E Fi Xi ) = 0

because every Fi belongs to F. Thus F F. If G and (E \ G) = 0 for every E E, then X \ G and

F 0 = F (X\G) belong to F. So (F 0 Xi ) i for each i I. But also (F Xi ) supnN (Fin Xi ) = i ,

so (F Xi ) = (F 0 Xi ) for each i. Because Xi is finite, it follows that ((F 0 \ F ) Xi ) = 0, for each i.

Summing over i, (F 0 \ F ) = 0, that is, (H \ G) = 0.

Thus H is an essential supremum for E in . As E is arbitrary, (X, , ) is localizable.

(ii) If E and E = , then there is some i I such that

0 < (E Xi ) Xi < ;

so (X, , ) is semi-finite. If E X and E F whenever F < , then, in particular, E Xi for

every i I, so E ; thus (X, , ) is locally determined.

211M Example: Lebesgue measure Let us consider Lebesgue measure in the light of the concepts

above. Write for Lebesgue measure on R r and for its domain.

A = E = 0 (writing for Lebesgue outer measure), so, for any B R,

(B A) + (B \ A) 0 + B = B,

and A must be measurable.

S

(b) is -finite, because R = nN [n, n], writing n for the vector (n, . . . , n), and [n, n] = (2n)r <

for every n. Of course is neither totally finite nor a probability measure.

(c) Because is -finite, it is strictly localizable (211Lc), localizable (211Ld), locally determined (211Ld)

and semi-finite (211Le-f).

(d) is atomless. P

P Suppose that E . Consider the function

a 7 f (a) = (E [a, a]) : [0, [ R

We have

f (a) f (b) f (a) + [b, b] [a, a] = f (a) + (2b)r (2a)r

whenever a b in [0, [, so f is continuous. Now f (0) = 0 and limn f (n) = E > 0. By the Intermediate

Value Theorem there is an a [0, [ such that 0 < f (a) < E. So we have

211Q Definitions 15

As E is arbitrary, is atomless. Q

Q

(e) It is now a trivial observation that cannot be purely atomic, because R r itself is a set of positive

measure not including any atom.

211N Counting measure Take X to be any uncountable set (e.g., X = R), and to be counting

measure on X (112Bd).

A = E = .

S if hEn inN is any sequence of sets of finite measure then every En is finite,

therefore countable, and nN En is countable (1A1F), so cannot be X. A fortiori, is not a probability

measure nor totally finite.

P Set Xx = {x} for every x X. Then hXx ixX is a partition of X, and for

any E X

(E Xx ) = 1 if x E, 0 otherwise.

By the definition of ,

P

E = xX (E Xx )

for every E X, and hXx ixX is a decomposition of X. Q Q

Consequently is localizable, locally determined and semi-finite.

P {x} is an atom for every x X, and if E > 0 then surely E includes {x} for

some x. Q

Q Obviously, is not atomless.

211O A non-semi-finite space Set X = {0}, = {, X}, = 0 and X = . Then is not semi-

finite, as X = but X has no subset of non-zero finite measure. It follows that cannot be localizable,

locally determined, -finite, totally finite nor a probability measure. Because = PX, is complete. X is

an atom for , so is purely atomic (indeed, it is point-supported).

211P A non-complete space Write B for the -algebra of Borel subsets of R (111G), and for the

restriction of Lebesgue measure to B (recall that by 114G every Borel subset of R is Lebesgue measurable).

Then (R, B, ) is atomless, -finite and not complete.

proof (a) To see that is not complete, recall that there is a continuous, strictly increasing bijection

g : [0, 1] [0, 1] such that g[C] > 0, where C is the Cantor set, so that there is a set A g[C] which

is not Lebesgue measurable (134Ib). Now g 1 [A] C cannot be a Borel set, since A = (g 1 [A])g 1

is not Lebesgue measurable, therefore not Borel measurable, and the composition of two Borel measurable

functions is Borel measurable (121Eg); so g 1 [A] is a non-measurable subset of the negligible set C.

(b) The rest of the arguments of 211M apply to just as well as to true Lebesgue measure, so is -finite

and atomless.

*Remark The argument offered in (a) could give rise to a seriously false impression. The set A referred

to there can be constructed only with the use of a strong form of the axiom of choice. No such device is

necessary for the result here. There are many methods of constructing non-Borel subsets of the Cantor set,

all illuminating in different ways, and some do not need the axiom of choice at all; I hope to return to this

question in Volumes 4 and 5.

211Q Some probability spaces Two obvious constructions of probability spaces, restricting myself

to the methods described in Volume 1, are

(a) the subspace measure induced by Lebesgue measure on [0, 1] (131B);

16 Taxonomy of measure spaces 211Q

P

(b) the point-supported

P measure induced on a set X by a function h : X [0, 1] such that xX h(x) = 1,

writing E = xE h(x) for every E X; for instance, if X is a singleton {x} and h(x) = 1, or if X = N

and h(n) = 2n1 .

Of these two, (a) gives an atomless probability measure and (b) gives a purely atomic probability measure.

211R The countable-cocountable measure The following is one of the basic constructions to keep

in mind when considering abstract measure spaces.

(a) Let X be any set. Let be the family of those sets E X such that either E or X \ E is countable.

Then is a -algebra of subsets of X. PP (i) is countable, so belongs to . (ii) The condition for E

to belong to is symmetric between

S E and X \ E, so X \ E for every E . (iii) Let hEn inN be

any sequence in , and set E = nN En . If every En is countable, then E is countable, so belongs to .

Otherwise, there is some n such that X \ En is countable, in which case X \ E X \ En is countable, so

again E . QQ is called the countable-cocountable -algebra of X.

E and E is not countable. Then is a measure. P P (i) is countable so = 0. (ii) Let hEn inN be a

disjoint sequence in , and E its union. () If every Em is countable, then so is E, so

P

E = 0 = n=0 En .

() If some Em is uncountable, then E Em is also uncountable, and E = Em = 1. But in this case,

because Em , X \ Em is countable, so En , being a subset of X \ Em , is countable for every n =

6 m; thus

En = 0 for every n 6= m, and

P

E = 1 = n=0 En .

As hEn inN is arbitrary, is a measure. Q

Q ( is called the countable-cocountable measure on X.)

(c) If X is any uncountable set and is the countable-cocountable measure on X, then is a complete,

purely atomic probability measure, but is not point-supported. P P (i) If A E and E = 0, then E is

countable, so A is also countable and belongs to . Thus is complete. (ii) Because X is uncountable,

X = 1 and is a probability measure. (iii) If E > 0, then F = E = 1 whenever F is aPnon-negligible

measurable subset of E, so E is itself an atom; thus is purely atomic. (iv) X = 1 > 0 = xX {x}, so

is not point-supported. Q

Q

211X Basic exercises > (a) Let be counting measure on a set X. Show that is always strictly

localizable and purely atomic, and that it is -finite iff X is countable, totally finite iff X is finite, a

probability measure iff X is a singleton, and atomless iff X is empty.

> (b) Let g : R R be a non-decreasing function and g the associated Lebesgue-Stieltjes measure

(114Xa). Show that g is complete and -finite. Show that

(i) g is totally finite iff g is bounded;

(ii) g is a probability measure iff limx g(x) limx g(x) = 1;

(iii) g is atomless iff g is continuous;

(iv) if E is any atom for g , there is a point x E such that g E = g {x};

(v) g is purely atomic iff it is point-supported.

(c) Let X be a set. Show that for any -ideal I of subsets of X (definition: 112Db), the set

= I {X \ A : A I}

is a -algebra of subsets of X, and that there is a measure : {0, 1} given by setting

E = 0 if E I, E = 1 if E \ I.

Show that I is precisely the ideal of -negligible sets, that is complete, totally finite and purely atomic,

and is a probability measure iff X

/ I.

211 Notes Definitions 17

> (d) Let (X, , ) be a measure space, Y any set and : X Y a function. Let 1 be the image

measure as defined in 112E. Show that

(i) 1 is complete whenever is;

(ii) 1 is a probability measure iff is;

(iii) 1 is totally finite iff is;

(iv) is -finite if 1 is;

(v) if is purely atomic and -finite, then 1 is purely atomic;

(vi) if is purely atomic and 1 is semi-finite, then 1 is purely atomic.

> (e) Let (X, , ) be a measure space. Show that is -finite iff there is a totally finite measure on X

with the same measurable sets and the same negligible sets as .

211Y Further exercises (a) Let be the countable-cocountable -algebra of R. Show that [0, [ / .

Let be the restriction of counting measure to . Show that (R, , ) is complete, semi-finite and purely

atomic, but not localizable nor locally determined.

(b) Let (X, , ) be a measure space, and for E, F write E F if (E4F ) = 0. Show that is an

equivalence relation on . Let A be the set of equivalence classes in for ; for E , write E A for

its equivalence class. Show that there is a partial ordering on A defined by saying that, for E, F ,

E F (E \ F ) = 0.

Show that is localizable iff for every A A there is an h A such that (i) a h for every a A (ii)

whenever g A is such that a g for every a A, then h g.

(c) Let (X, , ) be a measure space, and construct A as in (b) above. Show that there are operations

, , \ on A defined by saying that

E F = (E F ) ,

E F = (E F ) ,

E \ F = (E \ F )

for all E, F . Show that if A A is any countable set, then there is certainly an h A such that (i)

a h for every a A (ii) whenever g A is such that a g for every a A, then h g. Show that there

is a functional : A [0, ] defined by saying

(E ) = E

for every E .

((A, ) is called the measure algebra of (X, , ).)

(d) Let (X, , ) be a semi-finite measure space. Show that it is atomless iff whenever > 0, E and

E < , then there is a finite partition of E into measurable sets of measure at most .

(e) Let (X, , ) be a strictly localizable measure space. Show that it is atomless iff for every > 0 there

is a decomposition of X consisting of sets of measure at most .

211 Notes and comments The list of definitions in 211A-211K probably strikes you as quite long enough,

even though I have omitted many occasionally useful ideas. The concepts here vary widely in importance,

and the importance of each varies widely with context. My own view is that it is absolutely necessary, when

studying any measure space, to know its classification under the eleven discriminating features listed here,

and to be able to describe any atoms which are present. Fortunately, for most ordinary measure spaces,

the classification is fairly quick, because if (for instance) the space is -finite, and you know the measure of

the whole space, the only remaining questions concern completeness and atoms. The distinctions between

18 Taxonomy of measure spaces 211 Notes

spaces which are, or are not, strictly localizable, semi-finite, localizable and locally determined are relevant

only for spaces which are not -finite, and do not arise in elementary applications.

I think it is also fair to say that the notions of complete and locally determined measure space are

technical; I mean, that they do not correspond to significant features of the essential structure of a space,

though there are some interesting problems concerning incomplete measures. One manifestation of this is the

existence of canonical constructions for rendering spaces complete or complete and locally determined (212C,

213D-213E). In addition, measure spaces which are not semi-finite do not really belong to measure theory,

but rather to the more general study of -algebras and -ideals. The most important classifications, in

terms of the behaviour of a measure space, seem to me to be -finite, localizable and strictly localizable;

these are the critical features which cannot be forced by elementary constructions.

If you know anything about Borel subsets of the real line, the argument of part (a) of the proof of 211P

must look very clumsy. But better proofs rely on ideas which we shall not need until Volume 4, and the

proof here is based on a construction which we have to understand for other reasons.

In the next two sections of this chapter I give brief accounts of the theory of measure spaces possessing

certain of the properties described in 211. I begin with completeness. I give the elementary facts about

complete measure spaces in 212A-212B; then I turn to the notion of completion of a measure (212C) and

its relationships with the other concepts of measure theory introduced so far (212D-212H).

proof Recall that Caratheodorys method starts from an arbitrary outer measure : PX [0, ] and

sets

= {E : E X, A = (A E) + (A \ E) for every A X}, =

(113C). In this case, if B E and E = 0, then B = E = 0 (113A(ii)), so for any A X we have

(A B) + (A \ B) = (A \ B) A (A B) + (A \ B),

and B .

212B Proposition (a) If (X, , ) is a complete measure space, then any conegligible subset of X is

measurable.

(b) Let (X, , ) be a complete measure space, and f a real-valued function defined on a subset of X. If

f is virtually measurable (that is, there is a conegligible set E X such that f E is measurable), then f

is measurable.

(c) Let (X, , ) be a complete measure space, and f a real-valued function defined on a conegligible

subset of X. Then the following are equiveridical, that is, if one is true so are the others:

(i) f is integrable;

(ii) f is measurable and |f | is integrable;

(iii) f is measurable and there is an integrable function g such that |f | a.e. g (that is, |f | g almost

everywhere).

(d) Let (X, , ) be a complete measure space, Y a set and f : X Y a function. Then the image

measure f 1 (112E) is complete.

proof (a) If E is conegligible, then X \ E is negligible, therefore measurable, and E is measurable.

(b) Let a R. Then there is an H such that

{x : (f E)(x) a} = H dom(f E) = H E dom f .

Now F = {x : x dom f \ E, f (x) a} is a subset of the negligible set X \ E, so is measurable, and

{x : f (x) a} = (F H) dom f dom f ,

212D Complete spaces 19

(c) A real-valued function f on a general measure space (X, , ) is integrable iff () there is a conegligible

set E dom f such that f E is measurable () there is a non-negative integrable function g such that

|f | a.e. g (122P(iii)). But in view of (b), we can in the present context restate () as f is defined a.e.

and measurable; which is the version here. (The shift from non-negative integrable g to integrable g is

trivial, because if g is integrable and |f | a.e. g, then |g| is non-negative and integrable and |f | a.e. |g|.)

(d) If B F Y and (f 1 )(F ) = 0, then f 1 [B] f 1 [F ] and (f 1 [F ]) = 0, so (f 1 )(B) =

(f 1 [B]) = 0.

(a) Let be the family of those sets E X such that there are E 0 , E 00 with E 0 E E 00 and

(E 00 \ E 0 ) = 0. Then is a -algebra of subsets of X. P P (i) Of course belongs to , because we can take

E 0 = E 00 = . (ii) If E , take E 0 , E 00 such that E 0 E E 00 and (E 00 \ E 0 ) = 0. Then

X \ E 00 X \ E X \ E 0 , ((X \ E 0 ) \ (X \ E 00 )) = (E 00 \ E 0 ) = 0,

so X \E . (iii) If hEn inN is a sequence in , then for each n choose En0 , En00 such that En0 En En00

and (En00 \ En0 ) = 0. Set

S S S

E = nN En , E 0 = nN En0 , E 00 = nN En00 ;

S

then E 0 E E 00 and E 00 \ E 0 nN (En00 \ En0 ) is negligible, so E . QQ

E = E = inf{F : E F }.

It is worth remarking at once that if E , E 0 , E 00 , E 0 E E 00 and (E 00 \ E 0 ) = 0, then

E 0 = E = E 00 ; this is because

E 0 = E 0 E E 00 = E 00 = E 0 + (E 00 \ E) = E 0

(recalling from 132A, or noting now, that A B whenever A B X, and that agrees with on

).

(c) We now find that (X, , ) is a measure space. PP (i) Of course , like , takes values in [0, ]. (ii)

0

= = 0. (iii) Let hEn inN be a disjoint sequence in , withSunion E. For each S n 00 N choose En ,

00 0 00 00 0 0 0 00

En such that En En En and (En \ En ) = 0. Set E = nN En , E = nN En . Then (as in

(a-iii) above) E 0 E E 00 and (E 00 \ E 0 ) = 0, so

P P

E = E 0 = n=0 En0 = n=0 En

because hEn0 inN , like hEn inN , is disjoint. Q

Q

(d) The measure space (X, , ) is called the completion of the measure space (X, , ); equally, I

will call the completion of , and occasionally (if it is plain which ideal of negligible sets is under

consideration) I will call the completion of . Members of are sometimes called -measurable.

Proposition Let (X, , ) be any measure space. Then (X, , ), as defined in 212C, is a complete measure

space and is an extension of ; and (X, , ) = (X, , ) iff (X, , ) is complete.

proof (a) Suppose that A E and E = 0. Then (by 212Cb) there is an E 00 such that E E 00

and E 00 = 0. Accordingly we have

A E 00 , (E 00 \ ) = 0,

so A . As A is arbitrary, is complete.

20 Taxonomy of measure spaces 212D

and extends .

(c) If = then of course must be complete. If is complete, and E , then there are E 0 , E 00

such that E 0 E E 00 and (E 00 \ E 0 ) = 0. But now E \ E 0 E 00 \ E 0 , so (because (X, , ) is complete)

E \ E 0 and E = E 0 (E \ E 0 ) . As E is arbitrary, and = and = .

212E The importance of this construction is such that it is worth spelling out some further elementary

properties.

Proposition Let (X, , ) be a measure space, and (X, , ) its completion.

(a) The outer measures , defined from and coincide.

(b) , give rise to the same negligible and conegligible sets.

(c) is the only measure with domain which agrees with on .

(d) A subset of X belongs to iff it is expressible as F 4A where F and A is -negligible.

proof (a) Take any A X. (i) If A F , then F and F = F , so

A F = F ;

as F is arbitrary, A A. (ii) If A E , there is an E 00 such that E E 00 and E 00 = E, so

A E 00 = E;

as E is arbitrary, A A.

(b) Now, for A X,

A is -negligible A = 0 A = 0 A is -negligible,

A is -conegligible (X \ A) = 0

(X \ A) = 0 A is -conegligible.

E 0 E E 00 , E 0 = E = E 00 ,

so E = E, whenever E 0 , E 00 , E 0 E E 00 and (E 00 \ E 0 ) = 0.

(d)(i) If E , take E 0 , E 00 such that E 0 E E 00 and (E 00 \ E 0 ) = 0. Then E \ E 0 E 00 \ E 0 , so

E \ E 0 is -negligible, and E = E 0 4(E \ E 0 ) is the symmetric difference of a member of and a negligible

set.

(ii) If E = F 4A, where F and A is -negligible, take G such that G = 0 and A G; then

F \ G E F G and ((F G) \ (F \ G)) = G = 0, so E .

212F Now let us consider integration with respect to the completion of a measure.

Proposition Let (X, , ) be a measure space and (X, , ) its completion.

(a) A [, ]-valued function f defined on a subset of X is -measurable

R iff it isR-virtually measurable.

(b) Let f be a [, ]-valued function defined on a subset of X. Then f d = f d if either is defined

in [, ]; in particular, f is -integrable iff it is -integrable.

proof (a) (i) Suppose that f is a [, ]-valued -measurable function. For q Q let Eq be such

that {x : f (x)S q} = dom f Eq , and choose Eq0 , Eq00 such that Eq0 Eq Eq00 and (Eq00 \ Eq0 ) = 0.

Set H = X \ qQ (Eq00 \ Eq0 ); then H is conegligible. For a R set

S

Ga = qQ,q<a Eq0 ;

then

{x : x dom(f H), (f H)(x) < a} = Ga dom(f H).

212G Complete spaces 21

(ii) If f is -virtually measurable, then there is a -conegligible set H X such that f H is -

measurable. Since , f H is also -measurable. And H is -conegligible, by 212Eb. But this means

that f is -virtually measurable, therefore -measurable, by 212Bb.

R R

(b)(i) Let f : D [, ] be a function, where D X. If either of f d, f d is defined in [, ],

then f is virtually measurable, and defined almost everywhere, for one of the appropriate measures, and

therefore for both (putting (a) above together with 212Bb).

(ii) Now suppose that f is non-negative and integrable either with respect to or with respect to .

Let E be a conegligible set included in dom f such that f E is -measurable. For n N, set

Enk = {x : x E, 2n k f (x) < 2n (k + 1)} if 1 k < 4n ,

En,4n = {x : x E, f (x) 4n };

then each Enk belongs to and is of finite measure for both and . (If f is -integrable,

R

Enk = Enk 2n f d;

if f is -integrable,

R

Enk = Enk 2n f d.)

So

P4n

fn = k=1 2n kEnk

R R

is both -simple and -simple, and fn d = fn d. But hfn inN is a non-decreasing sequence of functions

converging to f at every point of E, that is, both -almost everywhere and -almost everywhere. So we

have, for any c R,

Z Z

f d = c lim fn d = c

n

Z Z

lim fn d = c f d = c.

n

R

(iii) As for infinite integrals, recall that for a non-negative function I write f = just when f is

defined

R almost

R everywhere, is virtually measurable, and is not integrable. So (i) and (ii) together show that

f d = f d whenever f is non-negative and either integral is defined in [0, ].

R R R

(iv) Since both , agree that f is to be interpreted as f + f just when this can be defined

in [, ], writing f + (x) = max(f (x), 0), f (x) = max(f (x), 0) for x dom f , the result for general

real-valued f follows at once.

212G I turn now to the question of the effect of the construction on the other properties listed in 211A.

Proposition Let (X, , ) be a measure space, and (X, , ) its completion.

(a) (X, , ) is a probability space, or totally finite, or -finite, or semi-finite, or localizable, iff (X, , )

is.

(b) (X, , ) is strictly localizable if (X, , ) is, and any decomposition of X for is a decomposition

for .

(c) A set H is an atom for iff there is an E such that E is an atom for and (H4E) = 0.

(d) (X, , ) is atomless or purely atomic iff (X, , ) is.

proof (a)(i) Because X = X, (X, , ) is a probability space, or totally finite, iff (X, , ) is.

) If (X, , ) is -finite, there is a sequence hEn inN , covering X, with En < for each n.

(ii)(

Now En < for each n, so (X, , ) is -finite.

22 Taxonomy of measure spaces 212G

) If (X, , ) is -finite, there is a sequence hEn inN , covering X, with En < for each n. Now

(

we can find, for each n, an En00 such that En00 < and En En00 ; so that hEn00 inN witnesses that

(X, , ) is -finite.

) If (X, , ) is semi-finite and E = , then there is an E 0 such that E 0 E and E 0 = .

(iii)(

Next, there is an F such that F E 0 and 0 < F < . Of course we now have F , F E and

0 < F < . As E is arbitrary, (X, , ) is semi-finite.

( ) If (X, , ) is semi-finite and E = , then E = , so there is an F E such that 0 <

F < . Next, there is an F 0 such that F 0 F and F 0 = F . Of course we now have F 0 E and

0 < F 0 < . As E is arbitrary, (X, , ) is semi-finite.

) If (X, , ) is localizable and E , then set

(iv)(

F = {F : F , E E, F E}.

Let H be an essential supremum of F in , as in 211G.

If E E, there is an E 0 such that E 0 E and E \ E 0 is negligible; now E 0 F , so

(E \ H) (E \ E 0 ) + (E 0 \ H) = 0.

If G and (E \ G) = 0 for every E E, let G00 be such that G G00 and (G00 \ G) = 0; then, for

any F F , there is an E E including F , so that

(F \ G00 ) (E \ G) = 0.

As F is arbitrary, (H \ G00 ) = 0 and (H \ G) = 0. This shows that H is an essential supremum of E in

. As E is arbitrary, (X, , ) is localizable.

) Suppose that (X, , ) is localizable and that E . Working in (X, , ), let H be an essential

(

supremum for E in . Let H 0 be such that H 0 H and (H \ H 0 ) = 0. Then

(E \ H 0 ) (E \ H) + (H \ H 0 ) = 0

for every E E; while if G and (E \ G) = 0 for every E E, we must have

(H 0 \ G) (H \ G) = 0.

Thus H 0 is an essential supremum of E in . As E is arbitrary, (X, , ) is localizable.

(b) Let hXi iiI be a decomposition of X for , as in 211E. Of course it is a disjoint cover of X by sets

of finite -measure. If H X and H Xi for every i, choose for each i I sets Ei0 , Ei00 such that

Ei0 H Xi Ei00 , (Ei00 \ Ei0 ) = 0.

S S

Set E 0 = iI Ei0 , E 00 = iI (Ei00 Xi ). Then E 0 Xi = Ei0 , E 00 Xi = Ei00 Xi for each i, so E 0 and E 00

belong to and

P P

E 0 = iI Ei0 = iI (H Xi ).

Also

P

(E 00 \ E 0 ) = iI (Ei00 Xi \ Ei0 ) = 0.

Consequently H and

P

H = E 0 = iI (H Xi ).

As H is arbitrary, hXi iiI is a decomposition of X for .

Accordingly, (X, , ) is strictly localizable if such a decomposition exists, which is so if (X, , ) is

strictly localizable.

(c)-(d)(i) Suppose that E is an atom for . Let E 0 be such that E 0 E and (E \ E 0 ) = 0.

Then E 0 = E > 0. If F and F E 0 , then F E, so either F = F = 0 or (E 0 \F ) = (E \F ) = 0.

As F is arbitrary, E 0 is an atom for , and (E4E 0 ) = (E \ E 0 ) = 0.

(ii) Suppose that E is an atom for , and that H is such that (H4E) = 0. Then

H = E > 0. If F and F H, let F 0 F be such that F 0 and (F \ F 0 ) = 0. Then E F 0 E

212Xk Complete spaces 23

is an atom for .

(iii) It follows at once that (X, , ) is atomless iff (X, , ) is.

(iv)( ) On the other hand, if (X, , ) is purely atomic and H > 0, there is an E such that

E H and E > 0, and an atom F for such that F E; but F is also an atom for . As H is arbitrary,

(X, , ) is purely atomic.

( ) And if (X, , ) is purely atomic and E > 0, then there is an H E which is an atom for ;

now let F be such that F H and (H \ F ) = 0, so that F is an atom for and F E. As E is

arbitary, (X, , ) is purely atomic.

212X Basic exercises > (a) Let (X, , ) be a complete measure space. Suppose that A E and

that A + (E \ A) = E < . Show that A .

> (b) Let and be two measures on a set X, with completions and . Show that the following are

equiveridical: (i) the outerR measures

R , defined from and coincide; (ii) E = E whenever either

is defined and finite; (iii) f d = f d whenever f is a real-valued function such that either integral is

defined and finite. (Hint: for (i)(ii), if E < , take a measurable envelope F of E for and calculate

E + (F \ E).)

(c) Let be the restriction of Lebesgue measure to the Borel -algebra of R, as in 211P. Show that its

completion is Lebesgue measure itself. (Hint: 134F.)

(d) Repeat 212Xc for (i) Lebesgue measure on R r (ii) Lebesgue-Stieltjes measures on R (114Xa).

(e) Let X be a set and 1 , 2 two measures on X, with domains 1 , 2 respectively. Let = 1 + 2 be

their sum, with domain = 1 2 (112Xe). Show that if (X, 1 , 1 ) and (X, 2 , 2 ) are complete, so is

(X, , ).

(f ) Let X be a set and a -algebra of subsets of X. Let I be a -ideal of subsets of X (112Db). (i)

Show that 1 = {E4A : E , A I} is a -algebra of subsets of X. (ii) Let 2 be the family of sets

E X such that there are E 0 , E 00 with E 0 E E 00 and E 00 \ E 0 I. Show that 2 is a -algebra of

subsets of X and that 2 1 . (iii) Show that 2 = 1 iff every member of I is included in a member of

I.

(g) Let (X, , ) be a measure space, Y any set and : X Y a function. Set B = 1 [B] for

every B Y . (i) Show that is an outer measure on Y . (ii) Let be the measure defined from by

Caratheodorys method, and T its domain. Show that if C Y and 1 [C] then C T. (iii) Suppose

that (X, , ) is complete and totally finite. Show that is the image measure 1 .

(h) Let X be a set and 1 , 2 two complete measures on X, with domains 1 , 2 . Let be their

sum, with domain 1 2 , as in 212Xe. Show that a real-valued R function

R f defined

R on a subset of X is

-integrable iff it is i -integrable for both i, and in this case f d = f d1 + f d2 . (Compare 212Yd.)

(i) Let g, h be two non-decreasing functions from R to itself, and g , h the associated Lebesgue-Stieltjes

measures. Show that a real-valued function f R defined on Ra subset Rof R is g+h -integrable iff it is both

g -integrable and h -integrable, and that then f dg+h = f dg + f dh . (Hint: 114Yb).

T

(j) Let XPbe a set and hi iiI a family of measures on X; write i for the domain of i . Set = iI i

and E = iI i E for E , as in 112Ya. (i) Show that if every i is complete, so is . (ii) Suppose

that

P everyR i is complete. Show that a real-valued function f defined on a subset of X is -integrable iff

iI |f |di is defined and finite. (Compare 212Ye.)

(k) Let (X, , ) be a measure space, and I a -ideal of subsets of X. (i) Show that 0 = {E A : E

, A I} is a -algebra of subsets of X. (ii) Show that if every member of I is -negligible, then there

is a unique extension of to a measure 0 with domain 0 such that 0 A = 0 for every A I.

24 Taxonomy of measure spaces 212Y

212Y Further exercises (a) Let be the restriction of counting measure to the countable-cocountable

-algebra of R, as in 211Ya. Let be the completion of , the outer measure defined from , and the

measure defined by Caratheodorys method from . Show that = and that = is counting measure

on R, so that 6= .

P P

(b)T Repeat 212Xe for sums of arbitrary families of measures, saying that iI i E = iI i E for

E iI dom i , as in 112Ya, 212Xj.

(c) Let X be a set and an inner measure on X, that is, a functional from X to [0, ] such that

= 0,

(A B) A + B if A B = ,

T

( nN An ) = limn An whenever hAn inN is a non-increasing sequence of subsets of X

and A0 < ;

if A = , a R there is a B A such that a B < .

Let be the measure defined from , that is, = , where

= {E : (A) = (A E) + (A \ E) A X}

(113Yg). Show that must be complete.

(d) Write L for Lebesgue measure on [0, 1], and L for its domain. Set 1 = {E [0, 1] : E L },

2 = {[0, 1] E : E L } and 1 (E [0, 1]) = 2 ([0, 1] E) = L E for every E L . Let =

1 + 2 : 1 2 [0, 2] be Rtheir sum Ras defined in 212Xe and 212Xh above. Show that there is a function

f : [0, 1]2 {0, 1} such that f d1 = f d2 = 0 but f is not -integrable.

I = {E : E 1 is countable}, = I {X \ E : E I}.

For each < 1 Pdefine : {0, 1} by setting E = 1 if E, 0 otherwise. Show that is a measure

on X. Set = <1 , as in 112Ya and 212Xj. Show that {1 } is -integrable, with integral 0, for

every , but is not -integrable.

212 Notes and comments The process of completion is so natural, and so universally applicable, and so

convenient, that over large parts of measure theory it is reasonable to use only complete measure spaces.

Indeed many authors so phrase their definitions that, explicitly or implicitly, only complete measure spaces

are considered. In this treatise I avoid taking quite such a large step, even though it would simplify the

statements of many of the theorems in this volume (for instance). There are non-complete measure spaces

which are worthy of study (for example, the restriction of Lebesgue measure to the Borel -algebra of R

see 211P), and some interesting questions to be dealt with in Volumes 3 and 5 apply to them. At the cost

of rather a lot of verbal manoeuvres, therefore, I prefer to write theorems out in a form in which they can

be applied to arbitrary measure spaces, without assuming completeness. But it would be reasonable, and

indeed would sharpen your technique, if you regularly sought the alternative formulations which become

natural if you are interested only in complete spaces.

In this section I collect a variety of useful facts concerning these types of measure space. I start with

the characteristic properties of semi-finite spaces (213A-213B), and continue with the complete locally

determined spaces (213C) and the concept of c.l.d. version (213D-213H), the most powerful of the univer-

sally available methods of modifying a measure space into a better-behaved one. I briefly discuss locally

determined negligible sets (213I-213L), and measurable envelopes (213L-213M), and end with results on

localizable spaces (213N) and strictly localizable spaces (213O).

213B Semi-finite, locally determined and localizable spaces 25

E = sup{F : F , F E, F < }

for every E .

proof Set c = sup{F : F , F E, F < }. Then surely c E, so if c = we can stop. If

c < , letShFn inN be a sequence of measurable

S subsets of E, of finite measure, such that limn Fn = c;

set F = nN Fn . For each n N, kn Fk is a measurable set of finite measure included in E, so

S

( kn Fk ) c, and

S

F = limn ( kn Fk ) c.

Also

F supnN Fn c,

so F = c.

If F 0 is a measurable subset of E \ F and F 0 < , then F F 0 has finite measure and is included

in E, so has measure at most c = F ; it follows that F 0 = 0. But this means that (E \ F ) cannot be

infinite, since then, because (X, , ) is semi-finite, it would have to include a measurable set of non-zero

finite measure. So E \ F has finite measure, and is therefore in fact negligible; and E = c, as claimed.

213B Proposition Let (X, , ) be a semi-finite measure space. Let f be a -virtually measurable

[0, ]-valued function defined almost everywhere on X. Then

Z Z

f = sup{ g : g is a simple function, g a.e. f }

Z

= sup f

F ,F < F

in [0, ].

proof (a) For any measure space (X, , ), a [0, ]-valued function defined on a subset of X is integrable

iff there is a conegligible set E such that

() E dom f and f E is measurable,

R

() sup{ g : g is a simple function, g a.e. f } is finite,

() for every > 0, {x : x E, f (x) } has finite measure,

() f is finite almost everywhere

(see 122Ja, 133B). But if is semi-finite, () and () are consequences of the rest. P

P Let > 0. Set

E = {x : x E, f (x) },

R

c = sup{ g : g is a simple function, g a.e. f };

we are supposing that c is finite. If F E is measurable and F < , then F is a simple function and

F a.e. f , so

R

F = F c, F c/.

As F is arbitrary, 213A tells us that E c/ is finite. As is arbitrary, () is satisfied.

As for (), if F = {x : x E, f (x) = } then F is finite (by ()) and nF a.e. f , so nF c, for

every n N, so F = 0. Q Q

(b) Now

R suppose that f : D [0, ] is a -virtually measurable function, where D X is conegligible,

so that f is defined in [0, ] (135F). Then (a) tells us that

Z Z

f= sup g

g is simple,gf a.e.

(if either is finite, and therefore also if either is infinite)

26 Taxonomy of measure spaces 213B

Z Z Z

= sup g sup f f,

g is simple,gf a.e.,F < F F < F

*213C Proposition Let (X, , ) be a complete locally determined measure space, and the outer

measure derived from (132A-132B). Then the measure defined from by Caratheodorys method is

itself.

proof Write for the measure defined by Caratheodorys method from , and for its domain.

(a) If E and A X then (A E) + (A \ E) = A (132Af), so E . Now E = E = E

(132Ac). Thus and = .

(b) Now suppose that H . Let E be such that E < . Then H E . P P Let E1 , E2

be measurable envelopes of E H, E \ H respectively, both included in E (132Ee). Because H ,

E1 + E2 = (E H) + (E \ H) = E = E.

As E1 E2 = E,

(E1 E2 ) = E1 + E2 E = 0.

Now E1 \ (E H) E1 E2 ; because is complete, E1 \ (E H) and E H belong to . Q Q

As E is arbitrary, and is locally determined, H . As H is arbitrary, = and = .

213D C.l.d. versions: Proposition Let (X, , ) be a measure space. Write (X, , ) for its comple-

tion (212C) and f for {E : E , E < }. Set

= {H : H X, H E for every E f },

and for H set

H = sup{(H E) : E f }.

Then (X, , ) is a complete locally determined measure space.

P (i) E = for every E f , so . (ii) if H

proof (a) I check first that is a -algebra. P

then

(X \ H) E = E \ (E H)

f

for every E , so X \ H . (iii) If hHn inN is a sequence in with union H, then

S

H E = nN H Hn

for every E f , so H . Q

Q

(b) It is obvious that = 0. If hHn inN is a disjoint sequence in with union H, then

H = sup{(H E) : E f }

X

X

= sup{ (Hn E) : E f } Hn .

n=0 n=0

P Pm

On the other hand, given a < Pn=0 Hn , there is an m N S such that a < n=0 Hn ; now we can find

m

E0 , . . . , Em f such that a n=0 (Hn En ). Set E = nm En f ; then

P Pm

H (H E) = n=0 (Hn E) n=0 (Hn En ) a.

P P

As a is arbitrary, H n=0 Hn and H = n=0 Hn .

(c) Thus (X, , ) is a measure space. To see that it is semi-finite, note first that (because if

H then surely H E for every E f ), and that H = H whenever H < (because then,

by the definition in 212Ca, there is an E f such that H E, so that H = (H E) = H). Now

213G Semi-finite, locally determined and localizable spaces 27

suppose that H and that H = . There is surely an E f such that (H E) > 0; but now

0 < (H E) < , so 0 < (H E) < .

(d) Thus (X, , ) is a semi-finite measure space. To see that it is locally determined, let H X be

such that H G whenever G and G < . Then, in particular, we must have H E for

every E f . But this means in fact that H E for every E f , so that H . As H is arbitrary,

(X, , ) is locally determined.

(e) To see that (X, , ) is complete, suppose that A H and that H = 0. Then for every E f

we must have (H E) = 0. Because (X, , ) is complete, and A E H E, A E . As E is

arbitrary, A .

213E Definition For any measure space (X, , ), I will call (X, , ), as constructed in 213D, the

c.l.d. version (complete locally determined version) of (X, , ); and will be the c.l.d. version of .

213F Following the same pattern as in 212E-212G, I start with some elementary remarks to facilitate

manipulation of this construction.

Proposition Let (X, , ) be any measure space and (X, , ) its c.l.d. version.

(a) and E = E whenever E and E < in fact, if (X, , ) is the completion of

(X, , ), and E = E whenever E < .

(b) Writing and for the outer measures defined from and respectively, A A for every

A X, with equality if A is finite. In particular, -negligible sets are -negligible; consequently, -

conegligible sets are -conegligible.

(c) For every H there is an E such that E H and E = H; if H < then (H \ E) = 0.

proof (a) This is already covered by remarks in the proof of 213D.

(b) If A = then surely A A. If A < , take E such that A E and E = A

(132Aa). Then

A E = E = A.

On the other hand, if A H , then

H (H E) A = A,

using 212Ea. So A A and A = A.

(c) Write f for {E : E , E < }; then, by the definition in 213D, H = sup{(H E) : E f }.

Let hEn inN be a sequence in f such that H = supnN (H SEn ). For each n N there is an Fn

such that Fn H En and Fn = (H En ) (212C). Set E = nN Fn . Then E , E H and

[

H = sup Fn lim ( Fi ) = E

nN n

in

[

= lim ( Fi ) H,

n

in

213G The next step is to look at functions which are measurable or integrable with respect to .

Proposition Let (X, , ) be a measure space, and (X, , ) its c.l.d. version.

(a) If a real-valued function f defined on a subset of X is -virtually measurable, it is -measurable.

(b) If a real-valued function is -integrable, it is -integrable with the same integral.

(c) If f is a -integrable real-valued function, there is a -integrable real-valued function which is equal

to f -almost everywhere.

proof Write f for {E : E , E < }. By 213Fa, and agree on f .

28 Taxonomy of measure spaces 213G

(a) By 212Fa, f is -measurable, where is the domain of the completion of ; but since , f is

-measurable.

R R

(b)(i) If f is a -simple function it is -simple, and f d = f d, because E = E for every E f .

(ii) If f is a non-negative -integrable function, there is a non-decreasing sequence hfn inN of -simple

functions converging to f -almost everywhere; now (by 213Fb) -negligible sets are -negligible, so hfn inN

converges to f -a.e. and (by B.Levis theorem, 123A) f is -integrable, with

R R R R

f d = limn fn d = limn fn d = f d.

R

(iii) In general, if f d is defined in R, we have

R R R R R R

f d = f + d f d = f + d f d = f d,

+

writing f = f 0, f = (f ) 0.

Pn

(c)(i) Let f be a -simple function. Express it as i=0 ai Hi where Hi < for eachPi. Choose

n

E0 , . . . , En such that Ei R Hi and R(Hi \ Ei ) = 0 for each i (using 213Fc above). Then g = i=0 ai Ei

is -simple, g = f -a.e., and gd = f d.

(ii) Let f be a non-negative -integrable function. Let hfn inN be a non-decreasing sequence of -simple

functions converging -almost everywhere to f . For each n, choose a -simple function gn equal -almost

everywhere to fn . Then {x : gn+1 (x) < gn (x)} belongs to f and is -negligible, therefore -negligible. So

hgn inN is non-decreasing -almost everywhere. Because

R R R

limn gn d = limn fn d = f d,

B.Levis theorem tells us that hgn inN converges -almost everywhere to a -integrable function g; because

-negligible sets are -negligible,

(X \ dom f ) (X \ dom g)

[

{x : fn (x) 6= gn (x)}

nN

nN

nN

(iii) If f is -integrable, express it as f1 f2 where f1 and f2 are -integrable and non-negative; then

there are -integrable functions g1 , g2 such that f1 = g1 , f2 = g2 -a.e., so that g = g1 g2 is -integrable

and equal to f -a.e.

213H Thirdly, I turn to the effect of the construction here on the other properties being considered in

this chapter.

Proposition Let (X, , ) be a measure space and (X, , ) its completion, (X, , ) its c.l.d. version.

(a) If (X, , ) is a probability space, or totally finite, or -finite, or strictly localizable, so is (X, , ),

and in all these cases = ;

(b) if (X, , ) is localizable, so is (X, , ), and for every H there is an ER suchR that (E4H) = 0;

(c) (X, , ) is semi-finite iff F = F for every F , and in this case f d = f d whenever the

latter is defined in [, ];

(d) a set H is an atom for iff there is an atom E for such that E < and (H4E) = 0;

(e) if (X, , ) is atomless or purely atomic, so is (X, , );

(f) (X, , ) is complete and locally determined iff = .

proof (a)(i) I start by showing that if (X, , ) is strictly localizable, then = . PP Let hXi iiI be a

decomposition of X for ; then it is also a decomposition for (212Gb). If H , we shall have H Xi

for every i, and therefore H ; moreover,

213H Semi-finite, locally determined and localizable spaces 29

X X

H = (H Xi ) = sup{ (H Xi ) : J I is finite}

iI iJ

sup{(H E) : E , E < } = H H.

Q

(ii) Consequently, if (X, , ) is a probability space, or totally finite, or -finite, or strictly localizable,

so is (X, , ), using 212Ga-212Gb to see that (X, , ) has the property involved.

(b) If (X, , ) is localizable, let H be any subset of . Set

E = {E : E , H H, E H}.

Working in (X, , ), let F be an essential supremum for E.

(i) ?? Suppose, if possible, that there is an H H such that (H \ F ) > 0. Then there is an E

such that E H \ F and E = (H \ F ) > 0 (213Fc). This E belongs to E and (E \ F ) = E > 0; which

is impossible if F is an essential supremum of E. XX

(ii) Thus (H \ F ) = 0 for every H H. Now take any G such that (H \ G) = 0 for every

H H. Let E0 be such that E0 F \ G and E0 = (F \ G); note that F \ E0 F G. If E E,

there is an H H such that E H, so that

(E \ (F \ E0 )) (H \ (F G)) (H \ F ) + (H \ G) = 0.

Because F is an essential supremum for E in ,

0 = (F \ (F \ E0 )) = E0 = (F \ G).

This shows that F is an essential supremum for H in . As H is arbitrary, (X, , ) is localizable.

(iii) The argument of (i)-(ii) shows in fact that if H then H has an essential supremum F in

such that F actually belongs to . Taking H = {H}, we see that if H there is an F such that

(H4F ) = 0.

(c) We already know that E E for every E , with equality if E < , by 213Fa.

(i) If (X, , ) is semi-finite, then for any F we have

F = sup{E : E , E F, E < }

= sup{E : E , E F, E < } F F,

so that F = F .

(ii) Suppose that F = F for every F . If F = , then there must be an E such that

E < , (F E) > 0; in which case F E and 0 < (F E) < . As F is arbitrary, (X, , ) is

semi-finite.

R

(iii) If f is non-negative and f d = , then f is -virtually measurable, therefore -measurable

(213Ga), and defined -almost everywhere, therefore -almost everywhere. Now

Z Z

f d = sup{ g d : g is -simple, 0 g f -a.e.}

Z

sup{ g d : g is -simple, 0 g f -a.e.} =

R R R

by 213B. With 213Gb, this shows that f d = f d whenever f is non-negativeR R and f d is defined in

[0, ]. Applying this to the positive and negative parts of f , we see that f d = f d whenever the latter

is defined in [, ].

(d)(i) If H is an atom for , then (because is semi-finite) there is surely an H 0 such that

H H and 0 < H 0 < , and we must have (H \ H 0 ) = 0, so that H < . Accordingly there is an

0

30 Taxonomy of measure spaces 213H

and E = H < .

(ii) If H and there is an atom E for such that E < and (H4E) = 0, let G be a subset

of H. We have

G H = E < ,

so there is an F such that F G and (G \ F ) = 0. Now either G = (E F ) = 0 or (H \ G) =

(E \ F ) = 0. This is true whenever G and G H; also H = E > 0. So H is an atom for .

(e) If (X, , ) is atomless, then (X, , ) must be atomless, by (d).

If (X, , ) is purely atomic and H , H > 0, then there is an E such that 0 < (H E) < .

Let E1 be such that E1 H E and E1 > 0. There is an atom F for such that F E1 ; now

F < so F is an atom for , by (d). Also F H. As H is arbitrary, (X, , ) is purely atomic.

(f ) If = , then of course (X, , ) must be complete and locally determined, because (X, , ) is. If

(X, , ) is complete and locally determined, then = so (using the definition in 213D) and = ,

by (c) above.

213I Locally determined negligible sets The following simple idea is occasionally useful.

Definition A measure space (X, , ) has locally determined negligible sets if for every non-negligible

A X there is an E such that E < and A E is not negligible.

213J Proposition If a measure space (X, , ) is either strictly localizable or complete and locally

determined, it has locally determined negligible sets.

proof Let A X be a set such that A E is negligible whenever E < ; I need to show that A is

negligible.

(i) If is strictly localizable, let hXi iiI be a decomposition

S of X. For each i I, A P

Xi is negligible, so

there is a negligible Ei such that A Xi Ei . Set E = iI Ei Xi . Then E = iI (Ei Xi ) = 0

and A E, so A is negligible.

(ii) If is complete and locally determined, take any measurable set E of finite measure. Then A E is

negligible, therefore measurable; as E is arbitrary, A is measurable; as is semi-finite, A is negligible.

213K Lemma If a measure space (X, , ) has locally S determined negligible sets, and E has an

essential supremum H in the sense of 211G, then H \ E is negligible.

S

proof Set A = H \ E. Take any F such that F < . Then F A has a measurable envelope V

say (132Ee). If E E, then

(E \ (X \ V )) = (E V ) = (E F A) = 0,

so H V = H \ (X \ V ) is negligible and F A is negligible. As F is arbitrary and has locally determined

negligible sets, A is negligible, as claimed.

213L Proposition Let (X, , ) be a localizable measure space with locally determined negligible sets;

for instance, might be either complete, locally determined and localizable or strictly localizable (213J,

211Ld). Then every subset A of X has a measurable envelope.

proof Set

E = {E : E , (A E) = E < }.

Let G be an essential supremum for E in .

(i) A \ G is negligible. P

P Let F be any set of finite measure for . Let E be a measurable envelope of

A F . Then E E so E \ G is negligible. But F A \ G E \ G, so F A \ G is negligible. Because

has locally determined negligible sets, this is enough to show that A \ G is negligible. Q

Q

213N Semi-finite, locally determined and localizable spaces 31

and (G \ G) = 0. ?? Suppose, if possible, that there is an F such that (A F ) < (G F ). Let

F1 F be a measurable envelope of A F . Set H = X \ (F \ F1 ); then A H. If E E then

E = (A E) (H E),

so E \ H is negligible; as E is arbitrary, G \ H is negligible and G \ H is negligible. But G F \ F1 G \ H

and

(G F \ F1 ) = (G F ) (A F ) > 0. X

X

This shows that G is a measurable envelope of A, as required.

213M Corollary (a) If (X, , ) is -finite, then every subset of X has a measurable envelope for .

(b) If (X, , ) is localizable, then every subset of X has a measurable envelope for the c.l.d. version of

.

proof (a) Use 132Ee, or 213L and the fact that -finite spaces are strictly localizable (211Lc).

(b) Use 213L and the fact that the c.l.d. version of is localizable as well as being complete and locally

determined (213Hb).

213N When we come to use the concept of localizability, it will frequently be through the following

characterization.

Theorem Let (X, , ) be a localizable measure space. Suppose that is a family of measurable real-

valued functions, all defined on measurable subsets of X, such that whenever f , g then f = g almost

everywhere on dom f dom g. Then there is a measurable function h : X R such that every f agrees

with h almost everywhere on dom f .

proof For q Q, f set

Ef q = {x : x dom f, f (x) q} .

For each q Q, let Eq be an essential supremum of {Ef q : f } in . Set

h (x) = sup{q : q Q, x Eq } [, ]

for x X, taking sup = if necessary.

If f , g and q Q, then

{x : x dom f dom g, f (x) 6= g(x)}

is negligible; as f is arbitrary,

Eq dom g \ Egq = Eq \ (X \ (dom g \ Egq ))

S

is negligible. Also Egq \Eq is negligible, so Egq 4(Eq dom g) is negligible. Set Hg = qQ Egq 4(Eq dom g);

then Hg is negligible. But if x dom g \ Hg , then, for every q Q, x Eq x Egq ; it follows that

for such x, h (x) = g(x). Thus h = g almost everywhere on dom g; and this is true for every g .

The function h is not necessarily real-valued. But it is measurable, because

S

{x : h (x) > a} = {Eq : q Q, q > a}

for every real a. So if we modify it by setting

= 0 if h (x) {, },

we shall get a measurable real-valued function h : X R; and for any g , h(x) will be equal to g(x) at

least whenever h (x) = g(x), which is true for almost every x dom g. Thus h is a suitable function.

32 Taxonomy of measure spaces 213O

213O There is an interesting and useful criterion for a space to be strictly localizable which I introduce

at this point, though it will be used rarely in this volume.

Proposition Let (X, , ) be a complete locally determined space.

(a) Suppose that there is a disjoint family E such that () E < for every E E () whenever

F

S and F > 0 then there is S

an E E such that (E F ) > 0. Then (X, , ) is strictly localizable,

E is conegligible, and E {X \ E} is a decomposition of X.

(b) Suppose that hXi iiI is a partition of X into measurable sets of finite measure such that whenever

E and E > 0 there is an i I such that (E Xi ) > 0. Then (X, , ) is strictly localizable, and

hXi iiI is a decomposition of X.

(a)(i) The first thing to note is that if F and F < , there is a countable E 0 E such that

proof S

(F \ E 0 ) = 0. P

P Set

En0 = {E : E E, (F E) 2n } for each n N,

S

E 0 = nN En0 = {E : E E, (F E) > 0}.

Because E is disjoint, we must have

#(En0 ) 2n F

for every n N, soSthat every En0 is finite and E 0 , being the union of a sequence of countable sets, is

countable. Set E 0 = E 0 and F 0 = F \ E 0 , so that both E 0 and F 0 belong to . If E E 0 , then E E 0 so

(E F 0 ) = = 0; if E E \ E 0 , then (E S

F 0 ) = (E F ) = 0. Thus (E F 0 ) = 0 for every E E.

By the hypothesis () on E, F = 0, so (F \ E 0 ) = 0, as required. Q

0

Q

(ii) Now suppose that H X is such that H E for every E E. In this case H . P PSLet

F be such that F < . Let E 0 E be a countable set such that (F

S \ E 0

) = 0, where E 0

= E 0.

0 0

Then H (F \ E ) because (X, , ) is complete. But also H E = EE 0 H E . So

H F = (H (F \ E 0 )) (F (H E 0 )) .

As F is arbitrary and (X, , ) is locally determined, H . QQ

P

P We find also that H = EE (H 0 E) for every H . P

(iii) P () Because E is disjoint, we must

have EE 0 (H E) H for every finite E E, so

P P 0

EE (H E) = sup{ EE 0 (H E) : E E is finite} H.

() ForSthe reverse inequality, consider first the case H < . By (i), there is a countable E 0 E such that

(H \ E 0 ) = 0, so that

S P P

H = (H E 0 ) = EE 0 (H E) EE (H E).

() In general, because (X, , ) is semi-finite,

H = sup{F : F H, F < }

X X

sup{ (F E) : F H, F < } (H E).

EE EE

P

So in all cases we have H EE (H E), and the two are equal. Q Q

S S

(iv) In particular, setting E0 = X \ E, E0 and E0 = 0; that is, E is conegligible. Consider

E = E {E0 }. This is a disjoint cover of X by sets of finite measure (now using the hypothesis () on E).

If H X is such that H E for every E E , then H and

P P

H = EE (H E) = EE (H E).

Thus E (or, if you prefer, the indexed family hEiEE ) is a decomposition witnessing that (X, , ) is

strictly localizable.

(b) Apply (a) with E = {Xi : i I}, noting that E0 in (iv) is empty, so can be dropped.

213Xh Semi-finite, locally determined and localizable spaces 33

213X Basic exercises (a) Let (X, , ) be any measure space, the outer measure defined from ,

and the measure defined by Caratheodorys method from ; write for the domain of . Show that (i)

extends the completion of ; (ii) if H X is such that H F whenever F and F < ,

then H ; (iii) () = , so that the integrable functions for and are the same (212Xb); (iv) if is

strictly localizable then = ; (v) if is defined by Caratheodorys method from another outer measure,

then = .

> (b) Let be counting measure restricted to the countable-cocountable -algebra of a set X (211R,

211Ya). (i) Show that the c.l.d. version of is just counting measure on X. (ii) Show that , as defined

in 213Xa, is equal to , and in particular strictly extends the completion of .

sf E = sup{(E F ) : F , F < }.

(i) Show that (X, , sf ) is a semi-finite measure space, and is equal to (X, , ) iff (X, , ) is semi-

finite.

(ii) Show that a -integrable real-valued function f is sf -integrable, with the same integral.

(iii) Show that if E and sf E < , then E can be expressed as E1 E2 where E1 , E2 ,

E1 = sf E1 and sf E2 = 0.

(iv) Show that if f is a sf -integrable real-valued function on X, it is equal sf -almost everywhere to

a -integrable function.

(v) Show that if (X, , sf ) is complete, so is (X, , ).

(vi) Show that and sf have identical c.l.d. versions.

(d) Let (X, , ) be any measure space. Define as in 213Xa. Show that ()sf , as constructed in 213Xc,

is precisely the c.l.d. version of , so that = iff is semi-finite.

(e) Let (X, , ) be a measure space. For A X set A = sup{E : E , E < , E A}, as in

113Yh. (i) Show that the measure constructed from by the method of 113Yg is just the c.l.d. version

of . (ii) Show that = . (iii) Show that if is another measure on X, with domain T, then = iff

= .

sf A = sup{B : B A, B < }

is also an outer measure on X. Show that the measures defined by Caratheodorys method from , sf have

the same domains.

sf A = sup{ (A E) : E , E < }

for every A X.

(i) Show that

sf A = sup{ B : B A, B < }

for every A.

(ii) Show that sf is an outer measure.

(iii) Show that if A X and sf A < , there is an E such that sf A = (A E) = E,

sf (A \ E) = 0. (Hint: take a non-decreasing sequence hEn inN of measurable sets of finite measure such

S S

that sf A = limn (A En ), and let E nN En be a measurable envelope of A nN En .)

(iv) Show that the measure defined from sf by Caratheodorys method is precisely the c.l.d. version

of .

(v) Show that sf = , so that if is complete and locally determined then sf = .

>(h)PLet (X, , ) be a strictly localizable measure space with a decomposition hXi iiI . Show that

A = iI (A Xi ) for every A X.

34 Taxonomy of measure spaces 213Xi

> (i) Let (X, , ) be a complete locally determined measure space, and let A X be such that

max( (E A), (E \ A)) < E whenever E and 0 < E < . Show that A . (Hint: given F <

, consider the intersection E of measurable envelopes of F A, F \A to see that (F A)+ (F \A) = F .)

> (j) Let (X, , ) be a measure space, its c.l.d. version, and the measure defined by Caratheodorys

method from . (i) Show that the following are equiveridical: () has locally determined negligible sets;

() and have the same negligible sets; () = . (ii) Show that in this case is semi-finite.

(k) Let (X, , ) be a measure space. Show that the following are equiveridical: (i) (X, , ) has locally

determined negligible sets; (ii) the completion and c.l.d. version of have the same sets of finite measure;

(iii) and have the same integrable functions; (iv) = ; (v) the outer measure sf of 213Xg is equal

to .

(l) Let us say that a measure space (X, , ) has the measurable envelope property if every subset of

X has a measurable envelope. (i) Show that a semi-finite space with the measurable envelope property has

locally determined negligible sets. (ii) Show that a complete semi-finite space with the measurable envelope

property is locally determined.

(m) Let (X, , ) be a semi-finite measure space, and suppose that it satisfies the conclusion of Theorem

213N. Show that it is localizable. (Hint: given E , set F = {F : F , E F is negligible for

every E E}. Let be the set of functions f from subsets of X to {0, 1} such that f 1 [{1}] E and

f 1 [{0}] F.)

(n) Let (X, , ) be a measure space. Show that its c.l.d. version is strictly localizable iff there is a disjoint

family E such that E < for every E E and whenever F , 0 < F < there is an E E such

that (E F ) > 0.

(o) Show that the c.l.d. version of any point-supported measure is point-supported.

p

A = #(A) if A is finite, if A is infinite.

Show that is an outer measure on X, that A = sup{B : B A, B < } for every A X, but that

the measure defined from by Caratheodorys method is not semi-finite. Show that if is the measure

defined by Caratheodorys method from (213Xa), then 6= .

(b) Set X = [0, 1] {0, 1}, and let be the family of those subsets E of X such that

{x : x [0, 1], E[{x}] 6= , E[{x}] 6= {0, 1}}

is countable, writing E[{x}] = {y : (x, y) E} for each x [0, 1]. Show that is a -algebra of subsets

of X. For E , set E = #({x : (x, 1) E}) if this is finite, otherwise. Show that is a complete

semi-finite measure. Show that the measure defined from by Caratheodorys method (213Xa) is not

semi-finite. Show that the domain of the c.l.d. version of is the whole of PX.

A = #(A)2 if A is finite, if A is infinite.

Show that satisfies the conditions of 113Yg, but that the measure defined from by the method of 113Yg

is not semi-finite.

(d) Let (X, , ) be a complete locally determined measure space. Suppose that D X and that

f : D R is a function. Show that the following are equiveridical: (i) f is measurable; (ii)

{x : x D E, f (x) a} + {x : x D E, f (x) b} E

whenever a < b in R, E and E < (iii)

max( {x : x D E, f (x) a}, {x : x D E, f (x) b}) < E

213 Notes Semi-finite, locally determined and localizable spaces 35

whenever a < b in R and 0 < E < . (Hint: for (iii)(i), show that if E X then

{x : x D E, f (x) > a} = supb>a {x : x D E, f (x) b},

and use 213Xi above.)

(e) Let (X, , ) be a complete locally determined measure space and suppose that E is suchSthat

E <S for every E E and whenever F and F < there is a countable E0 E such that F \ E0 ,

F (E \ E0 ) are negligible. Show that (X, , ) is strictly localizable.

213 Notes and comments I think it is fair to say that if the definition of measure space were re-written

to exclude all spaces which are not semi-finite, nothing significant would be lost from the theory. There are

solid reasons for not taking such a drastic step, starting with the fact that it would confuse everyone (if you

say to an unprepared audience let (X, , ) be a measure space, there is a danger that some will imagine

that you mean -finite measure space, but very few will suppose that you mean semi-finite measure space).

But the whole point of measure theory is that we distinguish between sets by their measures, and if every

subset of E is either non-measurable, or negligible, or of infinite measure, the classification is too crude to

support most of the usual ideas, starting, of course, with ordinary integration.

Let us say that a measurable set E is purely infinite if E itself and all its non-negligible measurable

subsets have infinite measure. On the definition of the integral which I chose in Volume 1, every simple

function, and therefore every integrable function, must be zero almost everywhere on E. This means that the

whole theory of integration will ignore E entirely. Looking at the definition of c.l.d. version (213D-213E),

you will see that the c.l.d. version of the measure will render E negligible, as does the semi-finite version

described in 213Xc. These amendments do not, however, affect sets of finite measure, and consequently

leave integrable functions integrable, with the same integrals.

The strongest reason we have yet seen for admitting non-semi-finite spaces into consideration is that

Caratheodorys method does not always produce semi-finite spaces. (I give examples in 213Ya-213Yb; more

important ones are the Hausdorff measures of 264-265 below.) In practice the right thing to do is often

to take the c.l.d. version of the measure produced by Caratheodorys construction.

It is a reasonable general philosophy, in measure theory, to say that we wish to measure as many sets,

and integrate as many functions, as we can manage in a canonical way I mean, without making blatantly

arbitrary choices about the values we assign to our measure or integral. The revision of a measure to its

c.l.d. version is about as far as we can go with an arbitrary measure space in which we have no other

structure to guide our choices.

You will observe that is not as close to as the completion of is; naturally so, because if E

is purely infinite for then we have to choose between setting E = 0 6= E and finding some way of

fitting many sets of finite measure into E; which if E is a singleton will be actually impossible, and in any

case would be an arbitrary process. However the integrable functions for , while not always the same

as those for (since turns purely infinite sets into negligible ones, so that their characteristic functions

become integrable), are nearly the same, in the sense that any -integrable function can be changed into a

-integrable function by adjusting it on a -negligible set. This corresponds, of course, to the fact that any

set of finite measure for is the symmetric difference of a set of finite measure for and a -negligible set.

For sets of infinite measure this can fail, unless is localizable (213Hb, 213Xb).

If (X, , ) is semi-finite, or localizable, or strictly localizable, then of course it is correspondingly closer

to (X, , ), as detailed in 213Ha-c.

It is worth noting that while the measure obtained by Caratheodorys method directly from the outer

measure defined from may fail to be semi-finite, even when is (213Yb), a simple modification of

(213Xg) yields the c.l.d. version of , which can also be obtained from an appropriate inner measure

(213Xe). The measure is of course related in other ways to ; see 213Xd.

36 Taxonomy of measure spaces 214 intro.

214 Subspaces

In 131 I described a construction for subspace measures on measurable subsets. It is now time to give

the generalization to subspace measures on arbitrary subsets of a measure space. The relationship between

this construction and the properties listed in 211 is not quite as straightforward as one might imagine, and

in this section I try to give a full account of what can be expected of subspaces in general. I think that

for the present volume only (i) general subspaces of -finite spaces and (ii) measurable subspaces of general

measure spaces will be needed in any essential way, and these do not give any difficulty; but in later volumes

we shall need the full theory.

I begin with a general construction for subspace measures (214A-214C), with an account of integration

with respect to a subspace measure (214E-214G); these (with 131E-131H) give a solid foundation for the

concept of integration over a subset (214D). I give this work in its full natural generality, which will

eventually be essential, but even for Lebesgue measure alone it is important to be aware of the ideas here.

I continue with answers to some obvious questions concerning subspace measures and the properties of

measure spaces so far considered, both for general subspaces (214I) and for measurable subspaces (214J),

and I mention a basic construction for assembling measure spaces side-by-side, the direct sums of 214K-

214L.

214A Proposition Let (X, , ) be a measure space, and Y any subset of X. Let be the outer

measure defined from (132A-132B), and set Y = {E Y : E }; let Y be the restriction of to Y .

Then (Y, Y , Y ) is a measure space.

proof (a) I have noted in 121A that Y is a -algebra of subsets of Y .

(b) Of course Y F [0, ] for every F Y .

(c) Y = = 0.

(d) If hFn inN is a disjoint sequence in Y with union F , then choose En , En0 , E such that

Fn = Y En for each n, Fn En0S , Y Fn = En0 for each n, F E and Y F = E (using 132Aa

0 0

repeatedly). Set Gn = En En E \ m<n S Em for each n N; then hGn inN is disjoint and Fn Gn En

for each n, so Y Fn = Gn . Also F nN Gn E, so

S P P

Y F = ( nN Gn ) = n=0 Gn = n=0 Y Fn .

As hFn inN is arbitrary, Y is a measure.

214B Definition If (X, , ) is any measure space and Y is any subset of X, then Y , defined as in

214A, is the subspace measure on Y .

It is worth noting the following.

214C Lemma Let (X, , ) be a measure space, Y a subset of X, and Y the subspace measure on Y ,

with domain Y . Then

(a) for any F Y , there is an E such that F = E Y and E = Y F ;

(b) for any A Y , A is Y -negligible iff it is -negligible;

(c)(i) if A X is -conegligible, then A Y is Y -conegligible (ii) if A Y is Y -conegligible, then

A (X \ Y ) is -conegligible;

(d) (Y ) , the outer measure on Y defined from Y , agrees with on PY ;

(e) if Z Y X, then Z = (Y )Z , the subspace -algebra of subsets of Z regarded as a subspace of

(Y, Y ), and Z = (Y )Z is the subspace measure on Z regarded as a subspace of (Y, Y );

(f) if Y , then Y , as defined here, is exactly the subspace measure on Y defined in 131A-131B; that

is, Y = PY and Y = Y .

proof (a) By the definition of Y , there is an E0 such that F = E0 Y . By 132Aa, there is an E1

such that F E1 and F = E1 . Set E = E0 E1 ; this serves.

214E Subspaces 37

so A is -negligible, by 132Ad. (ii) If A is -negligible, there is an E such that A E and E = 0;

now A E Y Y and Y (E Y ) = 0, so A is Y -negligible.

(c) If A X is -conegligible, then A Y is Y -conegligible, because Y \ A = Y (X \ A) is -

negligible, therefore Y -negligible. If A Y is Y -conegligible, then A (X \ Y ) is -conegligible because

X \ (A (X \ Y )) = Y \ A is Y -negligible, therefore -negligible.

(d) Let A Y . (i) If A E , then A E Y Y , so Y A Y (E Y ) E; as E is arbitrary,

YA A. (ii) If A F Y , there is an E such that F E and Y F = F = E; now A E

so A E = Y F . As F is arbitrary, A Y A.

(e) That Z = (Y )Z is immediate from the definition of Y , etc.; now

(Y )Z = Y Z = Z = Z

by (d).

(f ) This is elementary, because E Y and (E Y ) = (E Y ) for every E .

R space, Y a subset of X

and

R f a [, ]-valued function defined on a subset of X. By Y

f (or Y

f (x)(dx), etc.) I mean

(f Y )dY , if this exists in [, ], following the definitions of 214A-214B, 133A and 135F, and taking

dom(f Y ) = Y dom f , (f Y )(x) = f (x) for x Y dom f . (Compare 131D.)

214E Proposition Let (X, , ) be a measure space, Y X, and f a [, ]-valued function defined

on a subset dom f of X. R R

(a) If f is -integrable, f Y is Y -integrable, and Y f f if f is non-negative.

(b)R If domRf Y and f is Y -integrable, then there is a -integrable function f on X, extending f , such

that F f = F Y f for every F .

Pn

proof (a)(i) If f is -simple, it isP expressible as i=0 ai Ei , where E0 , . . . , En , a0 , . . . , an R and

n

Ei < for each i. Now f Y = i=0 ai Y (Ei Y ), where Y (Ei Y ) = (Ei ) Y is the characteristic

function of Ei Y regarded as a subset of Y ; and each Ei Y belongs to Y , with Y (Ei Y ) Ei < ,

so f Y : Y R is Y -simple. Pn

If f : X R is a non-negative simple function, P it is expressible as i=0 ai Ei where E0 , . . . , En are

n

disjoint sets of finite measure (122Cb). Now f Y = i=0 ai Y (Ei Y ) and

R Pn Pn R

(f Y )dY = i=0 ai Y (Ei Y ) i=0 ai Ei = f d

because ai 0 whenever Ei 6= , so that ai Y (Ei Y ) ai Ei for every i.

(ii) If f is a non-negative -integrable function, there is an increasing sequence hfn inN of non-negative

-simple functions converging to f -almost everywhere; now hfn Y inN is an increasing sequence of Y -

simple functions increasing to f Y Y -a.e. (by 214Cb), and

R R R

supnN (fn Y )dY supnN fn d = f d < ,

R R

so (f Y )dY exists and is at most f d.

(iii) Finally, if f is any -integrable real-valued function, it is expressible as f1 f2 where f1 and f2

are non-negative -integrable functions, so that f Y = (f1 Y ) (f2 Y ) is Y -integrable.

(b) Let us say that if f is a Y -integrable function, then

R an enveloping

R extension of f is a -integrable

function f, extending f , real-valued on X \ Y , such that F f = F Y f for every F .

(i) If f is of the form H, where H Y and Y H < , let E0 be such that H = Y E0

and E1 a measurable envelope for H (132Ee); then E = E0 E1 is a measurable envelope for H and

H = E Y . Set f = E, regarded as a function from X to {0, 1}. Then f Y = f , and for any F we

have

R R

F

f = F (E F ) = (E F ) = (H F ) = Y F (H F ) = f. Y F

38 Taxonomy of measure spaces 214E

So f is an enveloping extension of f .

(ii) If f , g are Y -integrable functions with enveloping extensions f, g, and a, b R, then af + bg

extends af + bg and

Z Z Z

af + bg = a

f +b g

F

ZF F

Z Z

=a f +b g= af + bg

F Y F Y F Y

(iii) Putting (i) and (ii) together, we see that every Y -simple function f has an enveloping extension.

(iv) Now suppose that hfn inN is a non-decreasing sequence of non-negative Y -simple functions

converging Y -almost everywhere to a Y -integrable function f . For each n N let fn be an enveloping

extension of fn . Then fn a.e. fn+1 . P

P If F then

R R R R

F

fn = F Y

fn F Y

fn+1 = F

fn+1 .

Q Also

R R R

limn F

fn = limn F Y

fn = F Y

f

R h = lim

R n fn is defined (as

a real-valued function) -almost everywhere; now letting F vary, we have F h = F Y f for every F ,

because hF = limn fn F F -a.e. (I seem to be using 214Cb here.) Now h Y = f Y -a.e., by 214Cb

again. If we define f by setting

f(x) = f (x) for x dom f , h(x) for x dom h \ dom f , 0 for other x X,

then f is defined everywhere in X and is equal to h -almost everywhere; so that if F , fF will be

equal to hF F -almost everywhere, and

R R R

=

f h = f.

F F F Y

(v) Thus every non-negative Y -integrable function has an enveloping extension. Using (ii) again,

every Y -integrable function has an enveloping extension, as claimed.

214F Proposition

R Let (X, , ) be a measure space, Y a subset of X, and f a [, ]-valued function

such that X f isR defined in [, ]. If eitherR Y is of full outer measure in X or f is zero almost everywhere

on X \ Y , then Y f is defined and equal to X f .

proof (a) Suppose first that f is non-negative, -measurable and defined everywhere on X. In this case

P4n

f Y is Y -measurable. Set Fnk = {x : x X, f (x) 2n k} for k, n N, fn = k=1 2n Fnk for n N,

so that Rhfn inN is a non-decreasing

R sequence of real-valued measurable functions converging everywhere to

f , and X f = limn X fn . For each n N, k 1,

Y (Fnk Y ) = (Fnk Y ) = Fnk

either because Fnk \ Y is negligible or because X is a measurable envelope of Y . So

Z Z 4

X

n

Y n Y n

k=1

4n

X Z Z

= lim 2n Fnk = lim fn = f.

n n X X

k=1

214H Subspaces 39

(b) Now suppose that f is non-negative, defined almost everywhere on X and -virtually measurable. In

this case there is a conegligible measurable set E dom f such that f E is measurable. Set f(x) = f (x) for

x E, 0 for x X \ E; then f satisfies the conditions of (a) and f = f -a.e. Accordingly f Y = f Y Y -

a.e. (214Cc), and

R R R R

Y

f= Y

f = X

f = X

f.

(c) Finally, for the general case, we can apply (b) to the positive and negative parts f + , f of f to get

R R R R R R

Y

f= Y

f+ Y

f = X

f+ X

f = X

f.

R Y a subset of X, and E R a measurable envelope

of YR . If f is a [, ]-valued function such that E f is defined in [, ], then Y f is defined and equal

to E f .

proof By 214Ce, we can identify the subspace measure Y with the subspace measure (E )Y induced by

the subspace measure on E. Now, regarded as a subspace of E, Y is of full outer measure, so 214F gives

the result.

214H Subspaces and Caratheodorys method The following technical results will occasionally be

useful.

Lemma Let X be a set, Y X a subset, and an outer measure on X.

(a) Y = PY is an outer measure on Y .

(b) Let , be the measures on X, Y defined by Caratheodorys method from the outer measures , Y ,

and , T their domains; let Y be the subspace measure on Y induced by , and Y its domain. Then

(i) Y T and F Y F for every F Y ;

(ii) if Y then = Y ;

(iii) if = (that is, is regular) then extends Y ;

(iv) if = and Y < then = Y .

proof (a) You have only to read the definition of outer measure (113A).

(b)(i) Suppose that F Y . Then it is of the form E Y where E . If A Y , then

Y (A F ) + Y (A \ F ) = (A F ) + (A \ F ) = (A E) + (A \ E) = A = Y A,

so F T. Now

F = Y F = F F = Y F .

A = (A Y ) + (A \ Y ) = Y (A Y ) + (A \ Y )

= Y (A Y F ) + Y (A Y \ F ) + (A \ Y )

= (A F ) + (A Y \ F ) + (A \ Y )

= (A F ) + ((A \ F ) Y ) + ((A \ F ) \ Y ) = (A F ) + (A \ F );

as A is arbitrary, F and therefore F Y . Also

Y F = F = F = Y F = F .

Putting this together with (i), we see that Y and are identical.

(iii) Let F Y . Then F T, by (i). Now F = F = F = Y F . As F is arbitrary, extends Y .

(iv) Now suppose that F T. Because Y = Y < , we have measurable envelopes E1 , E2 of F

and Y \ F for (132Ee). Then

Y = Y Y = Y F + Y (Y \ F ) = F + (Y \ F )

= F + (Y \ F ) = E1 + E2 (E1 E2 ) = (E1 E2 ) Y,

40 Taxonomy of measure spaces 214H

so E1 + E2 = (E1 E2 ) and

(E1 E2 ) = E1 + E2 (E1 E2 ) = 0.

As is complete (212A) and E1 Y \ F E1 E2 is -negligible, therefore belongs to , F = Y (E1 \

(E1 Y \ F )) belongs to Y . Thus T Y ; putting this together with (iii), we see that = Y .

214I I now turn to the relationships between subspace measures and the classification of measure spaces

developed in this chapter.

Theorem Let (X, , ) be a measure space and Y a subset of X. Let Y be the subspace measure on Y

and Y its domain.

(a) If (X, , ) is complete, or totally finite, or -finite, or strictly localizable, so is (Y, Y , Y ). If hXi iiI

is a decomposition of X for , then hXi Y iiI is a decomposition of Y for Y .

(b) If (X, , ) has locally determined negligible sets, then Y is semi-finite.

(c) If (X, , ) is complete and locally determined, then (Y, Y , Y ) is complete and semi-finite.

(d) If (X, , ) is complete, locally determined and localizable then so is (Y, Y , Y ).

proof (a)(i) Suppose that (X, , ) is complete. If A U Y and Y U = 0, there is an E such that

U = E Y and E = Y U = 0; now A E so A and A = A Y Y .

(ii) Y Y = Y X, so if is totally finite so is Y .

(iii) If hXn inN is a sequence of sets of finite measure for which covers X, then hXn Y inN is a

sequence of sets of finite measure for Y which covers Y . So (Y, Y , Y ) is -finite if (X, , ) is.

(iv) Suppose that hXi iiI is a decomposition of X for . Then hXi Y iiI is a decomposition of Y

for Y . P

P Because Y (Xi Y ) Xi < for each i, hXi Y iiI is a disjoint cover of Y by sets of finite

measure. Suppose that U Y is such that Ui = U Xi Y Y for every i. For each i I, S choose Ei

such that Ui = Ei Y and Ei = Y Ui ; we may P of course suppose that Ei Xi . Set E = iI Ei . Then

E Xi = Ei for every i, so E and E = iI Ei . Now U = E Y so U Y and

P P

Y U E = iI Ei = iI Y Ui .

P P

On the other hand, Y U is surely greater than or equal to iI Y Ui = supJI is finite iJ Y Ui , so they

are equal. As U is arbitrary, hXi Y iiI is a decomposition of Y for Y . Q Q

Consequently (Y, Y , Y ) is strictly localizable if (X, , ) is.

(b) Take U Y such that Y U > 0. Then there is an E such that E < and (E U ) > 0.

P

P?? Otherwise, E U is -negligible whenever E < ; because has locally determined negligible sets,

U is -negligible and Y U = U = 0. X

XQQ Now E U Y and

0 < (E U ) = Y (E U ) E < .

(d) By (c), Y is complete and semi-finite. To see that it is locally determined, take any U Y such

that U V Y whenever V Y and Y V < . By 213L, there is a measurable envelope E of U for ;

of course E Y Y .

I claim that (E Y \ U ) = 0. P

P Take any F with F < . Then F U Y , so

Y (F E Y ) (F E) = (F U ) = Y (F U ) Y (F E Y );

thus Y (F E Y ) = Y (F U ) and

(F E Y \ U ) = Y (F E Y \ U ) = 0.

Because is complete, (F EY \U ) = 0; because is locally determined and F is arbitrary, (EY \U ) =

0. Q

Q But this means that E Y \ U Y and U Y . As U is arbitrary, Y is locally determined.

To see that Y is localizable, let U be any family in Y . Set

E = {E : E , E < , E = (E U ) for some U U},

214L Subspaces 41

and let G be an essential supremum for E in . I claim that G Y is an essential supremum for U in

Y . PP (i) ?? If U U and U \ (G Y ) is not negligible, then (because Y is semi-finite) there is a V Y

such that V U \ G and 0 < Y V < . Now there is an E such that V E and E = V . We

have (E U ) V = E, so E E and E \ G must be negligible; but V E \ G is not negligible. X X

Thus U \ (G Y ) is negligible for every U U. (ii) If W Y is such that U \ W is negligible for every

U U, express W as H Y where H . If E E, there is a U U such that E = (E U ); now

(E U \ W ) = 0, so E = (E U W ) (E H) and E \ H is negligible. As E is arbitrary, H is

an essential upper bound for E and G \ H is negligible; but this means that G Y \ W is negligible. As W

is arbitrary, G Y is an essential supremum for U. Q Q

As U is arbitrary, Y is localizable.

(a) Let E and let E be the subspace measure, with E its domain. If (X, , ) is complete, or totally

finite, or -finite, or strictly localizable, or semi-finite, or localizable, or locally determined, or atomless, or

purely atomic, so is (E, E , E ).

(b) Suppose that hXi iiI is a disjoint cover of X by measurable sets (not necessarily of finite measure)

such that

= {E : E X, E Xi i I},

P

E = iI (E Xi ) for every E .

Then (X, , ) is complete, or strictly localizable, or semi-finite, or localizable, or locally determined, or

atomless, or purely atomic, iff (Xi , Xi , Xi ) has that property for every i I.

proof I really think that if you have read attentively up to this point, you ought to find this easy. If you

are in any doubt, this makes a very suitable set of sixteen exercises to do.

S

214K Direct sums Let h(Xi , i , i )iiI be any indexed family of measure spaces. Set X = iI (Xi

{i}); for E X, i I set Ei = {x : (x, i) E}. Write

= {E : E X, Ei i i I},

P

E = iI i Ei for every E .

Then it is easy to check that (X, , ) is a measure space; I will call it the direct sum of the family

h(Xi , i , i )iiI . Note that if (X, , ) is any decomposable measure space, with decomposition

L hXi iiI ,

then we have a natural isomorphism between (X, , ) and the direct sum (X 0 , 0 , 0 ) = iI (Xi , Xi , Xi )

of the subspace measures, if we match (x, i) X 0 with x X for every i I, x Xi .

For some of the elementary properties (to put it plainly, I know of no properties which are not elementary)

of direct sums, see 214L and 214Xi-214Xl.

214L Proposition Let h(Xi , i , i )iiI be a family of measure spaces, with direct sum (X, , ). Let f

be a real-valued function defined on a subset of X. For each i I, set fi (x) = f (x, i) whenever (x, i) dom f .

(a) f is measurable iff fi is measurable

R Pfor every

R i I.

(b) If f is non-negative, then f d = iI fi di if either is defined in [0, ].

proof (a) For a R, set Fa = {(x, i) : (x, i) dom f, f (x, i) a}. (i) If f is measurable, i I and a R,

then there is an E such that Fa = E dom f ; now

{x : fi (x) a} = dom fi {x : (x, i) E}

belongs to the subspace -algebra on dom fi induced by i . As a is arbitrary, fi is measurable. (ii) If every

fi is measurable and a R, then for each i I there is an Ei i such that {x : (x, i) Fa } = Ei dom f ;

setting E = {(x, i) : i I, x Ei }, Fa = dom f E belongs to the subspace -algebra on dom f . As a is

arbitrary, f is measurable.

(b)(i) Suppose first that f is measurable and defined everywhere. Set Fnk = {(x, i) : (x, i) X, f (x, i)

P 4n

2 k} for k, n N, gn = k=1 2n Fnk for n N, Fnki = {x : (x, i) Fnk } for k, n N and i I,

n

42 Taxonomy of measure spaces 214L

Z Z 4

X

n

n nN

k=1

n

4 X

X

= sup 2n Fnki

nN

k=1 iI

n

X 4

X

= sup 2n Fnki

nN

iI k=1

X Z XZ

= sup gni di = fi di .

nN

iI iI

R

(ii) Generally, if f d is defined, there are a measurable g : X [0, [ and a conegligible measurable

set

P E dom f such that g = f on E. Now Ei = {x : (x, i) Xi } belongs to i for each i, and

iI i (Xi \ Ei ) = (X \ E) = 0, so Ei is i -conegligible for every i. Setting gi (x) = g(x, i) for x Xi , (i)

tells us that

P R P R R R

iI fi di = iI gi di = g d = f d.

R

(iii) On the other hand, if fi di is defined for every i I, then for each i I we can find a measurable

function gi : Xi [0, [ and a i -conegligible measurable set Ei dom fi such that gi = fi on Ei . Setting

g(x, i) = gi (x) for i I, x Xi , (a) tells us that g is measurable, while g = f on {(x, i) : i I, x Ei },

which is conegligible (by the calculation in (ii) just above); so

R R P R P R

f d = g d = iI gi di = iI fi di ,

again using (i) for the middle step.

214M Corollary Let (X, , ) be a measure space with a decomposition hXi iiI . If f is a real-valued

function defined on a subset of X, then

(a) f is measurable

R iff f X

P i isRmeasurable for every i I,

(b) if f 0, then f = iI Xi f if either is defined in [0, ].

proof Apply 214L to the direct sum of h(Xi , Xi , Xi )iiI , identified with (X, , ) as in 214K.

214X Basic exercises (a) Let (X, , ) be a localizable measure space. Show that there is an E

such that the subspace measure E is purely atomic and X\E is atomless.

(b) Let (X, , ) be a measure space, and let be the completion of . Show that for any Y X, the

subspace measure Y on Y defined from is equal to the completion of the subspace measure Y . (Cf.

214Cb.)

(c) Let X be a set, a regular outer measure on X, and Y a subset of X. Let be the measure on X

defined by Caratheodorys method from , Y the subspace measure on Y , and the measure on Y defined

by Caratheodorys method from PY . (i) Show that is an extension of Y . (ii) Show that if F dom

and F < then F Y . (iii) Show that if Y is locally determined (in particular, if is either strictly

localizable or complete, locally determined and localizable) then = Y .

(d) Let (X, , ) be a localizable measure space, and Y a subset of X such that the subspace measure

Y is semi-finite. Show that Y is localizable.

(e) Let (X, , ) be a measure space, and Y a subset of X such that the subspace measure Y is semi-finite.

Show that if is atomless or purely atomic, so is Y .

(f ) Let (X, , ) be a localizable measure space, and Y any subset of X. Show that the c.l.d. version of

the subspace measure on Y is localizable.

215A -finite spaces and the principle of exhaustion 43

(g) Let (X, , ) be a measure space with locally determined negligible sets in the sense of 213I, and Y

a subset of X, with its subspace measure Y .

(i) Show that Y has locally determined negligible sets; in particular, it is semi-finite.

(ii) Show that if is localizable, so is Y .

(iii) Show that a set U Y is an atom for Y iff it is expressible as F Y where F is an atom for

and (F Y ) > 0.

(iv) Show that if is purely atomic, so is Y .

(v) Show that if is atomless, so is Y .

> (h) Let (X, , ) be a measure space. Show that (X, , ) has locally determined negligible sets iff the

subspace measure Y is semi-finite for every Y X.

> (i) Let h(Xi , i , i )iiI be a family of measure spaces, with direct sum (X, , ) (214K). Set Xi0 =

Xi {i} X for each i I. Show that Xi0 , with the subspace measure, is isomorphic to (Xi , i , i ). Under

what circumstances is hXi0 iiI a decomposition of X? Show that is complete, or strictly localizable, or

localizable, or locally determined, or semi-finite, or atomless, or purely atomic iff every i is. Show that a

measure space is strictly localizable iff it is isomorphic to a direct sum of totally finite spaces.

> (j) Let h(Xi , i , i )iiI be a family of measure spaces, and (X, , ) their direct sum. Show that the

completion of (X, , ) can be identified with the direct sum of the completions of the (Xi , i , i ), and that

the c.l.d. version of (X, , ) can be identified with the direct sum of the c.l.d. versions of the (Xi , i , i ).

(k) Let h(Xi , i , i )iiI be a family of measure spaces. Show that their direct sum has locally determined

negligible sets iff every i has.

(l) Let h(Xi , i , i )iiI be a family of measure spaces, and (X, , ) their direct sum. Show that (X, , )

has the measurable envelope property (213Xl) iff every (Xi , i , i ) has.

214 Notes and comments I take the first part of the section, down to 214H, slowly and carefully, because

while none of the arguments are deep (214Eb is the longest) the patterns formed by the results are not

always easy to predict. There is a counter-example to a tempting extension of 214H/214Xc in 216Xb.

The message of the second part of the section (214I-214K) is that subspaces inherit many, but not all,

of the properties of a measure space; and in particular there is a difficulty with semi-finiteness, unless we

have locally determined negligible sets (214Xh). (I give an example in 216Xa.) Of course 213Hb shows that

if we start with a localizable space, we can convert it into a complete locally determined localizable space

without doing great violence to the structure of the space, so the difficulty is ordinarily superable.

I interpolate a short section to deal with some useful facts which might get lost if buried in one of the

longer sections of this chapter. The great majority of the applications of measure theory involve -finite

spaces, to the point that many authors skim over any others. I myself prefer to signal the importance of

such concepts by explicitly stating just which theorems apply only to the restricted class of spaces. But

undoubtedly some facts about -finite spaces need to be grasped early on. In 215B I give a list of properties

characterizing -finite spaces. Some of these make better sense in the light of the principle of exhaustion

(215A). I take the opportunity to include a fundamental fact about atomless measure spaces (215D).

215A The principle of exhaustion The following is an example of the use of one of the most impor-

tant methods in measure theory.

Lemma Let (X, , ) be any measure space and E a non-empty set such that supnN Fn is finite for

every non-decreasing sequence hFn inN in E.

44 Taxonomy of measure spaces 215A

every E , either there is an n N

such that E Fn is not included in any member of E or, setting F = nN Fn ,

limn (E \ Fn ) = (E \ F ) = 0.

In particular, if E E and E F , then E \ F is negligible.

(b)SIf E is upwards-directed, then there is a non-decreasing sequence hFn inN in E such that, setting

F = nN Fn , F = supEE E and E \ F is negligible for every E E, so that F is an essential supremum

of E in in the sense of 211G.

(c) If the union of any non-decreasing sequence in E belongs to E, then there is an F E such that E \ F

is negligible whenever E E and F E.

proof (a) Choose hFn inN , hEn inN and hun inN inductively, as follows. Take F0 to be any member of E.

Given Fn E, set En = {E : Fn E E} and un = sup{E : E En } in [0, ], and choose Fn+1 En

such that Fn+1 min(n, un 2n ); continue.

Observe that this construction yields a non-decreasing sequence hFn inN in E. Since En+1 En for every

n, hun inN is non-increasing, and has a limit u in [0, ]. Since min(n, u 2n ) Fn+1 un for every n,

limn Fn = u. Our hypothesis on E now tells us that u is finite.

If E is such that for every n N there is an En E such that E Fn En , then En En , so

Fn (E Fn ) En un

for every n, and limn (E Fn ) = u. But this means that

(E \ F ) limn (E \ Fn ) = limn (E Fn ) Fn = 0,

as stated. In particular, this is so if E E and E F .

(b) Take hFn inN from (a). If E E, then (because E is upwards-directed) E Fn is included in some

member of E for every n N; so we must have the second alternative of (a), and E \ F is negligible. It

follows that

supEE E F = limn Fn supEE E,

so F = supEE E.

If G is any measurable set such that E \ F is negligible for every E E, then Fn \ G is negligible for

every n, so that F \ G is negligible; thus F is an essential supremum for E.

S

(c) Again take hFn inN from (a), and set F = nN En . Our hypothesis now is that F E, so has both

the properties declared.

215B -finite spaces are so important that I think it is worth spelling out the following facts.

Proposition Let (X, , ) be a semi-finite measure space. Write N for the family of -negligible sets and

f for the family of measurable sets of finite measure. Then the following are equiveridical:

(i) (X, , ) is -finite;

(ii) every disjoint family in f \ N is countable;

(iii) every disjoint family in \ N is countable; S

(iv) for every E there is a countable set E0 E such that E \ E0 is negligible for every E E;

(v) forSevery non-empty upwards-directed E there is a non-decreasing sequence hFn inN in E such

that E \ nN Fn is negligible for every E E; S

(vi) for every non-empty E , there is a non-decreasing sequence hFn inN in E such that E \ nN Fn

is negligible whenever E E and E Fn for every n N;

(vii) either X = 0 or there is a probability measure on X with the same domain and the same negligible

sets as ;

(viii) there is a measurable integrable function f : X ]0, 1]; R

(ix) either X = 0 or there is a measurable function f : X ]0, [ such that f d = 1.

proof (i)(vii) and (viii) If X = 0, (vii) is trivial and we can take f = X in (viii). Otherwise, let

hEn inN be a disjoint sequence in f covering

P X. Then it is easy to see

Pthat there is a sequence hn inN of

strictly positive real numbers such that n=0 n En = 1. Set E = n=0 n (E En ) for E ; then

215C -finite spaces and the principle of exhaustion 45

P

is a probability measure with domain and the same negligible sets as . Also f = n=0 min(1, n )En

is a strictly positive measurable integrable function.

(vii)(vi) and (v) Assume (vii), and let E be a non-empty family of measurable sets. If X = 0

then (vi) and (v) are certainly true. Otherwise, let be a probability measure with domain and the

S E 1 is finite, we can apply 215Aa to find

same negligible sets as . Since supEE S a non-decreasing

sequence hFn inN in ESsuch that E \ nN Fn is negligible whenever E E includes nN Fn ; and if E is

upwards-directed, E \ nN Fn will be negligible for every E E, as in 215Ab.

(vi)(iv) Assume (vi), and let E be any subset of . Set

S

H = { E0 : E0 E is countable}.

S

By (vi), there is a sequence hHn inN in H such thatSH \ nN Hn is negligible whenever H H andS H Hn

0 0 0

for every n N. Now we can express S each H n as

S E n , where En E is countable; setting E0 = nN En ,

E0 isScountable.SIf E E, then E nN Hn = ({E} E0 ) belongs to H and includes every Hn , so that

E \ E0 = E \ nN Hn is negligible. So E0 has the property we need, and (iv) is true.

S

(iv)(iii) Assume (iv). If E is a disjointSfamily in \ N , take a countable E0 E such that E \ E0 is

negligible for every E E. Then E = E \ E0 is negligible for every E E \ E0 ; but this just means that

E \ E0 is empty, so that E = E0 is countable.

(iii)(ii) is trivial.

(ii)(i) Assume (ii). Let P be the set of all disjoint subsets of f \ N , ordered by . Then P is a

partially ordered set, not empty S(as P), and if Q P is non-empty and totally ordered then it has an

upper bound in P. P P Set E = Q, the union of all the disjoint families belonging to Q. If E E then

E C for some C Q, so E f \ N . If E, F E and E 6= F , then there are C, D Q such that E C,

F D; now Q is totally ordered, so one of C, D is larger than the other, and in either case C D is a member

of Q containing both E and F . But since any member of Q is a disjoint collection of sets, E F = . As E

and F are arbitrary, E is a disjoint family of sets and belongs to P. And of course C E for every C Q,

so E is an upper bound for Q in P. Q Q S

By Zorns Lemma

S (2A1M), P has a maximal element E say. By (ii), E must be countable, so E .

Now H = X \ E is negligible. P P?? Suppose, if possible, otherwise. Because (X, , ) is semi-finite, there is

a set G of finite measure such that G H and G > 0, that is, G f \ N and G E = for every E E.

But this means that {G} E is a member of P strictly larger than E, which is supposed to be impossible.

XXQQ

Let hXn inN be a sequence running over E {H}. Then hXn inN is a cover of X by a sequence of

measurable sets of finite measure, so (X, , ) is -finite.

S

(v)(i) If (v) is true, then we have a sequence hEn inN in f such that E \ nN En is negligible for

S

every E f . Because is semi-finite, X \ nN En must be negligible, so X is covered by a countable

family of sets of finite measure and is -finite.

(viii)(ix) If X = 0 this is trivial. Otherwise, if f is a strictly positive measurable integrable function,

R 1

then c = f > 0 (122Rc), so f is a strictly positive measurable function with integral 1.

c

(ix)(i) If f : X ]0, [ is measurable and integrable, h{x : f (x) 2n }inN is a sequence of sets of

finite measure covering X.

215C Corollary Let (X, , ) be a -finite measure space, and suppose that E is any non-empty

set.

(a) There is a non-decreasing sequence hFn inN in E such that,

S for every E , either there is an n N

such that E Fn is not included in any member of E or E \ nN Fn is negligible. S

(b) If E is upwards-directed, then there is a non-decreasing sequence hFn inN in E such that nN Fn is

an essential supremum of E in .

(c) If the union of any non-decreasing sequence in E belongs to E, then there is an F E such that E \ F

is negligible whenever E E and F E.

proof By 215B, there is a totally finite measure on X with the same measurable sets and the same

negligible sets as . Since supEE E is finite, we can apply 215A to to obtain the results.

46 Taxonomy of measure spaces 215D

215D As a further example of the use of the principle of exhaustion, I give a fundamental fact about

atomless measure spaces.

Proposition Let (X, , ) be an atomless measure space. If E and 0 E < , there is an

F such that F E and F = .

proof (a) We need to know that if G is non-negligible and n N, then there is an H G such that

0 < H 2n G. P P Induce on n. For n = 0 this is trivial. For the inductive step to n + 1, use the

inductive hypothesis to find H G such that 0 < H 2n G. Because is atomless, there is an H 0 H

such that H 0 , (H \ H 0 ) are both defined and non-zero. Now at least one of them has measure less than

or equal to 12 H, so gives us a subset of G of non-zero measure less than or equal to 2n1 G. QQ

It follows that if G has non-zero finite measure and > 0, there is a measurable set H G such that

0 < H .

(b) Let H be the family of all Sthose H such that H E andS H . If hHn inN is any non-

decreasing sequence in H, then ( nN Hn ) = limn Hn , so nN Hn H. So 215Ac tells us that

there is an F H such that H \ F is negligible whenever H H and F H. ?? Suppose, if possible, that

F < . By (a), there is an H E \ F such that 0 < H F . But in this case H F H and

((H F ) \ F ) > 0, which is impossible. X

X

So we have found an appropriate set F .

215X Basic exercises (a) Let (X, , ) be a measure R space and a non-empty set of -integrable

real-valued functions from X to R. Suppose that supnN fn is finite for every sequence hfn inN in such

that fn a.e. fn+1 for every n. Show that there is a sequence hfn inN in such that fn a.e. fn+1 for every

n and, for every integrable real-valued function f on X, either f a.e. supnN fn or there is an n N such

that no member of is greater than or equal to max(f, fn ) almost everywhere.

> (b) Let (X, , ) be a measure space. (i) Suppose S that E is a non-empty upwards-directed subset of

such that c = supEE E is finite. Show that E \ nN Fn is negligible whenever E E and hFn inN

is a sequence in E such that limn Fn = c. (ii) Let be a non-empty set of integrable functions on X

which is upwards-directed in the

R sense that for all f , g there is an h such that max(f, g) a.e. h,

and suppose that c = supf fR is finite. Show that f a.e. supnN fn whenever f and hfn inN is a

sequence in such that limn fn = c.

(d) Give an example of a (non-semi-finite) measure space (X, , ) satisfying conditions (ii)-(iv) of 215B,

but not (i).

> (e) Let (X, , ) be an atomless -finite measure space. Show that forSany > 0 there is a disjoint

sequence hEn inN of measurable sets with measure at most such that X = nN En .

(f ) Let (X, , ) be an atomless strictly localizable measure space. Show that for any > 0 there is a

decomposition hXi iiI of X such that Xi for every i I.

215Y Further exercises (a) Let (X, , ) be a -finite measure space and hfmn im,nN , hfm imN , f

measurable real-valued functions defined almost everywhere on X and such that hfmn inN fm a.e. for

each m and hfm imN f a.e. Show that there is a strictly increasing sequence hnm imN in N such that

hfm,nm imN f a.e. (Compare 134Yb.)

(b) Let (X, , ) be a -finite measure space. Let hfn inN be a sequence of measurable real-valued

functions such that f = limn fn is defined almost everywhere

S on X. Show that there is a non-decreasing

sequence hXk ikN of measurable subsets of X such that kN Xk is conegligible in X and hfn inN f

uniformly on every Xk , in the sense that for any > 0 there is an m N such that |fj (x) f (x)| is defined

and less than or equal to whenever j m, x Xk .

(This is a version of Egorovs theorem.)

216 intro. Examples 47

(c) Let (X, , ) be a totally finite measure space and hfn inN , f measurable real-valued functions defined

almost everywhere on X. Show that hfn inN f a.e. iff there is a sequence hn inN of strictly positive real

numbers, converging to 0, such that

S

limn ( kn {x : x dom fk dom f, |fk (x) f (x)| n }) = 0.

(d) Find a direct proof of (v)(vi) in 215B. (Hint: given E , use Zorns Lemma to find a maximal

totally ordered E 0 E such that E4F / N for any distinct E, F E 0 , and apply (v) to E 0 .)

215 Notes and comments The common ground of 215A, 215B(vi), 215C and 215Xa is actually one of the

most fundamental ideas in measure theory. It appears in such various forms that it is often easier to prove

an application from first principles than to explain how it can be reduced to the versions here. But I will

try henceforth to signal such applications as they arise, calling the method (the proof of 215Aa or 215Xa)

the principle of exhaustion. One point which is perhaps worth noting here is the inductive construction

of the sequence hFn inN in the proof of 215Aa. Each Fn+1 is chosen after the preceding one. It is this

which makes it possible, in the proof of 215B(vii)(vi), to extract a suitable sequence hFn inN directly.

In many applications (starting with what is surely the most important one in the elementary theory, the

Radon-Nikodym theorem of 232, or with part (i) of the proof of 211Ld), this refinement is not needed;

we are dealing with an upwards-directed set, as in 215B(v), and can choose the whole sequence hFn inN at

once, no term interacting with any other, as in 215Xb. The axiom of dependent choice, which asserts that

we can construct sequences term-by-term, is known to be stronger than the axiom of countable choice,

which asserts only that we can choose countably many objects simultaneously.

In 215B I try to indicate the most characteristic properties of -finiteness; in particular, the properties

which distinguish -finite measures from other strictly localizable measures. This result is in a way more

abstract than the manipulations in the rest of the section. Note that it makes an essential use of the axiom

of choice in the form of Zorns Lemma. I spent a paragraph in 134C commenting on the distinction between

countable choice, which is needed for anything which looks like the standard theory of Lebesgue measure,

and the full axiom of choice, which is relatively little used in the elementary theory. The implication (ii)(i)

of 215B is one of the points where we do need something beyond countable choice. (I should perhaps remark

that the whole theory of non--finite measure spaces looks very odd without the general axiom of choice.)

Note also that in 215B the proofs of (i)(vii) and (vii)(vi) are the only points where anything so vulgar

as a number appears. The conditions (iii), (iv), (v) and (vi) are linked in ways that have nothing to do with

measure theory, and involve only with the structure (X, , N ). (See 215Yd here, and 316D-316E in Volume

3.) There are similar conditions relating to measurable functions rather than measurable sets; for a fairly

abstract example, see 241Yd.

In 215Ya-215Yc are three more standard theorems on almost-everywhere-convergent sequences which

depend on - or total finiteness.

216 Examples

It is common practice and, in my view, good practice in books on pure mathematics, to provide

discriminating examples; I mean that whenever we are given a list of new concepts, we expect to be provided

with examples to show that we have a fair picture of the relationships between them, and in particular that

we are not being kept ignorant of some startling implication. Concerning the concepts listed in 211A-211K,

we have ten different properties which some, but not all, measure spaces possess, giving a conceivable total

of 210 different types of measure space, classified according to which of these ten properties they have. The

list of basic relationships in 211L reduces these 1024 possibilities to 72. Observing that a space can be

simultaneously atomless and purely atomic only when the measure of the whole space is 0, we find ourselves

with 56 possibilities, being two trivial cases with X = 0 (because such a measure may or may not be

complete) together with 9 2 3 cases, corresponding to the nine classes

probability spaces,

spaces which are totally finite, but not probability spaces,

48 Taxonomy of measure spaces 216 intro.

spaces which are strictly localizable, but not -finite,

spaces which are localizable and locally determined, but not strictly localizable,

spaces which are localizable, but not locally determined,

spaces which are locally determined, but not localizable,

spaces which are semi-finite, but neither locally determined nor localizable,

spaces which are not semi-finite;

the two classes

spaces which are complete,

spaces which are not complete;

and the three classes

spaces which are atomless, not of measure 0,

spaces which are purely atomic, not of measure 0,

spaces which are neither atomless nor purely atomic.

I do not propose to give a complete set of fifty-six examples, particularly as rather fewer than fifty-six

different ideas are required. However, I do think that for a proper understanding of abstract measure spaces

it is necessary to have seen realizations of some of the critical combinations of properties. I therefore take

a few paragraphs to describe three special examples to add to those of 211M-211R.

216A Lebesgue measure Before turning to the new ideas, let me mention Lebesgue measure again.

As remarked in 211M, 211P and 211Q,

(a) Lebesgue measure on R is complete, atomless and and -finite, therefore strictly localizable, local-

izable and locally determined.

(b) The subspace measure [0,1] on [0, 1] is a complete, atomless probability measure.

(c) The restriction B of to the algebra B of Borel sets in R is atomless, -finite and not complete.

216B I now embark on the description of three counter-examples; meaning spaces built specifically

for the purpose of showing that there are no unexpected implications among the ten properties under

consideration here. Even by the standards of this chapter these must be regarded as dispensable by the

student who wants to get on with the real business of understanding the big theorems of the subject. Neither

the existence of these examples, nor the techniques needed in constructing them, are vital for anything else

we shall look at before Volume 5. But if you are going to take abstract measure theory seriously at all,

sooner or later you will need to form some kind of mental picture of the nature of the spaces possessing

the different properties here, and a minimal requirement of such a picture is that it should include the

discriminations witnessed by these examples.

*216C A complete, localizable, non-locally-determined space The first example hardly needs

an idea beyond what we already have, but it does call for more manipulations than it seems fair to set as

an exercise, and may therefore be useful as a demonstration of technique.

(a) Let I be any uncountable set, and set X = {0, 1} I. For E X, y {0, 1} set E[{y}] = {i : (y, i)

E} I. Set

= {E : E X, E[{0}]4E[{1}] is countable}.

Then is a -subalgebra of subsets of X. P

P (i) [{0}]4[{1}] = is countable, so . (ii) If E

then

(X \ E)[{0}]4(X \ E)[{1}] = E[{0}]4E[{1}]

S

is countable. (iii) If hEn inN is a sequence in and E = nN En , then

S

E[{0}]4E[{1}] nN En [{0}]4En [{1}]

is countable. Q

Q

For E , set E = #(E[{0}]) if this is finite, otherwise; then (X, , ) is a measure space.

(b) (X, , ) is complete. P

P If A E and E = 0, then (0, i)

/ E for every i. So

*216D Examples 49

must be countable, and A . Q

Q

(c) (X, , ) is semi-finite. P

P If E and E > 0, there is an i I such that (0, i) E; now

F = {(0, i)} E and F = 1. Q Q

(d) (X, , ) is localizable. P

P Let E be any subset of . Set

S

J = EE E[{0}], G = {0, 1} J.

Then G . If H , then

(E \ H) = 0 for every E E

E[{0}] H[{0}] for every E E

(0, i) H for every i J

(G \ H) = 0.

Thus G is an essential supremum for E in ; as E is arbitrary, is localizable. Q

Q

(e) (X, , ) is not locally determined. P

P Consider H = {0}I. Then H

/ because H[{0}]4H[{1}] =

I is uncountable. But let E be any set such that E < . Then

(E H)[{0}]4(E H)[{1}] = (E H)[{0}] E[{0}]

is finite, so E H . As E is arbitrary, H witnesses that is not locally determined. Q

Q

(f ) (X, , ) is purely atomic. P

P Let E be any set of non-zero measure. Let i I be such that

(0, i) E. Then (0, i) E and F = {(0, i)} is a set of measure 1, included in E; because F is a singleton

set, it must be an atom for ; as E is arbitrary, is purely atomic. Q

Q

(g) Thus the construction here yields a complete, localizable, purely atomic, non-locally-determined

space.

*216D A complete, locally determined space which is not localizable The next construction

requires a little set theory. We need two sets I, J such that I is uncountable (more strictly, I cannot S be

expressed as the union of countably many countable sets), I J and J cannot be expressed as iI Ki

where every Ki is countable. The most natural way of doing this, subject to the axiom of choice, is to take

I = 1 , the first uncountable ordinal, and J to be 2 , the first ordinal from which there is no injection into

1 (see 2A1Fc); but in case you prefer other formulations (e.g., I = {{x} : x R} and J = PR), I will write

the following argument in terms of I and J, and you can pick your own pair.

(a) Let T be the countable-cocountable -algebra of J and the countable-cocountable measure on J

(211R). Set X = J J and for E X set

E[{}] = { : (, ) E}, E 1 [{}] = { : (, ) E}

for every J. Set

= {E : E[{}] and E 1 [{}] belong to T for every J},

P P

E = J E[{}] + J E 1 [{}]

for every E . It is easy to check that is a -algebra and that is a measure.

(b) (X, , ) is complete. PP If A E and E = 0, then all the sets E[{}], E 1 [{}] are countable,

so the same is true of all the sets A[{}], A1 [{}], and A . Q

Q

(d) (X, , ) is semi-finite. P

P For each J, set

G = {} J, G = J {}.

Then all the sections G [{}], G1 1

[{}], G [{}], G [{}] are either J or or {}, so belong to T, and all

the G , G belong to , with -measure 1.

50 Taxonomy of measure spaces *216D

Suppose that E is a set of strictly positive measure. Then there must be some J such that

0 < E[{}] + E 1 [{}] = (E G ) + (E G ) < ,

and one of the sets E G , E G is a set of non-zero finite measure included in E. Q

Q

(e) (X, , ) is locally determined. P

P Suppose that H X is such that H E whenever E and

E < . Then, in particular, H G and H G belong to , so

H[{}] = (H G )[{}] T,

H 1 [{}] = (H G )1 [{}] T,

for every J. This shows that H . As H is arbitrary, is locally determined. Q

Q

(f ) (X, , ) is not localizable. P

P Set E = {G : J}. ?? Suppose, if possible, that G is an

essential supremum for E. Then

(J \ G[{}]) = (G \ G) = 0

S

and J \ G[{}] is countable, for every J. Consequently J 6= I (J \ G[{}]), and there is an belonging

S T

to J \ I (J \ G[{}]) = I G[{}]. This means just that (, ) G for every I, that is, that

I G1 [{}]. Accordingly G1 [{}] is uncountable, so that G1 [{}] = (G G ) = 1. But observe that

(G G ) = {(, )} = 0 for every J. This means that, setting H = X \ G , E \ H is negligible, for

every E E; so that we must have 0 = (G \ H) = (G G ) = 1, which is absurd. X X

Thus E has no essential supremum in , and cannot be localizable. Q Q

(g) (X, , ) is purely atomic. P P If E has non-zero measure, there must be some J such that

one of E[{}], E 1 [{}] is not countable; that is, such that one of E G , E G is not negligible. But if

now H E G , either H[{}] is countable, and H = 0, or J \ H[{}] is countable, and (G \ H) = 0;

similarly, if H E G , one of H, (G \ H) must be 0, according to whether H 1 [{}] is countable or

not. Thus E G , E G , if not negligible, must be atoms, and E must include an atom. As E is arbitrary,

is purely atomic. QQ

(h) Thus (X, , ) is complete, locally determined and purely atomic, but is not localizable.

*216E A complete, locally determined, localizable space which is not strictly localizable For

the last, and most interesting, construction, we need a non-trivial result in infinitary combinatorics, which

I have written out in 2A1P: if I is any set, and hf iA is a family in {0, 1}I , the set of functions from I

to {0, 1}, with #(A) strictly greater than c, the cardinal of the continuum, and if hK iA is any family of

countable subsets of I, then there must be distinct , A such that f and f agree on K K .

Armed with this fact, I proceed as follows.

(a) Let C be any set of cardinal greater than c. Set I = PC, the set of subsets of C, and write X = {0, 1}I .

For C, define f X by saying that f () = 1 if C and f () = 0 if / C. Let K be the

family of countable subsets of I, and for K K, C set

FK = {x : x X, xK = f K} X.

Let

or there is a K K such that FK X \ E}.

Then is a -algebra of subsets of X. P

P (i) F X \ so . (ii) The definition of is symmetric

between E and X \ E, so X \ E whenever E . (iii) Let hEn inN be a sequence in , with union

E. () If there are n N, K K such that FK En , then FS K E, so E . () Otherwise, there is

for each n N a Kn K such that F,Kn X \ En . Set K = nN Kn K. Then

\ \

= F,Kn X \ En = X \ E,

nN nN

*216E Examples 51

Q

(b) Set

T

= C ;

then , being an intersection of -algebras, is a -algebra of subsets of X (see 111Ga). Define : [0, ]

by setting

= otherwise;

then is a measure.

(c) It will be convenient later to know something about the sets

GD = {x : x X, x(D) = 1}

for D C. In particular, every GD belongs to . P

P If D, then f (D) = 1 so GD = F,{D} . If

C \ D, then f (D) = 0 so GD = X \ F,{D} . Q

Q Also, of course, { : f GD } = D.

(d) (X, , ) is complete. P

P Suppose that A E and that E = 0. For every C, E and

f

/ E, so FK 6 E for any K K and there is a K K such that

FK X \ E X \ A.

Thus A ; as is arbitrary, A . As A is arbitrary, is complete. Q

Q

(e) (X, , ) is semi-finite. P P Let E be a set of positive measure. Then there must be some

C such that f E. Consider E 0 = E G{} . As f E 0 , E 0 1 > 0. On the other hand,

G{} = #({ : {}}) = 1, so E 0 = 1. As E is arbitrary, is semi-finite. Q

Q

S

(f ) (X, , ) is localizable. P

P Let E be any subset of . Set D = { : C, f E}. Consider GD .

For H ,

(E \ H) = 0 for every E E

f

/ E \ H for every E E, C

f H for every D

f

/ GD \ H for every C

(GD \ H) = 0.

Thus GD is an essential supremum for E in . As E is arbitrary, is localizable. Q

Q

(g) (X, , ) is not strictly localizable. P

P?? Suppose, if possible, that hXj ijJ is a decomposition of

(X, , ). Set J 0 = {j : j J, Xj > 0}. For each j J 0 , the set Cj = { : f Xj } must be finite and

non-empty. Moreover, for each SC, there must be some j J such that (G{} Xj ) > 0, and in this

case j J 0 and Cj . Thus C = jJ 0 Cj . Because #(C) > c, #(J 0 ) > c (2A1Ld).

For each j J 0 , choose j Cj . Then

fj Xj j ,

so there must be a Kj K such that Fj ,Kj Xj .

At this point I finally turn to the result cited at the start of this example. Because #(J 0 ) > c, there must

be distinct j, k J 0 such that fj and fk agree on Kj Kk . We may therefore define x X by saying that

x() = fj () if Kj ,

= fk () if Kk ,

= 0 if C \ (Kj Kj ).

Now

x Fj ,Kj Fk ,Kk Xj Xk ,

52 Taxonomy of measure spaces *216E

XQQ

P If E and E > 0, then (as remarked in (e) above) there is a C

such that (E G{} ) = 1; now E G{} must be an atom. Q Q

(i) Accordingly (X, , ) is a complete, locally determined, localizable, purely atomic measure space

which is not strictly localizable.

216X Basic exercises (a) In the construction of 216C, show that the subspace measure on {1} I is

not semi-finite.

(b) Suppose, in 216D, that I = 1 . (i) Show that the set {(, ) : < 1 } is measurable for the

measure constructed by Caratheodorys method from P(I I), but not for the subspace measure on

I I. (ii) Hence, or otherwise, show that the subspace measure on I I is not locally determined.

(c) In 216Ya, 252Yr and 252Yt below, I indicate how to construct atomless versions of 216C, 216D and

216E, that is, atomless complete measure spaces of which the first is localizable but not locally determined,

the second is locally determined spaces but not localizable, and the third is locally determined and localizable

but not strictly localizable. Show how direct sums of these, together with counting measure and the examples

described in this chapter, can be assembled to provide all 56 examples called for by the discussion in the

introduction to this section.

216Y Further exercises (a) Let be Lebesgue measure on [0, 1], and its domain. Set Y = [0, 1]

{0, 1} and write

T = {F : F Y, F 1 [{0}] },

Set

T0 = {F : F T, F 1 [{0}]4F 1 [{1}] is -negligible}.

Let I be an uncountable set. Set X = Y I,

= {E : E X, E 1 [{i}] T for every i I, {i : E 1 [{i}]

/ T0 } is countable},

P

E = iI E 1 [{i}] for E .

(i) Show that (Y, T, ) and (Y, T0 , T0 ) are complete probability spaces, and that for every F T there is

an F 0 T0 such that (F 4F 0 ) = 0. (ii) Show that (X, , ) is an atomless complete localizable measure

space which is not locally determined.

by

{A 2 : A 2 } {2 : < 2 }.

For E set

W (E) = { : < 2 , sup E[{}] = 2 },

and set E = #(W (E)) if this is finite, 0 otherwise. Show that is a measure on X, is localizable and

locally determined, but does not have locally determined negligible sets. Find a subspace Y of X such that

the subspace measure on Y is not semi-finite.

(c) Show that in the space described in 216E every set has a measurable envelope, but that this is not

true in the spaces of 216C and 216D.

216 Notes Examples 53

216 Notes and comments The examples 216C-216E are designed to form, with Lebesgue measure, a basis

for constructing a complete set of examples for the concepts listed in 211A-211K. One does not really expect

to encounter these phenomena in applications, but a clear understanding of the possibilities demonstrated

by these examples is part of a proper appreciation of their rarity. Of course, if we add further properties

to our list for instance, the property of having locally determined negligible sets (213I), or the property

that every subset should have a measurable envelope (213Xl) then there are further positive results to

complement 211L, and more examples to hunt for, like 216Yb. But it is time, perhaps past time, that we

returned to the classical theorems which apply to the measure spaces at the centre of the subject.

54 The fundamental theorem of calculus

Chapter 22

The fundamental theorem of calculus

In this chapter I address one of the most important properties of the Lebesgue Rx integral. Given an

integrable function f : [a, b] R, we can form its indefinite integral F (x) = a f (t)dt for x [a, b]. Two

questions immediately present themselves. (i) Can we expect to have the derivative F 0 of F equal to f ?

(ii) Can we identify which functions F will appear as indefinite integrals? Reasonably satisfactory answers

may be found for both of these questions: F 0 = f almost everywhere (222E) and indefinite integrals are the

absolutely continuous functions (225E). In the course of dealing with them, we need to develop a variety

of techniques which lead to many striking results both in the theory of Lebesgue measure and in other,

apparently unrelated, topics in real analysis.

The first step is Vitalis theorem (221), a remarkable argument it is more a method than a theorem

which uses the geometric nature of the real line to extract disjoint subfamilies from collections of intervals.

It is the foundation stone not only of the results in 222 but of all geometric measure theory, that is, measure

theory on spaces with a geometric structure. I use it here to show that monotonic functions are differentiable

almost everywhere (222A). Following this, Fatous Lemma and Lebesgues Dominated Convergence Theorem

are enough to show that the derivative of an indefinite integral is almost everywhere equal to the integrand.

We now find that some innocent-looking manipulations of this fact take us surprisingly far; I present these

in 223.

I begin the second half of the chapter with a discussion of functions of bounded variation, that is, ex-

pressible as the difference of bounded monotonic functions (224). This is one of the least measure-theoretic

sections in the volume; only in 224I and 224J are measure and integration even mentioned. But this material

is needed for Chapter 28 as well as for the next section, and is also one of the basic topics of twentieth-century

real analysis. 225 deals with the characterization of indefinite integrals as the absolutely continuous func-

tions. In fact this is now quite easy; it helps to call on Vitalis theorem again, but everything else is a

straightforward application of methods previously used. The second half of the section introduces some new

ideas in an attempt to give a deeper intuition into the essential nature of absolutely continuous functions.

226 returns to functions of bounded variation and their decomposition into saltus and absolutely contin-

uous and singular parts, the first two being relatively manageable and the last looking something like the

Cantor function.

I give the first theorem of this chapter a section to itself. It occupies a position between measure theory

and geometry (it is, indeed, one of the fundamental results of geometric measure theory), and its proof

involves both the measure and the geometry of the real line.

221A Vitalis theorem Let A be a bounded subset of R and I a family of non-singleton closed intervals

in R such that every point of A belongs to arbitrarily short members of I. Then thereSis a countable set

I0 I such that (i) I0 is disjoint, that is, I I 0 = for all distinct I, I 0 I0 (ii) (A \ I0 ) = 0, where

is Lebesgue measure on R.

S

proof (a) If there is a finite disjoint set I0 I such that A I0 (including the possibility that A = I0 =

), we can stop. So let us suppose henceforth that there is no such I0 .

Let be Lebesgue outer measure on R. Suppose that |x| < M for every x A, and set

I 0 = {I : I I, I [M, M ]}.

0 0

(b) In this case, if I0 is any

S finite disjoint subset of I , there is a J I which is disjoint from any

member of I0 . P P Take x A \ I0 . Now there is a > 0 such that [x , x + ] does not meet any member

of I0 , and as |x| < M we can suppose that [x S , x + ] [M, M ]. Let J be a member of I, containing

x, and of length at most ; then J I 0 and J I0 = . Q Q

221B Vitalis theorem in R 55

(c) We can now choose a sequence hn inN of real numbers and a disjoint sequence hIn inN in I 0 induc-

tively, as follows. Given hIj ij<n (if n = 0, this is the empty sequence, with no members), with Ij I 0 for

each j < n, and Ij Ik = for j < k < n, set

Jn = {I : I I 0 , I Ij = for every j < n}.

We know from (b) that Jn 6= . Set

n = sup{I : I Jn };

then 0 < n 2M . We may therefore choose a set In Jn such that In 21 n , and this continues the

induction.

(e) Because the In are disjoint Lebesgue measurable subsets of [M, M ], we have

P P

n=0 n 2 n=0 In 4M < ,

and limn n = 0. Now define In0 to be the closed interval with the same midpoint as In but five times

the length, so that it projects past each end of In by at least n . I claim that, for any n,

S S

A j<n Ij jn Ij0 .

S S

P?? Suppose, if possible, otherwise. Take any x belonging to A \ ( j<n Ij jn Ij0 ). Let > 0 be such

P

that

S

[x , x + ] [M, M ] \ j<n Ij ,

and let J I be such that

x J [x , x + ].

Then

J > 0 = limm m ;

let m be the least integer greater than or equal to n such that m < J. In this case J cannot belong to

Jm , so there must be some k < m such that J Ik 6= , because certainly J I 0 . By the choice of , k

cannot be less than n, so n k < m, and k J. In this case, the distance from x to the nearest endpoint

of Ik is at most J k . But the ends of Ik0 project beyond the ends of Ik by at least k , so x Ik0 ; which

contradicts the choice of x. X

XQQ

(f ) It follows that

S S P P

(A \ j<n Ij ) ( jn Ij0 ) j=n Ij0 5 j=n Ij .

As

P

j=0 Ij 2M < ,

we must have

S

limn (A \ j<n Ij ) = 0,

and

S S S

(A \ jN Ij ) = (A \ jN Ij ) inf nN (A \ j<n Ij ) = 0.

Thus

S in this case we may set I0 = {In : n N} to obtain a countable disjoint family in I with

(A \ I0 ) = 0.

221B Remarks (a) I have expressed this theorem in the form there is a countable set I0 I such

that . . . in an attempt to find a concise way of expressing the three possibilities

(i) A = I = , so that we must take I0 = ;

(ii) there are disjoint I0 , . . . , In I such that A I0 . . . In , so that we can take I0 =

{I0 , . . . , In };

S

(iii) there is a disjoint sequence hIn inN in I such that (A \ nN In ) = 0, so that we can

take I0 = {In : n N}.

Of course many applications, like the proof of 221A itself, will use forms of these three alternatives.

56 The fundamental theorem of calculus 221Bb

(b) The actual theorem here, as stated, will be used in the next section. But quite as important as the

statement of the theorem is the principle of its proof. The In are chosen greedily, that is, when we come

to choose In we look at the family Jn of possible intervals, given the choices I0 , . . . , In1 already made,

and choose an In Jn which is about as big as it could be. The supremum of the possibilities for In

is n ; but since we do not know that there is any I Jn such that I = n , we must settle for a little

less. I follow the standard formula in taking In 12 n , but of course I could have taken In 100 99

n , or

n

In (1 2 )n , if that had helped later on. The remarkable thing is that this works; we can choose the

In without foresight and without considering their interrelationships (for that matter, without examining

the set A) beyond the minimal requirement that In Ij = for j < n, and even this arbitrary and casual

procedure yields a suitable sequence.

(c) I have stated the theorem in terms of bounded sets A and closed intervals, which is adequate for

our needs, but very small changes in the proof suffice to deal with arbitrary (non-singleton) intervals, and

another refinement handles unbounded sets A. (See 221Ya.)

221X Basic exercises (a) Let ]0, 1[. Suppose, in part (c) of the proof of 221A, we take In n

for each n N, rather than In 12 n . What will be the appropriate constant to take in place of 5 in

defining the sets Ij0 of part (e)?

221Y Further exercises (a) Let A be a subset of R and I a family of non-singleton intervals in

R such that every point of A belongsS to arbitrarily short members of I. Show that there is a countable

disjoint set I0 I such that A \ I0 is Lebesgue negligible. (Hint: apply 221A to the sets A ]n, n + 1[,

{I : I I, I ]n, n + 1[}, writing I for the closed interval with the same endpoints as I.)

S

(b) Let J be any

S family of non-singleton intervals in R. Show that J is Lebesgue measurable. (Hint:

apply (a) to A = J and the family I of non-singleton subintervals of members of J .)

(c) Let (X, ) be a metric space, A a subset of X, and I a family of closed balls of non-zero radius in X

such that every point of A belongs to arbitrarily small members of I. (I say here that a set is a closed ball

of non-zero radius if it is expressible in the form B(x, ) = {y : (y, x) } where x X and > 0. Of

course it is possible for such a ball to be a singleton {x}.) Show that either A can be covered by a finite

disjoint family in I or there is a disjoint sequence hB(xn , n )inN in I such that

S S

A mn B(xm , m ) m>n B(xm , 5m ) for every n N

or there is a disjoint sequence hB(xn , n )inN in I such that inf nN n > 0.

(d) Give an example of a family I of open intervals such that every point of R belongs to arbitrarily

small members of I, but if hIn inN is any disjoint sequence in I, and for each n N we write In0 for

the closed

S interval S

with the same centre as In and ten times the length, then there is an n such that

]0, 1[ 6 m<n Im nm In0 .

S S

(e) (i) Show that if I is a finite family of intervals in R there are I0 , I1 I such that (I0 I1 ) = I

and both I0 and I1 are disjoint families. (Hint: induce on #(I).) (ii) Suppose that I is a family of non-

singleton intervals, of length at most 1, coveringSa bounded set A R, and that > 0. Show that there

is a disjoint subfamily I0 of I such that (A \ I0 ) 21 A + . (Hint: replacing each member of I by

a slightly longer one with rational endpoints, reduce to the case in which I is countable and thence to the

case in which I is finite; now use (i).) (iii) Use (ii) to prove Vitalis theorem. (I learnt this argument from

J.Aldaz.)

221 Notes and comments I have headed this section Vitalis theorem in R because there is an r-

dimensional version, which will appear in Chapter 26 below. There is an anomaly in the position of this

theorem. It is an indispensable element of the proofs of some of the most important theorems in measure

theory; on the other hand, the ideas involved in its own proof are not used elsewhere in the elementary

theory. I have therefore myself sometimes omitted the proof when teaching this material, and would not

222A Differentiating an indefinite integral 57

reproach any student who left it to one side for the moment. At some stage, of course, any measure theorist

must master the method, not just for the sake of completeness, but in order to gain an intuition for possible

variations. I must emphasize that it is the principle of the proof, rather than its details, which is important,

because there are inuumerable forms of Vitalis theorem. (I offer some variations in the exercises above

and in 261 below, and there are many others which are important in more advanced work.) This principle

is, I suppose, that

(i) we choose the In greedily, according to some more or less natural criterion applicable to

each In as we come to choose it, without attempting to look ahead;

(ii) we prove that their sizes tend to zero, even though we seemed to do nothing to ensure that

they would (but note the shift from I to I 0 in part (a) of the proof of 221A, which is exactly

what is needed to make this step work);

S

(iii) we check that for a suitable definition of In0 , enlarging In , we shall have A m<n Im

S 0

P 0

mn Im for every n, while n=0 In < .

In a way, we have to count ourselves lucky every time this works. The reason for studying as many variations

as possible of a technique of this kind is to learn to guess when there is a sporting chance of being lucky.

I come now to the first of the two questions

Rx mentioned in the introduction to this chapter: if f is an

d

integrable function on [a, b], what is dx a

f ? It turns out that this derivative exists and is equal to f

almost everywhere (222E). The argument is based on a striking property of monotonic functions: they are

differentiable almost everywhere (222A), and we can bound the integrals of their derivatives (222C).

almost everywhere on I.

Remark If I seem to be speaking of a measure on R without naming it, as here, I mean Lebesgue measure.

proof As usual, write for Lebesgue outer measure on R, for Lebesgue measure.

(a) To begin with (down to the end of (c) below), let us suppose that f is non-decreasing and I is a

bounded open interval on which f is bounded; say |f (x)| M for x I. For any closed subinterval J = [a, b]

of I, write f (J) for the open interval ]f (a), f (b)[. For x I, write

D f (x) = lim suph0 h1 (f (x + h) f (x)), D f (x) = lim inf h0 h1 (f (x + h) f (x)),

allowing the value in both cases. Then f is differentiable at x iff D f (x) = D f (x) R. Because surely

D f (x) D f (x) 0, f will be differentiable at x iff D f (x) is finite and D f (x) D f (x).

I therefore have to show that the sets

{x : x I, D f (x) = }, {x : x I, D f (x) > D f (x)}

are negligible.

(b) Let us take A = {x : x I, D f (x) = } first. Fix an integer m 1 for the moment, and set

Am = {x : x I, D f (x) > m} A.

Let I be the family of non-singleton closed intervals [a, b] I such that f (b) f (a) m(b a); then

f (J) mJ for every J I. If x Am , then for any > 0 we have an h with 0 < |h| and

1

h (f (x + h) f (x)) > m, so that

[x, x + h] I if h > 0, [x + h, x] I if h < 0;

thus every member of Am belongs to arbitrarilySsmall intervals in I. By Vitalis theorem (221A), there is

a countable disjoint set I0 I such that (A \ I0 ) = 0. PNow, because f is non-decreasing,

P hf (J)iJI0

is disjoint, andSall the f (J) are included in [M, M ], so JI0 f (J) 2M and JI0 J 2M/m.

Because Am \ I0 is negligible,

58 The fundamental theorem of calculus 222A

A Am 2M/m.

As m is arbitrary, A = 0 and A is negligible.

(c) Now consider B = {x : x I, D f (x) > D f (x)}. For q, q 0 Q with 0 q < q 0 , set

Bqq0 = {x : x I, D f (x) < q, D f (x) > q 0 }.

Fix such q, q 0 for the moment, and write = Bqq0 . Take any > 0, and let G be an open set including

Bqq0 such that G + (134Fa). Let J be the set of non-singleton closed intervals [a, b] I G such

that f (b) f (a) q(b a); this time f (J) qJ for J J . Then every member of B Sqq0 is included in

arbitrarily small members of J , so there is a countable disjoint J0 J such that Bqq0 \ J0 is negligible.

Let L be the set of endpoints of members of J0 ; then L is a countable union of doubleton sets, so is countable,

therefore negligible. Set

S

C = Bqq0 J0 \ L;

then C = . Let I be the set of non-singleton closed intervals J = [a, b] such that (i) J is included in one

of the members of J0 (ii) f (b) f (a) q 0 (b a); now f (J) q 0 J for every J I. Once again, because

every member of C is an interior point of some member of J0 , every point S of C belongs to arbitrarily small

members of I; so there is a countable disjoint I0 I such that (C \ I0 ) = 0.

As in (b) above,

S P P S

q 0 q 0 ( I0 ) = II0 q 0 I II0 f (I) = ( II0 f (I)).

On the other hand,

[ X X [

( f (J)) = f (J) q J = q( J0 )

JJ0 JJ0 JJ0

[

q( J ) qG q( + ).

S S

But II0 f (I) JJ0 f (J), because every member of I0 is included in a member of J0 , so q 0 q( +)

and q/(q 0 q). As is arbitrary, = 0. S

Thus every Bqq0 is negligible. Consequently B = q,q0 Q,0q<q0 Bqq0 is negligible.

(d) This deals with the case of a bounded open interval on which f is bounded and non-decreasing. Still

for non-decreasing f , but

S for an arbitrary interval I, observe that K = {(q, q 0 ) : q, q 0 I Q, q < q 0 } is

0

countable and that I \ (q,q0 )K ]q, q [ has at most two points (the endpoints of I, if any), so is negligible. If

we write S for the set of points of I at which fSis not differentiable, then from (a)-(c) we see that S ]q, q 0 [

is negligible for every (q, q 0 ) K, so that S (q,q0 )K ]q, q 0 [ is negligible and S is negligible.

(e) Thus we are done if f is non-decreasing. For non-increasing f , apply the above to f , which is

differentiable at exactly the same points as f .

P

222B Remarks (a) I note that in the above argument I am using such formulae as JI0 f (J).

This is because Vitalis theorem leaves it open whether the families I0 will be finite

P or infinite. The sum

must be interpreted along the lines laid down in 112Bd P in Volume 1; generally, kK ak , where

P K is an

arbitrary set and every ak 0, is to be supLK is finite kL ak , with the convention that k ak = 0.

Now, in this context, if (X, , ) is a measure space, K is a countable set, and hEk ikK is a family in ,

S P

( kK Ek ) kK Ek ,

with equality if hEk ikK is disjoint. P

P If K = , this is trivial. Otherwise, let n 7 kn : N K be a

surjection, and set

S S

Kn = {ki : i n}, Gn = in Eki = kKn Ek

S

for each n N. Then hGn inN is a non-decreasing sequence with union E = kK Ek , so

E = limn Gn = supnN Gn ;

and

222C Differentiating an indefinite integral 59

P P

Gn kKn Ek kK Ek

P P

for every n, so E kK Ek . If the Ek are disjoint, then Gn is precisely kKn Ek for each n; but

as hKn inN is a non-decreasing sequence of sets with union K, every finite subset of K is included in some

Kn , and

P P

kK Ek = supnN kKn Ek = supnN Gn = E,

as required. Q

Q

Pprefer to re-index sets regularly, so that all the sums they need to look at will be

n

of the form i=0 or i=0 . In effect, that is what I did in Volume 1, in the proof of 114Da/115Da, when

showing that Lebesgue outer measure is indeed an outer measure. The disadvantage of this procedure in

the context of 222A is that we must continually check that it doesnt matter whether we have a finite or

infinite sum at any particular moment. I believe that it is worth taking the trouble to learn the technique

sketched here, because it very frequently happens that we wish to consider unions of sets indexed by sets

other than N and {0, . . . , n}.

(c) Of course the argument above can be shortened if you know a tiny

P bit more about countable sets than

I have explicitly stated so far. But note that the value assigned to kK ak must not depend on which

enumeration hkn inN we pick on.

222C Lemma Suppose that a b in R, and that F : [a, b] R is a non-decreasing function. Then

Rb

a

F 0 exists and is at most F (b) F (a).

Remark I discussed integration over subsets at length in 131 and 214. For measurable subsets, which

are sufficient for our needs in this chapter, we have

R a simple

R description: if (X, , ) is a measure space,

E and f is a real-valued function, then E f = f if the latter integral exists, where dom f =

(E dom f ) (X \ E) and f(x) = fR(x) if xR E dom f , 0 if x X \ E (apply 131Fa to f). It follows at

once that if now F and F E, F f = E f F .

Rx R

I write a f to mean [a,x[ f , which (because [a, x[ is measurable) can be dealt with as described above.

Note that, as long as we are dealingR with Lebesgue

R R measure,

R so that [a, x] \ ]a, x[ = {a, x} is negligible, there

is no need to distinguish between [a,x] , ]a,x[ , [a,x[ , ]a,x] ; for other measures on R we may need to take

Rx Ry Ry

more care. I use half-open intervals to make it obvious that a f + x f = a f if a x y, because

f [a, y[ = f [a, x[ + f [x, y[.

proof (a) The result is trivial if a = b; let us suppose that a < b. By 222A, F 0 is defined almost everywhere

on [a, b].

(b) For each n N, define a simple function gn : [a, b[ R as follows. For 0 k < 2n , set ank =

a + 2n k(b a), bnk = a + 2n (k + 1)(b a), Ink = [ank , bnk [. For each x [a, b[, take that k < 2n such

that x Ink , and set

2n

gn (x) = (F (bnk ) F (ank ))

ba

for x Ink , so that gn gives the slope of the chord of the graph of F defined by the endpoints of Ink . Then

Rb P2n 1

g = k=0 F (bnk ) F (ank ) = F (b) F (a).

a n

C = {x : x ]a, b[ , F 0 (x) exists},

then [a, b] \ C is negligible, by 222A, and F 0 (x) = limn gn (x) for every x C. P

P Let > 0. Then there

is a > 0 such that x + h [a, b] and |F (x + h) F (x)) hF 0 (x)| |h| whenever |h| . Let n N be

such that 2n (b a) . Let k < 2n be such that x Ink . Then

2n

x ank x < bnk x + , gn (x) = (F (bnk ) F (ank )).

ba

60 The fundamental theorem of calculus 222C

Now we have

2n

|gn (x) F 0 (x)| = | (F (bnk ) F (ank )) F 0 (x)|

ba

2n

= |F (bnk ) F (ank ) (bnk ank )F 0 (x)|

ba

2n

|F (bnk ) F (x) (bnk x)F 0 (x)|

ba

+ |F (x) F (ank ) (x ank )F 0 (x)|

2n

(|bnk x| + |x ank |) = .

ba

And this is true whenever 2n , that is, for all n large enough. As is arbitrary, F 0 (x) = limn gn (x).

Q

Q

(d) Thus gn F 0 almost everywhere on [a, b]. By Fatous Lemma,

Rb Rb Rb Rb

a

F0 = a

lim inf n gn lim inf n a

gn = limn a

gn = F (b) F (a),

as required.

Remark There is a generalization of this result in 224I.

R x that a < b in R, and that f , g are real-valued functions, both integrable over

[a, b], such that a f = a g for every x [a, b]. Then f = g almost everywhere on [a, b].

proof The point is that

R Rb Rb R

E

f= a

f E = a

g E = E

g

for any measurable set E [a, b[.

P

P (i) If E = [c, d[ where a c d b, then

R Rd Rc Rd Rc R

E

f= a

f a

f= a

g a

g= E

g.

(ii) If E = [a, b[ G for some open set G R, then for each n N set

Kn = {k : k Z, |k| 4n , [2n k, 2n (k + 1)[ G},

S

Hn = kKn [2n k, 2n (k + 1)[ [a, b[;

then hHn inN is a non-decreasing sequence of measurable sets with union E, so f E = limn f Hn ,

and (by Lebesgues Dominated Convergence Theorem, because |f Hn | |f | almost everywhere for every

n, and |f | is integrable)

R R

E

f = limn Hn

f.

At the same time, each Hn is a finite disjoint union of half-open intervals in [a, b[, so

R P R P R R

H

f = kK n [2 n k,2n (k+1)[[a,b[ f = kK n [2 n k,2n (k+1)[[a,b[ g =

H

g,

n n

and

R R R R

E

g = limn Hn

g = limn Hn

f= E

f.

(iii) For general measurable E T [a, b[, we can choose for each n N an open set Gn E such that

Gn E + 2n (134Fa). Set G0n = mn Gm , En = [a, b[ G0n for each n,

T T T

F = [a, b[ nN Gn = nN [a, b[ G0n = nN En .

Then E F and

F inf nN Gn = E,

222F Differentiating an indefinite integral 61

R R R

so F \ E is negligible and f (F \ E) is zero almost everywhere; consequently F \E

f = 0 and F

f= E

f.

On the other hand,

f F = limn f En ,

so by Lebesgues Dominated Convergence Theorem again

R R R

E

f= F

f = limn En

f.

Similarly

R R

g = limn E g.

E n

R R R R

But by part (ii) we have En g = En f for every n, so E g = E f , as required. Q

Q

By 131Hb, f = g almost everywhere on [a, b[, and therefore almost everywhere on [a, b].

222E TheoremR Suppose that a b in R and that f is a real-valued function which is integrable over

x

[a, b]. Then F (x) = a f exists in R for every x [a, b], and the derivative F 0 (x) exists and is equal to f (x)

for almost every x [a, b].

proof (a) For most of this proof (down to the end of (c) below) I suppose that f is non-negative. In this

case,

Ry

F (y) = F (x) + x

f F (x)

whenever a x y b; thus F is non-decreasing and therefore differentiable almost everywhere in [a, b],

by 222A. Rx

By 222C we know also that a F 0 exists and is less than or equal to F (x) F (a) = F (x) for every

x [a, b].

(b) Now suppose, in addition, that f is bounded; say 0 f (t) M for every t dom f . Then M f is

integrable over [a, b]; let G be its indefinite

R x integral, so that G(x) = M (x a) F (x) for every x [a, b].

Applying (a) to M f and G, we have a G0 G(x) for every x [a, b]; but of course G0 = M F 0 , so

Rx Rx Rx Rx

M (x a) a F 0 M (x a) F (x), that is, a F 0 F (x) for every x [a, b]. Thus a F 0 = a f for

every x [a, b]. Now 222D tells us that F 0 = f almost everywhere on [a, b].

(c) Thus for bounded, non-negative f we are done. For unbounded f , let hfn inN be a non-decreasing

sequence of non-negative simple functions converging to f almost everywhere on [a, b], and let hFn inN be

the corresponding indefinite integrals. Then for any n and any x, y with a x y b, we have

Ry Ry

F (y) F (x) = x

f x

fn = Fn (y) Fn (x),

0

so that F (x) Fn0 (x)

for any x ]a, b[ where both are defined, and F 0 (x) fn (x) for almost every x [a, b].

This is true for every n, so F 0 f almost everywhere, and F 0 f 0 almost everywhere. On the other

hand, as noted in (a),

Rb Rb

a

F 0 F (b) F (a) = a

f,

Rb

so a

F 0 f 0. It follows that F 0 =a.e. f (that is, that F 0 = f almost everywhere)(122Rc).

(d) This completes the proof for non-negative f . For general f , we can express f as f1 f2 where f1 ,

f2 are non-negative integrable functions; now F = F1 F2 where F1 , F2 are the corresponding indefinite

integrals, so F 0 =a.e. F10 F20 =a.e. f1 f2 , and F 0 =a.e. f .

f is any real-valued function which is integrable over R, and set F (x) =

f for every x R. Then F (x) exists and is equal to f (x) for almost every x R.

proof For each n N, set

Rx

Fn (x) = n

f

for x [n, n]. Then Fn0 (x) = f (x) for almost every x [n, n]. But F (x) = F (n) + Fn (x) for every

x [n, n], so F 0 (x) exists and is equal to Fn0 (x) for every x ]n, n[ for which Fn0 (x) is defined; and

F 0 (x) = f (x) for almost every x [n, n]. As n is arbitrary, F 0 (x) = f (x) for almost every x R.

62 The fundamental theorem of calculus 222G

222G Corollary Suppose that R E R is a measurable set and that f is a real-valued function which

is integrable over E. Set F (x) = E],x[ f for x R. Then F 0 (x) = f (x) for almost every x E, and

F 0 (x) = 0 for almost every x R \ E.

proof RApply 222F to f, where f(x) = f (x) for x E dom f and f(x) = 0 for x R \ E, so that

x

F (x) =

f for every x R.

d

Rx

222H The result that dx a

f = f (x) for almost every x is satisfying, but is no substitute for the more

elementary result that this equality is valid at any point at which f is continuous.

PropositionR Suppose that a b in R and that f is a real-valued function which is integrable over [a, b].

x

Set F (x) = a f for x [a, b]. Then F 0 (x) exists and is equal to f (x) at any point x dom(f ) ]a, b[ at

which f is continuous.

proof Set c = f (x). Let > 0. Let > 0 be such that min(b x, x a) and |f (t) c| whenever

t dom f and |t x| . If x < y x + , then

F (y)F (x) 1 Ry 1 Ry

| c| = | f c| |f c| .

yx yx x yx x

Similarly, if x y < x,

F (y)F (x) 1 Rx 1 Rx

| f (x)| = | f c| |f c| .

yx xy y xy y

As is arbitrary,

F (y)F (x)

F 0 (x) = limyx = c,

yx

as required.

222I Complex-valued functions In the work above, I have taken f to be real-valued throughout.

The extension to complex-valued f is just a matter of applying the above results to the real and imaginary

parts of f . Specifically, we have the following.

Rx

(a) If a b in R and f is a complex-valued function which is integrable over [a, b], then F (x) = a f

is defined in C for every x [a, b], and its derivative F 0 (x) exists and is equal to f (x) for almost every

x [a, b]; moreover, F 0 (x) = f (x) whenever x dom(f ) ]a, b[ and f is continuous at x.

Rx

(b) If f is a complex-valued function which is integrable over R, and F (x) = f for each x R, then

F 0 exists and is equal to f almost everywhere in R.

(c) If RE R is a measurable set and f is a complex-valued function which is integrable over E, and

F (x) = E],x[ f for each x R, then F 0 (x) = f (x) for almost every x E and F 0 (x) = 0 for almost

every x R \ E.

222X Basic exercises > (a) Suppose that a < b in RR and that f is a real-valued function which is

x

integrable over [a, b]. Show that the indefinite integral x 7 a f is continuous.

Ry

> (b) Suppose that a < b in R and that h is a real-valued function such that x h exists and is non-negative

whenever a x y b. Show that h 0 almost everywhere on [a, b].

x

that a < b in R and that f , g are integrable complex-valued functions on [a, b] such that

a

f = a

g for every x [a, b]. Show that f = g almost everywhere on [a, b].

R1

> (d) Let F : [0, 1] [0, 1] be the Cantor function (134H). Show that 0 F 0 < F (1) F (0).

P (a) Let hFn inN be a sequence of non-negative, Pnon-decreasing functions on

0 0

[0, 1] such that F (x) = n=0 Fn (x) is finite for every

P x [0, 1]. Show that F

n=0 n (x) =Pnk for almost

F (x)

every x [0, 1]. (Hint: take hnk ikN such that k=0 F (1) Gk (1) < , where Gk = j=0 Fj , and set

P P 0 0 0

H(x) = k=0 F (x) Gk (x). Observe that k=0 F (x) Gk (x) H (x) whenever all the derivatives are

defined, so that F 0 = limk G0k almost everywhere.)

223A Lebesgues density theorems 63

(b) Let F : [0, 1] R be a continuous non-decreasing function. (i) Show that if c R then C = {(x, y) :

x, y [0, 1], F (y) F (x) = c} is connected. (Hint: A set A R r is connected if there is no continuous

surjection h : A {0, 1}. Show that if h : C {0, 1} is continuous then it is of the form (x, y) 7 h1 (x)

for some continuous function h1 .) (ii) Now suppose that F (0) = 0, F (1) = 1 and that G : [0, 1] [0, 1] is a

second continuous non-decreasing function with G(0) = 0, G(1) = 1. Show that for any n 1 there are x,

y [0, 1] such that F (y) F (x) = G(y) G(x) = n1 .

(c) Let Rf , g be non-negative

R Rv integrable

R functions on R, and n 1. Show that there are u < v in [, ]

v

such that u f = n1 f , u g = n1 g.

(d) Let f : R R be measurable. Show that H = dom f 0 is a measurable set and that f 0 is a measurable

function.

222 Notes and R x comments I have relegated to an exercise (222Xa) the fundamental fact that an indefinite

integral x 7 a f is always continuous; this is not strictly speaking needed in this section, and a much

stronger result is given in 225E. There is also much more to be said about monotonic functions, to which I

will return in 224. What we need here is the fact that they are differentiable almost everywhere (222A),

which I prove by applying Vitalis theorem three times, once in part (b) of the proof and twice in part (c).

Following this, the arguments of 222C-222E form a fine series of exercises in the central ideas of Volume

1, using the concept of integration over a (measurable) subset, Fatous Lemma (part (d) of the proof of

222C), Lebesgues Dominated Convergence Theorem (parts (a-ii) and (a-iii) of the proof of 222D) and

the approximation R xof Lebesgue measurable sets by open sets (part (a-iii) of the proof of 222D). Of course

d

knowing that dx a

f = f (x) almost everywhere is not at all the same thing as knowing that this holds for

any particular x, and when we come to differentiate any particular indefinite integral we generally turn to

222H first; the point of 222E is that it applies to wildly discontinuous functions, for which more primitive

methods give no information at all.

I now turn to a group of results which may be thought of as corollaries of Theorem 222E, but which also

have a vigorous life of their own, including the possibility of significant generalizations which will be treated

in Chapter 26. The idea is that any measurable function f on R r is almost everywhere continuous in a

variety of very weak senses; for almost every x, the value f (x) is determined by the behaviour of f near x,

in the sense that f (y) l f (x) for most y near x. I should perhaps say that while I recommend this work as

a preparation for Chapter 26, and I also rely on it in Chapter 28, I shall not refer to it again in the present

chapter, so that readers in a hurry to characterize indefinite integrals may proceed directly to 224.

223A Lebesgues Density Theorem: integral form Let I be an interval in R, and let f be a real-

valued function which is integrable over I. Then

Z x+h Z x Z x+h

1 1 1

f (x) = lim f= lim f= lim f

h0 h x h0 h xh h0 2h xh

for almost every x I.

R

proof Setting F (x) = I],x[

f , we know from 222G that

Z x+h

0 1 1

f (x) = F (x) = lim (F (x + h) F (x)) = lim f

h0 h h0 h

Zxx

1 1

= lim (F (x) F (x h)) = lim f

h0 h h0 h xh

Z x+h

1 1

= lim (F (x + h) F (x h)) = lim f

h0 2h h0 2h xh

for almost every x I.

64 The fundamental theorem of calculus 223B

1

limh0 (E [x h, x + h]) = 1 for almost every x E,

2h

1

limh0 (E [x h, x + h]) = 0 for almost every x R \ E.

2h

1 R x+h 1

limh0 xh

f = limh0 (E [x h, x + h])

2h 2h

whenever x ]n, n[ and either limit exists, so that

1

limh0 (E [x h, x + h]) = 1 for almost every x E [n, n],

2h

1

limh0 (E [x h, x + h]) = 0 for almost every x [n, n] \ E.

2h

As n is arbitrary, we have the result.

1

Remark For a measurable set E R, a point x such that limh0 (E [x h, x + h]) = 1 is sometimes

2h

called a density point of E.

223C Corollary Let f be a measurable real-valued function defined almost everywhere on R. Then for

almost every x R,

1

limh0 {y : y dom f, |y x| h, |f (y) f (x)| } = 1,

2h

1

limh0 {y : y dom f, |y x| h, |f (y) f (x)| } = 0

2h

for every > 0.

proof For q, q 0 Q, set

Dqq0 = {x : x dom f, q f (x) < q 0 },

so that Dqq0 is measurable,

1

Cqq0 = {x : x Dqq0 , limh0 (Dqq0 [x h, x + h]) = 1},

2h

so that Dqq0 \ Cqq0 is negligible, by 223B; now set

S

C = dom f \ q,q 0 Q (Dqq

0 \ Cqq0 ),

so that R \ C is negligible. If x C and > 0, then there are q, q 0 Q such that f (x) q f (x) <

q 0 f (x) + , so that x belongs to Dqq0 and therefore to Cqq0 , and now

1

lim inf {y : y dom f [x h, x + h], |f (y) f (x)| }

h0 2h

1

lim inf (Dqq0 [x h, x + h])

h0 2h

= 1,

so

1

limh0 {y : y dom f [x h, x + h], |f (y) f (x)| } = 1.

2h

It follows at once that

1

limh0 {y : y dom f [x h, x + h], |f (y) f (x)| > } = 0

2h

223Ea Lebesgues density theorems 65

for almost every x; but since is arbitrary, this is also true of 12 , so in fact

1

limh0 {y : y dom f [x h, x + h], |f (y) f (x)| } = 0

2h

for almost every x.

223D Theorem Let I be an interval in R, and let f be a real-valued function which is integrable over

I. Then

1 R x+h

limh0 xh

|f (y) f (x)|dy = 0

2h

for almost every x I.

proof (a) Suppose first that I is a bounded open interval ]a, b[. For each q Q, set gq (x) = |f (x) q| for

x I dom f ; then g is integrable over I, and

1 R x+h

limh0 xh

gq = gq (x)

2h

for almost every x I, by 223A. Setting

1 R x+h

Eq = {x : x I dom f, limh0 xh

gq = gq (x)},

2h

T

we have I \ Eq negligible, so I \ E is negligible, where E = qQ Eq . Now

1 R x+h

limh0 xh

|f (y) f (x)|dy = 0

2h

for every x E. P

P Take x E and > 0. Then there is a q Q such that |f (x) q| , so that

|f (y) f (x)| |f (y) q| + = gq (y) +

for every y I dom f , and

Z x+h Z x+h

1 1

lim sup |f (y) f (x)|dy lim sup gq (y) + dy

h0 2h xh h0 2h xh

= + gq (x) 2.

As is arbitrary,

1 R x+h

limh0 xh

|f (y) f (x)|dy = 0,

2h

as required. Q

Q

(b) If I is an unbounded open interval, apply (a) to the intervals In = I ]n, n[ to see that the limit

is zero almost everywhere on every In , and therefore on I. If I is an arbitrary interval, note that it differs

by at most two points from an open interval, and that since we are looking only for something to happen

almost everywhere we can ignore these points.

Remark The set

1 R x+h

{x : x dom f, limh0 xh

|f (y) f (x)|dy = 0}

2h

is sometimes called the Lebesgue set of f .

223E Complex-valued functions I have expressed the results above in terms of real-valued functions,

this being the most natural vehicle for the ideas. However there are applications of great importance in

which the functions involved are complex-valued, so I spell out the relevant statements here. In all cases

the proof is elementary, being nothing more than applying the corresponding result (223A, 223C or 223D)

to the real and imaginary parts of the function f .

(a) Let I be an interval in R, and let f be a complex-valued function which is integrable over I. Then

66 The fundamental theorem of calculus 223Ea

Z x+h Z x Z x+h

1 1 1

f (x) = lim f = lim f = lim f

h0 h x h0 h xh h0 2h xh

(b) Let f be a measurable complex-valued function defined almost everywhere on R. Then for almost

every x R,

1

limh0 {y : y dom f, |y x| h, |f (y) f (x)| } = 0

2h

for every > 0.

(c) Let I be an interval in R, and let f be a complex-valued function which is integrable over I. Then

1 R x+h

limh0 xh

|f (y) f (x)|dy = 0

2h

for almost every x I.

223X Basic exercises > (a) Let E [0, 1] be a measurable set for which there is an > 0 such that

(E [a, b]) (b a) whenever 0 a b 1. Show that E = 1.

1

(b) Let A R be any set. Show that limh0 (A [x h, x + h]) = 1 for almost every x A. (Hint:

2h

apply 223B to a measurable envelope E of A.)

1

(c) Let f be any real-valued function defined almost everywhere in R. Show that limh0 {y :y

2h

dom f, |y x| h, |f (y) f (x)| } = 1 for almost every x R. (Hint: use the argument of 223C, but

with 223Xb in place of 223B.)

> (d) Let I be an interval in R, and let f be a real-valued function which is integrable over I. Show that

R x+h

limh0 h1 x |f (y) f (x)|dy = 0 for almost every x I.

(e) Let E, F R be measurable sets, and suppose that F is bounded and of non-zero measure. Let

1 (E(x+hF ))

x R be such that limh0 (E [x h, x + h]) = 1. Show that limh0 = 1. (Hint: it helps

2h h F

to know that (hF ) = hF (134Ya, 263A). Show that if F [M, M ], then

1 F (E(x+hF ))

(E [x hM, x + hM ]) 1 1 .)

2hM 2M h F

(Compare 223Ya.)

(f ) Let f be a real-valued function which is integrable over R, and let E be the Lebesgue set of f . Show

1

R x+h

that limh0 2h xh

|f (t) c|dt = |f (x) c| for every x E and c R.

(g) Let f be an integrable real-valued function defined almost everywhere in R. Let x dom f be such

n R x+1/n

that limn x1/n

|f (y) f (x)| = 0. Show that x belongs to the Lebesgue set of f .

2

(h) Let f be an integrable real-valued function defined almost everywhere in R, and x any point of the

Lebesgue set of f . Show that for every > 0 there is a > 0 such that whenever I is a non-trivial interval

1 R

and x I [x , x + ], then |f (x) I

f | .

I

(i) Let E, F R be measurable sets, and x R a point which is a density point of both. Show that x is

a density point of E F .

223 Notes Lebesgues density theorems 67

T (j) Let E R be a non-negligible measurable set. Show that for any n N there is a > 0 such that

in E + xi is non-empty whenever x0 , . . . , xn R are such that |xi xj | for all i, j n. (Hint: find

n

a non-trivial interval I such that (E I) > n+1 I.)

223Y Further exercises (a) Let E, F R be measurable sets, and suppose that 0 < F < . Let

1

x R be such that limh0 (E [x h, x + h]) = 1. Show that

2h

(E(x+hF ))

limh0 = 1.

h F

(Hint: apply 223Xe to sets of the form F [M, M ].)

(b) Let T be the family of measurable sets G R such that every point of G is a density point of G. (i)

Show that

S T is a topology on R. (Hint: take G T. By 215B(iv) there is a countable G0 G such that

(G \ G0 ) = 0 for every G G. Show that

S 1 S

G {x : lim suph0 ( G0 [x h, x + h]) > 0},

2h

S S

so that ( G \ G0 ) = 0.) (ii) Show that a function f : R R is measurable iff it is T-continuous at

almost every x R. (T is the density topology on R. See 414P in Volume 4.)

(c)

R x Show that if f : [a, b] R is bounded and continuous for the density topology on R, then f (x) =

d

dx a

f for every x ]a, b[.

1

(d) Show that a function f : R R is continuous for the density topology at x R iff limh0 2h {y :

y [x h, x + h], |f (y) f (x)| } = 0 for every > 0.

(y,A)

(e) A set A R is porous at a point x R if lim supyx > 0, where (y, A) = inf aA ky ak.

kyxk

Show that if A is porous at every x A then A is negligible.

(f ) For a measurable set E R write E for the set of its density points. Show that (i) (EF ) = EF

for all measurable sets E, F (ii) for measurable sets E and F , E F iff (E \ F ) = 0 (iii) (E4E) = 0

for every measurable set E (iv) (E) = E for every measurable set E (v) for every compact set K E

there is a compact set L K E such that K L.

(g) Let f be an integrable real-valued function defined almost everywhereR in R,R and x anyR point of the

Lebesgue set of f . Show that for every > 0 there is a > 0 such that |f (x) g f g| g whenever

g : R [0, [ is such that g is non-decreasing on ], x], non-increasing on [x, [ and zero outside

g(x) Pn

[x , x + ]. (Hint: express g as a limit almost everywhere of functions of the form i=0 ]ai , bi [,

n+1

where x a0 . . . an x bn . . . b0 x + .)

223 Notes and comments The results of this section can be thought of as saying that a measurable

function is in some sense almost continuous; indeed, 223Yb is an attempt to make this notion precise. For

an integrable function we have stronger results, of which the furthest-reaching seems to be 223D/223Ec.

There are r-dimensional versions of all these theorems, using balls centred on x in place of intervals

[x h, x + h]; I give these in 261C-261E. A new idea is needed for the r-dimensional version of Lebesgues

density theorem (261C), but the rest of the generalization is straightforward. A less natural, and less

important, extension, also in 261, involves functions defined on non-measurable sets (compare 223Xa-

223Xc).

In 223D, and again in 223Xf, the essential idea is just that the intersection of countably many conegligible

sets is conegligible. Put like this, it should by now be almost second nature to you. But applications of this

kind tend to hinge on selecting the right family of conegligible sets to look at the intersection of. And the

guiding principle is, that you need not be economical. If you have any countable family of conegligible sets in

hand, you are entitled to work within its intersection. So, for instance, once we have established that every

68 The fundamental theorem of calculus 223 Notes

measurable function has a conegligible Lebesgue set, then henceforth we can work within the intersections of

the Lebesgue sets of all the functions we have names for provided that in this context we restrict ourselves

to names based on some countable language. Thus in 223Xf I suggest looking at functions of the form

x 7 f (x) q where q Q. The countable language used here has a name for the given function f and for

every rational number, but not for all real numbers. Of course we could certainly have larger countable sets

in place of Q if they helped. For once, it is worth trying to develop a restrictable imagination: you want to

take the intersection of all the conegligible sets you can think of, but in so doing you must shift temporarily

into a frame of mind which encompasses only a countable universe. (The objects of that countable universe

can of course be uncountable sets; it is the universe which should be countable, when seen from outside,

not its members.) The countable universe you use can in principle contain all the individual objects which

appear in the statement of the problem; thus in 223Xf, for instance, the function f itself surely belongs to

the relevant universe, like the set R (but not most of its members) and the operation of subtraction.

I turn now to the second of the two problems to which this chapter is devoted: the identification of those

real functions which are indefinite integrals. I take the opportunity to offer a brief introduction to the theory

of functions of bounded variation, which are interesting in themselves and will be important in Chapter 28.

I give the basic characterization of these functions as differences of monotonic functions (224D), with a

representative sample of their elementary properties.

224A Definition Let f be a real-valued function and D a subset of R. I define VarD (f ), the (total)

variation of f on D, as follows. If D dom f = , VarD (f ) = 0. Otherwise, VarD (f ) is

Pn

sup{ i=1 |f (ai ) f (ai1 )| : a0 , a1 , . . . , an D dom f, a0 a1 . . . an },

allowing VarD (f ) = . If VarD (f ) is finite, we say that f is of bounded variation on D. If the context

seems clear, I may write Var f for Vardom f (f ), and say that f is simply of bounded variation if this is

finite.

224B Remarks (a) In the present chapter, we shall virtually exclusively be concerned with the case in

which D is a bounded closed interval included in dom f . The general formulation will be useful for some

technical questions arising in Chapter 28; but if it makes you more comfortable, you will lose nothing by

supposing for the moment that D is an interval.

(b) Clearly

VarD (f ) = VarDdom f (f ) = Var(f D)

for all D, f .

VarD (f + g) VarD (f ) + VarD (g).

(b) If f is a real-valued function, D R and c R then VarD (cf ) = |c| VarD (f ).

(c) If f is a real-valued function, D R and x R then

VarD (f ) VarD],x] (f ) + VarD[x,[ (f ),

with equality if x D dom f .

(d) If f is a real-valued function and D D0 R then VarD (f ) VarD0 (f ).

(e) If f is a real-valued function and D R, then |f (x) f (y)| VarD (f ) for all x, y D dom f ; so if

f is of bounded variation on D then f is bounded on D dom f and (if D dom f 6= )

supyDdom f |f (y)| |f (x)| + VarD (f )

for every x D dom f .

224C Functions of bounded variation 69

VarD (f ) = supxDdom f f (x) inf xDdom f f (x).

proof (a) If D dom(f + g) = this is trivial, because VarD (f ) and VarD (g) are surely non-negative.

Otherwise, if a0 . . . an in D dom(f + g), then

n

X n

X n

X

|(f + g)(ai ) (f + g)(ai1 )| |f (ai ) f (ai1 )| + |g(ai ) g(ai1 )|

i=1 i=1 i=1

Var(f ) + Var(g);

D D

(b)

Pn Pn

i=1 |(cf )(ai ) (cf )(ai1 )| = |c| i=1 |f (ai ) f (ai1 )|

whenever a0 . . . an in D dom f .

(c)(i) If either D ], x] dom f or D [x, [ dom f is empty, this is trivial. If a0 . . . am in

D ], x] dom f , b0 . . . bn in D [x, [ dom f , then

m

X n

X m+n+1

X

|f (ai ) f (ai1 )| + |f (bi ) f (bi1 )| |f (ai ) f (ai1 )|

i=1 j=1 i=1

Var(f ),

[a,b]

VarD],x] (f ) + VarD[x,[ (f ) VarD (f ).

that x [ak1 , ak ]; then

n

X k1

X

|f (ai ) f (ai1 )| |f (ai ) f (ai1 )| + |f (x) f (ak1 )|

i=1 i=1

n

X

+ |f (ak ) f (x)| + |f (ai ) f (ai1 )|

i=k+1

Var (f ) + Var (f )

D],x] D[x,[

P0 Pn Pn

(counting empty sums i=1 , as 0). If x a0 then i=1 |f (ai ) f (ai1 )| VarD[x,[ (f ); if

Pn i=n+1

x an then i=1 |f (ai ) f (ai1 )| VarD],x] (f ). Thus

Pn

i=1 |f (ai ) f (ai1 )| VarD],x] (f ) + VarD[x,[ (f )

VarD (f ) VarD],x] (f ) + VarD[x,[ (f ).

So the two sides are equal.

(d) is trivial.

(e) If x, y D dom f and x y then

|f (x) f (y)| = |f (y) f (x)| VarD (f )

by the definition of VarD ; and the same is true if y x. So of course |f (y)| |f (x)| + VarD (f ).

70 The fundamental theorem of calculus 224C

(f ) If f is non-decreasing, then

n

X

Var(f ) = sup{ |f (ai ) f (ai1 )| : a0 , a1 , . . . , an D dom f, a0 a1 . . . an }

D

i=1

Xn

= sup{ f (ai ) f (ai1 ) : a0 , a1 , . . . , an D dom f, a0 a1 . . . an }

i=1

= sup{f (b) f (a) : a, b D dom f, a b}

= sup f (b) inf f (a).

bDdom f aDdom f

If f is non-increasing then

Xn

Var(f ) = sup{ |f (ai ) f (ai1 )| : a0 , a1 , . . . , an D dom f, a0 a1 . . . an }

D

i=1

Xn

= sup{ f (ai1 ) f (ai ) : a0 , a1 , . . . , an D dom f, a0 a1 . . . an }

i=1

= sup{f (a) f (b) : a, b D dom f, a b}

= sup f (a) inf f (b).

aDdom f bDdom f

224D Theorem For any real-valued function f and any set D R, the following are equiveridical:

(i) there are two bounded non-decreasing functions f1 , f2 : R R such that f = f1 f2 on D dom f ;

(ii) f is of bounded variation on D;

(iii) there are bounded non-decreasing functions f1 , f2 : R R such that f = f1 f2 on D dom f

and VarD (f ) = Var f1 + Var f2 .

proof (i)(ii) If f : R R is bounded and non-decreasing, then Var f = supxR f (x) inf xR f (x) is

finite. So if f agrees on D dom f with f1 f2 where f1 and f2 are bounded and non-decreasing, then

D Ddom f Ddom f Ddom f

using (a), (b) and (d) of 224C.

(ii)(iii) Suppose that f is of bounded variation on D. Set D0 = D dom f . If D0 = we can take

both fj to be the zero function, so henceforth suppose that D0 6= . Write

g(x) = VarD],x] (f )

for x D0 . Then g1 = g + f and g2 = g f are both non-decreasing. P

P If a, b D0 and a b, then

g(b) g(a) + VarD[a,b] (f ) g(a) + |f (b) f (a)|.

So

g1 (b) g1 (a) = g(b) g(a) f (b) + f (a), g2 (b) g2 (a) = g(b) g(a) + f (b) f (a)

are both non-negative. Q

Q

Now there are non-decreasing functions h1 , h2 : R R, extending g1 , g2 respectively, such that Var hj =

Var gj for both j. P

P f is bounded on D, by 224Ce, and g is bounded just because VarD (f ) < , so that

gj is bounded. Set cj = inf xD0 gj (x) and

hj (x) = sup({cj } {gj (y) : y D0 , y x})

Q Observe that for x D0 ,

for every x R; this works. Q

h1 (x) + h2 (x) = g1 (x) + g2 (x) = g(x) + f (x) + g(x) f (x) = 2g(x),

224F Functions of bounded variation 71

Now, because g1 and g2 are non-decreasing,

supxD0 g1 (x) + supxD0 g2 (x) = supxD0 g1 (x) + g2 (x) = 2 supxD0 g(x),

inf xD0 g1 (x) + inf xD0 g2 (x) = inf xD0 g1 (x) + g2 (x) = 2 inf xD0 g(x) 0.

But this means that

Var h1 + Var h2 = Var g1 + Var g2 = 2 Var g 2 VarD (f ),

1

using 224Cf three times. So if we set fj (x) = 2 hj (x) for j {1, 2}, x R, we shall have non-decreasing

functions such that

1 1

f1 (x) f2 (x) = f (x) for x D0 , Var f1 + Var f2 = Var h1 + Var h2 VarD (f ).

2 2

Since we surely also have

VarD (f ) VarD (f1 ) + VarD (f2 ) Var f1 + Var f2 ,

we see that VarD (f ) = Var f1 + Var f2 , and (iii) is true.

(iii)(i) is trivial.

224E Corollary Let f be a real-valued function and D any subset of R. If f is of bounded variation

on D, then

limxa VarD]a,x] (f ) = limxa VarD[x,a[ (f ) = 0

for every a R, and

lima VarD],a] (f ) = lima VarD[a,[ (f ) = 0.

proof (a) Consider first the case in which D = dom f = R and f is a bounded non-decreasing function.

Then

VarD]a,x] (f ) = supy]a,x] f (x) f (y) = f (x) inf y>a f (y) = f (x) limya f (y),

so of course

limxa VarD]a,x] (f ) = limxa f (x) limya f (y) = 0.

In the same way

limxa VarD[x,a[ (f ) = limya f (y) limxa f (x) = 0,

(b) For the general case, define f1 , f2 from f and D as in 224D. Then for every interval I we have

VarDI (f ) VarI (f1 ) + VarI (f2 ),

so the results for f follow from those for f1 and f2 as established in part (a) of the proof.

224F Corollary Let f be a real-valued function of bounded variation on [a, b], where a < b. If dom f

meets every interval ]a, a + ] with > 0, then

limtdom f,ta f (t)

is defined in R. If dom f meets [b , b[ for every > 0, then

limtdom f,tb f (t)

is defined in R.

proof Let f1 , f2 : R R be non-decreasing functions such that f = f1 f2 on [a, b] dom f . Then

72 The fundamental theorem of calculus 224F

limtdom f,ta f (t) = limta f1 (t) limta f2 (t) = inf t>a f1 (t) inf t>a f2 (t),

limtdom f,tb f (t) = limtb f1 (t) limtb f2 (t) = supt<b f1 (t) supt<b f2 (t).

224G Corollary Let f , g be real functions and D a subset of R. If f and g are of bounded variation

on D, so is f g.

proof (a) The point is that there are non-negative bounded non-decreasing functions f1 , f2 : R R such

that f = f1 f2 on D dom f . P P We know that there are bounded non-decreasing h1 , h2 such that

f = h1 h2 on D dom f . Set i = inf xR hi (x) for i = 1, 2,

1 = max(1 2 , 0), 2 = max(2 1 , 0),

f1 = h1 1 + 1 , f2 = h1 2 + 2 ;

this works. Q

Q

(b) Now taking similar functions g1 , g2 such that g = g1 g2 on D dom g, we have

f g = f1 g1 f2 g1 f1 g2 + f2 g2

everywhere on D dom(f g) = D dom f dom g; but all the fi gj are bounded non-decreasing functions,

so of bounded variation, and f g must be of bounded variation on D.

continuous at all except countably many points of D.

proof For n 1 set

1

such that |f (y) f (x)| }.

n

Then #(An ) n Var f . P P?? Otherwise, we can find distinct x0 , . . . , xk An with k + 1 > n Var f .

Order these so that x0 < x1 < . . . < xk . Set = 12 min1ik xi xi1 > 0. For each i, there is a

yi D [xi , xi + ] such that |f (yi ) f (xi )| n1 . Take x0i , yi0 to be xi , yi in order, so that x0i < yi0 . Now

x00 y00 x01 y10 . . . x0k yk0 ,

and

Pk Pk 1

Var f i=0 |f (yi0 ) f (x0i )| = i=0 |f (yi ) f (xi )| (k + 1) > Var f ,

n

which is impossible. XXS

QQ

It follows that A = nN An is countable, being a countable union of finite sets. But A is exactly the set

of points of D at which f is not continuous.

differentiable almost everywhere in I, and f 0 is integrable over I, with

R

I

|f 0 | VarI (f ).

proof (a) Let f1 and f2 be non-decreasing functions such that f = f1 f2 everywhere on I (224D). Then

f1 and f2 are differentiable almost everywhere (222A). At any point of I except possibly its endpoints, if

any, f will be differentiable if f1 and f2 are, so f 0 (x) is defined for almost every x I.

(b) Set F (x) = VarI],x] f for x R. If x, y I and x y, then

F (y) F (x) = Var[x,y] f |f (y) f (x)|,

by 224Cc; so F 0 (x) 0

R 0 |f (x)|

R whenever x is an interior point of I and both derivatives exist, which is almost

everywhere. So I |f | I F 0 . But if a, b I and a b,

224J Functions of bounded variation 73

Rb

a

F 0 F (b) F (a) F (b) Var f .

S

Now I is expressible as nN [an , bn ] where an+1 an bn bn+1 for every n. So

Z Z Z

|f 0 | F0 = F 0 I

I I

Z Z

0

= sup F [an , bn ] = sup F 0 [an , bn ]

nN nN

(by B.Levis theorem)

Z bn

= sup F 0 Var(f ).

nN an I

224J The next result is not needed in this chapter, but is one of the most useful properties of functions

of bounded variation, and will be used repeatedly in Chapter 28.

Proposition Let f , g be real-valued functions defined on subsets of R, and suppose that g is integrable

over an interval [a, b], where a < b, and f is of bounded variation on ]a, b[ and defined almost everywhere in

]a, b[. Then f g is integrable over [a, b], and

Z Z

b

c

f g lim |f (x)| + Var(f ) sup g .

xdom f,xb ]a,b[ c[a,b]

a a

proof (a) By 224F, l = limxdom f,xb f (x) is defined. Write M = |l| + Var]a,b[ (f ). Note that if y is any

point of dom f ]a, b[,

|f (y)| |f (x)| + |f (x) f (y)| |f (x)| + Var]a,b[ (f ) M

as x b in dom f , so |f (y)| M . Moreover, f is measurable on ]a, b[, because there are bounded monotonic

functions f1 , f2 : R R such that f = f1 f2 everywhere on ]a, b[ dom f . So f g is measurable and

dominated by M |g|, and is integrable over ]a, b[ or [a, b].

(b) For n N, k 2n set ank = a + 2n k(b a), and for 1 k 2n choose xnk dom f ]an,k1 , ank ].

Define fn : ]a, b] R by setting fn (x) = f (xnk ) if 1 k 2n , x ]an,k1 , ank ]. Then f (x) = limn fn (x)

whenever x ]a, b[ dom f and f is continuous at x, which must be almost everywhere (224H). Note next

that all the fn are measurable, and that they are uniformly bounded, in modulus, by M . So {fn g : n N}

is dominated by the integrable function M |g|, and Lebesgues Dominated Convergence Theorem tells us that

Rb Rb

a

f g = limn a

fn g.

Rc Rc

(c) Fix n N for the moment. Set K = supc[a,b] | a

g|. (Note that K is finite because c 7 a

g is

continuous.) Then

Z 2 n Z

b X ank

fn g = fn g

a k=1 an,k1

2n

X Z ank Z an,k1

= f (xnk )( g g)

k=1 a a

n Z Z

2X

1 ank b

= (f (xnk ) f (xn,k+1 )) g + f (xn,2n ) g

k=1 a a

Z n Z

b 2X1

ank

f (xn,2n ) g + f (xn,k+1 ) f (xnk ) g

a k=1 a

]a,b[

74 The fundamental theorem of calculus 224J

as n .

(d) Now

Rb Rb

| a

f g| = limn | a

fn g| M K,

as required.

224K Complex-valued functions So far I have taken all functions to be real-valued. This is adequate

for the needs of the present chapter, but in Chapter 28 we shall need to look at complex-valued functions of

bounded variation, and I should perhaps spell out the (elementary) adaptations involved in the extension

to the complex case.

(a) Let D be a subset of R and f a complex-valued function. The variation of f on D, VarD (f ), is zero

if D dom f = , and otherwise is

Pn

sup{ j=1 |f (aj ) f (aj1 )| : a0 a1 . . . an in D dom f },

allowing . If VarD (f ) is finite, we say that f is of bounded variation on D.

(b) Just as in the real case, a complex-valued function of bounded variation must be bounded, and

VarD (f + g) VarD (f ) + VarD (g),

for every x R, with equality if x D dom f ,

VarD (f ) VarD0 (f ) whenever D D0 ;

the arguments of 224C go through unchanged.

(c) A complex-valued function is of bounded variation iff its real and imaginary parts are both of bounded

variation (because

max(VarD (Re f ), VarD (Im f ) VarD (f ) VarD (Re f ) + VarD (Im f ).)

So a complex-valued function f is of bounded variation on D iff there are bounded non-decreasing functions

f1 , . . . , f4 : R R such that f = f1 f2 + if3 if4 on D (224D).

(d) Let f be a complex-valued function and D any subset of R. If f is of bounded variation on D, then

limxa VarD]a,x] (f ) = limxa VarD[x,a[ (f ) = 0

for every a R, and

lima VarD],a] (f ) = lima VarD[a,[ (f ) = 0.

(Apply 224E to the real and imaginary parts of f .)

(e) Let f be a complex-valued function of bounded variation on [a, b], where a < b. If dom f meets every

interval ]a, a + ] with > 0, then

limtdom f,ta f (t)

is defined in C. If dom f meets [b , b[ for every > 0, then

limtdom f,tb f (t)

is defined in C. (Apply 224F to the real and imaginary parts of f .)

f g. (For f g is expressible as a linear combination of the four products Re f Re g, . . . , Im f Im g,

to each of which we can apply 224G.)

224Xj Functions of bounded variation 75

almost everywhere on I, and

R

I

|f 0 | VarI (f ).

(As 224I.)

(h) Let f , g be complex-valued functions defined on subsets of R, and suppose that g is integrable over

an interval [a, b], where a < b, and f is of bounded variation on ]a, b[ and defined almost everywhere in ]a, b[.

Then f g is integrable over [a, b], and

Z b Z c

f g lim |f (x)| + Var(f ) sup g .

a xdom f,xb ]a,b[ c[a,b] a

1

224X Basic exercises >(a) Set f (x) = x2 sin for x 6= 0, f (0) = 0. Show that f : R R is

x2

differentiable everywhere and uniformly continuous, but is not of bounded variation on any non-trivial

interval containing 0.

(b) Give an example of a non-negative function g : [0, 1] [0, 1], of bounded variation, such that g is

not of bounded variation.

(c) Show that if f is any real-valued function defined on a subset of R, there is a function f : R R,

extending f , such that Var f = Var f . Under what circumstances is f unique?

(d) Let f : D R be a function of bounded variation, where D R is a non-empty set. Show that if

inf xD |f (x)| > 0 then 1/f is of bounded variation.

b] R be a continuous function, where a b in R. Show that if c < Var f then there is a

n

> 0 such that i=1 |f (ai )f (ai1 )| c whenever a = a0 a1 . . . an = b and max1in ai ai1 .

(f ) Let hfn inN be a sequence of real functions, and set f (x) = limn fn (x) whenever the limit is

defined. Show that Var f lim inf n Var fn .

Rx

(g) Let f be a real-valued function which is integrable over an interval [a, b] R. Set F (x) = a f for

Rb R

x [a, b]. Show that Var[a,b] (F ) = a |f |. (Hint: start by checking that Var F |f |; for the reverse

inequality, consider the case f 0 first.)

Pn

VarD (f ) = sup{| i=1 (1)i (f (ai ) f (ai1 ))| : a0 a1 . . . an in D}.

(i) Let f be a real-valued function which is integrable over a bounded interval [a, b] R. Show that

Rb Pn R ai

a

|f | =sup{| i=1 (1)i a f | : a = a0 a1 a2 . . . an = b}.

i1

(j) Let f and g be real-valued functions defined on subsets of R, and suppose that g is integrable over an

interval [a, b], where a < b, and f is of bounded variation on ]a, b[ and defined almost everywhere on ]a, b[.

Show that

Rb Rb

| a

f g| (limxdom f,xa |f (x)| + Var]a,b[ (f )) supc[a,b] | c

g|.

76 The fundamental theorem of calculus 224Y

224Y Further exercises (a) Show that if f is any complex-valued function defined on a subset of R,

there is a function f : R C, extending f , such that Var f = Var f . Under what circumstances is f unique?

(b) Let D be any non-empty subset of R, and let V be the space of functions f : D R of bounded

variation. For f V set

Pn

kf k = sup{|f (t0 )| + i=1 |f (ti ) f (ti1 )| : t0 . . . tn D}.

Show that (i) k k is a norm on V (ii) V is complete under k k (iii) kf gk kf kkgk for all f , g V, so that

V is a Banach algebra.

(c) Let f : R R be a function of bounded variation. Show that there is a Rsequence hfn inN of

differentiable functions such that limn fn (x) = f (x) for every x R, limn |fn f | = 0, and

Var(fn ) Var(f ) for every n N. (Hint: start with non-decreasing f .)

(d) For any partially ordered set X and any function f : X R, say that VarX (f ) = 0 if X = and

otherwise

Pn

VarX (f ) = sup{ i=1 |f (ai ) f (ai1 )| : a0 , a1 , . . . , an X, a0 a1 . . . an }.

State and prove results in this framework generalizing 224D and 224Yb. (Hints: f will be non-decreasing

if f (x) f (y) whenever x y; interpret ], x] as {y : y x}.)

(e) Let (X, ) be a metric space and f : [a, b] X a function, where a b in R. Set Var[a,b] (f ) =

Pn

sup{ i=1 (f (ai ), f (ai1 )) : a a0 . . . an b}. (i) Show that Var[a,b] (f ) = Var[a,c] (f ) + Var[c,b] (f ) for

every c [a, b]. (ii) Show that if Var[a,b] (f ) is finite then f is continuous at all but countably many points

of [a, b]. (iii) Show that if X is complete and Var[a,b] (f ) < then limtx f (t) is defined for every x ]a, b].

(f ) Let U be a normed space and a b in R. For functions f : [a, b] U define Var[a,b] (f ) as in 224Ye,

using the standard metric (x, y) = kx yk for x, y U . (i) Show that Var[a,b] (f + g) Var[a,b] (f ) +

Var[a,b] (g), Var[a,b] (cf ) = |c| Var[a,b] (f ) for all f , g : [a, b] U and all c R. (ii) Show that if V is another

normed space and T : U V is a bounded linear operator then Var[a,b] (T f ) kT k Var[a,b] (f ) for every

f : [a, b] U .

1

(g) Let f : [0, 1] R be a continuous function. For y R set h(y) = #(f R [{y}]) if this is finite,

otherwise. Show that (if we allow as a value of the integral) Var[0,1] (f ) = h. (Hint: for n N, i < 2n

set cni = sup{f (x) f (y) : x, y [2n i, 2n (i + 1)]}, hni (y) = 1 if y f [ [2n i, 2n (i + 1)[ ], 0 otherwise.

R P2n 1 P2n 1

Show that cni = hni , limn i=0 cni = Var f , limn i=0 hni = h.) (See also 226Yb.)

(h) Let be any Lebesgue-Stieltjes measure on R, I R an interval (which may be either open or closed,

bounded or unbounded), and D I a non-empty set. Let V be the space of functions of bounded

R variation

from D to R, and k k the norm of 224Yb on V. Let g : D R be a function such that [a,b]D g d exists

R R

whenever a b in I, and K = supa,bI,ab | [a,b]D g d| < . Show that | D f g d| Kkf k for every

f V.

(i) Explain how to apply 224Yh with D = N to obtain Abels theorem that the product of a monotonic

sequence converging to 0 with a series which has bounded partial sums is summable.

224 Notes and comments I have taken the ideas above rather farther than we need immediately; for the

present chapter, it is enough to consider the case in which D = dom f = [a, b] for some interval [a, b] R.

The extension to functions with irregular domains will be useful in Chapter 28, and the extension to irregular

sets D, while not important to us here, is of some interest for instance, taking D = N, we obtain the notion

of sequence of bounded variation, which is surely relevant to problems of convergence and summability.

The central result of the section is of course the fact that a function of bounded variation can be expressed

as the difference of monotonic functions (224D); indeed, one of the objects of the concept is to characterize

the linear span of the monotonic functions. Nearly everything else here can be derived as an easy consequence

of this, as in 224E-224G. In 224I and 224Xg we go a little deeper, and indeed some measure theory appears;

225C Absolutely continuous functions 77

this is where the ideas here begin to connect with the real business of this chapter, to be continued in the

next section. Another result which is easy enough in itself, but contains the germs of important ideas, is

224Yg.

In 224Yb I mention a natural development in functional analysis, and in 224Yd and 224Ye-224Yf I suggest

further wide-ranging generalizations.

We are now ready for a full characterization of the functions that can appear as indefinite integrals

(225E, 225Xh). The essential idea is that of absolute continuity (225B). In the second half of the section

(225G-225N) I describe some of the relationships between this concept and those we have already seen.

225A Absolute continuity of the indefinite integral I begin with an easy fundamental result from

general measure theory.

Theorem Let (X, , ) be any measure space and f an integrable real-valued function defined on a coneg-

ligible subset of RX. Then for any > 0 there are a measurable set E of finite measure and a real number

> 0 such that F |f | whenever F and (F E) .

proof There isR a non-decreasing

R sequence hgn inN of non-negative

R R simple functions such that |f | =a.e.

limn gn and |f | = limn gn . Take n N such that gn |f | 12 . Let M > 0, E be such

that E < and gn M E; set = /2M . If F and (F E) , then

R R 1

F

gn = gn F M (F E) ;

2

consequently

R R R 1 R

F

|f | = F

gn + F

|f | gn + |f | gn .

2

R and f : [a, b] P

R is a function, we say that f is absolutely continuous if for every > 0 there is

n

aP > 0 such that i=1 |f (bi ) f (ai )| whenever a a1 b1 a2 b2 . . . an bn b and

n

i=1 bi ai .

Remark The phrase absolutely continuous is used in various senses in measure theory, closely related (if

you look at them in the right way) but not identical; you will need to keep the context of each definition in

clear focus.

(a) If f : [a, b] R is absolutely continuous, it is uniformly continuous.

(b) If f : [a, b] R is absolutely continuous it is of bounded variation on [a, b], so is differentiable almost

everywhere on [a, b], and its derivative is integrable over [a, b].

(c) If f , g : [a, b] R are absolutely continuous, so are f + g and cf , for every c R.

(d) If f , g : [a, b] R are absolutely continuous so is f g.

(e) If g : [a, b] [c, d] and f : [c, d] R are absolutely continuous, and g is non-decreasing, then the

composition f g : [a, b] R is absolutely continuous.

Pn

proof (a) Let > 0. Then there Pn is a > 0 such that i=1 |f (bi ) f (ai )| whenever a a1 b1 a2

b2 . . . an bn b and i=1 bi ai ; but of course now |f (y) f (x)| whenever x, y [a, b] and

|x y| . As is arbitrary, f is uniformly continuous.

Pn

(b)

PnLet > 0 be such that i=1 |f (bi ) f (ai )| 1 whenever a a1 b1 Pan2 b2 . . . an bn b

and i=1 bi ai . If a c = c0 c1 . . . cn d min(b, c + ), then i=1 |f (ci ) f (ci1 )| 1, so

78 The fundamental theorem of calculus 225C

Var[c,d] (f ) 1; accordingly (inducing on k, using 224Cc for the inductive step) Var[a,min(a+k,b)] (f ) k for

every k, and

Var[a,b] (f ) d(b a)/e < .

It follows that f 0 is integrable, by 224I.

(c)(i) Let > 0. Then there are 1 , 2 > 0 such that

Pn 1

i=1 |f (bi ) f (ai )| 2

Pn

whenever a a1 b1 a2 b2 . . . an bn b and i=1 bi ai 1 ,

Pn 1

i=1 |g(bi ) g(ai )| 2

Pn

whenever a a1 b1 a2 b2 . . . an bn b and P i=1 bi ai 2 . Set = min(1 , 2 ) > 0, and

n

suppose that a a1 b1 a2 b2 . . . an bn b and i=1 bi ai . Then

Pn Pn Pn

i=1 |(f + g)(bi ) (f + g)(ai )| i=1 |f (bi ) f (ai )| + i=1 |g(bi ) g(ai )| .

As is arbitrary, f + g is absolutely continuous.

(ii) Let > 0. Then there is a > 0 such that

Pn

i=1 |f (bi ) f (ai )| 1+|c|

Pn

whenever a a1 b1 a2 b2 . . . an bn b and i=1 bi ai . Now

Pn

i=1 |(cf )(bi ) (cf )(ai )|

Pn

whenever a a1 b1 a2 b2 . . . an bn b and i=1 bi ai . As is arbitrary, cf is

absolutely continuous.

(d) By either (a) or (b), f and g are bounded; set M = supx[a,b] |f (x)|, M 0 = supx[a,b] |g(x)|. Let

> 0. Then there are 1 , 2 > 0 such that

Pn

Pn i=1 |f (bi ) f (ai )| whenever a a1 b1 a2 b2 . . . an bn b and

i=1 bi ai 1 ,

Pn

Pn i=1 |g(bi ) g(ai )| whenever a a1 b1 a2 b2 . . . an bn b and

i=1 bi ai 2 . Pn

Set = min(1 , 2 ) > 0 and suppose that a a1 b1 . . . bn b and i=1 bi ai . Then

n

X n

X

|f (bi )g(bi ) f (ai )g(ai )| = |(f (bi ) f (ai ))g(bi ) + f (ai )(g(bi ) g(ai ))|

i=1 i=1

Xn

|f (bi ) f (ai )||g(bi )| + |f (ai )||g(bi ) g(ai )|

i=1

Xn

|f (bi ) f (ai )|M 0 + M |g(bi ) g(ai )|

i=1

M 0 + M = (M + M 0 ).

As is arbitrary, f g is absolutely continuous.

Pn

(e) Let > 0. Then Pn there is a > 0 such that i=1 |f (di ) f (ci )| P whenever c c1 d1 . . .

n

cn dn d and i=1 di ci ; andPthere is an > 0 such that i=1 |g(bi ) g(ai )| whenever

n

a a1 b1 P . . . an bn b and i=1 bi ai . Now suppose that a a1 b1 . . . an

n

bP

n b and i=1 bi ai Pn. Because g is non-decreasing, we have c g(a1 ) . . . g(bn ) d and

n

i=1 g(bi ) g(a i ) , so i=1 |f (g(bi )) f (g(ai ))| ; as is arbitrary, f g is absolutely continuous.

225D Lemma Let [a, b] be a non-empty closed interval in R and f : [a, b] R an absolutely continuous

function which has zero derivative almost everywhere on [a, b]. Then f is constant on [a, b].

225E Absolutely continuous functions 79

Pn

proof Let x [a, b], > 0. Let > Pn0 be such that i=1 |f (bi ) f (ai )| whenever a a1 b1

a2 b2 . . . an bn b and i=1 bi ai . Set A = {t : a < t < x, f 0 (t) exists = 0}; then

A = x a, writing for Lebesgue measure as usual. Let I be the set of non-empty non-singleton closed

intervals [c, d] [a, x] such that |f (d) f (c)| (d c); then every member of A belongs to arbitrarily

short members

S of I. By Vitalis theorem (221A), there is a countable disjoint family I0 I such that

(A \ I0 ) = 0, that is,

S P

x a = ( I0 ) = II0 I.

Now there is a finite I1 I0 such that

S P

( I1 ) = II1 I x a .

If I1 = , then x a + and |f (x) f (a)| . Otherwise, express I1 as {[c0 , d0 ], . . . , [cn , dn ]}, where

a c0 < d0 < c1 < d1 < . . . < cn < dn x. Then

Pn S

(c0 a) + i=1 (ci di1 ) + (x dn ) = ([a, x] \ I1 ) ,

so

Pn

|f (c0 ) f (a)| + i=1 |f (ci ) f (di1 )| + |f (x) f (dn )| .

On the other hand, |f (di ) f (ci )| (di ci ) for each i, so

Pn Pn

i=0 |f (di ) f (ci )| i=0 di ci (x a).

+ |f (dn ) f (cn )| + |f (x) f (dn )|

n

X

= |f (c0 ) f (a)| + |f (ci ) f (di1 )|

i=1

n

X

+ |f (x) f (dn )| + |f (di ) f (ci )|

i=0

+ (x a) = (1 + x a).

225E Theorem Let [a, b] be a non-empty closed interval in R and F : [a, b] R a function. Then the

following are equiveridical: Rx

(i) there is an integrable real-valued function f such that F (x) = F (a) + a f for every x [a, b];

Rx 0

(ii) a F exists and is equal to F (x) F (a) for every x [a, b];

(iii) F is absolutely continuous.

R

proof (i)(iii) Assume (i). Let > 0. By 225A, there is a > 0 such that H |f | whenever H [a, b]

and H , writingPn for Lebesgue measure as usual. S Now suppose that a a1 b1 a2 b2 . . .

an bn b and i=1 bi ai . Consider H = 1in [ai , bi [. Then H and

Pn Pn R Pn R R

i=1 |F (bi ) F (ai )| = i=1 | [a ,b [ f |

i i

i=1 [a ,b [ |f | = F |f | .

i i

Rb

(iii)(ii) If F is absolutely continuous, then it is of bounded variation (by 225Ba), so a F 0 exists (224I).

Rx

Set G(x) = a F 0 for x [a, b]; then G0 =a.e. F 0 (222E) and G is absolutely continuous (by (i)(iii) just

proved). Accordingly G F is absolutely continuous (225Bb) and is differentiable, with zero derivative,

almost everywhere. It follows that G F must be constant (225D). But as G(a) = 0, G = F + F (a); just

as required by (ii).

(ii)(i) is trivial.

80 The fundamental theorem of calculus 225F

225F Integration by parts As an application of this result, I give a justification of a familiar formula.

Theorem Let f be a real-valued function which is integrable over an interval [a, b] R, and g : [a, b] R xR

an absolutely continuous function. Suppose that F is an indefinite integral of f , so that F (x) F (a) = a f

for x [a, b]. Then

Rb Rb

a

f g = F (b)g(b) F (a)g(a) a

F g0 .

Rb 0

a

h , by (iii)(ii) of 225E. But h0 = F 0 g + F g 0 wherever F 0 and g 0 are defined, which is almost

everywhere, and F 0 =a.e. f , by 222E; so h0 =a.e. f g + F g 0 . Finally, g and F are continuous, therefore

measurable, and bounded, while f and g 0 are integrable (using 225E yet again), so f g and F g 0 are

integrable, and

Rb Rb Rb

F (b)g(b) F (a)g(a) = h(b) h(a) = a

h0 = a

f g+ a

F g0 ,

as required.

225G I come now to a group of results at a rather deeper level than most of the work of this chapter,

being closer to the ideas of Chapter 26.

Proposition Let [a, b] be a non-empty closed interval in R and f : [a, b] R an absolutely continuous

function. Then f [A] is negligible for every negligible set A R.

Pn

proof Let > 0.PThen there is a > 0 such that i=1 |f (bi ) f (ai )| whenever a a1 b1 . . .

n

a

P n bn b and i=1 bi ai . Now there is a Ssequence hIk ikN of closed intervals, covering A, with

I k < . For each m N, let F m be [a, b] km Ik . Then f [Fm ] . PP Fm must be expressible

S

k=0

as in [ci , di ] where n m and a c0 d0 . . . cn dn b. For each i n choose xi , yi such that

ci xi , yi di and

f (xi ) = minx[ci ,di ] f (x), f (yi ) = maxx[ci ,di ] f (x);

such exist because f is continuous, so is bounded and attains its bounds on [ci , di ]. Set ai = min(xi , yi ),

bi = max(xi , yi ), so that ci ai bi di . Then

Pn Pn S

i=0 bi ai i=0 di ci = Fm ( kN Ik ) ,

so

[ n

X

f [Fm ] = ( f [ [ci , di ] ]) (f [ [ci , di ] ])

im i=0

n

X Xn

= [f (xi ), f (yi )] = |f (bi ) f (ai )| . Q

Q

i=0 i=0

S

f [A] ( mN f [Fm ]) = supmN f [Fm ] .

As is arbitrary, f [A] is negligible, as claimed.

225H Semi-continuous functions In preparation for the last main result of this section, I give a

general result concerning measurable real-valued functions on subsets of R. It will be convenient here, for

once, to consider functions taking values in [, ]. If D R r , a function g : D [, ] is lower

semi-continuous if {x : g(x) > u} is an open subset of D (for the subspace topology, see 2A3C) for every

u [, ]. Any lower semi-continuous function is Borel measurable, therefore Lebesgue measurable

(121B-121D). Now we have the following result.

225I Proposition Suppose that r 1 and that f is a real-valued function, defined on a subset D of R r ,

which is integrable over D. Then for any >

R 0 there is a lower semi-continuous function

R g : R r [, ]

such that g(x) f (x) for every x D and D g is defined and not greater than + D f .

225I Absolutely continuous functions 81

Remarks This is a result of great general importance, so I give it in a fairly general form; but for the

present chapter all we need is the case r = 1, D = [a, b] where a b.

R

proof (a) We can enumerate Q as hqn inN . By 225A, there is a > 0 such that F |f | 12 whenever

D F , where D is the subspace measure on D, so that D F = F , the outer Lebesgue measure of F ,

for every F D , the domain of D (214A-214B). For each n N, set

n = 2n1 min( , ),

1+2|qn |

P P

so that n=0 n |qn | 21 and n=0 n . For each n N, let En R r be a Lebesgue measurable

set such that {x : f (x) qn } = D En , and choose an open set Gn En B(0, n) such that Gn

(En B(0, n)) + n (134Fa), writing B(0, n) for the ball {x : kxk n}. For x R r , set

g(x) = sup{qn : x Gn },

allowing as sup and as the supremum of a set with no upper bound in R.

(b) Now check the properties of g.

(i) g is lower semi-continuous. P

P If u [, ], then

S

{x : g(x) > u} = {Gn : qn > u}

is a union of open sets, therefore open. Q

Q

(ii) g(x) f (x) for every x D. P

P If x D and > 0, there is an n N such that kxk n and

f (x) qn f (x); now x En Gn so g(x) qn f (x) . As is arbitrary, g(x) f (x). Q

Q

(iii) Consider the functions h1 , h2 : D ], ] defined by setting

[

h1 (x) = |f (x)| if x D (Gn \ En )

nN

= 0 for other x D,

X

h2 (x) = |qn |(Gn \ En )(x) for every x D.

n=0

S

Setting F = nN Gn \ En ,

P

F n=0 (Gn \ En ) ,

so

R R 1

D

h1 DF

|f |

2

R P P 1

h = n=0 |qn |D (D Gn \ Fn ) n=0 |qn |(Gn \ Fn )

D 2 2

R

because this is finite, h2 (x) < for almost every x D. Thus D h1 + h2 .

(iv) The point is that g f + h1 + h2 everywhere in D. P

P Take any x D. If n N and x Gn ,

then either x En , in which case

f (x) + h1 (x) + h2 (x) f (x) qn ,

or x Gn \ En , in which case

f (x) + h1 (x) + h2 (x) f (x) + |f (x)| + |qn | qn .

Thus

f (x) + h1 (x) + h2 (x) sup{qn : x Gn } g(x). Q

Q

So g f + h1 + h2 everywhere in D.

(v) Putting (iii) and (iv) together,

82 The fundamental theorem of calculus 225I

R R R

D

g D

f + h1 + h2 + D

f,

as required.

225J We need some results on Borel measurable sets and functions which are of independent interest.

Theorem Let D be a subset of R and f : D R any function. Then

E = {x : x D, f is continuous at x}

is relatively Borel measurable in D, and

F = {x : x D, f is differentiable at x}

is actually Borel measurable; moreover, f 0 : F R is Borel measurable.

proof (a) For k N set

Gk = {]a, b[ : a, b R, |f (x) f (y)| 2k for all x, y D ]a, b[}.

S T

Then Gk = Gk is an open set, so E0 = kN Gk is a Borel set. But E = D E0 , so E is a relatively Borel

subset of D.

(b)(i) I should perhaps say at once that when interpreting the formula f 0 (x) = limh0 (f (x+h)f (x))/h,

I insist on the restrictive definition

f (x+h)f (x)

a = limh0 h

if

f (x+h)f (x)

for every > 0 there is a > 0 such that is defined and

h

f (x+h)f (x)

| a| whenever 0 < |h| .

h

0

So f (x) can be defined only if there is some > 0 such that the whole interval [x , x + ] lies within the

domain D of f .

(ii) For p, q, q 0 Q and k N set

H(k, p, q, q 0 ) = if ]q, q 0 [ 6 D,

= {x : x E ]q, q 0 [ , |f (y) f (x) p(y x)| 2k for every y ]q, q 0 [}

if ]q, q 0 [ D.

P If x E ]q, q 0 [ H(k, p, q, q 0 ) there is a sequence hxn inN

0

in H(k, p, q, q ) converging to x. Because f is continuous at x,

|f (y) f (x) p(y x)| = limn |f (y) f (xn ) p(y xn )| 2k

for every y ]q, q 0 [, so that x H(k, p, q, q 0 ). Q

Q Since E is a Borel set, by (a), so is H(k, p, q, q 0 ).

(iii) Now

T S

F = kN p,q,q 0 Q H(k, p, q, q 0 ).

P () Suppose x F , that is, f 0 (x) is defined; say f 0 (x) = a. Take any k N. Then there are p Q,

P

]0, 1] such that |p a| 2k1 and [x , x + ] D and | f (x+h)f h

(x)

a| 2k1 whenever

0 0

0 < |h| ; nowT takeS q Q [x , x[, q Q ]x,Tx + ]S and see that x 0 H(k, p, q, q ). As x is

0

arbitrary, F kN p,q,q0 Q H(k, p, q, q ). () If x kN p,q,q0 Q H(k, p, q, q ), then for each k N

choose pk , qk , qk0 Q such that x H(k, pk , qk , qk0 ). If h 6= 0, x + h ]qk , qk0 [ then | f (x+h)f

h

(x)

pk | 2k .

But this means, first, that |pk pl | 2k + 2l for every k, l (since surely there is some h 6= 0 such

that x + h ]qk , qk0 [ ]ql , ql0 [), so that hpk ikN is a Cauchy sequence, with limit a say; and, second, that

| f (x+h)f

h

(x)

a| 2k + |a pk | whenever h 6= 0 and x + h ]qk , qk0 [, so that f 0 (x) is defined and equal to

a. Q Q

S

(iv) Because Q is countable, all the unions p,q,q0 Q H(k, p, q, q 0 ) are Borel sets, so F also is.

225K Absolutely continuous functions 83

S

(v) Now enumerate Q 3 as h(pi , qi , qi0 )iiN , and set Hki

0

= H(k, pi , qi , qi0 ) \ j<i H(k, pj , qj , qj0 ) for each

0 0

k, i N. Every Hki is Borel measurable, hHki iiN is disjoint, and

S 0

S 0

iN Hki = iN H(k, pi , qi , qi ) F

for each k. Note that |f 0 (x) p| 2k whenever x F H(k, p, q, q 0 ), so if we set fk (x) = pi for every

0

x Hki we shall have a Borel function fk such that |f (x) fk (x)| 2k for every x F . Accordingly

0

f = limk fk F is Borel measurable.

225K Proposition Let [a, b] be a non-empty closed interval in R, and f : [a, b] R a function. Set

F = {x : x ]a, b[ , f 0 (x) is defined}. Then f is absolutely continuous iff (i) it is continuous (ii) f 0 is

integrable over F (iii) f [ [a, b] \ F ] is negligible.

proof (a) Suppose first that f is absolutely continuous. Then f is surely continuous (225Ca) and f 0 is

integrable over [a, b], therefore over F (225E); also [a, b] \ F is negligible, so f [ [a, b] \ F ] is negligible, by

225G.

(b) So now suppose that f satisfies the conditions. Set f (x) = |f 0 (x)| for x F , 0 for x [a, b] \ F .

Rb

Then f (b) f (a) + a f .

PP (i) Because F is a Borel set and f 0 is a Borel measurable function (225J), f is measurable. Let > 0.

Let G be an open subset of R such that f [ [a, b] \ F ] G and G (134Fa). Let g : R [0, ] be a lower

Rb Rb

semi-continuous function such that f (x) g(x) for every x [a, b] and a g a f + (225I). Consider

Rx

A = {x : a x b, ([f (a), f (x)] \ G) 2(x a) + a

g},

interpreting [f (a), f (x)] as if f (x) < f (a). Then a A [a, b], so c = sup A is defined and belongs to

[a, b]. Rx

Because f is continuous, the function x 7 ([f (a), f (x)] \ G) is continuous; also x 7 2(x a) + a g is

certainly continuous, so c A.

(ii) ?? If c F , so that f (c) = |f 0 (c)|, then there is a > 0 such that

a c c + b,

f (x)f (c)

| f 0 (c)| whenever |x c| .

xc

Consider x = c + . Then c < x b and

Z c

2(c a) + g + (x c) + |f 0 (c)|(x c)

a

Z c Z x

2(c a) + g + (x c) + (g + )

a c

(because g(t) |f 0 (c)| whenever c t x)

Z x

= 2(x a) + g,

a

X

Thus c [a, b] \ F .

(iii) ?? Now suppose, if possible, that c < b. We know that f (c) G, so there is an > 0 such that

[f (c) , f (c) + ] G; now there is a > 0 such that |f (x) f (c)| whenever x [a, b] and |x c| .

Set x = min(c + , b); then c < x b and [f (c), f (x)] G, so

Rc Rx

([f (a), f (x)] \ G) = ([f (a), f (c)] \ G) 2(c a) + a g 2(x a) + a g

84 The fundamental theorem of calculus 225K

X

(iv) We conclude that c = b, so that b A. But this means that

Z b Z b

2(b a) + g + 2(b a) + f + +

a a

Z b

= 2(1 + b a) + f .

a

Rb

As is arbitrary, f (b) f (a) a

f , as claimed. Q

Q

Rb Rb

(c) Similarly, or applying (b) to f , f (a) f (b) a f , so that |f (b) f (a)| a f .

Rd

Of course the argument applies equally to any subinterval of [a, b], so |f (d) R f (c)| c f whenever

a c d b. Now let > 0. By 225A once more, there is a > 0 such that E f whenever E [a, b]

Pn

and E . Suppose that a a1 b1 . . . an bn b and i=1 bi ai . Then

Pn Pn R bi R

i=1 |f (bi ) f (ai )| i=1 a f =

S

[a ,b ]

f .

i in i i

225L Corollary Let [a, b] be a non-empty closed interval in R. Let f : [a, b] R be a continuous

function which is differentiable on the open interval ]a, b[. If its derivative f 0 is integrable over [a, b], then f

Rb

is absolutely continuous, and f (b) f (a) = a f 0 .

proof f [ [a, b] \ F ] = {f (a), f (b)} is surely negligible, so f is absolutely continuous, by 225K; consequently

Rb

f (b) f (a) = a f 0 , by 225E.

225M Corollary Let [a, b] be a non-empty closed interval in R, and f : [a, b] R a continuous function.

Then f is absolutely continuous iff it is continuous and of bounded variation and f [A] is negligible for every

negligible A [a, b].

proof (a) Suppose that f is absolutely continuous. By 225C(a-b) it is continuous and of bounded variation,

and by 225G we have f [A] negligible for every negligible A [a, b].

(b) So now suppose that f satisfies the conditions. Set F = {x : x ]a, b[ , f 0 (x) is defined}. By 224I,

[a, b] \ F is negligible, so f [ [a, b] \ F ] is negligible. Moreover, also by 224I, f 0 is integrable over [a, b] or F .

So the conditions of 225K are satisfied and f is absolutely continuous.

225N The Cantor function I should mention the standard example of a continuous function of

bounded variation which is not absolutely continuous. Let C [0, 1] be the Cantor set (134G). Recall

that the Cantor function is a non-decreasing continuous function f : [0, 1] [0, 1] such that f 0 (x) is

defined and equal to zero for every x [0, 1] \ C, but f (0) = 0 < 1 = f (1) (134H). Of course f is of

bounded variation and not absolutely continuous. C is negligible and f [C] = [0, 1] is not. If x C, then for

every n N there is an interval of length 3n , containing x, on which f increases by 2n ; so f cannot be

differentiable at x, and the set F = dom f 0 of 225K is precisely [0, 1] \ C, so that f [ [0, 1] \ F ] = [0, 1].

225O Complex-valued functions As usual, I spell out the results above in the forms applicable to

complex-valued functions.

(a) Let (X, , ) be any measure space and f an integrable complex-valued function defined on a coneg-

ligible subset of RX. Then for any > 0 there are a measurable set E of finite measure and a real number

> 0 such that F |f | whenever F and (F E) . (Apply 225A to |f |.)

(b) If [a, b] is a non-empty closed interval in R and f : [a, b] C

Pnis a function, we say that f is

absolutely continuous if for every > 0 therePis a > 0 such that i=1 |f (bi ) f (ai )| whenever

n

a a1 b1 a2 b2 . . . an bn b and i=1 bi ai . Observe that f is absolutely continuous

iff its real and imaginary parts are both absolutely continuous.

225Xg Absolutely continuous functions 85

(i) If f : [a, b] C is absolutely continuous it is of bounded variation on [a, b], so is differentiable

almost everywhere on [a, b], and its derivative is integrable over [a, b].

(ii) If f , g : [a, b] C are absolutely continuous, so are f + g and f , for any C, and f g.

(iii) If g : [a, b] [c, d] is monotonic and absolutely continuous, and f : [c, d] C is absolutely

continuous, then f g : [a, b] C is absolutely continuous.

(d) Let [a, b] be a non-empty closed interval in R and F : [a, b] C a function. Then the following are

equiveridical: Rx

(i) there is an integrable complex-valued function f such that F (x) = F (a) + a f for every x [a, b];

Rx 0

(ii) a F exists and is equal to F (x) F (a) for every x [a, b];

(iii) F is absolutely continuous.

(Apply 225E to the real and imaginary parts of F .)

absolutely continuous function. Set F (x) = a f for x [a, b]. Then

Rb Rb

a

f g = F (b)g(b) F (a)g(a) a

F g0 .

(Apply 225F to the real and imaginary parts of f and g.)

(f ) Let f be a continuous complex-valued function on a closed interval [a, b] R, and suppose that f is

differentiable at every point of the open interval ]a, b[, with f 0 integrable over [a, b]. Then f is absolutely

continuous. (Apply 225L to the real and imaginary parts of f .)

225X Basic exercises (a) Show directly from the definition in 225B (without appealing to 225E) that

any absolutely continuous real-valued function on a closed interval [a, b] is expressible as the difference of

non-decreasing absolutely continuous functions.

(b) Let f : [a, b] R be an absolutely continuous function, where a b. (i) Show that |f | : [a, b] R

is absolutely continuous. (ii) Show that gf is absolutely continuous whenever g : R R is a differentiable

function with bounded derivative.

(c) Show directly from the definition in 225B and the Mean Value Theorem (without appealing to 225K)

that if a function f is continuous on a closed interval [a, b], differentiable on the open

R x interval ]a, b[, and has

bounded derivative in ]a, b[, then f is absolutely continuous, so that f (x) = f (a) + a f 0 for every x [a, b].

Rb

(d) Show that if f : [a, b] R is absolutely continuous, then Var[a,b] (f ) = a

|f 0 |. (Hint: put 224I and

225E together.)

R a function which is absolutely continuous on [0, a] for every a [0, [ and has

Laplace transform F (s) = 0 esx f (x)dx defined on {s : Re s > S}. Suppose also that limx eSx f (x) =

0. Show that f 0 has Laplace transform sF (s) f (0) defined whenever Re s > S. (Hint: show that

Rx d

f (x)esx f (0) = 0 dt

(f (t)est )dt

R interval;

let g be the associated Lebesgue-Stieltjes measure (114Xa), and g its domain. Show that E g 0 = g E for

any E g , if we allow as a value of the integral. (Hint: start with intervals E.)

(g) Let g : [a, b] R be a non-decreasing absolutely continuous function, and f : [g(a), g(b)] R a

R g(b) Rb Rx

continuous function. Show that g(a) f (t)dt = a f (g(t))g 0 (t)dt. (Hint: set F (x) = g(a) f , G = F g and

Rb

consider a G0 (t)dt. See also 263I.)

86 The fundamental theorem of calculus 225Xh

(h) Suppose that I R is any non-trivial interval (bounded or unbounded, open, closed or half-open, but

not empty or a singleton), and f : I R a function. Show that f is absolutely continuous on every closed

Rb

bounded subinterval of I iff there is a function g such that a g = f (b) f (a) whenever a b in I, and in

this case g is integrable iff f is of bounded variation on I.

R1ln x P 1 R1 1

P

(i) Show that 0 x1

dx = n=1 n2 . (Hint: use 225F to find 0

xn ln x dx, and recall that 1x = n=0 xn

for 0 x < 1.)

R1 R

(j) (i) Show that 0 ta dt is finite for every a > 1. (ii) Show that 1 ta et dt is finite for every a R.

R

(Hint: show that there is an M such that ta M et/2 for t M .) (iii) Show that (a) = 0 ta1 et dt is

defined for every a > 0. (iv) Show that (a + 1) = a(a) for every a > 0. (v) Show that (n + 1) = n! for

every n N.

( is of course the -function.)

R 2

(k) Show that if b > 0 then 0

ub1 eu /2

du = 2(b2)/2 ( 2b ). (Hint: consider f (t) = t(b2)/2 et ,

g(u) = u2 /2 in 225Xg.)

(l) Suppose that f , g are lower semi-continuous functions, defined on subsets of R r , and taking values in

], ]. (i) Show that f +g, f g and f g are lower semi-continuous, and that f is lower semi-continuous

for every 0. (ii) Show that if f and g are non-negative, then f g is lower semi-continuous. (iii) Show

that if f is non-negative and g is continuous, then f g is lower semi-continuous. (iv) Show that if f is

non-decreasing then the composition f g is lower semi-continuous.

(m) Let A be a non-empty family of lower semi-continuous functions definedSon subsets of R r and taking

values in [, ]. Set g(x) = sup{f (x) : f A, x dom f } for x D = f A dom f . Show that g is

lower semi-continuous.

(n) Suppose that f : [a, b] R is continuous, and differentiable at all but countably many points of [a, b].

Show that f is absolutely continuous iff it is of bounded variation.

(o) Show that if f : [a, b] R is absolutely continuous, then f [E] is Lebesgue measurable for every

Lebesgue measurable set E [a, b].

225Y Further exercises (a) Show that the composition of two absolutely continuous functions need

not be absolutely continuous. (Hint: 224Xb.)

(b) Let f : [a, b] R be a continuous function, where a < b. Set G = {x : x ]a, b[ , y ]x, b] such that

f (x) < f (y)}. Show that G is open and is expressible as a disjoint union of intervals ]c, d[ where f (c) f (d).

Use this to prove 225D without calling on Vitalis theorem.

(c) Let f : [a, b] R be a function of bounded variation and > 0. Show that there is an absolutely

continuous function g : [a, b] R such that |g 0 (x)| wherever the derivative is defined and {x : x

[a, b], f (x) 6= g(x)} has measure at most 1 Var[a,b] (f ). (Hint: reduce to the case of non-decreasing f .

Apply 225Yb to the function x 7 f (x) x and show that G Var[a,b] (f ). Set g(x) = f (x) for

x ]a, b[ \ G.)

r

Show that for any >

R 0 there is a lower semi-continuous function g : R [, ] such that g(x) f (x)

for every x D and D g f .

(e) Let f be a measurable real-valued function defined on a subset D of R r , where r 1. Show that

for any > 0 there is a lower semi-continuous function g : R r [, ] such that g(x) f (x) for every

x D and {x : x D, g(x) > f (x)} . (Hint: 134Yd, 134Fb.)

226Ab The Lebesgue decomposition of a function of bounded variation 87

(D f )(x) = inf{u : u [, ], > 0, f (y) f (x) + u(y x)

whenever y D and x y x + }.

Show that D f : D [, ] is Lebesgue measurable, in the sense that {x : (D f )(x) u} is relatively

measurable in D for every u [, ], if f is Lebesgue measurable, and is Borel measurable if f is Borel

measurable.

225 Notes and comments There is a good deal more to say about absolutely continuous functions; I

will return to the topic in the next section and in Chapter 26. I shall not make direct use of any of the

results from 225H on, but it seems to me that this kind of investigation is necessary for any clear picture of

the relationships between such concepts as absolute continuity and bounded variation. Of course, in order

to apply these results, we do need a store of simple kinds of absolutely continuous function, differentiable

functions with bounded derivative forming the most important class (225Xc). A larger family of the same

kind is the class of Lipschitz functions (262Bc).

The definition of absolutely continuous function is ordinarily set out for closed bounded intervals, as in

225B. The point is that for other intervals the simplest generalizations of this formulation do not seem quite

appropriate. In 225Xh I try to suggest the kind of demands one might make on functions defined on other

types of interval.

I should remark that the real prize is still not quite within our grasp. I have been able to give a

reasonably satisfactory formulation of simple integration by parts (225F), at least for bounded intervals

a further limiting process is necessary to deal with unbounded intervals. But a companion method from

advanced calculus, integration by substitution, remains elusive. The best I think we can do at this point is

225Xg, which insists on a continuous integrand f . It is the case that the result is valid for general integrable

f , but there are some further subtleties to be mastered on the way; the necessary ideas are given in the

much more general results 235A and 263D below, and applied to the one-dimensional case in 263I.

On the way to the characterization of absolutely continuous functions in 225K, I find myself calling on one

of the fundamental relationships between Lebesgue measure and the topology of R r (225I). The technique

here can be adapted to give many variations of the result; see 225Yd-225Ye. If you have not seen semi-

continuous functions before, 225Xl-225Xm give a partial idea of their properties. In 225J I give a fragment

of descriptive set theory, the study of the kinds of set which can arise from the formulae of analysis. These

ideas too will re-surface elsewhere; compare 225Yf and also the proof of 262M below.

I end this chapter with some notes on a method of analysing a general function of bounded variation

which may help to give a picture of what such functions can be, though it is not directly necessary for

anything of great importance dealt with in this volume.

226A Sums over arbitrary index sets To get a full picture of this fragment of real analysis, a bit

of preparation will be helpful. This concerns the notion of a sum over an arbitrary index set, which I have

rather been skirting around so far.

(a) If I is any set and hai iiI any family in [0, ], we set

P P

iI ai = sup{ iK ai : K is a finite subset of I},

P

with the convention that i ai = 0. (See 112Bd, 222Ba.) For general ai [, ], we can set

P P + P

iI ai = iI ai iI ai

P P

if this is defined in [, ], thatP is, at least one of iI a+ i ,

+

iI ai is finite, where a = max(a, 0) and

a = max(a, 0) for each a. If iI ai is defined and finite, we say that hai iiI is summable.

88 The fundamental theorem of calculus 226Ab

(b) Since this is a book on measure theory, I will immediately describe the relationship between this

kind of summability and an appropriate notion of integration. For any set I, we have the corresponding

counting measure on I (112Bd). Every subset of I is measurable, so every family hai iiI of real numbers

is a measurable real-valued function on I. A subset of I has finite measure iff it is finite; so a real-valued

function f on I is simple if K = {i : f (i) 6= 0} is finite. In this case,

R P P

f d = iK f (i) = iI f (i)

as

R defined in part

R (a). The measure is semi-finite (211Nc) so a non-negative function f is integrable iff

f = supK< K f is finite (213B); but of course this supremum is precisely

P P

sup{ iK f (i) : K I is finite} = iI f (i).

R P

Now a general function f : I R is integrable iff it is measurable and |f |d < , that is, iff iI |f (i)| <

, and in this case

R R R P P P

f d = f + d f d = iI f (i)+ iI f (i) = iI f (i),

writing f (i) = f (i) for each i. Thus we have

P R

iI ai = I

ai (di),

and the standard rules under which we allow as the value of an integral (133A, 135F) match well with

the interpretations in (a) above.

(c) Accordingly, and unsurprisingly, the operation of summation is a linear operation on the linear space

of summable families of real numbers.

I observe here that this notion of summability is absolute; a family hai iiI is summable iff it is absolutely

summable. This is necessary because it must also be unconditional; we have no structure on an arbitrary

set

P I to guide us to take the sum in any particular order. See 226Xf. In particular, P I distinguish between

nN an , which in this book will always be interpreted as in 226A above, and n=0 an which (if it makes a

Pm P 1n P 1n

difference) should be interpreted as limm n=0 an . So, for instance, n=0 = ln 2, while nN

n+1 n+1

P P

is undefined. Of course n=0 an = nN an whenever the latter is defined in [, ].

(d) There is another, and very important, approach to the sum described here. If hai iiI

Pis an (absolutely)

summable family of real numbers, then for every > 0 there is a finite K I such that iI\K |ai | . PP

R

This is nothing but a special case of 225A; there is a set K with K < such that I\K |ai |(di) , but

R P

I\K

|ai |(di) = iI\K |ai |. Q

Q

(Of course there are direct proofs of this result from the definition in (a), not mentioning measures or

integrals. But I think you will see that they rely on the same idea as that in the proof of 225A.) Consequently,

for any family hai iiI of real numbers and any s R, the following are equiveridical:

P

(i) iI ai = s;

P

(ii) for every > 0 there is a finite K I such that |s iJ ai | whenever J is finite and

K J I.

P

PP (i)(ii) Take K such that iI\K |ai | . If K J I, then

P P P

|s iJ ai | = | iI\J ai | iI\K |ai | .

(ii)(i) Let > 0, and let K I be as described in (ii). If J I \ K is any finite set, then set

J1 = {i : i J, ai 0}, J2 = J \ J1 . We have

X X X

|ai | = | ai ai |

iJ iJ1 K iJ2 K

X X

|s ai | + |s ai | 2.

iJ1 K iJ2 K

P

As J is arbitrary, iI\K |ai | 2 and

226Bb The Lebesgue decomposition of a function of bounded variation 89

P P

iI |ai | iK |ai | + 2 < .

P

Accordingly iIai is well-defined in R. Also

P P P P

|s iI ai | |s iK ai | + | iI\K ai | + iI\K |ai | 3.

P

As is arbitrary, iI ai = Ps, as required. QQ

In this way, we express iI ai directly as a limit; we could write it as

P P

iI ai = limKI iK ai ,

on the understanding that we look at finite sets K in the right-hand formula.

P

(e) Yet another approach is through the following fact. If iI |ai | < , then for any > 0 the set

P

{i : |ai | } is finite, indeed can have at most 1 iI |ai | members; consequently

S

J = {i : ai 6= 0} = nN {i : |ai | 2n }

P P

is countable (1A1F). If J is finite, then of course iI ai = iJ ai reduces to a finite sum. Otherwise, we

can enumerate J as hjn inN , and we shall have

P P Pn P

iI ai = iJ ai = limn k=0 ajk = n=0 ajn

P

(using (d) to reduce the sum iJ ai to a limit of finite sums). Conversely, if hai iiI is such that there is

P P

a countably infinite J {i : ai 6= 0} enumerated as hjn inN , and if n=0 |ajn | < , then iI ai will be

P

n=0 ajn .

226B Saltus functions Now we are ready for a special type of function of bounded variation on R.

Suppose that a < b in R.

(a) A (real) saltus function on [a, b] is a function F : [a, b] R expressible in the form

P P

F (x) = t[a,x[ ut + t[a,x] vt

P P

for x [a, b], where hut it[a,b[ , hvt it[a,b] are real-valued families such that t[a,b[ |ut | and t[a,b] |vt | are

finite.

(b) For any function F : [a, b] R we can write

F (x+ ) = limyx F (y) if x [a, b[ and the limit exists,

(I hope that this will not lead to confusion with the alternative interpretation of x+ as max(x, 0).) Observe

that if F is a saltus function, as defined in (b), with associated families hut it[a,b[ and hvt it[a,b] , then

va = F (a), vx = F (x) F (x ) for x ]a, b], ux = F (x+ ) F (x) for x [a, b[. P

P Let > 0. As remarked

in 226Ad, there is a finite K [a, b] such that

P P

t[a,b[\K |ut | + t[a,b]\K |vt | .

Given x [a, b], let > 0 be such that [x , x + ] contains no point of K except perhaps x. In this case,

if max(a, x ) y < x, we must have

X X

|F (y) (F (x) vx )| = | ut + vt |

t[y,x[ t]y,x[

X X

|ut | + |vt | ,

t[a,b[\K t[a,b]\K

X X

|F (y) (F (x) + ux )| = | ut + vt |

t]x,y[ t]x,y]

X X

|ut | + |vt | .

t[a,b[\K t[a,b]\K

90 The fundamental theorem of calculus 226Bb

As is arbitrary, we get F (x ) = F (x) vx (if x > a) and F (x+ ) = F (x) + ux (if x < b). QQ

It follows that F is continuous at x ]a, b[ iff ux = vx = 0, while F is continuous at a iff ua = 0 and F is

continuous at b iff vb = 0. In particular, {x : x [a, b], F is not continuous at x} is countable (see 226Ae).

(c) If F is a saltus function defined on [a, b], with associated families hut it[a,b[ , hvt it[a,b] , then F is of

bounded variation on [a, b], and

P P

Var[a,b] (F ) t[a,b[ |ut | + t]a,b] |vt |.

P

P If a x < y b, then

P

F (y) F (x) = ux + t]x,y[ (ut + vt ) + vy ,

so

P P

|F (y) F (x)| t[x,y[ |ut | + t]x,y] |vt |.

If a a0 a1 . . . an b, then

n

X n

X X X

|F (ai ) F (ai1 )| |ut | + |vt |

i=1 i=1 t[ai1 ,ai [ t]ai1 ,ai ]

X X

|ut | + |vt |.

t[a,b[ t]a,b]

Consequently

P P

Var[a,b] (F ) t[a,b[ |ut | + t]a,b] |vt | < . Q

Q

(d) The inequality in (c) is actually an equality. To see this, note first that if a x < y b, then

Var[x,y] (F ) |ux | + |vy |. P

P I noted in (b) that ux = limtx F (t) F (x) and vy = F (y) limty F (t). So,

given > 0, we can find t1 , t2 such that x < t1 t2 y and

|F (t1 ) F (x)| |ux | , |F (y) F (t2 )| |vy | .

Now

Var[x,y] (F ) |F (t1 ) F (x)| + |F (t2 ) F (t1 )| + |F (y) F (t2 )| |ux | + |vy | 2.

As is arbitrary, we have the result. Q

Q

Now, given a t0 < t1 < . . . < tn b, we must have

n

X

Var(F ) Var (F )

[a,b] [ti1 ,ti ]

i=1

(using 224Cc)

n

X

|uti1 | + |vti |.

i=1

As t0 , . . . , tn are arbitrary,

P P

Var[a,b] (F ) t[a,b[ |ut | + t]a,b] |vt |,

as required.

(e) Because a saltus function is of bounded variation ((c) above), it is differentiable almost everywhere

(224I). In fact its derivative is zero almost everywhere. P P Let F : [a, b] R be a saltus function, with

associated families hut it[a,b[ , hvt it[a,b] . Let > 0. Let K [a, b] be a finite set such that

P P

t[a,b[\K |ut | + t[a,b]\K |vt | .

Set

226Ca The Lebesgue decomposition of a function of bounded variation 91

u0t = ut if t [a, b[ K,

= 0 if t [a, b[ \ K,

vt0 = vt if t K,

= 0 if t [a, b] \ K,

u00t = ut u0t for t [a, b[ ,

vt00 = vt vt0 for t [a, b].

Let G, H be the saltus functions corresponding to hu0t it[a,b[ , hvt0 it[a,b] and hu00t it[a,b[ hvt00 it[a,b] , so that

F = G + H. Then G0 (t) = 0 for every t ]a, b[ \ K, since ]a, b[ \ K comprises a finite number of open

intervals on each of which G is constant. So G0 =a.e. 0 and F 0 =a.e. H 0 . On the other hand,

Rb 0 P P

a

|H | Var[a,b] (H) = t[a,b[\K |ut | + t]a,b]\K |vt | ,

using 224I and (d) above. So

Rb Rb

a

|F 0 | = a

|H 0 | .

Rb

As is arbitrary, a

|F 0 | = 0 and F 0 =a.e. 0, as claimed. Q

Q

a < b.

(a) If F : [a, b] R is non-decreasing, set va = 0, vt = F (t) F (t ) for t ]a, b], ut = F (t+ ) F (t)

for t [a, b[, defining F (t+ ), F (t ) as in 226Bb. Then all the vt , ut are non-negative, and if a < t0 < t1 <

. . . < tn < b, then

Pn Pn +

i=0 (uti + vti ) = i=0 (F (ti ) F (ti )) F (b) F (a).

P P

Accordingly t[a,b[ ut and t[a,b] vt are both finite. Let Fp be the corresponding saltus function, as

defined in 226Ba, so that

P

Fp (x) = F (a+ ) F (a) + t]a,x[ (F (t+ ) F (t )) + F (x) F (x )

if a < x b. If a x < y b then

X

Fp (y) Fp (x) = F (x+ ) F (x) + (F (t+ ) F (t )) + F (y) F (y )

t]x,y[

F (y) F (x)

because if x = t0 < t1 < . . . < tn < tn+1 = y then

n

X

F (x+ ) F (x) + (F (t+

i ) F (ti )) + F (y) F (y )

i=1

n+1

X

= F (y) F (x) (F (t +

i ) F (ti1 )) F (y) F (x).

i=1

Fp (a) = 0 = va ,

we shall have

Fc (a) = F (a),

92 The fundamental theorem of calculus 226Ca

and Fc is continuous.

Clearly this expression of F = Fp +Fc as the sum of a saltus function and a continuous function is unique,

except that we can freely add a constant to one if we subtract it from the other.

Rx 0 we know that F 0 is integrable (222C); moreover,

0 0

F =a.e. Fc , by 226Be. Set Fac (x) = F (a) + a F for each x [a, b]. We have

Ry

Fac (y) Fac (x) = x Fc0 Fc (y) Fc (x)

for a x y b (222C again), so Fcs = Fc Fac is still non-decreasing; Fac is continuous (225A), so Fcs

0

is continuous; Fac =a.e. F 0 =a.e. Fc0 (222E), so Fcs

0

=a.e. 0.

Again, the expression of Fc = Fac + Fcs as the sum of an absolutely continuous function and a function

with zero derivative almost everywhere is unique, except for the possibility of moving a constant from one

to the other, because two absolutely continuous functions whose derivatives are equal almost everywhere

must differ by a constant (225D).

(c) Putting all these together: if F : [a, b] R is any non-decreasing function, it is expressible as

Fp + Fac + Fcs , where Fp is a saltus function, Fac is absolutely continuous, and Fcs is continuous and

differentiable, with zero derivative, almost everywhere; all three components are non-decreasing; and the

expression is unique if we say that Fac (a) = F (a), Fp (a) = Fcs (a) = 0.

The Cantor function f : [0, 1] [0, 1] (134H) is continuous and f 0 =a.e. 0 (134Hb), so fp = fac = 0

and f = fcs . Setting g(x) = 21 (x + f (x)) for x [0, 1], as in 134I, we get gp (x) = 0, gac (x) = x2 and

gcs (x) = 21 f (x).

(d) Now suppose that F : [a, b] R is of bounded variation. Then it is expressible as a difference

G H of non-decreasing functions (224D). So writing Fp = Gp Hp , etc., we can express F as a sum

0

Fp + Fcs + Fac , where Fp is a saltus function, Fac is absolutely continuous, Fcs is continuous, Fcs =a.e. 0,

Fac (a) = F (a), Fcs (a) = Fp (a) = 0. Under these conditions the expression is unique, because (for instance)

Fp (t+ ) Fp (t) = F (t+ ) F (t) for t [a, b[, while Fac

0

=a.e. (F Fp )0 =a.e. F 0 .

This is a Lebesgue decomposition of the function F . (I have to say a Lebesgue decomposition because

of course the assignment Fac (a) = F (a), Fp (a) = Fcs (a) = 0 is arbitrary.)

226D Complex functions The modifications needed to deal with complex functions are elementary.

(a) If I is any set and haj ijI is a family of complex numbers, then the following are equiveridical:

P

(i) jI |aj | < ;

P

(ii) there is an s C such that for every > 0 there is a finite K I such that |s jJ aj |

whenever J is finite and K J I.

In this case

P P R

s = jI Re(aj ) + i jI Im(aj ) = I aj (dj),

P

where is counting measure on I, and we write s = jI aj .

(b) If a < b in R, a complex saltus function on [a, b] is a function F : [a, b] C expressible in the form

P P

F (x) = t[a,x[ ut + t[a,x] vt

P P

for x [a, b], where hut it[a,b[ , hvt it[a,b] are complex-valued families such that t[a,b[ |ut | and t[a,b] |vt |

are finite; that is, if the real and imaginary parts of F are saltus functions. In this case F is continuous

except at countably many points and differentiable, with zero derivative, almost everywhere on [a, b], and

ux = limtx F (t) F (x) for every x [a, b[,

226Y The Lebesgue decomposition of a function of bounded variation 93

(apply the results of 226B to the real and imaginary parts of F ). F is of bounded variation, and its variation

is

P P

Var[a,b] (F ) = t[a,b[ |ut | + t]a,b] |vt |

(repeat the arguments of 226Bc-d).

F = Fp + Fcs + Fac , where Fp is a saltus function, Fac is absolutely continuous, Fcs is continuous and has

zero derivative almost everywhere, and Fac (a) = F (a), Fp (a) = Fcs (a) = 0. (Apply 226C to the real and

imaginary parts of F .)

226E As an elementary exercise in the language of 226A, I interpolate a version of a theorem of B.Levi

which is sometimes useful.

Proposition Let (X, , ) be a measurePspace,

R I a countable set, and hfi iiI P

a family of -integrable real-

or complex-valued

R functions such that |f i |d is finite. Then f (x) = iI fi (x) is defined almost

P R iI

everywhere and f d = iI fi d.

proof If I is finite this is elementary.POtherwise, since there must be a bijection between I and N, we

n

may take it that I = N. SettingR gn =P i=0 R |fi | for each n, we have a non-decreasing sequence hgn inN of

integrable functions such that gn iN |fi | for every n, so that g = supnN gn is integrable, by B.Levis

theorem as stated inP123A. In particular, g is finite almost everywhere.

P Now if x P X is such that g(x) is

defined and finite, iJ |fi (x)| g(x) for every finite J N, so iN |fi (x)| and iN fi (x) are defined.

P Pn Pn

In this case, of course, iN fi (x) = limn i=0 fi (x). But | i=0 fi | a.e. g for each n, so Lebesgues

Dominated Convergence Theorem tells us that

RP R Pn Pn R P

iN fi = limn i=0 fi = limn i=0 fi = iN fi .

226X Basic exercises > (a) A step-function on an interval [a, b] is a function F such that, for suitable

t0 , . . . , tn with a = t0 . . . tn = b, F is constant on each interval ]ti1 , ti [. Show that F : [a, b] R is a

saltus function iff for every > 0 there is a step-function G : [a, b] R such that Var[a,b] (F G) .

(b) Let F , G be real-valued functions of bounded variation defined on an interval [a, b] R. Show that,

in the language of 226C,

(F + G)p = Fp + Gp , (F + G)c = Fc + Gc ,

> (c) Let F be a real-valued function of bounded variation on an interval [a, b] R. Show that, in the

language of 226C,

Var[a,b] (F ) = Var[a,b] (Fp ) + Var[a,b] (Fc ) = Var[a,b] (Fp ) + Var[a,b] (Fcs ) + Var[a,b] (Fac ).

(d) Let F be a real-valued function of bounded variation on an interval [a, b] R. Show that F is

Rb

absolutely continuous iff Var[a,b] (F ) = a |F 0 |.

(e) Consider the function g of 134I/226Cc. Show that g 1 : 0, 1] [0, 1] is differentiable almost every-

where on [0, 1], and find {x : (g 1 )0 (x) a} for each a R.

> (f ) Suppose that I and J are sets and that hai iiI is a summable family of real numbers. (i) Show

P ifP

that f : J I is injective then haf (j) ijJ P

is summable. (ii) Show that if g : I J is any function, then

jJ 1

ig [{j}] a i is defined and equal to iI ai .

226Y Further exercises (a) Explain what modifications are appropriate in the description of the

Lebesgue decomposition of a function of bounded variation if we wish to consider functions on open or

half-open intervals, including unbounded intervals.

94 The fundamental theorem of calculus 226Yb

1

(b) Suppose

R that F : [a, b] R is a function of bounded variation, and set h(y) = #(F [{y}]) for y R.

Show that h = Var[a,b] (Fc ), where Fc is the continuous part of F as defined in 226Ca/226Cd.

(c) Show that a set I is countable iff there is a summable family hai iiI of non-zero real numbers.

226 Notes and comments In 232I and 232Yb below I will revisit these ideas, linking them to a decom-

position of the Lebesgue-Stieltjes measure corresponding to a non-decreasing real function, and thence to

more general measures. All this work is peripheral to the main concerns of this volume, but I think it is

illuminating, and certainly it is part of the basic knowledge assumed of anyone working in real analysis.

231Bd Countably additive functionals 95

Chapter 23

The Radon-Nikodym Theorem

In Chapter 22, I discussed the indefinite integrals of integrable functions on R, and gave what I hope you

feel are satisfying descriptions of both the functions which are indefinite integrals (the absolutely continuous

functions) and of how to find which functions they are indefinite integrals of (you differentiate them).

For general measure spaces, we have no structure present which can give such simple formulations; but

nevertheless the same questions can be asked and, up to a point, answered.

The first section of this chapter introduces the basic machinery needed, the concept of countably additive

functional and its decomposition into positive and negative parts. The main theorem takes up the second

section: indefinite integrals are the truly continuous additive functionals; on -finite spaces, these are

the absolutely continuous countably additive functionals. In 233 I discuss the most important single

application of the theorem, its use in providing a concept of conditional expectation. This is one of the

central concepts of probability theory as you very likely know; but the form here is a dramatic generalization

of the elementary concept of the conditional probability of one event given another, and needs the whole

strength of the general theory of measure and integration as developed in Volume 1 and this chapter. I

include some notes on convex functions, up to and including versions of Jensens inequality (233I-233J).

While we are in the area of pure measure theory, I take the opportunity to discuss two further topics. The

first is an essentially elementary construction, the indefinite-integral measure defined from a non-negative

measurable function on a measure space; I think the details need a little attention, and I work through them

in 234. Rather deeper ideas are needed to deal with measurable transformations. In 235 I set out the

techniques necessary to provide an abstract basis for a general method of integration-by-substitution, with

a detailed account of sufficient conditions for a formula of the type

R R

g(y)dy = g((x))J(x)dx

to be valid.

I begin with an abstract description of the objects which will, in appropriate circumstances, correspond

to the indefinite integrals of general integrable functions. In this section I give those parts of the theory

which do not involve a measure, but only a set with a distinguished -algebra of subsets. The basic concepts

are those of finitely additive and countably additive functional, and there is one substantial theorem, the

Hahn decomposition (231E).

finitely additive, or just additive, if (E F ) = E + F whenever E, F and E F = .

231B Elementary facts Let X be a set, an algebra of subsets of X, and : R a finitely additive

functional.

(a) = 0. (For = ( ) = + .)

S Pn

(b) If E0 , . . . , En are disjoint members of then ( in Ei ) = i=0 Ei .

F = (F E) + (F \ E).

(d) If E, F then

E F = (E \ F ) + (E F ) (E F ) (F \ E) = (E \ F ) (F \ E).

96 The Radon-Nikodym theorem 231C

S A function : R is countably

additive or -additiveSif n=0 En exists in R and is equal to ( nN En ) for every disjoint sequence

hEn inN in such that nN En .

Remark Note that when I use the phrase countably additive functional I mean to exclude the possibility

of as a value of the functional. Thus a measure is a countably additive functional iff it is totally finite

(211C).

You will sometimes see the phrase signed measure used to mean what I call a countably additive

functional.

additive functional.

P

(a) is finitely additive. P

P (i) Setting En = for every n N, n=0 must be defined in R so must

be 0. (ii) Now if E, F and E F = we can set E0 = E, E1 = F , En = for n 2 and get

S P

(E F ) = ( nN En ) = n=0 En = E + F . Q Q

P

E = E0 + n=0 (En+1 \ En ) = limn En .

E = E0 limn (E0 \ En ) = limn En .

are countably additive.

hEn inN is a disjoint sequence in with union E then hEn HinN is disjoint, with union E H, so

S P P

H E = (H E) = ( nN (H En )) = n=0 (H En ) = n=0 H En . Q Q

Remark For the time being, we shall be using the notion of countably additive functional only on -

algebras , in which case we can take it for granted that the unions and intersections above belong to

.

231E All the ideas above amount to minor modifications of ideas already needed at the very beginning

of the theory of measure spaces. We come now to something more substantial.

Theorem Let X be a set, a -algebra of subsets of X, and : R a countably additive functional.

Then

(a) is bounded;

(b) there is a set H such that

F 0 whenever F and F H,

F 0 whenever F and F H = .

proof (a) ?? Suppose, if possible, otherwise. For E , set M (E) = sup{|F | : F , F E}; then

M (X) = . Moreover, whenever E1 , E2 , F and F E1 E2 , then

|F | = |(F E1 ) + (F \ E1 )| |(F E1 )| + |(F \ E1 )| M (E1 ) + M (E2 ),

so M (E1 E2 ) M (E1 ) + M (E2 ). Choose a sequence hEn inN in as follows. E0 = X. Given that

M (En ) = , where n N, then surely there is an Fn En such that |Fn | 1 + |En |, in which case

|(En \ Fn )| 1. Now at least one of M (Fn ), M (En \ Fn ) is infinite; if M (Fn ) = , set En+1 = Fn ;

231Xb Countably additive functionals 97

otherwise, set En+1 = En \ Fn ; in either case, note that |(En \ En+1 )| 1 and M (En+1 ) = , so that the

induction will continue.

On

Pcompleting this induction, set Gn = En \ En+1 for n N. Then hGn inN is a disjoint sequence in ,

so n=0 Gn is defined in R and limn Gn = 0; but |Gn | 1 for every n. X X

(b)(i) By (a), = sup{E : E } < . ChooseT a sequence hEn inN in such that En 2n

for every n N. For m n N, set Fmn = min Ei . Then Fmn 2 2m + 2n for every

n m. P P Induce on n. For n = m, this is due to the choice of Em = Fmm . For the inductive step, we have

Fm,n+1 = Fmn En+1 , while surely (En+1 Fmn ), so

= En+1 + (Fmn \ En+1 ) + Fm,n+1

= En+1 + Fmn

2n1 + 2 2m + 2n

(by the choice of En+1 and the inductive hypothesis)

= 2 2 2m + 2n1 .

Subtracting from both sides, Fm,n+1 2 2m + 2n1 and the induction proceeds. Q

Q

(ii) For m N, set

T T

Fm = nm Fmn = nm En .

Then

Fm = limn Fmn 2 2m ,

S

by 231Dc. Next, hFm imN is non-decreasing, so setting H = mN Fm we have

H = limm Fm ;

since H is surely less than or equal to , H = .

If F and F H, then

H F = (H \ F ) = H,

so F 0. If F and F H = then

H + F = (H F ) = H

so F 0. This completes the proof.

functional. Then can be expressed as the difference of two totally finite measures with domain .

proof Take H as described in 231Eb. Set 1 E = (E H), 2 E = (E \ H) for E . Then, as in

231Dd-e, both 1 and 2 are countably additive functionals on , and of course = 1 2 . But also, by

the choice of H, both 1 and 2 are non-negative, so are totally finite measures.

Remark This is called the Jordan decomposition of . The expression of 231Eb is a Hahn decom-

position.

231X Basic exercises (a) Let be the family of subsets A of N such that one of A, N \ A is finite.

Show that is an algebra of subsets of N. (This is the finite-cofinite algebra of subsets of N; compare

211R.)

(b) Let X be a set, an algebra of subsets of X and : R a finitely additive functional. Show that

(E F G) + (E F ) + (E G) + (F G) = E + F + G + (E F G) for all E, F , G .

Generalize this result to longer sequences of sets.

98 The Radon-Nikodym theorem 231Xc

> (c) Let be the finite-cofinite algebra of subsets of N, as in 231Xa. Define : Z by setting

E = limn #({i : i n, 2i E}) #({i : i n, 2i + 1 E})

for every E . Show that is well-defined and finitely additive and unbounded.

(d) Let X be a set and an algebra of subsets of X. (i) Show that if : R and 0 : R are

finitely additive, so are + 0 and c for any c R. (ii) Show that if : R is finitely additive and

H , then H is finitely additive, where H (E) = (H E) for every E .

(e) Let X be a set, an algebra of subsets of X and : R a finitely P additive functional. Let S be

n

the linear space of those real-valued functions onRX expressible in the form i=0 ai Ei where Ei for

each i. (i) Show that we have a linear functional : S R given by writing

R Pn Pn

i=0 ai Ei = i=0 ai Ei

R

whenever a0 , . . . , an R and E0 , . . . , En . (ii) Show that if E 0 for every E then f 0

whenever f S and f (x) 0 for every x X. (iii) Show that if is bounded and X 6= then

R

sup{| f | : f S, kf k 1} = supE,F |E F |,

writing kf k = supxX |f (x)|.

> (f ) Let X be a set, a -algebra of subsets of X and : R a finitely additive functional. Show

that the following are equiveridical:

(i) is countably additive; T

T inS and nN En = ;

(ii) limn En = 0 whenever hEn inN is a non-increasing sequence

(iii) limn En = 0 whenever hEn inN is a sequence in and nN mn Em = ;

(iv) limn En = E whenever hEn inN is a sequence in and

T S S T

E = nN mn Em = nN mn Em .

(Hint: for (i)(iv), consider non-negative first.)

(g) Let X be a set and a -algebra of subsets of X, and let : [, [ be a function P which is

countablyPn additive in the sense that = 0 and whenever hE i

n nN

S is a disjoint sequence in , n=0 En =

limn i=0 Ei is defined in [, [ and is equal to ( nN En ). Show that is bounded above and

attains its upper bound (that is, there is an H such that H = supF F ). Hence, or otherwise, show

that is expressible as the difference of a totally finite measure and a measure, both with domain .

231Y Further exercises (a) Let X be a set, an algebra of subsets of X, and : R a bounded

finitely additive functional. Set

+ E = sup{F : F , F E},

E = inf{F : F , F E},

Show that , and || are all bounded finitely additive functionals on and that = + ,

+

|| = + + . Show that if is countably additive so are + , and ||. (|| is sometimes called the

variation of .)

(b) Let X be a set and an algebra of subsets of X. Let 1 , 2 be two bounded finitely additive

functionals defined on . Set

(1 2 )(E) = sup{1 F + 2 (E \ F ) : F , F E},

Show that 1 2 and 1 2 are finitely additive functionals, and that 1 + 2 = 1 2 + 1 2 . Show

that, in the language of 231Ya,

231Yi Countably additive functionals 99

+ = 0, = () 0 = ( 0), || = () = + = + + ,

1 2 = 1 + (2 1 )+ , 1 2 = 1 (1 2 )+ ,

so that 1 2 and 1 2 are countably additive if 1 and 2 are.

(c) Let X be a set and an algebra of subsets of X. Let M be the set of all bounded finitely additive

functionals from to R. Show that M is a linear space under the natural definitions of addition and scalar

multiplication. Show that M has a partial ordering defined by saying that

0 iff E 0 E for every E ,

and that for this partial ordering 1 2 , 1 2 , as defined in 231Yb, are sup{1 , 2 }, inf{1 , 2 }.

(d) Let X be a set and an algebra of subsets of X. Let 0 , . . . , n be bounded finitely additive

functionals on and set

Pn S

E = sup{ i=0 i Fi : F0 , . . . , Fn , in Fi = E, Fi Fj = for i 6= j},

Pn S

E = inf{ i=0 i Fi : F0 , . . . , Fn , in Fi = E, Fi Fj = for i 6= j}

for E . Show that and are finitely additive and are, respectively, sup{0 , . . . , n } and inf{0 , . . . , n }

in the partially ordered set of finitely additive functionals on .

(e) Let X be a set and a -algebra of subsets of X; let M be the partially ordered set of all bounded

finitely additive functionals from to R. (i) Show that if A M is non-empty and bounded above in M ,

then A has a supremum in M , given by the formula

n

X [

E = sup{ i Fi : 0 , . . . , n A, F0 , . . . , Fn , Fi = E,

i=0 in

Fi Fj = for i 6= j}.

(ii) Show that if A M is non-empty and bounded below in M then it has an infimum M , given by

the formula

n

X [

E = inf{ i Fi : 0 , . . . , n A, F0 , . . . , Fn , Fi = E,

i=0 in

Fi Fj = for i 6= j}.

For E set

ca (E) = inf{supnN Fn : hFn inN is a non-decreasing sequence in with union E}.

Show that ca is a countably additive functional on and that if 0 is any countably additive functional

with 0 then 0 ca . Show that ca ( ca ) = 0.

(g) Let X be a set, an algebra of subsets of X, and : R a bounded finitely additive functional.

Show that is uniquely expressible as ca + pf a , where ca is countably additive, pf a is finitely additive

and if 0 0 |pf a | and 0 is countably additive then 0 = 0.

(h) Let X be a set and an algebra of subsets of X. Let M be the linear space of bounded finitely

additive functionals on , and for M set kk = ||(X), defining || as in 231Ya. (kk is the total

variation of .) Show that k k is a norm on M under which M is a Banach space. Show that the space of

bounded countably additive functionals on is a closed linear subspace of M .

(i) Repeat as many as possible of the results of this section for complex-valued functionals.

100 The Radon-Nikodym theorem 231 Notes

231 Notes and comments The real purpose of this section has been to describe the Hahn decomposition

of a countably additive functional (231E). The very leisurely exposition in 231A-231D is intended as a review

of the most elementary properties of measures, in the slightly more general context of signed measures,

with those properties corresponding to additivity alone separated from those which depend on countable

additivity. In 231Xf I set out necessary and sufficient conditions for a finitely additive functional on a

-algebra to be countably additive, designed to suggest that a finitely additive functional is countably

additive iff it is sequentially order-continuous in some sense. The fact that a countably additive functional

can be expressed as the difference of non-negative countably additive functionals (231F) has an important

counterpart in the theory of finitely additive functionals: a finitely additive functional can be expressed as

the difference of non-negative finitely additive functionals if (and only if) it is bounded (231Ya). But I do

not think that this, or the further properties of bounded finitely additive functionals described in 231Xe and

231Y, will be important to us before Volume 3.

I come now to the chief theorem of this chapter, one of the central results of measure theory, relating

countably additive functionals to indefinite integrals. The objective is to give a complete description of the

functionals which can arise as indefinite integrals of integrable functions (232E). These can be characterized

as the truly continuous additive functionals (232Ab). A more commonly used concept, and one adequate in

many cases, is that of absolutely continuous additive functional (232Aa); I spend the first few paragraphs

(232B-232D) on elementary facts about truly continuous and absolutely continuous functionals. I end the

section with a discussion of the decomposition of general countably additive functionals (232I).

232A Absolutely continuous functionals Let (X, , ) be a measure space and : R a finitely

additive functional.

(a) is absolutely continuous with respect to (sometimes written ) if for every > 0 there

is a > 0 such that |E| whenever E and E .

(b) is truly continuous with respect to if for every > 0 there are E , > 0 such that E is

finite and |F | whenever F and (E F ) .

(c) For reference, I add another definition here. If is countably additive, it is singular with respect to

if there is a set F such that F = 0 and E = 0 whenever E and E X \ F .

232B Proposition Let (X, , ) be a measure space and : R a finitely additive functional.

(a) If is countably additive, it is absolutely continuous with respect to iff E = 0 whenever E = 0.

(b) is truly continuous with respect to iff () it is countably additive () it is absolutely continuous

with respect to () whenever E and E 6= 0 there is an F such that F < and (E F ) 6= 0.

(c) If (X, , ) is -finite, then is truly continuous with respect to iff it is countably additive and

absolutely continuous with respect to .

(d) If (X, , ) is totally finite, then is truly continuous with respect to iff it is absolutely continuous

with respect to .

proof (a)(i) If is absolutely continuous with respect to and E = 0, then E for every > 0, so

|E| for every > 0 and E = 0.

(ii) ?? Suppose, if possible, that E = 0 whenever E = 0, but is not absolutely continuous. Then

there is an > 0 such that for every > 0 there is an E such that E butT |E|S . For each

n N we may choose an Fn such that Fn 2n and |Fn | . Consider F = nN kn Fk . Then

we have

S P

F inf nN ( kn Fk ) inf nN k=n 2k = 0,

so F = 0.

232B The Radon-Nikodym theorem 101

Now recall that by 231Eb there is an H such that G 0 when G and G H, and G 0

when G and G H = . As in 231F, set 1 G = (G H), 2 G = (G \ H) for G , so that 1 and

2 are totally finite measures, and 1 F = 2 F = 0 because (F H) = (F \ H) = 0. Consequently

S

0 = i F = limn i ( mn Fm ) lim supn i Fn

for both i, and

0 = limn (1 Fn + 2 Fn ) lim inf n |Fn | > 0,

which is absurd. X

X

(b)(i) Suppose that is truly continuous with respect to . It is obvious from the definitions that

is absolutely continuous with respect to . If E 6= 0, there must be an F of finite measure such that

|G| < |E| whenever G F = , so that |(E \ F )| < |E| and (E F ) 6= 0. This deals with the

conditions () and ().

To check that is countably additive, let hEn inN be a disjoint sequence in , with union E, and > 0.

Let > 0, F be such F < and |G| whenever G and (F G) . Then

P

n=0 (En F ) F < ,

P

S

so there is an n N such that i=n (Ei F ) . Take any m n and consider Em = im Ei . We have

Pm

|E i=0 Ei | = |E Em | = |(E \ Em )| ,

because

P

(F E \ Em )= i=m+1 (F Ei ) .

As is arbitrary,

P

E = i=0 Ei ;

as hEn inN is arbitrary, is countably additive.

(ii) Now suppose that satisfies the three conditions. By 231F, can be expressed as the difference

of two non-negative countably additive functionals 1 , 2 ; set 0 = 1 + 2 , so that 0 is a non-negative

countably additive functional and |F | 0 F for every F . Set

= sup{ 0 F : F , F < } 0 X < ,

S

and choose a sequence hFn inN of sets of finite measure such that limn 0 Fn = ; set F = nN Fn . If

G and G F = then G = 0. P P?? Otherwise, by condition (), there is an F such that F <

and (G F ) 6= 0. It follows that

0 (F \ F ) 0 (F G) |(F G)| > 0,

and there must be an n N such that

< 0 Fn + 0 (F \ F ) = 0 (Fn (F \ F )) 0 (F Fn )

because (F FS n ) < ; but this is impossible. X

XQQ

Setting Fn = kn Fk for each n, we have limn 0 (F \ Fn ) = 0. Take any > 0, and (using condition

()) let > 0 be such that |E| 12 whenever E . Let n be such that 0 (F \ Fn ) 12 . Now if F

and (F Fn ) then

1

+ 0 (F F \ Fn ) + 0

2

1 1 1

+ 0 (F \ Fn ) + = .

2 2 2

(c) Now suppose that (X, , ) is -finite and that is countably additive and absolutely continuous

with respect to . Let hXn inN be a non-decreasing sequence of sets of finite measure covering X (211D).

102 The Radon-Nikodym theorem 232B

() of (b), so is truly continuous.

Of course the converse of this fact is already covered by (b).

(d) Finally, suppose that X < and that is absolutely continuous with respect to . Then it must

be truly continuous, because we can take F = X in the definition 232Ab.

232C Lemma Let (X, , ) be a measure space and , 0 two countably additive functionals on

which are truly continuous with respect to . Take c R and H , and set H E = (E H), as in 231De.

Then + 0 , c and H are all truly continuous with respect to , and is expressible as the difference of

non-negative countably additive functionals which are truly continuous with respect to .

proof Let > 0. Set = /(2 + |c|) > 0. Then there are , 0 > 0 and E, E 0 such that E < ,

E 0 < and |F | whenever (F E) , | 0 F | whenever (F E) 0 . Set = min(, 0 ) > 0,

E = E E 0 ; then

E E + E 0 < .

Suppose that F and (F E ) ; then

(F H E) (F E) , (F E 0 )

so

|( + 0 )F | |F | + | 0 F | + ,

|H F | = |(F H)| .

0

As is arbitrary, + , c and H are all truly continuous.

Now, taking H from 231Eb, we see that 1 = H and 2 = X\H are truly continuous and non-negative,

and = 1 2 is the difference of truly continuous measures.

232D PropositionR Let (X, , ) be a measure space, and f a -integrable real-valued function. For

E set E = E f . Then : R is a countably additive functional and is truly continuous with

respect to , therefore absolutely continuous with respect to .

R R

proof Recall that E f = f E is defined for every E (131F). So : R is well-defined. If E,

F are disjoint then

Z Z

(E F ) = f (E F ) = (f E) + (f F )

Z Z

= f E + f F = E + F,

so is finitely additive.

Now 225A, without using the phrase truly continuous, proved exactly that is truly continuous with

respect to . It follows from 232Bb that is countably additive and absolutely continuous.

R

Remark The functional E 7 E f is called the indefinite integral of f .

The Radon-Nikodym theorem Let (X, , ) be a measure space and : R a function. Then the

following are equiveridical: R

(i) there is a -integrable function f such that E = E f for every E ;

(ii) is finitely additive and truly continuous with respect to .

R

proof (a) If f is a -integrable real-valued function and E = E f for every E , then 232D tells us

that is finitely additive and truly continuous.

232F The Radon-Nikodym theorem 103

(b) In the other direction, suppose that is finitely additive and truly continuous; note that (by 232B(a-

b)) E = 0 whenever E = 0. To begin with, suppose that is non-negative

R and

R not zero.

In this case, there is a non-negative simple function f such that f > 0 and E f E for every E .

P Let H be such that H > 0; set = 13 H > 0. Let E , > 0 be such that E < and F

P

whenever F and (F E) ; then (H \ E) so E (H E) 2 and E (H E) > 0.

Set E F = (F E) for every F ; then E is a countably additive functional on . Set 0 = E ,

where = /E; then 0 is a countably additive functional and 0 E > 0. By 251Eb, as usual, there is a set

G such that 0 F 0 if F , F G, but 0 F 0 if F and F G = . As 0 (E \ G) 0,

0 < 0 E 0 (E G) (E G)

R

and (E G) > 0. Set f = (E G); then f is a non-negative simple function and f = (E G) > 0.

If F then 0 (F G) 0, that is,

R

(F G) E (F G) = (F E G) = F

f.

So

R

F (F G) F

f,

as required. Q

Q

(c) Still supposing that is a non-negative, truly

R continuous additive functional, let be the set of

non-negative simple functions f : X R such that E f E for every E ; then the constant function

0 belongs to , so is not empty.

If f , g then f g , where (f g)(x) = max(f (x), g(x)) for x X. P

P Set H = {x : (f g)(x)

0} ; then f g = (f H) + (g (X \ H)) is a non-negative simple function, and for any E ,

R R R

E

f g = EH

f+ E\H

g (E H) + (E \ H) = E. Q

Q

Set

R

= sup{ f : f } X < .

R

Choose a sequence

R hfRn inN in such that limn fRn = . For each n, set gn = f0 f1 . . . fn ; then

gn and fRn gn for each n, so limn gn = . By B.Levis theorem, f = limn gn is

integrable and f = . Note that if E then

R R

E

f = limn fn E. E

R

?? Suppose, if possible, that there is an H such that H f 6= H. Set

R

1 F = F F

f 0

for every F ; then by (a) of this proof and 232C, 1 is a truly continuous finitely additive functional,

and we

R are supposing that 1 6= 0. ByR (b) of this proof, there is a non-negative

R R simple function g such

that F g 1 F for every F and g > 0. Take n N such that fn + g > . Then fn + g is a

non-negative simple function and

R R R R R R

(f + g) =

F n F

fn + F

g F

f+ F

g = F 1 F + F

g F

for any F , so fn + g , and

R R R

< fn + g= fn + g ,

R

which is absurd. X

X Thus we have H

f = H for every H .

(d) This proves the theorem for non-negative . For general , we need only observe that is expressible

as 1 2 , where 1 and 2 are non-negative truly continuous

R countably additive functionals, by 232C; so

that there are integrable functions Rf1 , f2 such that i F = F fi for both i and every F . Of course

f = f1 f2 is integrable and F = F f for every F . This completes the proof.

R measure space and : R a function. Then there is

a -integrable function f such that E = E f for every E iff is countably additive and absolutely

continuous with respect to .

104 The Radon-Nikodym theorem 232F

R measure space and : R a function. Then there is

a -integrable function f on X such that E = E f for every E iff is finitely additive and absolutely

continuous with respect to .

proof Put 232Bd and 232E together.

232H Remarks (a) Most authors are satisfied with 232F as the Radon-Nikodym theorem. In my view

the problem of identifying indefinite integrals is of sufficient importance to justify an analysis which applies

to all measure spaces, even if it requires a new concept (the notion of truly continuous functional).

(b) I ought to offer an example of an absolutely continuous functional which is not truly continuous. A

simple one is the following. Let X be any uncountable set. Let be the countable-cocountable -algebra

of subsets of X and the countable-cocountable measure on X (211R). Let be the restriction to of

counting measure on X. If E = 0 then E = and E = 0, so is absolutely continuous. But for any E

of finite measure we have (X \ E) = 1, so is not truly continuous. See also 232Xf(i).

*(c) The space (X, , ) of this example is, in terms of the classification developed in Chapter 21,

somewhat irregular; for instance, it is neither locally determined nor localizable, and therefore not strictly

localizable, though it is complete and semi-finite. Can this phenomenon occur in a strictly localizable

measure space? We are led here into a fascinating question. Suppose, in (b), I used the same idea, but with

= PX. No difficulty arises in constructing ; but can there now be a with the required properties,

that is, a non-zero countably additive functional from PX to R which is zero on all finite sets? This is the

Banach-Ulam problem, on which I have written extensively elsewhere (Fremlin 93), and to which I hope

to return in Volume 5. The present question is touched on again in 363S in Volume 3.

(d) Following the Radon-Nikodym theorem, the question immediately arises: for a given , how much

possible variation is there in the corresponding f ? The answer is straightforward enough: two integrable

functions f and g give rise to the same indefinite integral iff they are equal almost everywhere (131Hb).

(e) I have stated the Radon-Nikodym theorem in terms of arbitrary integrable functions, meaning to

interpret integrability in a wide sense, according to the conventions of Volume 1. However, given a truly

continuous countably additive functional , we can ask whether there is in any sense a canonical integrable

function representing it. The answer is no. But we certainly do not need to take arbitrary integrable

functions of the type considered in Chapter 12. If f is any integrable function, there is a conegligible set E

such that f E is measurable, and now we can find a conegligible measurable set G E dom f ; if we set

g(x) = f (x) for x G, 0 for x X \ G, then f =a.e. g, so g has the same indefinite integral as f (as noted

in (d) just above), while g is measurable and has domain X. Thus we can make a trivial, but sometimes

convenient, refinement to the theorem: if (X, , ) is a measure space, and : R is finitely additive

and truly

R continuous with respect to , then there is a -measurable -integrable function g : X R such

that E g = E for every E .

R derivative of with respect to is sometimes used to describe an

integrable function f such that E f d = E for every measurable set E, as in 232D-E. When and f are

non-negative, f may be called a density function.

(g) Throughout the work above I have taken it that is defined on the whole domain of . In some of

the most important applications, however, is defined only on some smaller -algebra T. In this case we

commonly seek to apply the same results with T in place of .

232I The Lebesgue decomposition of a countably additive functional: Proposition (a) Let

(X, , ) be a measure space and : R a countably additive functional. Then has unique expressions

as

= s + ac = s + tc + e ,

232I The Radon-Nikodym theorem 105

where tc is truly continuous with respect to , s is singular with respect to , and e is absolutely

continuous with respect to and zero on every set of finite measure.

(b) If X = R r , is the algebra of Borel sets in R r and is the restriction of Lebesgue measure to ,

then is uniquely expressible as p + cs + ac where ac is absolutely

P continuous with respect to , cs is

singular with respect to and zero on singletons, and p E = xE p {x} for every E .

proof (a)(i) Suppose first that is non-negative. In this case, set

s E = sup{(E F ) : F , F = 0},

t E = sup{(E F ) : F , F < }.

Then both s and t are countably additive. P

P Surely s = t = 0. Let hEn inN be a disjoint sequence

) If F and F = 0, then

in with union E. (

P P

(E F ) = n=0 (En F ) n=0 s (En );

as F is arbitrary,

P

s E n=0 s En .

) If F and F < , then

(

P P

(E F ) = n=0 (En F ) n=0 t (En );

as F is arbitrary,

P

t E n=0 t En .

P P

( ) If > 0, then (because n=0 En = E < ) there is an n N such that k=n+1 Ek . Now,

for each k n, there is an Fk such that Fk = 0 and (Ek Fk ) s Ek n+1 . In this case,

S

F = kn Fk , F = 0 and

Pn Pn P

s E (E F ) k=0 (Ek Fk ) k=0 s Ek k=0 s Ek 2,

because

P P

k=n+1 s Ek k=n+1 Ek .

As is arbitrary,

P

s E k=0 s Ek .

Fk0

( ) Similarly, for each k n, there is an such that Fk0 < and (Ek Fk0 ) t Ek n+1 . In this

S

case, F 0 = kn Fk0 , F 0 < and

Pn Pn P

t E (E F 0 ) k=0 (Ek Fk0 ) k=0 t Ek k=0 t Ek 2,

because

P P

k=n+1 t Ek k=n+1 Ek .

As is arbitrary,

P

t E t Ek .

k=0

P P

() Putting these together, s E = n=0 s En and t E = n=0 t En . As hEn inN is arbitrary, s and t

are countably additive. QQ

(ii) Still supposing that is non-negative,

S if we choose a sequence hFn inN in such that Fn = 0 for

each n and limn Fn = s X, then F = nN Fn has F = 0, F = s X; so that s (X \ F ) = 0, and

s is singular with respect to in the sense of 232Ac.

Note that s F = F whenever F = 0. So if we write ac = s , then ac is a countably additive

functional and ac F = 0 whenever F = 0; that is, ac is absolutely continuous with respect to .

If we write tc = t s , then tc is a non-negative countably additive functional; tc F = 0 whenever

F = 0, and if tc E > 0 there is a set F with F < and tc (E F ) > 0. So tc is truly continuous with

respect to , by 232Bb. Set e = t = ac tc .

Thus for any non-negative countably additive functional , we have expressions

106 The Radon-Nikodym theorem 232I

= s + ac , ac = tc + e

where s , ac , tc and e are all non-negative countably additive functionals, s is singular with respect to

, ac and e are absolutely continuous with respect to , tc is truly continuous with respect to , and

e F = 0 whenever F < .

(iii) For general countably additive functionals : R, we can express as 0 00 , where 0 and 00

are non-negative countably additive functionals. If we define s0 , s00 , . . . , e00 as in (i)-(ii), we get countably

additive functionals

s = s0 s00 , 0

ac = ac 00

ac , 0

tc = tc 00

tc , e = e0 e00

such that s is singular with respect to (if F 0 , F 00 are such that

F = F 0 = s0 (X \ F ) = s00 (X \ F ) = 0,

then (F 0 F 00 ) = 0 and s E = 0 whenever E X \ (F 0 F 00 )), ac is absolutely continuous with respect

to , tc is truly continuous with respect to , and e F = 0 whenever F < , while

= s + ac = s + tc + e .

(iv) Moreover, these decompositions are unique. P P() If, for instance, = s + ac , where s is

singular and ac is absolutely continuous with respect to , let F , F be such that F = F = 0 and

s E = 0 whenever E F = , s E = 0 whenever E F = ; then we must have

ac (E (F F )) = ac (E (F F )) = 0

for every E , so

s E = (E (F F )) = s E

for every E . Thus s = s and ac = ac .

) Similarly, if ac = tc + e where tc is truly continuous with respect to and e F = 0 whenever

(

F < , then there are sequences hFn inN , hFn inN of sets of finite measure such that tc F = 0 whenever

S S S

F nN Fn = and tc F = 0 whenever F nN Fn = . Write F = nN (Fn Fn ); then e E = e E = 0

whenever E F and tc E = tc E = 0 whenever E F = , so e E = ac (E \ F ) = e E for every E ,

and e = e , tc = tc . Q

Q

(b) In this case, is -finite (cf. 211P), so every absolutely continuous countably additive functional

is truly continuous (232Bc), and we shall always have e = 0, ac = tc . But in the other direction we

know that singleton sets, and therefore countable sets, are all measurable. We therefore have a further

decomposition s = p + cs , where there is a countable set K R r with p E = 0 whenever E ,

E K = , and cs is singular with respect to and zero on countable sets. PP (i) If 0, set

p E = sup{(E K) : K R r is countable};

just as with s , dealt with in (a) above, p is countably additive and there is a countable K R r such

that p E = (E K) for every E . (ii) For general , we can express as 0 00 where 0 and 00 are

non-negative, and write p = p0 p00 . (iii) p is characterized by saying that there is a countable set K such

that p E = (E K) for every E and {x} = 0 for every x R r \ K. (iv) So if we set cs = s p ,

cs will be singular with respect to and zero on countable sets. Q Q

Now, for any E ,

P P

p E = (E K) = xKE {x} = xE {x}.

232X Basic exercises (a) Let (X, , ) be a measure space and : R a countably additive

functional which is absolutely continuous with respect to . Show that the following are equiveridical: (i)

is truly continuous with respect to ; (ii) there

S is a sequence hEn inN in such that En < for every

n N and F = 0 whenever F and F nN En = .

232Yf The Radon-Nikodym theorem 107

> (b) Let g : R R be a bounded non-decreasing function and g the associated Lebesgue-Stieltjes

measure (114Xa). Show that g is absolutely continuous (equivalently, truly continuous) with respect to

Lebesgue measure iff the restriction of g to any closed bounded interval is absolutely continuous in the sense

of 225B.

(c) Let X be a set and a -algebra of subsets of X; let : R be a countably additive functional.

Let I be an ideal of , that is, a subset of such that () I () E F I for all E, F I () if

E , F I and E F then E I. Show that has a unique decomposition as = I + I0 , where I

and I0 are countably additive functionals, I0 E = 0 for every E I, and whenever E , I E 6= 0 there

is an F I such that I (E F ) 6= 0.

> (d) Let X be a non-empty set and a -algebra of subsets of X. Show that for any sequence hn inN

of countably additive functionals on there is a probability measure on X, with domain , such that

every n is absolutely continuous with respect to . (Hint: start with the case n 0.)

(e) Let (X, , ) be a measure space and (X, , ) its completion (212C). Let : R be an additive

functional such that E = 0 whenever E = 0. Show that has a unique extension to an additive functional

: R such that E = 0 whenever E = 0.

(f ) Let F be an ultrafilter on N including the filter {N\I : I N is finite} (2A1O). Define : PN {0, 1}

by setting E = 1 if E F, 0 for E PN\F. (i) Let 1 be counting measure on PN. Show that is additive

and absolutelyP continuous with respect to 2 , but is not truly continuous. (ii) Define 2 : PN [0, 1] by

setting 2 E = nE 2n1 . Show that is zero on 2 -negligible sets, but is not absolutely continuous with

respect to 2 .

(h) Let (X, , ) be a measure space, and and additive functionals on of which is positive and

countably additive, so that (X, , ) is also a measure space. (i) Show that if is absolutely continuous

with respect to and is absolutely continuous with respect to , then is absolutely continuous with

respect to . (ii) Show that if is truly continuous with respect to and is absolutely continuous with

respect to then is truly continuous with respect to .

232Y Further exercises (a) Let (X, , ) be a measure space and : R a finitely additive

functional. If E, F , H and H < set H (E, F ) = (H (E4F )). (i) Show that H is a pseudometric

on (2A3Fa). (ii) Let T be the topology on generated by {H : H , H < } (2A3Fc). Show that

is continuous for T iff it is truly continuous in the sense of 232Ab. (T is the topology of convergence in

measure on .)

(b) For a non-decreasing function F : [a, b] R, where a < b, let F be the corresponding Lebesgue-

Stieltjes measure. Show that if we define (F )ac , etc., with regard to Lebesgue measure on [a, b], as in 232I,

then

(F )p = Fp , (F )ac = Fac , (F )cs = Fcs ,

where Fp , Fcs and Fac are defined as in 226C.

(d) Extend the ideas of (b) and (c) to open, half-open and unbounded intervals (cf. 226Ya).

(e) Let (X, , ) be a measure space and (X, , ) its c.l.d. version (213E). Let : R be an additive

functional which is truly continuous with respect to . Show that has a unique extension to a functional

: R which is truly continuous with respect to .

(f ) Let (X, , ) be a measure space and f a -integrable real-valued function. Show that the indefinite

integral of f is the unique countably additive functional : R such that whenever E and

f (x) [a, b] for almost every x E, then aE E bE.

108 The Radon-Nikodym theorem 232Yg

(g) Say that two bounded additive functionals 1 , 2 on an algebra of sets are mutually singular if

for any > 0 there is an H such that

sup{|1 F | : F , F H} ,

sup{|2 F | : F , F H = } .

(i) Show that 1 and 2 are mutually singular iff, in the language of 231Ya-231Yb, |1 | |2 | = 0.

(ii) Show that if is a -algebra and 1 and 2 are countably additive, then they are mutually singular

iff there is an H such that 1 F = 0 whenever F and F H, while 2 F = 0 whenever F and

F H = .

(iii) Show that if s , tc and e are defined from and as in 232I, then each pair of the three are

mutually singular.

R which

R is integrable over

X; let be its indefinite integral. Show that for any function g : X R, g d = f g d in the sense

that if one of these is defined in [, ] so is the other, and they are then equal. (Hint: start with simple

functions g.)

(i) Let (X, , ) be a measure space, f an integrable function, and : R the indefinite integral of f .

Show that ||, as defined in 231Ya, is the indefinite integral of |f |.

(j) Let X be a set, a -algebra of subsets of X, and : R a countably additive functional. Show

that has a Radon-Nikodym derivative with respect to || as defined in 231Ya, and that any such derivative

has modulus equal to 1 ||-a.e.

232 Notes and comments The Radon-Nikodym theorem must be on any list of the half-dozen most

important theorems of measure theory, and not only the theorem itself, but the techniques necessary to

prove it, are at the heart of the subject. In my book Fremlin 74 I discussed a variety of more or less

abstract versions of the theorem and of the method, to some of which I will return in 327 and 365 of the

next volume.

As I have presented it here, the essence of the proof is split between 231E and 232E. I think we can

distinguish the following elements. Let be a countably additive functional.

(i) is bounded (231Ea).

(ii) is expressible as the difference of non-negative functionals (231F).

(I gave this as a corollary of 231Eb, but it can also be proved by simpler methods, as in 231Ya.)

(iii) If > 0, there is an integrable f such that 0 < f ,

writing f for the indefinite integral of f . (This is the point at which we really do need the Hahn decompo-

sition 231Eb.)

(iv) The Rset = {f : f } is closed under countable suprema, so there is an f

maximising f .

(In part (b) of the proof of 232E, I spoke of simple functions; but this was solely to simplify the technical

details, and the same argument works if we apply it to instead of . Note the use here of B.Levis

theorem.)

(v) Take f from (iv) and use (iii) to show that f = 0.

Each of the steps (i)-(iv) requires a non-trivial idea, and the importance of the theorem lies not only in its

remarkable direct consequences in the rest of this chapter and elsewhere, but in the versatility and power

of these ideas.

I introduce the idea of truly continuous functional in order to give a reasonably straightforward account

of the status of the Radon-Nikodym theorem in non--finite measure spaces. Of course the whole point is

that a truly continuous functional, like an indefinite integral, must be concentrated on a -finite part of

the space (232Xa), so that 232E, as stated, can be deduced easily from the standard form 232F. I dare to

use the word truly in this context because this kind of continuity does indeed correspond to a topological

notion (232Ya).

233B Conditional expectations 109

There is a possible trap in the definition I give of absolutely continuous functional. Many authors use

the condition of 232Ba as a definition, saying that is absolutely continuous with respect to if E = 0

whenever E = 0. For countably additive functionals this coincides with the - formulation in 232Aa; but

for other additive functionals this need not be so (232Xf(ii)). Mostly the distinction is insignificant, but I

note that in 232Bd it is critical, since there is not assumed to be countably additive.

In 232I I describe one of the many ways of decomposing a countably additive functional into mutually

singular parts with special properties. In 231Yf-231Yg I have already suggested a method of decomposing

an additive functional into the sum of a countably additive part and a purely finitely additive part. All

these results have natural expressions in terms of the ordered linear space of bounded additive functionals

on an algebra (231Yc).

I devote a section to a first look at one of the principal applications of the Radon-Nikodym theorem. It

is one of the most vital ideas of measure theory, and will appear repeatedly in one form or another. Here I

give the definition and most basic properties of conditional expectations as they arise in abstract probability

theory, with notes on convex functions and a version of Jensens inequality (233I-233J).

-algebra T of subsets of X such that T . If (X, , ) is a measure space and T is a -subalgebra of ,

then (X, T, T) is again a measure space; this is immediate from the definition (112A). Now we have the

following straightforward lemma. It is a special case of 235I below, but I give a separate proof in case you

do not wish as yet to embark on the general investigation pursued in 235.

233B Lemma Let (X, , ) be a measure space and T a -subalgebra of . A real-valued function f

defined on a subset of X is T-integrableRiff (i) it is -integrable

R (ii) dom f is T-conegligible (iii) f is

T-virtually measurable; and in this case f d( T) = f d.

Pn

proof (a) Note first that if f is a T-simple function, that is, is expressible as i=0 ai Ei where ai R,

Ei T and ( T)Ei < for each i, then f is -simple and

R Pn R

f d = i=0

ai Ei = f d( T).

(b) Let U be the set of non-negative -integrable functions and U T the set of non-negative T-

integrable functions.

Suppose f U T . Then there is a non-decreasing sequence hfn inN of T-simple functions such that

f (x) = limn fn T-a.e. and

R R

f d( T) = limn fn d( T).

R R

But now every

R fn is Ralso -simple, and fn d = fn d( T) for every n, and f = limn fn -a.e. So

f U and f d = f d( T).

(c) Now suppose

R thatR f is T-integrable. Then it is the difference of two members of U T , so is -

integrable, and f d = f d( T). Also conditions (ii) and (iii) are satisfied, according to the conventions

established in Volume 1 (122Nc, 122P-122Q).

(d) Suppose that f satisfies conditions (i)-(iii). Then |f | U , and there is a conegligible set E dom f

such that E T and f E is T-measurable. Accordingly |f |E is T-measurable. Now, if > 0, then

R

( T){x : x E, |f |(x) } = {x : x E, |f |(x) } 1 |f |d < ;

moreover,

110 The Radon-Nikodym theorem 233B

Z

sup{ g d( T) : g is a T-simple function, g |f | T-a.e.}

Z

= sup{ g d : g is a T-simple function, g |f | T-a.e.}

Z

sup{ g d : g is a -simple function, g |f | -a.e.}

Z

|f |d < .

by 122P. This completes the proof.

233C Remarks (a) My argument just above is detailed to the point of pedantry. I think, however,

that while I can be accused of wasting paper by writing everything down, every element of the argument is

necessary to the result. To be sure, some of the details are needed only because I use such a wide notion of

integrable function; if you restrict the notion of integrability to measurable functions defined on the whole

measure space, there are simplifications at this stage, to be paid for later when you discover that many of

the principal applications are to functions defined by formulae which do not apply on the whole underlying

space.

The essential point which does have to be grasped is that while a T-negligible set is always -negligible,

a -negligible set need not be T-negligible.

(b) As the simplest possible example of the problems which can arise, I offer the following. Let (X, , )

be [0, 1]2 with Lebesgue measure. Let T be the set of those members of expressible as F [0, 1] for some

F [0, 1]; it is easy to see that T is a -subalgebra of . Consider f , g : X [0, 1] defined by saying that

f (t, u) = 1 if u > 0, 0 otherwise,

Then both f and g are -integrable, being constant -a.e. But only g is T-integrable, because any non-

negligible E T includes a complete vertical section {t} [0, 1], so that f takes both values 0 and 1 on E.

If we set

h(t, u) = 1 if u > 0, undefined otherwise,

then again (on the conventions I use) h is -integrable but not T-integrable, as there is no conegligible

member of T included in the domain of h.

-integrable and T-measurable. But note that in the example just above, which is one of the archetypes for

this topic, T is not complete, as singleton sets are negligible but not measurable.

233D Conditional expectations Let (X, , ) be a probability space, that is, a measure space with

X = 1. (Nearly all the ideas here work perfectly well for any totally finite measure space, but there seems

nothing to be gained from the extension, and the traditional phrase conditional expectation demands a

probability space.) Let T be a -subalgebra.

R subset of X, we have a corre-

sponding indefinite integral f : R given by the formula f E = E f for every E . We know that

f is countably additive and truly continuous with respect to , which in the present context is the same

as saying that it is absolutely continuous (232Bc-232Bd). Now consider the restrictions T, f T of

and f to the -algebra T. It follows directly from the definitions of countably additive and absolutely

continuous that f T is countably additive and absolutely continuous with respect to T, therefore truly

continuous with respect to T. Consequently, the

R Radon-Nikodym theorem (232E) tells us that there is a

T-integrable function g such that (f T)F = F g d( T) for every F T.

233E Conditional expectations 111

R of f on T to be such a function; that is, a T-integrable

function g such that F g d( T) = F f d for every F T. Looking back at 233B, we see that for such a

g we have

R R R R

F

g d( T) = g F d( T) = g F d = F

g d

for every F T; also, that g is almost everywhere equal to a T-measurable function defined everywhere on

X which is also a conditional expectation of f on T (232He).

(c) I set the word a of the phrase a conditional expectation in bold type to emphasize that there is

nothing unique about the function g. In 242J I will return to this point, and describe an object which could

properly be called the conditional expectation of f on T. g is essentially unique only in the sense that if

g1 , g2 are both conditional expectations of f on T then g1 = g2 T-a.e. (131Hb). This does of course mean

that a very large number of its properties for instance, the distribution function G(a) = {x : g(x) a},

where is the completion of (212C) are independent of which g we take.

(d) A word of explanation of the phrase conditional expectation is in order. This derives from the

standard identification of probability with measure, due to Kolmogorov, which I will discuss more fully

in Chapter 27. A real-valued random variable may be regarded as a measurable, orRvirtually measurable,

function f on a probability space (X, , ); its expectation becomes identified with fRd, supposing that

1

this exists. If F and F > 0 then the conditional expectation of f given F is F F

f . If F0 , . . . , Fn

is a partition of X into measurable sets of non-zero measure, then the function g given by

1 R

g(x) = Fi

f if x Fi

Fi

is a kind of anticipated conditional expectation; if we are one day told that x Fi , then g(x) will be

our subsequent estimate of the expectation of f . In the terms of the definition above, g is a conditional

expectation of f on the finite algebra T generated by {F0 , . . . , Fn }. An appropriate intuition for general

-algebras T is that they consist of the events which we shall be able to observe at some stated future time

t0 , while the whole algebra consists of all events, including those not observable until times later than t0 ,

if ever.

Proposition Let (X, , ) be a probability space and T a -subalgebra of . Let hfn inN be a sequence of

-integrable real-valued functions, and for each n let gn be a conditional expectation of fn on T. Then

(a) g1 + g2 is a conditional expectation of f1 + f2 on T;

(b) for any c R, cg0 is a conditional expectation of cf0 on T;

(c) if f1 a.e. f2 then g1 a.e. g2 ;

(d) if hfn inN is non-decreasing a.e. and f = limn fn is -integrable, then limn gn is a conditional

expectation of f on T;

(e) if f = limn fn is defined a.e. and there is a -integrable function h such that |fn | a.e. h for every

n, then limn gn is a conditional expectation of f on T;

(f) if F T then g0 F is a conditional expectation of f0 F on T;

(g) if h is a bounded, T-virtually measurable real-valued function defined T-almost everywhere on

X, then g0 h is a conditional expectation of f0 h on T;

(h) if is a -subalgebra of T, then a function h0 is a conditional expectation of f0 on iff it is a

conditional expectation of g0 on .

proof (a)-(b) We have only to observe that

R R R R R R

F

g1 + g2 d( T) = F

g1 d( T) + F

g2 d( T) = F

f1 d + F

f2 d = F

f1 + f2 d,

R R R R

F

cg0 d( T) = c F

g0 d( T) = c F

f0 d = F

cf0 d

for every F T.

(c) If F T then

112 The Radon-Nikodym theorem 233E

R R R R

F

g1 d( T) = F

f1 d F

f2 d = F

g2 d( T)

for every F T; consequently g1 g2 T-a.e. (131Ha).

(d) By (c), hgn inN is non-decreasing T-a.e.; moreover,

R R R

supnN gn d( T) = supnN fn d = f d < .

By B.Levis theorem, g = limn gn is defined T-almost everywhere, and

R R R R

F

g d( T) = limn F

gn d( T) = limn F

fn d = F

f d

for every F T, so g is a conditional expectation of f on T.

(e) Set fn0 = inf mn fm , fn00 = supmn fm for each n N. Then we have

h a.e. fn0 fn fn00 a.e. h,

and hfn0 inN , hfn00 inN are almost-everywhere-monotonic sequences of functions both converging almost ev-

erywhere to f . For each n, let gn0 , gn00 be conditional expectations of fn0 , fn00 on T. By (iii) and (iv), hgn0 inN

and hgn00 inN are almost-everywhere-monotonic sequences converging almost everywhere to conditional ex-

pectations g 0 , g 00 of f . Of course g 0 = g 00 T-a.e. (233Dc). Also, for each n, gn0 a.e. gn a.e. gn00 , so hgn inN

converges to g 0 T-a.e., and g = limn gn is defined almost everywhere and is a conditional expectation

of f on T.

(f ) For any H T,

R R R R

g F d( T) =

H 0 HF

g0 d( T) = HF

f0 d = H

f0 F d.

Pn

(g)(i) If h is actually ( T)-simple, say h = i=0 ai Fi where Fi T for each i, then

R Pn R Pn R R

F

g0 h d( T) = i=0

ai F

g0 Fi d( T) = i=0

ai F

f Fi d = F

f h d

for every F T. (ii) For the general case, if h is T-virtually measurable and |h(x)| M T-almost

everywhere, then there is a sequence hhn inN of T-simple functions converging to h almost everywhere,

and with |hn (x)| M for every x, n. Now f0 hn f0 h a.e. and |f0 hn | a.e. M |f0 | for each n, while

g0 hn is a conditional expectation of f0 hn for every n, so by (e) we see that limn g0 hn will be a

conditional expectation of f0 h; but this is equal almost everywhere to g0 h.

R R

(h) We need note only that H g0 d( T) = H f0 d for every H , so

Z Z

h0 d( ) = g0 d( T) for every H

H H

Z Z

h0 d( ) = f0 d for every H .

H H

233F Remarks Of course the results above are individually nearly trivial (though I think (e) and

(g) might give you pause for thought if they were offered without previous preparation of the ground).

Cumulatively they amount to some quite strong properties. In 242 I will restate them in language which

is syntactically more direct, but relies on a deeper level of abstraction.

As an illustration of the power of conditional expectations to surprise us, I offer the next proposition,

which depends on the concept of convex function.

233G Convex functions Recall that a real-valued function defined on an interval I R is convex

if

(tb + (1 t)c) t(b) + (1 t)(c)

whenever b, c I and t [0, 1].

Examples The formulae |x|, x2 , ex x define convex functions on R; on ]1, 1[ we have 1/(1 x2 ); on

]0, [ we have 1/x and x ln x; on [0, 1] we have the function which is zero on ]0, 1[ and 1 on {0, 1}.

233I Conditional expectations 113

233H The general theory of convex functions is both extensive and important; I list a few of their more

salient properties in 233Xe. For the moment the following lemma covers what we need.

Lemma Let I R be a non-empty open interval (bounded or unbounded) and : I R a convex function.

(a) For every a I there is a b R such that (x) (a) + b(x a) for every x I.

(b) If we take, for each q I Q, a bq R such that (x) (q) + bq (x q) for every x I, then

(x) = supqIQ (q) + bq (x q).

(c) is Borel measurable.

proof (a) If c, c0 I and c < a < c0 , then a is expressible as dc + (1 d)c0 for some d ]0, 1[, so that

(a) d(c) + (1 d)(c0 ) and

=

ac dc+(1d)c0 c (1d)(c0 c)

d((c0 )(c)) (c0 )d(c)(1d)(c0 ) (c0 )(a)

= = .

d(c0 c) c0 dc(1d)c0 c0 a

(a)(c)

b = supc<a,cI

ac

(c0 )(a)

is finite, and b whenever a < c0 I; accordingly (x) (a) + b(x a) for every x I.

c0 a

(b) By the choice of the bq , (x) supqQ q (x). On the other hand, given x I, fix y I such that

x < y and let b R be such that (z) (x) + b(z x) for every z I. If q Q and x < q < y, we have

(y) (q) + bq (y q), so that bq (y)(q)

yq and

(y)(q)

(q) + bq (x q) = (q) bq (q x) (q) (q x)

yq

yx qx yx qx

= (q) (y) ((x) + b(q x)) (y).

yq yq yq yq

Now

yx qx

(x) = lim ((x) + b(q x)) (y)

qx yq yq

yx qx

sup ((x) + b(q x)) (y)

qQ]x,y[ yq yq

qQ]x,y[ qQI

(c) Writing q (x) = (q) + bq (x q) for every q Q I, every q is a Borel measurable function,

and = supqIQ q is the supremum of a countable family of Borel measurable functions, so is Borel

measurable.

233I Jensens inequality Let (X, , ) be a measure space and : R R a convex function.

(a) Suppose that f and g are real-valued -virtually measurable R functions defined almost everywhere

onR X and that

R g a.e. 0 (that is, g 0 almost everywhere), g = 1 and g f is integrable. Then

( g f ) g f , where we may need to interpret the right-hand integral as . R R

(b) In particular, if X = 1 and f is a real-valued function which is integrable over X, then ( f ) f .

proof (a) For each q Q take bq such that (t) q (t) = (q) + bq (t q) for every t R (233Ha). Because

is Borel measurable (233Hc), f is -virtually measurable (121H), so g f also is; since g f isRdefined

almost everywhere and almost everywhere greater than or equal to the integrable function g 0 f , g f

is defined in ], ]. Now

114 The Radon-Nikodym theorem 233I

Z Z

q g f = (q) + bq g f bq q

Z Z Z

= g (bq f + ((q) bq q)X) = g q f g f,

R

because g = 1 and g a.e. 0. By 233Hb,

R R R

( g f ) = supqQ q ( g f ) g f .

233J Even the special case 233Ib of Jensens inequality is already very useful. It can be extended as

follows.

Theorem Let (X, , ) be a probability space and T a -subalgebra of . Let : R R be a convex

function and f a -integrable real-valued function defined almost everywhere in X such that the composition

f is also integrable.

R RIf g and h are conditional expectations on T of f , f respectively, then g a.e. h.

Consequently g f .

proof We use the same ideas as in 233I. For each q Q take a bq R such that (t) q (t) = (q)+bq (tq)

for every t R, so that (t) = supqQ q (t) for every t R. Now setting

q (x) = (q) + bq (g(x) q)

for x dom g, we see that q = q g is a conditional expectation of q f , and as q f a.e. f we must have

q a.e. h. But also g = RsupqQ Rq wherever

R g is defined, so g a.e. h, as claimed.

It follows at once that g h = f .

233K I give the following proposition, an elaboration of 233Eg, in a very general form, as its applications

can turn up anywhere.

Proposition Let (X, , ) be a probability space, and T a -subalgebra of . Suppose that f is a -

integrable function and h is a ( T)-virtually measurable real-valued function defined ( T)-almost every-

where on X. Let g, g0 be conditional expectations of f and |f | on T. Then f h is integrable iff g0 h is

integrable, and in this case g h is a conditional expectation of f h on T.

proof (a) Suppose that h is a T-simple function. Then surely f h and g0 h are integrable, and g h

is a conditional expectation of f h as in 233Eg.

(b) Now suppose that f , h 0. Then g = g0 a.e. 0 (233Ec). Let h be a non-negative T-measurable

function defined everywhere on X such that h =a.e. h. For each n N set

= 2n if h(x) 2n .

Then hn is a ( T)-simple function, so g hn is a conditional expectation of f hn . Both hf hn inN and

hg hn inN are almost everywhere non-decreasing sequences of integrable functions, with limits f h and

g h respectively. By B.Levis theorem,

f h is integrable f h is integrable

Z Z

sup f hn < sup g hn <

nN nN

R R

(because g hn = f hn for each n)

g h is integrable g0 h is integrable.

233Xe Conditional expectations 115

Z Z Z

f h= f h = lim f hn

E E n E

Z Z Z

= lim g hn = g h = gh

n E E E

for every E T, while g h is ( T)-virtually measurable, so g h is a conditional expectation of f h.

(c) Finally, consider the general case of integrable f and virtually measurable h. Set f + = f 0,

f = (f ) 0, so that f = f + f and 0 f + , f |f |; similarly, set h+ = h 0, h = (h) 0. Let

g1 , g2 be conditional expectations of f + , f on T. Because 0 f + , f |f |, 0 g1 , g2 a.e. g0 , while

g =a.e. g1 g2 .

We see that

g0 |h| is integrable

g0 h is integrable.

+ +

And in this case all four of f h , . . . , f h are integrable, so

(g1 g2 ) h = g1 h+ g2 h+ g1 h + g2 h

is a conditional expectation of

f + h+ f h+ f + h + f h = f h.

Since g h =a.e. (g1 g2 ) h, this also is a conditional expectation of f h, and were done.

233X Basic exercises (a) Let (X, , ) be a probability space and T a -subalgebra of . Let hfn inN

be a sequence of non-negative -integrable functions and suppose that gn is a conditional expectation of fn

on T for each n. Suppose that f = lim inf n fn is integrable and has a conditional expectation g. Show

that g a.e. lim inf n gn .

(b) Let I R be an interval, and : I R a function. Show that is convex iff {x : x I, (x)+bx c}

is an interval for every b, c R.

> (c) Let I R be an open interval and : I R a function. (i) Show that if is differentiable then

it is convex iff 0 is non-decreasing. (ii) Show that if is absolutely continuous on every bounded closed

subinterval of I then is convex iff 0 is non-decreasing on its domain.

(d) For any r 1, a subset C of R r is convex if tx + (1 t)y C for all x, y C and t [0, 1]. If

C R r is convex, then a function : C R is convex if (tx + (1 t)y) t(x) + (1 t)(y) for all x,

y C and t [0, 1].

Let C R r be a convex set and : C R a function. Show that the following are equiveridical:

(i) the function is convex; (ii) the set {(x, t) : x C, t R, t (x)} is convex in R r+1 ; P

(iii) the set

r

{x : x C, (x) + b. x c} is convex in R r for every b R r and c R, writing b. x = i=1 i i if

b = (1 , . . . , r ) and x = (1 , . . . , r ).

(e) Let I R be an interval and : I R a convex function.

(i) Show that if a, d I and a < b c < d then

(b)(a) (d)(c)

.

ba dc

(ii) Show that is continuous at every interior point of I.

(iii) Show that either is monotonic on I or there is a c I such that (c) = minxI (x) and is

non-increasing on I ], c], monotonic non-decreasing on I [c, [.

(iv) Show that is differentiable at all but countably many points of I, and that its derivative is

non-decreasing in the sense that 0 (x) 0 (y) whenever x, y dom 0 and x y.

(v) Show that if I is closed and bounded and is continuous then is absolutely continuous.

(vi) Show that if I is closed and bounded and : I R is absolutely continuous with a non-decreasing

derivative then is convex.

116 The Radon-Nikodym theorem 233Xf

(g) In the context of 233K, give an example in which g h is integrable but f h is not. (Hint: take X,

, T as in 233Cb, and arrange for g to be 0.)

(h) Let I R be an interval and a non-empty family of convex real-valued functions on I such that

(x) = sup (x) is finite for every x I. Show that is convex.

2 )

1

2 ((x)+ (y)) for all x, y I. Show that a mid-convex function which is bounded on any non-trivial

subinterval of I is convex.

(c) Let (X, , ) be a probability space and T a -subalgebra of . Let be a convex real-valued function

with domain an interval I R, and f an integrable real-valued function on X such that f (x) I for almost

every x X and f is integrable. Let g, h be conditional expectations on T of f , f respectively. Show

that g(x) I for almost every x and that g a.e. h.

(d) (i) Show that if I R is a bounded interval, E I is Lebesgue measurable, and E > 23 I where

is Lebesgue measure, then for every x I there are y, z E such that z = x+y 2 . (Hint: by 134Ya/263A,

(x + E) + (2E) > (2I).) (ii) Show that if f : [0, 1] R is a mid-convex Lebesgue measurable function

(definition: 233Ya), a > 0, and E = {x : x [0, 1], a f (x) < 2a} is not negligible, then there is a non-

trivial interval I [0, 1] such that f (x) > 0 for every x I. (Hint: 223B.) (iii) Suppose that f : [0, 1] R

is a mid-convex function such that f 0 almost everywhere on [0, 1]. Show that f 0 everywhere on ]0, 1[.

(Hint: for every x ]0, 1[, max(f (x t), f (x + t)) 0 for almost every t [0, min(x, 1 x)].) (iv) Suppose

that f : [0, 1] R is a mid-convex Lebesgue measurable function such that f (0) = f (1) = 0. Show that

f (x) 0 for every x [0, 1]. (Hint: show that {x : f (x) 0} is dense in [0, 1], use (ii) to show that it is

conegligible in [0, 1] and apply (iii).) (v) Show that if I R is an interval and f : I R is a mid-convex

Lebesgue measurable function then it is convex.

233 Notes and comments The concept of conditional expectation is fundamental in probability theory,

and will reappear in Chapter 27 in its natural context. I hope that even as an exercise in technique, however,

it will strike you as worth taking note of.

I introduced 233E as a list of elementary facts, and they are indeed straightforward. But below the

surface there are some remarkable ideas waiting for expression. If you take T to be the trivial algebra

{,

R X}, so that the (unique) conditional expectation of an integrable function f is the constant function

( f )X, then 233Ed and 233Ee become versions of B.Levis theorem and Lebesgues Dominated Conver-

gence Theorem. R (Fatous

R Lemma is in 233Xa.) Even 233Eg can be thought of as a generalization of the

result that cf = c f , where the constant c has been replaced by a bounded T-measurable function. A

recurrent theme in the later parts of this treatise will be the search for conditioned versions of theorems.

The proof of 233Ee is a typical example of an argument which has been translated from a proof of the

original unconditioned result.

I suggested that 233I-233J are surprising, and I think that most of us find them so, even applied to the

list of convex functions given in 233G. But I should remark that in a way 233J has very little to do with

conditional expectations. The only properties of conditional expectations used in the proof are (i) that if g

is a conditional expectation of f , then aX + bg is a conditional expectation of aX + bf for all real a, b

(ii) if g1 , g2 are conditional expectations of f1 , f2 and f1 a.e. f2 , then g1 a.e. g2 . See 244Xm below.

Note that 233Ib can be regarded as the special case of R233J in which T = {, X}. In fact 233Ia can be

derived from 233Ib applied to the measure where E = E g for every E .

Like 233B, 233K seems to have rather a lot of technical detail in the argument. The point of this result

is that we can deduce the integrability of f h from that of g0 h (but not from the integrability of g h;

see 233Xg). Otherwise it should be routine.

234Cc Indefinite-integral measures 117

I take a few pages to describe a standard construction. The idea is straightforward (234A-234B), but

a number of details need to be worked out if it is to be securely integrated into the general framework I

employ.

234A Theorem Let (X, , ) be a measure space, and f a non-negative R -virtually measurable real-

valued function defined on a conegligible subset of X. Write F = f F d whenever F X is such

that the integral is defined in [0, ] according to the conventions of 133A. Then is a complete measure on

X, and its domain includes .

R

proof (a) Write T for the domain of , that is, the family of sets F X such that f F d is defined

in [0, ], that is, f F is -virtually measurable (133A). Then T is a -algebra of subsets of X. P P For

each F T let HF X be a -conegligible set such that f F HF is -measurable. Because f itself is

-virtually measurable, X T. If F T, then

f (X \ F )(HX HF ) = f (HX HF ) (f F )(HX HF )

is -measurable, while

T HX HF is -conegligible, so X \ F T. If hFn inN is a sequence in T with

union F , set H = nN HFn ; then H is coneglible, f Fn H is -measurable for every n N, and

f F = supnN f Fn , so f F H is -measurable, and F T. Thus T is a -algebra. If F ,

then f F HX is -measurable, so F T. Q

Q

(b) Next, is a measure. P P Of course F [0, ] for every F T. f P= 0 wherever it is defined,

so = 0. If hFn inN is a disjoint sequence inPT with union F , then f F = n=0 Pf Fn . If Fm =

for some m, then we surely have F = = n=0 Fn . If Fm < for each m but n=0 Fn = , then

R S Pm R

f ( nm Fn ) = n=0 f Fn

P P

as m , so again F = = n=0 Fn . If n=0 Fn < then by B.Levis theorem

R P P R P

F = n=0 f Fn = n=0 f Fn = n=0 Fn . Q

Q

P If A F T and F = 0, then f F =a.e. 0, so f A =a.e. 0 and A

is defined and equal to zero. Q

Q

234B Definition Let (X, , ) be a measure space, and another measure on X with domain T. I will

call an indefinite-integral measure over , or sometimes a completed indefinite-integral measure,

if it can be obtained by the method of 234A from some non-negative virtually measurable function defined

almost everywhere on X. In this case I will call f a Radon-Nikodym derivative of with respect to .

As in 232Hf, the phrase density function is also used in this context.

234C Remarks Let (X, , ) be a measure space, and f a -virtually measurable non-negative real-

valued function defined almost everywhere on X; let be the associated indefinite-integral measure.

(a) There is a -measurable function g : X [0, [ such that f =a.e. g. P P Let H dom f be a

measurable conegligible set such

R that f H is Rmeasurable, and set g(x) = f (x) for x H, g(x) = 0 for

x X \ H. Q Q In this case, f E d = g E d if either is defined. So g is a Radon-Nikodym

derivative of , and has a Radon-Nikodym derivative which is -measurable and defined everywhere.

(b) If E is -negligible, then f E = 0 -a.e., so E = 0. But it does not follow that is absolutely

continuous with respect to in the - sense of 232Aa (234Xa).

(c) I have defined indefinite-integral measure in such a way as to produce a complete measure. In

my view this is what makes best sense in most applications. There are occasions

R on

R which it seems more

appropriate to use the measure 0 : [0, ] defined by setting 0 E = E f d = f E d for E .

I suppose I would call this the uncompleted indefinite-integral measure over defined by f . ( is

always the completion of 0 ; see 234Db.)

118 The Radon-Nikodym theorem 234Cd

R

(d) Note the wayR in which I formulated the definition of : E = f E d if the integral is defined,

rather than E = E f d. The point is that theRlonger formula gives a rule for deciding what the domain

of must be. Of course it is the case that E = E f d for every E dom (apply 214F to f E).

(e) Many authors are prepared to say is absolutely continuous with respect to in this context. If

is an indefinite-integral measure with respect to , then it is certainly true that E = 0 whenever E = 0,

as in 232Ba. If is not totally finite, however, it does not follow that limE0 E = 0, as required by the

definition in 232Aa, and further difficulties can arise if or is not -finite (see 234Ya-234Yc).

description of the domain of a measure constructed in this way.

Proposition Let (X, , ) be a measure space, f a non-negative -virtually measurable function defined

almost everywhere in X, and the associated indefinite-integral measure. Set G = {x : x dom f, f (x) >

0}, and let be the domain of the completion of . Then

(a) the domain T of is {E : E X, E G }; in particular, T .

(b) is the completion of its restriction to .

(c) A set A X is -negligible iff A G is -negligible.

(d) In particular, if itself is complete, then T = {E : E X, E G } and A = 0 iff (A G) = 0.

proof (a)(i) If E T, then f E is virtually measurable, so there is a conegligible measurable set

H dom f such that f EH is measurable. Now E G H = {x : x H, (f E)(x) > 0} must

belong to , while E G \ H is negligible, so belongs to , and E G .

(ii) If E G , let F1 , F2 be such that F1 E G F2 and F2 \ F1 is negligible. Let

H dom f be a conegligible set such that f H is measurable. Then H 0 = H \ (F2 \ F1 ) is conegligible and

f EH 0 = f F1 H 0 is measurable, so f E is virtually measurable and E T.

(b) Thus the given formula does indeed describe T. If E T, let F1 , F2 be such that F1 E G F2

and (F2 \ F1 ) = 0. Because G itself also belongs to , there are G1 , G2 such that G1 G G2 and

(G2 \G1 ) = 0. Set F20 = F2 (X\G1 ). Then F20 and F1 E F20 . But (F20 \F1 )G (G2 \G1 )(F2 \F1 )

is negligible, so (F20 \ F1 ) = 0.

This shows that if is the completion of and T is its domain, then T T. But as is complete, it

surely extends , so = , as claimed.

(c) Now take any A X. Because is complete,

A is -negligible

A = 0

Z

f A d = 0

f A = 0 -a.e.

A G is -negligible.

234E Corollary If (X, , ) is a complete measure space and G , then the indefinite-integral

measure over defined by G is just the measure G defined by setting

( G)(F ) = (F G) whenever F X and F G .

proof 234Dd.

*234F The next two results will not be relied on in this volume, but I include them for future reference,

and to give an idea of the scope of these ideas.

*234F Indefinite-integral measures 119

(a) If is semi-finite, so is .

(b) If is complete and locally determined, so is .

(c) If is localizable, so is .

(d) If is strictly localizable, so is .

(e) If is -finite, so is .

(f) If is atomless, so is .

proof By 234Ca, we may express as the indefinite integral of a -measurable function f : X [0, [.

Let T be the domain of , and the domain of the completion of ; set G = {x : x X, f (x) > 0} .

(a) Suppose that E T and that E = . Then E G cannot be -negligible. BecauseS is semi-

finite, there is a non-negligible F such that F E G and F1 < . Now F = nN {x : x F ,

2n f (x) n}, so there is an n N such that F 0 = {x : x F , 2n f (x) n} is non-negligible.

Because f is measurable, F 0 T and 2n F 0 F 0 nF 0 . Thus we have found an F 0 E such

that 0 < F 0 < . As E is arbitrary, is semi-finite.

(b) We already know that is complete (234Db) and semi-finite. Now suppose that E X is such that

E F T, that is, E F G (234Dd), whenever F T and F < . Then E G F whenever

F and F < . P P Set Fn = {x : x F S G, f (x) n}. Then Fn nF < , so E G Fn

for every n. But this means that E G F = nN E G Fn . Q Q Because is locally determined,

E G and E T. As E is arbitrary, is locally determined.

(c) Let F T be any set. Set E = {F G : F F }, so that E . By 212Ga, is localizable, so E has

an essential supremum H . But now, for any H 0 T, H 0 (X \ G) = (H 0 G) (X \ G) belongs to ,

so

(F \ H 0 ) = 0 for every F F

(F G \ H 0 ) = 0 for every F F

(E \ H 0 ) = 0 for every E E

(E \ (H 0 (X \ G))) = 0 for every E E

(H \ ((H 0 (X \ G))) = 0

(H G \ H 0 ) = 0

(H \ H 0 ) = 0.

So H is also an essential supremum of F in T. As F is arbitrary, is localizable.

(d) Let hXi iiI be a decomposition of X for ; then it is also a decomposition for (212Gb). Set

F0 = X \ G, Fn = {x : x G, n 1 < f (x) n} for n 1. Then hXi Fn iiI,nN is a decomposition for

. P P (i) hXi iiI and hFn inN are disjoint covers of X by members of T, so hXi Fn iiI,nN also is.

(ii) (Xi F0 ) = 0, (Xi Fn ) nXi < for i I, n 1. (iii) If E X and E Xi Fn T for every

S

i I and n N then E Xi G = nN E Xi Fn G belongs to for every i, so E G and E T.

(iv) If E T, then of course

P P

iI,nN (E Xi Fn ) = supJIN is finite (i,n)J (E Xi Fn ) E.

P

So if iI,nN (E Xi Fn ) = it is surely equal to E. If the sum is finite, then K = {i : i

R

I, (E Xi ) > 0} must be countable. But for i I \ K, EXi f d = 0, so f = 0 -a.e. on E Xi ,

S

that is, (E G Xi ) = 0. Because hXi iiI is a decomposition for , (E G iI\K Xi ) = 0 and

S

(E iI\K Xi ) = 0. But this means that

P P P

E = iK (E Xi ) = iK,nN (E Xi Fn ) = iI,nN (E Xi Fn ).

As E is arbitrary, hXi Fn iiI,nN is a decomposition for . Q

Q So is strictly localizable.

(e) If is -finite, then in (d) we can take I to be countable, so that I N is also countable, and will

be -finite.

120 The Radon-Nikodym theorem *234F

such that F R E G and neither F nor E G \ F is -negligible. But in this case both F = F f d and

(E \ F ) = E\F f d must be greater than 0 (122Rc). As E is arbitrary, is atomless.

*234G For localizable measures, there is a straightforward description of the associated indefinite-

integral measures.

Theorem Let (X, , ) be a localizable measure space. Then a measure , with domain T , is an

indefinite-integral measure over iff () is semi-finite and zero on -negligible sets () is the completion

of its restriction to () whenever E > 0 there is an F E such that F and F < and F > 0.

proof (a) If is an indefinite-integral measure over , then by 234Fa, 234Cb and 234Db it is semi-finite,

zero on -negligible sets and the completion of its restriction to . Now suppose that E T and E > 0.

Then there is an E0 such that E0 E and E0 = E, by 234Db. If f : X R is a -measurable

Radon-Nikodym derivative of , and G = {x : f (x) > 0}, then (G E0 ) > 0; because is semi-finite, there

is an F such that F G E0 and 0 < F < , in which case F > 0.

(b) So now suppose that satisfies the conditions.

(i) Set E = {E : E , E < }. For each E E, consider E : R, setting E G = (G E)

for every G . Then E is countably additive and truly continuous with respect to . P P E is countably

additive, just as in 231De. Because is zero on -negligible sets, E must be absolutely continuous with

respect to , by 232Ba. Since E clearly satisfies condition () of 232Bb,

R it must be truly continuous. Q

Q

By 232E, there is a -integrable function fE such that E G = G fE d for every G , and we may

suppose that fE is -measurable (232He). Because E is non-negative, fE 0 -almost everywhere.

(ii) If E, F E then fE = fF -a.e. on E F , because

R R

f d = G =

G E G

fF d

whenever G and G E F . Because (X, , ) is localizable, there is a measurable f : X R such

that fE = f -a.e. on E for every E E (213N). Because every fE is non-negative almost everywhere, we

may suppose that f is non-negative, since surely fE = f 0 -a.e. on E for every E E.

(iii) Let be the indefinite-integral measure defined by f . If E E then

R R

E = f d =

E E E

f d = E.

For E \ E, we have

E sup{F : F E, F E} = sup{F : F E, F E} = E =

because is semi-finite. Thus and agree on . But since each is the completion of its restriction to ,

they must be equal.

234X Basic exercises (a) Let be Lebesgue measure on [0, 1], and set f (x) = x1 for x > 0. Let be

the associated indefinite-integral

measure. Show that the domain of is equal to the domain of . Show

that for every 0, 12 there is a measurable set E such that E = but E = 1 .

(b) Let (X, , ) be a measure space, and an indefinite-integral measure over . Show that if is purely

atomic, so is .

(c) Let be a point-supported measure. Show that any indefinite-integral measure over is point-

supported.

234Y Further exercises (a) Let (X, , ) be a semi-finite measure space which is not localizable.

Show that there is a measure

R : [0, ] such that E E for every E but there is no measurable

function f such that E = E f d for every E .

(b) Let (X, , ) be a localizable measure space with locally determined negligible sets. Show that a

measure , with domain T , is an indefinite-integral measure over iff () is complete and semi-finite

and zero on -negligible sets () whenever E > 0 there is an F E such that F and F < and

F > 0.

235A Measurable transformations 121

(c) Give an example of a localizable measure space (X, , ) and a complete semi-finite measure on

X, defined on a -algebra T , zero on -negligible sets, and such that whenever E > 0 there is an

F E such that F and F < and F > 0, but is not an indefinite-integral measure over . (Hint:

216Yb.)

(d) Let (X, , ) be an atomless semi-finite measure space and an indefinite-integral measure over .

Show that the following are equiveridical: (i) for every > 0 there is a > 0 such that E whenever

E (ii) has a Radon-Nikodym derivative expressible as the sum of a bounded function and an integrable

function.

(e) Let (X, , ) be a localizable measure space, and a complete localizable measure on X, with domain

T , which is the completion of its restriction to . Show that if we set 1 F = sup{(F E) : E ,

E < } for every F T, then 1 is an indefinite-integral measure over , and there is a -conegligible set

H such that 1 F = (F H) for every F T.

(f ) Let (X, , ) be a measure space and an indefinite-integral measure over , with Radon-Nikodym

derivative f . Show that the c.l.d. version of is the indefinite-integral measure defined by f over the c.l.d.

version of .

234 Notes and comments I have taken this section very carefully because the ideas I wish to express here,

in so far as they extend the work of 232, rely critically on the details of the definition in 234A, and it is easy

to make a false step once we have left the relatively sheltered context of complete -finite measures. I believe

that if we take a little trouble at this point we can develop a theory (234C-234F) which will offer a smooth

path to later applications; to see what I have in mind, you can refer to the entries under indefinite-integral

measure in the index. For the moment I mention only a kind of Radon-Nikodym theorem for localizable

measures (234G).

I turn now to a topic which is separate from the Radon-Nikodym theorem, but which seems to fit better

here than in either of the next two chapters. I seek to give results which will generalize the basic formula of

calculus

R R

g(y)dy = g((x))0 (x)dx

in the context of a general transformation between measure spaces. The principal results are I suppose

235A/235E, which are very similar expressions of the basic idea, and 235L, which gives a general criterion

for a stronger result. A formulation from a different direction is in 235T.

235A I start with the basic result, which is already sufficient for a large proportion of the applications

I have in mind.

Theorem Let (X, , ) and (Y, T, ) be measure spaces, and : D Y , J : DJ [0, [ functions

defined on conegligible subsets D , DJ of X such that

R

J (1 [F ])d exists = F

whenever F T and F < . Then

R R

1 [H]

J g d exists = H

g d

for every -integrable function g taking values in [, ] and every H T, provided that we interpret

(J g)(x) as 0 when J(x) = 0 and g((x)) is undefined.

Pn

proof (a) If g is a simple function, say g = i=0 ai Fi where Fi < for each i, then

R Pn R Pn R

J g d = i=0 ai J (1 [Fi ]) d = i=0 ai Fi = g d.

122 The Radon-Nikodym theorem 235A

R

(b) If F = 0 then J (1 [F ]) = 0 so J = 0 a.e. on 1 [F ]. So if g is defined -a.e., J = 0 -a.e.

on X \ dom(g) = (X \ D ) 1 [Y \ dom g], and, on the convention proposed, J g is defined -a.e.

Moreover, if limn gn = g -a.e., then limn J gn = J g -a.e. So if hgn inN is a non-decreasing

sequence of simple functions converging almost everywhere to g, hJ gn inN will be an non-decreasing

sequence of integrable functions converging almost everywhere to J g; by B.Levis theorem,

R R R R

J g d exists = limn J gn d = limn gn d = g d.

R R R R R R

J g d = J g + d J g d = g + d g d = g d.

(d) This deals with the case H = Y . For the general case, we have

Z Z

g d = (g H)d

H

(131Fa)

Z Z Z

1

= J (g H) d = J g ( [H])d = J g d

1 [H]

by 214F.

0 undefined = 0

which I am applying to the interpretation of J g. This is the first of a number of technical points

which will concern us in this section. The point is that if g is defined -almost everywhere, then for any

extension of g to a function g1 : Y R we shall, on this convention, have J g = J g1 except on

{x : J(x) > 0, (x) Y \ dom g}, which is negligible; so that

R R R R

J g d = J g1 d = g1 d = g d

if g and g1 are integrable. Thus the convention is appropriate here, and while it adds a phrase to the

statements of many of the results of this section, it makes their application smoother. (But I ought to insist

that I am using this as a local convention only, and the ordinary rule 0 undefined = undefined will stand

elsewhere in this treatise unless explicitly overruled.)

(b) I have had to take care in the formulation of this theorem to distinguish between the hypothesis

R

J(x)(1 [F ])(x)(dx) exists = F whenever F <

and the perhaps more elegant alternative

R

1 [F ]

J(x)(dx) exists = F whenever F < ,

R R

which is not quite adequate for the theorem. (See 235S below.) Recall R that by A f I mean (f A)dA ,

where

R A is the subspace measure on A (214D). It is possible for A (f A)dA to be defined even when

f A d is not; for instance, take to be Lebesgue

R measure on [0, 1], A any non-measurable subset of

[0, 1], and f the constantRfunction with value 1; then A f =R A, but f A = A is not -integrable. It is

however the case that if f A d is defined, then so is A f , and the two are equal; this is a consequence

of 214F. While 235R shows that in most of the cases relevant to the present volume the distinction can be

passed over, it is important to avoid assuming that 1 [F ] is measurable for every F T. A simple example

is the following. Set X = Y = [0, 1]. Let be Lebesgue measure on [0, 1], and define by setting

T = {F : F [0, 1], F [0, 21 ] is Lebesgue measurable},

Set (x) = x for every x [0, 1]. Then we have

235E Measurable transformations 123

R R

F = F

J (1 [F ])d

J d =

for every F T, where J(x) = 2 for x [0, 12 ] and J(x) = 0 for x 12 , 1 . But of course there are subsets

F of [ 21 , 1] which are not Lebesgue measurable (see 134D), and such an F necessarily belongs to T, even

though 1 [F ] does not belong to the domain of .

The point here is that if F0 = 0 then we expect to have J = 0 on 1 [F0 ], and it is of no importance

whether 1 [F ] is measurable for F F0 .

R

235C Theorem 235A is concerned with integration, and accordingly the hypothesis J (1 [F ])d =

F looks only at sets F of finite measure. If we wish to consider measurability of non-integrable functions,

we need a slightly stronger hypothesis. I approach this version more gently, with a couple of lemmas.

Lemma Let , T be -algebras of subsets of X and Y respectively. Suppose that D X and that

: D Y is a function such that 1 [F ] D , the subspace -algebra, for every F T. Then g is

-measurable for every [, ]-valued T-measurable function g defined on a subset of Y .

proof Set C = dom g and B = dom g = 1 [C]. If a R, then there is an F T such that {y : g(y)

a} = F C. Now there is an E such that 1 [F ] = E D. So

{x : g(x) a} = B E B .

As a is arbitrary, g is -measurable.

235D Some of the results below are easier when we can move freely between measure spaces and their

completions (212C). The next lemma is what we need.

Lemma Let (X, , ) and (Y, T, ) be measure spaces, with completions (X, , ) and (Y, T, ). Let :

D Y ,RJ : DJ [0, [ be functions defined on conegligible subsets ofR X.

(a) If J (1 [F ])d = F whenever F T and F < , then J (1 [F ])d = F whenever

F T and

R F < . R

(b) If J (1 [F ])d = F whenever F T, then J (1 [F ])d = F whenever F T.

R

proof Both rely on the fact that either hypothesis is enough to ensure that J (1 [F ])d = 0 whenever

F = 0. Accordingly, if F is -negligible, so that there is an F 0 T such that F F 0 and F 0 = 0, we shall

have

R R

J (1 [F ])d = J (1 [F 0 ])d = 0.

But now, given any F T, there is an F0 T such that F0 F and (F \ F0 ) = 0, so that

Z Z

J ( [F ])d = J (1 [F ])d

1

Z Z

= J (1 [F0 ])d + J (1 [F \ F0 ])d

= F0 = F,

provided (for part (a)) that F < .

Remark Thus if we have the hypotheses of any of the principal results of this section valid for a pair of

non-complete measure spaces, we can expect to be able to draw some conclusion by applying the result to

the completions of the given spaces.

Theorem Let (X, , ) and (Y, T, ) be measure spaces, and : D Y , J : DJ [0, [ two functions

defined on conegligible subsets of X such that

R

J (1 [F ])d = F

for every F T, allowing as a value of the integral.

124 The Radon-Nikodym theorem 235E

(a) J g is -virtually measurable for every -virtually measurable function g defined on a subset of Y .

(b) RLet g be a -virtually

R measurable [, ]-valued function defined on a conegligible subset of Y .

Then J g d = g d whenever either integral is defined in [, ], if we interpret (J g)(x) as 0

when J(x) = 0 and g((x)) is undefined.

proof Let (X, , ) and (Y, T, ) be the completions of (X, , ) and (Y, T, ). By 235D,

R

J (1 [F ])d = F

for every F T. R Recalling

R that a real-valued function is -virtually measurable iff it is -measurable

(212Fa), and that f d = f d if either is defined in [, ] (212Fb), the conclusions we are seeking are

(a)0 J g is -measurable for every T-measurable function g defined on a subset of Y ;

R R

(b)0 J g d = g d whenever g is a T-measurable function defined almost everywhere

in Y and either integral is defined in [, ].

(a) When I write

R R

J D d = J (1 [Y ])d = Y ,

which is part of the hypothesis of this theorem, I mean to imply that J D is -virtually measurable,

that is, is -measurable. Because D is conegligible, it follows that J is -measurable, and its domain DJ ,

being conegligible, also belongs to . Set G = {x : x DJ , J(x) > 0} . Then for any set A X, J A

is -measurable iff A G . So the hypothesis is just that G 1 [F ] for every F T.

Now let g be a [, ]-valued function, defined on a subset C of Y , which is T-measurable. Applying

235C to G, we see that gG is -measurable, so (J g)G is -measurable. On the other hand, J g

is zero almost everywhere on X \ G, so (because G ) J g is -measurable, as required.

R

(b)(i) Suppose first that g 0. Then J g 0, so (a) tells us that J g is defined in [0, ].

R R R

() If g d < then J g d = g d by 235A.

) If there is some > 0 such that H = , where H = {y : g(y) }, then

(

R R

J g d J (1 [H])d = H = ,

so

R R

J g d = = g d.

( ) Otherwise,

Z Z

J g d sup{ J h d : h is -integrable, 0 h g}

Z Z

= sup{ h d : h is -integrable, 0 h g} = g d = ,

R R

so once again J d = g d.

(ii) For general real-valued g, apply (i) to g + and g where g + = 12 (|g| + g), g = 21 (|g| g); the point

is that (J g)+ = J g + and (J g) = J g , so that

R R R R R R

J g = J g+ J g = g+ g = g

if either side is defined in [, ].

235F Remarks (a) Of course there are two special cases of this theorem which between them carry all

its content: the case J 1 and the case in which X = Y and is the identity function. If J = X we are

very close to 235I below, and if is the identity function we are close to the indefinite-integral measures of

234.

235J Measurable transformations 125

R R

1 [F ]

J g d = F

g d

R

whenever F T and F

g d is defined in [, ].

235G Inverse-measure-preserving functions It is high time that I introduced the nearest thing in

measure theory to a morphism. If (X, , ) and (Y, T, ) are measure spaces, a function : X Y is

inverse-measure-preserving if 1 [F ] and 1 [F ] = F for every F T.

235H Proposition (a) Let (X, , ), (Y, T, ) and (Z, , ) be measure spaces, and : X Y ,

: Y Z two inverse-measure-preserving maps. Then : X Z is inverse-measure-preserving.

(b) Let (X, , ) be a measure space and T a -subalgebra of . Then the identity map is an inverse-

measure-preserving function from (X, , ) to (X, T, T).

(c) Let (X, , ) and (Y, T, ) be measure spaces with completions (X, , ) and (Y, T, ). Let be an

inverse-measure-preserving function from (X, , ) to (Y, T, ). Then is also inverse-measure-preserving

from (X, , ) to (Y, T, ).

proof (a) For any W ,

()1 [W ] = 1 [ 1 [W ]] = 1 [W ] = W .

(c) When we say that is inverse-measure-preserving for and , we are saying that the image measure

1 extends ; of course it follows that the image measure 1 extends . By 212Bd, 1 is complete

measure, so must extend ; that is, is inverse-measure-preserving for and .

Remark Of course (c) here can also be deduced from 235Db.

235I Theorem Let (X, , ) and (Y, T, ) be measure spaces and : X Y an inverse-measure-

preserving function. Then

(a) if g is a -virtually measurable [, ]-valued function defined on a subset of Y , g is -virtually

measurable;

R (b) if gR is a -virtually measurable [, ]-valued function defined on a conegligible subset of Y ,

g d = g d if either integral is defined in [, ];

(c) if g is Ra -virtually measurable

R [, ]-valued function defined on a conegligible subset of Y , and

F T, then 1 [F ] g d = F g d if either integral is defined in [, ].

proof (a) This follows immediately from 235Hc and 235C; in the notation of 235Hc, 1 [F ] for every

F T, so if g is T-measurable then g will be -measurable.

(b) Apply 235E with J = X; we have

R

J (1 [F ])d = 1 [F ] = F

for every F T, so

R R R

g = J g = g

if either integral is defined in [, ].

(c) Apply (b) to g F .

235J The image measure catastrophe Applications of 235A would run much more smoothly if we

could sayR R

g d exists and is equal to J g d for every g : Y R such that J g is -integrable.

Unhappily there is no hope of a universally applicable result in this direction. Suppose, for instance, that

is Lebesgue measure on Y = [0, 1], that X [0, 1] is a non-Lebesgue-measurable set of outer measure 1

(134D), that is the subspace measure X on X, and that (x) = x for x X. Then

1 F = (X F ) = F

126 The Radon-Nikodym theorem 235J

for every Lebesgue measurable set F Y , so we can take J =R X and the hypotheses of 235A R and 235E

will be satisfied. But if we write g = X : [0, 1] {0, 1}, then g d is defined even though g d is not.

The point here is that there is a set A Y such that (in the language of 235A/235E) 1 [A] but

A / T. This is the image measure catastrophe. The search for contexts in which we can be sure that

it does not occur will be one of the motive themes of Volume 4. For the moment, I will offer some general

remarks (235K-235L), and describe one of the important cases in which the problem does not arise (235M).

235K Lemma Let , T be -algebras of subsets of X, Y respectively, and a function from a subset

D of X to Y . Suppose that G X and that

T = {F : F Y, G 1 [F ] }.

Then a real-valued function g, defined on a member of T, is T-measurable iff G g is -measurable.

proof Because surely Y T, the hypothesis implies that G D = G 1 [Y ] belongs to .

Let g : C R be a function, where C T. Set B = dom(g) = 1 [C], and for a R set Fa = {y :

g(y) a},

Ea = G 1 [Fa ] = {x : x G B, g(x) a}.

Note that G B because C T.

(i) If g is T-measurable, then Fa T and Ea for every a. Now

G {x : x B, g(x) a} = G 1 [Fa ] = Ea ,

so {x : x B, (G g)(x) a} is either Ea or Ea (B \ G), and in either case is relatively -measurable

in B. As a is arbitrary, G g is -measurable.

(ii) If G g is -measurable, then, for any a R,

Ea = {x : x G B, (G g)(x) a}

because G B and G g is -measurable. So Fa T. As a is arbitrary, g is T-measurable.

235L Theorem Let (X, , ) and (Y, T, ) be complete measure spaces. Let : D Y , J : DJ

[0, [ be functions defined on conegligible subsets of X, and set G = {x : x DJ , J(x) > 0}. Suppose that

T = {F : F Y, G 1 [F ] },

R

F = J (1 [F ])d for every F T.

R R

Then, for any real-valued function g defined on a subset of Y , J g d = g d whenever either integral

is defined in [, ], provided that we interpret (J g)(x) as 0 when J(x) = 0 and g((x)) is undefined.

proof If g is T-measurable and defined almost everywhere, this is a consequence of 235E. So I have to show

that if J g is measurable and defined almost everywhere, so is g. Set W = Y \ dom g. Then J g is

undefined on G 1 [W ], because g is undefined there and we cannot take advantage of the escape clause

available when J = 0; so G 1 [W ] must be negligible, therefore measurable, and W T. Next,

R

W = J (1 [W ]) = 0

because J (1 [W ]) can be non-zero only on the negligible set G 1 [W ]. So g is defined almost

everywhere.

Note that the hypothesis surely implies that J D = J (1 [Y ]) is measurable, so that J is

measurable (because D is conegligible) and G . Writing K(x) = 1/J(x) for x G, 0 for x X \ G,

the function K : X R is measurable, and

G g = K J g

is measurable. So 235K tells us that g must be measurable, and were done.

Remark When J = X, the hypothesis of this theorem becomes

T = {F : F Y, 1 [F ] }, F = 1 [F ] for every F T;

that is, is the image measure 1 as defined in 112E.

235O Measurable transformations 127

235M Corollary Let (X, , ) be a complete measure space, and J a non-negative measurable function

defined on a conegligible subset of X. Let be the associated indefinite-integral measure, and T its domain.

ThenR for any Rreal-valued function g defined on a subset of X, g is T-measurable iff J g is -measurable,

and g d = J g d if either integral is defined in [, ], provided that we interpret (J g)(x) as 0

when J(x) = 0 and g(x) is undefined.

proof Put 235L, taking Y = X and the identity function, together with 234Dd.

235N Applying the Radon-Nikodym theorem In order to use 235A-235L effectively, we need to

be able to find suitable functions J. This can be difficult some very special examples will take up most of

Chapter 26 below. But there are many circumstances in which we can be sure that such J exist, even if we do

not

R know what they are. A minimal requirement is that if F < and 1 [F ] = 0 then F = 0, because

1

J ( [F ])d will be zero for any J. A sufficient condition, in the special case of indefinite-integral

measures, is in 234G. Another is the following.

235O Theorem Let (X, , ) be a -finite measure space, (Y, T, ) a semi-finite measure space, and

: D Y a function such that

(i) D is a conegligible subset of X,

(ii) 1 [F ] for every F T;

(iii) 1 [F ] > 0 whenever F T and F > 0. R

Then there is a -measurable function J : X [0, [ such that J 1 [F ] d = F for every F T.

proof (a) To begin with (down to the end of (c) below) let us suppose that D = X and that is totally

finite.

Set T = {1 [F ] : F T} . Then T is a -algebra of subsets of X. P

P (i)

= 1 [] T.

(ii) If E T, take F T such that E = 1 [F ], so that

X \ E = 1 [Y \ F ] T.

(iii) If hEn inN is any sequence in T, then for each n N choose Fn T such that En = 1 [Fn ]; then

S 1

S

nN En = [ nN Fn ] T. Q

Q

Next, we have a totally finite measure : T [0, Y ] given by setting

(1 [F ]) = F for every F T.

P (i) If F , F 0 T and 1 [F ] = 1 [F 0 ], then 1 [F 4F 0 ] = , so (1 [F 4F 0 ]) = 0 and (F 4F 0 ) = 0;

P

consequently F = F 0 . This shows that is well-defined. (ii) Now

= (1 []) = = 0.

(iii) If hEn inN isSa disjoint sequence in T, let hFn inN be a sequence in T such that En = 1 [Fn ] for each

n; set Fn0 = Fn \ m<n Fm for each n; then En = 1 [Fn0 ] for each n, so

S S S P P

( nN En ) = (1 [ nN Fn0 ]) = ( nN Fn0 ) = n=0 Fn0 = n=0 En . Q Q

Finally, observe that if E > 0 then E > 0, because E = 1 [F ] where F > 0.

R

(b) By 215B(ix) there is a -measurable function h : X ]0, [ such that h d is finite. Define

R

: T [0, [ by setting E = E h d for every E T; then is a totally finite measure. If E T

and E = 0, then (because h is strictly positive) E = 0 and E = 0. Accordingly we may apply the

RRadon-Nikodym theorem to and to see that there is a T-measurable function g : X R such that

E

g d = E for every E T. Because is non-negative, we may suppose that g 0.

(c) Applying 235A to , , h and the identity function from X to itself, we see that

R R

E

g h d = E

g d = E

for every E T, that is, that

128 The Radon-Nikodym theorem 235O

R

J (1 [F ])d = F

for every F T, writing J = g h.

(d) This completes the proof when is totally finite and D = X. For the general case, if Y = then

X = 0 and the result is trivial. Otherwise, let be any extension of to a function from X to Y which is

constant on X \ D; then 1 [F ] for every F T, because D = 1 [Y ] and 1 [F ] is always either

1 [F ] or (X \ D) 1 [F ]. Now must be -finite. P P Use the criterion of 215B(ii). If F is a disjoint

family in {F : F T, 0 < F < }, then E = {1 [F ] : F F} is a disjoint family in {E : E > 0}, so E

and F are countable. Q Q

Let hYn inN be a partition of Y into sets of finite -measure, and for each n N set n F = (F Yn ) for

every F T. Then n is a totally finite measure on Y , and if n F > 0 then F > 0 so

1 [F ] = 1 [F ] > 0.

Accordingly , and n satisfy the assumptions of the theorem together with those of (a) above, and there

is a -measurable function Jn : X [0, [ such that

R

n F = Jn (1 [F ])d

P

for every F T. Now set J = n=0 Jn (1 [Yn ]), so that J : X [0, [ is -measurable. If F T,

then

Z Z

X

1

J ( [F ])d = Jn (1 [Yn ]) (1 [F ])d

n=0

X Z

X

= Jn (1 [F Yn ])d = (F Yn ) = F,

n=0 n=0

as required.

235P Remark Theorem 235O can fail if is only strictly localizable rather than -finite. P

P Let X = Y

be an uncountable set, = PX, counting measure on X (112Bd), T the countable-cocountable -algebra

of Y , the countable-cocountable measure on Y (211R), : X Y the identity map. Then 1 [F ]

and 1 [F ] > 0 whenever F > 0. But if J is any -integrable function on X, then F = {x : J(x) 6= 0} is

countable and

R

(Y \ F ) = 1 6= 0 = 1 [Y \F ]

J d. Q

Q

*235Q There are some simplifications in the case of -finite spaces; in particular, 235A and 235E

become conflated. I will give an adaptation of the hypotheses of 235A which may be used in the -finite

case. First a lemma.

Lemma

R LetR(X, , )Rbe a measure space and f a non-negative integrable function on X. If A X is such

that A f + X\A f = f , then f A is integrable.

proof By 214Eb, there are -integrable functions f1 , f2 such that f1 extends f A, f2 extends f X \ A, and

R R R R

f = EA f ,

E 1

f = E\A f

E 2

R R

for every E . Because f is non-negative, E f1 and E f2 are non-negative for every E , and f1 , f2

are non-negative a.e. Accordingly we have f A a.e. f1 and f (X \ A) a.e. f2 , so that f a.e. f1 + f2 .

But also

R R R R R R

f1 + f2 = X

f1 + X

f2 = A

f+ X\A

f= f,

so f =a.e. f1 + f2 . Accordingly

f1 =a.e. f f2 a.e. f f (X \ A) = f A a.e. f1

and f A =a.e. f1 is integrable.

*235S Measurable transformations 129

*235R Proposition Let (X, , ) be a complete measure space and (Y, T, ) a complete -finite measure

space. SupposeR that : D Y , J : DJ [0, [ are functions defined on conegligible subsets D , DJ of

X such that 1 [F ] J d exists and is equal to F whenever F T and F < .

(a) J g is -measurable for every T-measurable real-valued function g defined onR a subset of Y R.

(b) If g is a T-measurable real-valued function defined almost everywhere in Y , then J g d = g d

whenever either integral is defined in [, ], interpreting (J g)(x) as 0 when J(x) = 0, g((x)) is

undefined.

proof The point is that the hypotheses of 235E are satisfied. To see this, let us write C = {E C : E }

and C = C for the subspace measure on C, for each C X. Let hYn inN be a non-decreasing sequence

of sets with union Y and with Yn < for every n N, starting from Y0 = .

(i) Take any F T with F < , and set Fn = F Yn for each n N; write Cn = 1 [Fn ].

Fix n for the moment. Then our hypothesis implies that

R R R

C0

J d + Cn \C0

J d = F + (Fn \ F ) = Fn = Cn

J d.

If we regard the subspace measures on C0 and Cn \ C0 as derived from the measure Cn of Cn (214Ce), then

235Q tells us that J C0 is Cn -integrable, and there is a -integrable function hn such that hn extends

(J C0 )Cn .

Let E be a -conegligible set, included in the domain D of , such

S that hn E is -measurable for every

n. Because hCn inN is a non-decreasing sequence with union 1 [ nN Fn ] = D ,

(J C0 )(x) = limn hn (x)

for every x E, and (J C0 )E is measurable. At the same time, we know that there is a -integrable h

extending JC0 , and 0 a.e. J C0 a.e. |h|. Accordingly J C0 is integrable, and (using 214F)

R R R

J 1 [F ] d = J C0 d = C0

JC0 dC0 = F .

R R

J (1 [F ]) d = limn J (1 [F Yn ]) d = limn (F Yn ) = F .

So the hypotheses of 235E are satisfied, and the result follows at once.

R can arise in 235A, for general measure spaces, if we speak

of 1 [F ]

J d in the hypothesis, in place of J (1 [F ])d. Here is an example.

Example Set X = Y = [0, 2]. Write L for the algebra of Lebesgue measurable subsets of R, and L for

Lebesgue measure; write c for counting measure on R. Set

= T = {E : E [0, 2], E [0, 1[ L };

of course this is a -algebra of subsets of [0, 2]. For E = T, set

E = E = L (E [0, 1[) + c (E [1, 2]);

then is a complete measure in effect, it is the direct sum of Lebesgue measure on [0, 1[ and counting

measure on [1, 2] (see 214K). It is easy to see that

B = L (B [0, 1[) + c (B [1, 2])

for every B [0, 2]. Let A [0, 1[ be a non-Lebesgue-measurable set such that L (E \ A) = L E for every

Lebesgue measurable E [0, 1[ (see 134D). Define : [0, 2] [0, 2] by setting (x) = x + 1 if x A,

(x) = x if x [0, 2] \ A.

If F , then (1 [F ]) = F . PP (i) If F [1, 2] is finite, then F = L (F [0, 1]) + #(F [1, 2]).

Now

1 [F ] = (F [0, 1[ \ A) (F [1, 2]) {x : x A, x + 1 F };

as the last set is finite, therefore -negligible,

(1 [F ]) = L (F [0, 1[ \ A) + #(F [1, 2]) = L (F [0, 1[) + #(F [1, 2]) = F .

130 The Radon-Nikodym theorem *235S

(1 [F ]) = = F . Q

Q

This means that if we set J(x) = 1 for every x [0, 2],

R

1 [F ]

J d = 1 [F ] (1 [F ]) = (1 [F ]) = F

R , J satisfy the amended hypotheses for 235A. But if we set g = [0, 1[, then g is

-integrable, with g d = 1, while

J(x)g((x)) = 1 if x [0, 1] \ A, 0 otherwise,

so, because A

/ , J g is not measurable, and therefore (since is complete) not -integrable.

235T Reversing the burden Throughout the work above, I have been using the formula

R R

J g = g,

as being the natural extension of the formula

R R

g= g 0

of ordinary advanced calculus. But we can also move the derivative J to the other side of the equation, as

follows.

Theorem

R Let (X, , ), (Y, T, ) be measure spaces and : X Y , J : YR [0, [Rfunctions such that

F

J d and 1 [F ] are defined in [0, ] and equal for every F T. Then g d = J g d whenever

g is -virtually measurable and defined -almost everywhere and either integral is defined in [, ].

proof Let 1 be the indefinite-integral measure over defined by J, R and the completion of . Then is

P If F T, then 1 F = F J d = 1 [F ]; that is, is inverse-

inverse-measure-preserving for and 1 . P

measure-preserving for and 1 T. Since 1 is the completion of 1 T (234Db), is inverse-measure-

preserving for and 1 (235Hc). Q Q

Of course we can also regard 1 as being an indefinite-integral measure over the completion of (212Fb).

So if g is -virtually measurable and defined -almost everywhere,

R R R R R

J g d = J g d = g d1 = g d = g d

if any of the five integrals is defined in [, ], by 235M, 235Ib and 212Fb again.

235X Basic exercises (a) Explain what 235A tells us when X = Y , T = , is the identity function

and E = E for every E .

(b) Let (X, , ) be a measure space, J an integrable non-negative real-valued function on X, and

: D R a measurable function, where D is a conegligible subset of X. Set

R

g(a) = {x:(x)a}

J

R R

for a R, and let g be the Lebesgue-Stieltjes measure associated with g. Show that J f d = f dg

for every g -integrable real function f .

(c) Let , T and be -algebras of subsets of X, Y and Z respectively. Let us say that a function

: A Y , where A X, is (, T)-measurable if 1 [F ] A , the subspace -algebra of A, for every

F T. Suppose that A X, B Y , : A Y is (, T)-measurable and : B Z is (T, )-measurable.

Show that is (, )-measurable. Deduce 235C.

(d) Let (X, , ) be a measure space and (Y, T, ) a semi-finite measure space. LetR : D Y and

J : DJ [0, [ be functions defined on conegligible subsets D , DJ of X such that J (1 [F ])d

exists = F whenever F T and F < . Let g be a T-measurable real-valued function, defined on a

conegligible subset of Y . Show that J g is -integrable iff g is -integrable, and the integrals are then

equal, provided we interpret (J g)(x) as 0 when J(x) = 0 and g((x)) is undefined.

235Yc Measurable transformations 131

> (e) Let (X, , ) and (Y, T, ) be measure spaces and : X Y an inverse-measure-preserving function.

(i) Show that is totally finite, or a probability measure, iff is. (ii) Show that if is -finite, so is . (iii)

Show that if is semi-finite and is -finite, then is -finite. (Hint: use 215B(iii).) (iv) Show that if is

purely atomic and is semi-finite then is purely atomic. (vi) Show that if is -finite and atomless then

is atomless.

(f ) Let (X, , ) be a measure space and E . Define a measure E on X by setting ( E)(F ) =

(E F ) Rwhenever F RX is such that F E . Show that, for any function f from a subset of X to

[, ], f d( E) = E f d if either is defined in [, ].

> (g) Let g : R R be a non-decreasing function which is absolutely continuous on every closed bounded

interval, and let g be the associated Lebesgue-Stieltjes measure

R (114Xa,

R 225Xf). Write for Lebesgue

measure on R, and let f : R R be a function. Show that f g 0 d = f dg in the sense that if one of

the integrals exists, finite or infinite, so does the other, and they are then equal.

(h) Let g : R R be a non-decreasing function and J a non-negative R real-valued g -integrable function,

where g is the Lebesgue-Stieltjes measure defined from g. Set h(x) = ],x] J dg for each x R, and let

R R

h be the Lebesgue-Stieltjes measure associated with h. Show that, for any f : R R, f J dg = f dh ,

in the sense that if one of the integrals is defined in [, ] so is the other, and they are then equal.

> (i) Let X be a set and , , three measures on X such that is an indefinite-integral measure over

, with Radon-Nikodym derivative f , and is an indefinite-integral measure over , with Radon-Nikodym

derivative g. Show that is an indefinite-integral measure over , and that f g is a Radon-Nikodym

derivative of with respect to , provided we interpret (f g)(x) as 0 when f (x) = 0 and g(x) is undefined.

R

(j) In 235O, if is not semi-finite, show that we can still find a J such that 1 [F ] J d = F for every

set F of finite measure. (Hint: use the semi-finite version of , as described in 213Xc.)

(k) Let (X, , ) be a -finite measure space, and T a -subalgebra of . Let : T R be a countably

additive functional such

R that F = 0 whenever F T and F = 0. Show that there is a -integrable

function f such that F f d = F for every F T. (Hint: use the method of 235O, applied to the positive

and negative parts of .)

(l) Let (X, , ) and (Y, T, ) be measure spaces, with completions (X, , ) and (Y, T,R ). Let : D

Y , J : DJ [0, [ be functions defined on conegligible subsets of X. Show that if 1 [F ] J d = F

R

whenever F T and F < , then 1 [F ] J d = F whenever F T and F < . Hence, or otherwise,

show that 235Rb is valid for non-complete spaces (X, , ) and (Y, T, ).

235Y Further exercises (a) Write for Lebesgue measure on Y = [0, 1], and T for its domain. Let

A [0, 1] be a set such that A = ([0, 1] \ A) = 1, and set X = [0, 1] {x + 1 : x A} {x + 2 : x

[0, 1] \ A}. Let LX be the subspace measure induced on X by Lebesgue measure, and set E = 31 LX E

for E = dom LX . Define : X Y by writing (x) = x if x [0, 1], (x) = x 1 if x X ]1, 2]

and (x) = x 2 if x X ]2, 3]. Show that T = {F : F Y, 1 [F ] }, that F = 1 [F ] for every

F T, but that A > 1 [A].

(b) Write T for the algebra of Borel subsets of Y = [0, 1], and for the restriction of Lebesgue measure

to T. Let A [0, 1] be a set such that both A and [0, 1] \ A have Lebesgue outer measure 1, and set

X = A [1, 2]. Let be the algebra of relatively Borel subsets of X, and set E = A (A E) for E ,

where A is the subspace measure induced on A by Lebesgue measure. Define : X Y by setting

(x) = x if x A, x 1 if x X \ A. Show that T = {F : F Y, 1 [F ] } and that is inverse-

measure-preserving, but that, setting g = ([0, 1] \ A), g is -integrable while g is not -integrable.

(c) Let (X, ,

R ) be a probability space and T a -subalgebra of . Let f be a non-negative -integrable

function with f d = 1, so that its indefinite-integral measure is a probability measure. Let g be a

-integrable real-valued function and set h = f g, intepreting h(x) as 0 if f (x) = 0 and g(x) is undefined.

Let f1 , h1 be conditional expectations of f , h on T with respect to the measure , and set g1 = h1 /f1 ,

interpreting g1 (x) as 0 if h1 (x) = 0 and f1 (x) is either 0 or undefined. Show that g1 is a conditional

expectation of g on T with respect to the measure .

132 The Radon-Nikodym theorem 235 Notes

235 Notes and comments I see that I have taken up a great deal of space in this section with technicalities;

the hypotheses of the theorems vary erratically, with completeness, in particular, being invoked at apparently

arbitrary intervals, and ideas repeat themselves in a haphazard pattern. There is nothing deep, and most

of the work consists in laboriously verifying details. The trouble with this topic is that it is useful. The

results here are abstract expressions of integration-by-substitution; they have applications all over measure

theory. I cannot therefore content myself with theorems which will elegantly express the underlying ideas,

but must seek formulations which I can quote in later arguments.

I hope that the examples in 235Bb, 235J, 235P, 235S, 235Ya and 235Yb will go some way to persuade

you that there are real traps for the unwary, and that the careful verifications written out at such length

are necessary. On the other hand, it is happily the case that in simple contexts, in which the measures ,

are -finite and the transformations are Borel isomorphisms, no insuperable difficulties arise, and in

particular the image measure catastrophe does not trouble us. But for further work in this direction I refer

you to the applications in 263, 265 and 271, and to Volume 4.

One of the striking features of measure theory, compared with other comparably abstract branches of pure

mathematics, is the relative unimportance of any notion of morphism. The theory of groups, for instance,

is dominated by the concept of homomorphism, and general topology gives a similar place to continuous

function. In my view, the nearest equivalent in measure theory is the idea of inverse-measure-preserving

function (235G). I mean in Volumes 3 and 4 to explore this concept more thoroughly. In this volume I will

content myself with signalling such functions when they arise, and with the basic facts listed in 235H-235I.

241B L0 and L0 133

Chapter 24

Function spaces

The extraordinary power of Lebesgues theory of integration is perhaps best demonstrated by its ability

to provide structures relevant to questions quite different from those to which it was at first addressed.

In this chapter I give the constructions, and elementary properties, of some of the fundamental spaces of

functional analysis.

I do not feel called on here to justify the study of normed spaces; if you have not met them before, I

hope that the introduction here will show at least that they offer a basis for a remarkable fusion of algebra

and analysis. The fragments of the theory of metric spaces, normed spaces and general topology which

we shall need are sketched in 2A2-2A5. The principal function spaces described in this chapter in fact

combine three structural elements: they are (infinite-dimensional) linear spaces, they are metric spaces, with

associated concepts of continuity and convergence, and they are ordered spaces, with corresponding notions

of supremum and infimum. The interactions between these three types of structure provide an inexhaustible

wealth of ideas. Furthermore, many of these ideas are directly applicable to a wide variety of problems in

more or less applied mathematics, particularly in differential and integral equations, but more generally in

any system with infinitely many degrees of freedom.

I have laid out the chapter with sections on L0 (the space of equivalence classes of all real-valued mea-

surable functions, in which all the other spaces of the chapter are embedded), L1 (equivalence classes of

integrable functions), L (equivalence classes of bounded measurable functions) and Lp (equivalence classes

of pth-power-integrable functions). While ordinary functional analysis gives much more attention to the

Banach spaces Lp for 1 p than to L0 , from the special point of view of this book the space L0 is at

least as important and interesting as any of the others. Following these four sections, I return to a study

of the standard topology on L0 , the topology of convergence in measure (245), and then to two linked

sections on uniform integrability and weak compactness in L1 (246-247).

There is a technical point here which must never be lost sight of. While it is customary and natural to call

L1 , L2 and the others function spaces, their elements are not in fact functions, but equivalence classes of

functions. As you see from the language of the preceding paragraph, my practice is to scrupulously maintain

the distinction; I give my reasons in the notes to 241.

241 L0 and L0

The chief aim of this chapter is to discuss the spaces L1 , L and Lp of the following three sections.

However it will be convenient to regard all these as subspaces of a larger space L0 of equivalence classes of

(virtually) measurable functions, and I have collected in this section the basic facts concerning the ordered

linear space L0 .

It is almost the first principle of measure theory that sets of measure zero can often be ignored; the

phrase negligible set itself asserts this principle. Accordingly, two functions which agree almost everywhere

may often (not always!) be treated as identical. A suitable expression of this idea is to form the space

of equivalence classes of functions, saying that two functions are equivalent if they agree on a conegligible

set. This is the basis of all the constructions of this chapter. It is a remarkable fact that the spaces

of equivalence classes so constructed are actually better adapted to certain problems than the spaces of

functions from which they are derived, so that once the technique has been mastered it is easier to do ones

thinking in the more abstract spaces.

241A The space L0 : Definition It is time to give a name to a set of functions which has already been

used more than once. Let (X, , ) be any measure space. I write L0 , or L0 (), for the space of real-valued

functions f defined on conegligible subsets of X which are virtually measurable, that is, such that f E is

measurable for some conegligible set E X. Recall that f is -virtually measurable iff it is measurable for

the completion of (212Fa).

134 Function spaces 241B

241B Basic properties If (X, , ) is any measure space, then we have the following facts, correspond-

ing to the fundamental properties of measurable functions listed in 121 of Volume 1. I work through them

in order, so that if you have Volume 1 to hand you can see what has to be missed out.

(a) A constant real-valued function defined almost everywhere in X belongs to L0 (121Ea).

(b) f + g L0 for all f , g L0 (for if f F and gG are measurable, then (f + g)(F G) = (f F ) + (gG)

is measurable)(121Eb).

(c) cf L0 for all f L0 , c R (121Ec).

(d) f g L0 for all f , g L0 (121Ed).

(e) If f L0 and h : R R is Borel measurable, then hf L0 (121Eg).

(f) If hfn inN is a sequence in L0 and f = limn fn is defined (as a real-valued function) almost

everywhere in X, then f L0 (121Fa).

(g) If hfn inN is a sequence in L0 and f = supnN fn is defined (as a real-valued function) almost

everywhere in X, then f L0 (121Fb).

(h) If hfn inN is a sequence in L0 and f = inf nN fn is defined (as a real-valued function) almost

everywhere in X, then f L0 (121Fc).

(i) If hfn inN is a sequence in L0 and f = lim supnN fn is defined (as a real-valued function) almost

everywhere in X, then f L0 (121Fd).

(j) If hfn inN is a sequence in L0 and f = lim inf nN fn is defined (as a real-valued function) almost

everywhere in X, then f L0 (121Fe).

(k) L0 is just the set of real-valued functions, defined on subsets of X, which are equal almost everywhere

to some -measurable function from X to R. P P (i) If g : X R is -measurable and f =a.e. g, then

F = {x : x dom f, f (x) = g(x)} is conegligible and f F = gF is measurable (121Eh), so f L0 . (ii) If

f L0 , let E X be a conegligible set such that f E is measurable. Then D = E dom f is conegligible

and f D is measurable, so there is a measurable h : X R agreeing with f on D (121I); and h agrees with

f almost everywhere. Q Q

241C The space L0 : Definition Let (X, , ) be any measure space. Then =a.e. is an equivalence

relation on L0 . Write L0 , or L0 (), for the set of equivalence classes in L0 under =a.e. . For f L0 , write

f for its equivalence class in L0 .

241D The linear structure of L0 Let (X, , ) be any measure space, and set L0 = L0 (), L0 =

0

L ().

addition on L0 by setting f + g = (f + g) for all f , g L0 .

(b) If f1 , f2 L0 and f1 =a.e. f2 , then cf1 =a.e. cf2 for every c R. Accordingly we may define scalar

multiplication on L0 by setting c.f = (cf ) for all f L0 , c R.

(c) Now L0 is a linear space over R, with zero 0 , where 0 is the function with domain X and constant

value 0, and negatives f = (f ) . P

P (i)

f + (g + h) = (f + g) + h for all f , g, h L0 ,

so

u + (v + w) = (u + v) + w for all u, v, w L0 .

(ii)

f + 0 = 0 + f = f for every f L0 ,

so

u + 0 = 0 + u = u for every u L0 .

(iii)

f + (f ) =a.e. 0 for every f L0 ,

241Ed L0 and L0 135

so

f + (f ) = 0 for every f L0 .

(iv)

f + g = g + f for all f , g L0 ,

so

u + v = v + u for all u, v L0 .

(v)

c(f + g) = cf + cg for all f , g L0 and c R,

so

c(u + v) = cu + cv for all u, v L0 and c R.

(vi)

(a + b)f = af + bf for all f L0 , a, b R,

so

(a + b)u = au + bu for all u L0 , a, b R.

(vii)

(ab)f = a(bf ) for all f L0 , a, b R,

so

(ab)u = a(bu) for all u L0 , a, b R.

(viii)

1f = f for all f L0 ,

so

1u = u for all u L0 . Q

Q

241E The order structure of L0 Let (X, , ) be any measure space and set L0 = L0 (), L0 = L0 ().

define a relation on L0 by saying that f g iff f a.e. g.

(b) Now is a partial ordering on L0 . P P (i) If f , g, h L0 and f a.e. g and g a.e. h, then f a.e. h.

Accordingly u w whenever u, v, w L and u v, v w. (ii) If f L0 then f a.e. f ; so u u for

0

every u L0 . (iii) If f , g L0 and f a.e. g and g a.e. f , then f =a.e. g, so if u v and v u then u = v.

Q

Q

(c) In fact L0 , with , is a partially ordered linear space, that is, a (real) linear space with a partial

ordering such that

if u v then u + w v + w for every w,

if 0 u then 0 cu for every c 0.

P (i) If f , g, h L0 and f a.e. g, then f + h a.e. g + h. (ii) If f L0 and f a.e. 0, then cf a.e. 0 for

P

every c 0. Q Q

(d) More: L0 is a Riesz space or vector lattice, that is, a partially ordered linear space such that

u v = sup{u, v}, u v = inf{u, v} are defined for all u, v L0 . P

P Take f , g L0 such that f = u,

0

g = v. Then f g, f g L , writing

for x dom f dom g. (Compare 241Bg-h.) Now, for any h L0 , we have

136 Function spaces 241Ed

so for any w L0 we have

(f g) w u w and v w,

w (f g) w u and w v.

Thus we have

(f g) = sup{u, v} = u v, (f g) = inf{u, v} = u v

in L0 . Q

Q

If f , g L0 , c R then

1

|cf | = |c||f |, f g = (f + g + |f g|),

2

1

f g = (f + g |f g|), |f + g| a.e. |f | + |g|,

2

so

1

|cu| = |c||u|, u v = (u + v + |u v|),

2

1

u v = (u + v |u v|), |u + v| |u| + |v|

2

for all u, v L0 .

(f ) A special notation is often useful. If f is a real-valued function, set f + (x) = max(f (x), 0), f (x) =

max(f (x), 0) for x dom f , so that

f = f + f , |f | = f + + f = f + f ,

all these functions being defined on dom f . In L0 , the corresponding operations are u+ = u0, u = (u)0,

and we have

u = u+ u , |u| = u+ + u = u+ u , u+ u = 0.

(g) It is perhaps obvious, but I say it anyway: if u 0 in L0 , then there is an f 0 in L0 such that

f = u. P

P Take any g L0 such that u = g , and set f = g 0. Q

Q

241F Riesz spaces There is an extensive abstract theory of Riesz spaces, which I think it best to leave

aside for the moment; a general account may be found in Luxemburg & Zaanen 71 and Zaanen 83; my

own book Fremlin 74 covers the elementary material, and Chapter 35 in the next volume repeats the most

essential ideas. For our purposes here we need only a few definitions and some simple results which are most

easily proved for the special cases in which we need them, without reference to the general theory.

(a) A Riesz space U is Archimedean if whenever u U , u > 0 (that is, u 0 and u 6= 0), and v U ,

there is an n N such that nu 6 v.

(b) A Riesz space U is Dedekind -complete (or -order-complete, or -complete) if every non-

empty countable set A U which is bounded above has a least upper bound in U .

(c) A Riesz space U is Dedekind complete (or order complete, or complete) if every non-empty set

A U which is bounded above in U has a least upper bound in U .

241G L0 and L0 137

Theorem Let (X, , ) be a measure space. Set L0 = L0 ().

(a) L0 is Archimedean and Dedekind -complete.

(b) If (X, , ) is semi-finite, then L0 is Dedekind complete iff (X, , ) is localizable.

proof Set L0 = L0 ().

(a)(i) If u, v L0 and u > 0, express u as f and v as g where f , g L0 . Then E = {x : x

dom f, f (x) > 0} is not negligible. So there is an n N such that

En = {x : x dom f dom g, nf (x) > g(x)}

S

is not negligible, since E dom g nN En . But now nu 6 v. As u and v are arbitrary, L0 is Archimedean.

(ii) Now let A L0 be a non-empty countable set with an upper bound w in L0 . Express A as

{fn : n N} where hfn inN is a sequence in L0 ,Tand w as h where h L0 . Set f = supnN fn . Then we

have f (x) defined in R at any point x dom h nN dom fn such that fn (x) h(x) for every n N, that

is, for almost every x X; so f L0 (241Bg). Set u = f L0 . If v L0 , say v = g where g L0 , then

un v for every n N

for every n N, fn a.e. g

for almost every x X, fn (x) g(x) for every n N

f a.e. g u v.

Thus u = supnN un in L0 . As A is arbitrary, L0 is Dedekind -complete.

(b)(i) Suppose that (X, , ) is localizable. Let A L0 be any non-empty set with an upper bound

w0 L0 . Set

A = {f : f is a measurable function from X to R, f A},

then every member of A is of the form f for some f A (241Bk). For each q Q, let Eq be the family

of subsets of X expressible in the form {x : f (x) q} for some f A; then Eq . Because (X, , ) is

localizable, there is a set Fq which is an essential supremum for Eq . For x X, set

g (x) = sup{q : q Q, x Fq },

allowing as the supremum of a set which is not bounded above, and as sup . Then

S

{x : g (x) > a} = qQ,q>a Fq

for every a R.

If f A, then f a.e. g . P

P For each q Q, set

Eq = {x : f (x) q} Eq ;

S

then Eq \ Fq is negligible. Set H = qQ (Eq \ Fq ). If x X \ H, then

f (x) q = g (x) q,

so f (x) g (x); thus f a.e. g . Q

Q

If h : X R is measurable and u h for every u A, then g a.e. h. P P Set Gq = {x : h(x) q}

for each q Q. If E Eq , there is an f A such that E = {x : f (x) q}; now f a.e. h, so

E \ Gq {x : f (x) > h(x)} is negligible. Because Fq is an essential supremum for Eq , Fq \ Gq is negligible;

and this is true for every q Q. Consequently

S

{x : h(x) < g (x)} qQ Fq \ Gq

is negligible, and g a.e. h. Q

Q

Now recall that we are assuming that A 6= and that A has an upper bound w0 L0 . Take any f0 A

and a measurable h0 : X R such that h0 = w0 ; then f a.e. h0 for every f A, so f0 a.e. g a.e. h0 ,

and g must be finite a.e. Setting g(x) = g (x) when g (x) R, we have g L0 and g =a.e. g , so that

f a.e. g a.e. h

138 Function spaces 241G

whenever f , h are measurable functions from X to R, f A and h is an upper bound for A; that is,

u g w

whenever u A and w is an upper bound for A. But this means that g is a least upper bound for A in L0 .

As A is arbitrary, L0 is Dedekind complete.

(ii) Suppose that L0 is Dedekind complete. We are assuming that (X, , ) is semi-finite. Let E be any

subset of . Set

A = {0} {(E) : E E} L0 .

Then A is bounded above by (X) so has a least upper bound w L0 . Express w as h where h : X R

is measurable, and set F = {x : h(x) > 0}. Then F is an essential supremum for E in . P P () If E E,

then (E) w so E a.e. h, that is, h(x) 1 for almost every x E, and E \ F {x : x E, h(x) < 1}

is negligible. () If G and E \ G is negligible for every E E, then E a.e. G for every E E, that is,

(E) (G) for every E E; so w (G) , that is, h a.e. G. Accordingly F \G {x : h(x) > (G)(x)}

is negligible. Q

Q

As E is arbitrary, (X, , ) is localizable.

241H The multiplicative structure of L0 Let (X, , ) be any measure space; write L0 = L0 (),

L = L0 ().

0

multiplication on L0 by setting f g = (f g) for all f , g L0 .

u (v w) = (u v) w,

u 1 = 1 u = u, where 1 is the function with constant value 1,

c(u v) = cu v = u cv,

u (v + w) = (u v) + (u w),

(u + v) w = (u w) + (v w),

u v = v u,

|u v| = |u| |v|,

u v = 0 iff |u| |v| = 0,

|u| |v| iff there is a w such that |w| 1 and u = v w.

241I The action of Borel functions on L0 Let (X, , ) be a measure space and h : R R a Borel

measurable function. Then hf L0 = L0 () for every f L0 (241Be) and hf =a.e. hg whenever f =a.e. g.

So we have a function h : L0 L0 defined by setting h(f ) = (hf ) for every f L0 . For instance, if

u L0 and p 1, we can consider |u|p = h(u) where h(x) = |x|p for x R.

241J Complex L0 The ideas of this chapter, like those of Chapters 22-23, are often applied to spaces

based on complex-valued functions instead of real-valued functions. Let (X, , ) be a measure space.

(a) We may write L0C = L0C () for the space of complex-valued functions f such that dom f is a conegligible

subset of X and there is a conegligible subset E X such that f E is measurable; that is, such that the

real and imaginary parts of f both belong to L0 (). Next, L0C = L0C () will be the space of equivalence

classes in L0C under the equivalence relation =a.e. .

(b) Using just the same formulae as in 241D, it is easy to describe addition and scalar multiplication

rendering L0C a linear space over C. We no longer have quite the same kind of order structure, but we can

identify a real part, being

{f : f L0C is real a.e.},

obviously identifiable with the real linear space L0 , and corresponding maps u 7 Re(u), u 7 Im(u) : L0C

L0 such that u = Re(u) + i Im(u) for every u. Moreover, we have a notion of modulus, writing

241Y L0 and L0 139

satisfying the basic relations |cu| = |c||u|, |u + v| |u| + |v| for u, v L0C and c C, as in 241Ef. We do of

course still have a multiplication on L0C , for which all the formulae in 241H are still valid.

(c) The following fact is useful. For any u L0C , |u| is the supremum in L0 of {Re(u) : C, || = 1}.

P (i) If || = 1, then Re(u) |u| = |u|. So |u| is an upper bound of {Re(u) : || = 1}. (ii) If v L0 and

P

Re(u) v whenever || = 1, then express u, v as f , g where f : X C and g : X R are measurable.

For any q Q, x X set fq (x) = Re(eiqx f (x)). Then fq a.e. g. Accordingly H = {x : fq (x) g(x) for

every q Q} is conegligible. But of course H = {x : |f (x)| g(x)}, so |f | a.e. g and |u| v. As v is

arbitrary, |u| is the least upper bound of {Re(u) : || = 1}. Q Q

241X Basic exercises >(a) Let X be a set, and let be counting measure on X (112Bd). Show that

L () can be identified with L0 () = RX .

0

> (b) Let (X, , ) be a measure space and the completion of (212C). Show that L0 () = L0 (),

L () = L0 ().

0

(c) Let (X, , ) be a measure space. (i) Show that for every u L0 () we may define an outer measure

u : PR [0, ] by writing u (A) = f 1 [A] whenever A R and f L0 () is such that f = u. (ii)

Show that every Borel subset of R is measurable for the measure defined from u by Caratheodorys method.

> (d) Let (X, , ) be a measure space. Suppose that r 1 and that h : R r R is a Borel measurable

function. Show that there is a function h : L0 ()r L0 () defined by writing

h(f1 , . . . , fr ) = (h(f1 , . . . , fr ))

for f1 , . . . , fr L0 ().

(e) Let U be a Dedekind -complete Riesz space and A U a non-empty countable set which is bounded

below in U . Show that inf A is defined in U .

(f ) Let U be a Dedekind complete Riesz space and A U a non-empty set which is bounded below in

U . Show that inf A is defined in U .

(g) Let h(Xi , i , i )iiI be a family of measure spaces, with direct sum (X, , ) (214K). (i) Writing

i : Xi X for the canonical maps (in the construction

Q of 214K, i (x) = (x, i) for x Xi ), show that

f 7 hf i iiI is a bijection between L0 () and iI L0 (i ). (ii) Show that this corresponds to a bijection

Q

between L0 () and iI L0 (i ).

(h) Let (X, , ) and (Y, T, ) be measure spaces, and : X Y an inverse-measure-preserving function.

(i) Show that we have a map T : L0 () L0 () defined by setting T g = (g) for every g L0 (). (ii)

Show that T is linear, that T (v w) = T v T w for all v, w L0 (), and that T (supnN vn ) = supnN T vn

whenever hvn inN is a sequence in L0 () with an upper bound in L0 ().

(i) Let (X, , ) be a measure space and g, h, hgn inN Borel measurable functions from R to itself; write

g, h, gn for the corresponding functions from L0 = L0 () to itself (241I). (i) Show that

g(u) + h(u) = g + h(u), g(u) h(u) = g h(u), g(h(u)) = gh(u)

for every u L . (ii) Show that if g(t) h(t) for every t R, then g(u) h(u) for every u L0 . (iii) Show

0

that if g is non-decreasing, then g(u) g(v) whenever u v in L0 . (iv) Show that if h(t) = supnN gn (t)

for every t R, then h(u) = supnN gn (u) in L0 for every u L0 .

241Y Further exercises (a) Let (X, , ) be a measure space and the c.l.d. version of (213E). (i)

Show that L0 () L0 (). (ii) Show that this inclusion defines a linear operator T : L0 () L0 () such

that T (u v) = T u T v for all u, v L0 (). (iii) Show that whenever v > 0 in L0 () there is a u 0

in L0 () such that 0 < T u v. (iv) Show that T (sup A) = sup T [A] whenever A L0 () is a non-empty

set with a least upper bound in L0 (). (v) Show that T is injective iff is semi-finite. (vi) Show that if

is localizable, then T is an isomorphism for the linear and order structures of L0 () and L0 (). (Hint:

213Hb.)

140 Function spaces 241Yb

(c) Let U be any Riesz space. For u U write |u| = u (u), u+ = u 0, u = (u) 0. Show that,

for any u, v U ,

u = u+ u , |u| = u+ + u = u+ u , u+ u = 0,

1

u v = (u + v + |u v|) = u + (v u)+ ,

2

1

u v = (u + v |u v|) = u (u v)+ ,

2

|u + v| |u| + |v|.

(d) A Riesz space U is said to have the countable sup property if for every A U with a least upper

bound in U , there is a countable B A such that sup B = sup A. Show that if (X, , ) is a semi-finite

measure space, then it is -finite iff L0 () has the countable sup property.

(e) Let (X, , ) be a measure space and Y any subset of X; let Y be the subspace measure on Y . (i)

Show that L0 (Y ) = {f Y : f L0 ()}. (ii) Show that there is a canonical surjection T : L0 () L0 (Y )

defined by setting T (f ) = (f Y ) for every f L0 (), which is linear and multiplicative and preserves

finite suprema and infima, so that (in particular) T (|u|) = |T u| for every u L0 ().

(f ) Suppose, in 241Ye, that Y . Explain how L0 (Y ) may be identified (as ordered linear space) with

the subspace

{u : u (X \ Y ) = 0}

of L0 ().

(g) Let U be a partially ordered linear space and N a linear subspace of U such that whenever u, u0 N

and u0 v u then v N . (i) Show that the linear space quotient U/N is a partially ordered linear space

if we say that u v in U/N iff there is a w N such that u v + w in U . (ii) Show that in this case

U/N is a Riesz space if U is a Riesz space and |u| N for every u N .

(h) Let (X, , ) be a measure space. Write L0strict for the space of all measurable functions from X to R,

and N for the subspace of L0strict consisting of measurable functions which are zero almost everywhere. (i)

Show that L0strict is a Dedekind -complete Riesz space. (ii) Show that L0 () can be identified, as ordered

linear space, with the quotient L0strict /N as defined in 241Yg above.

(i) Let (X, , ) be a measure space, and h : R R a non-decreasing function which is continuous on the

left. Show that if A L0 = L0 () is a non-empty set with a supremum v L0 , then h(v) = supuA h(u),

where h : L0 L0 is the function described in 241I.

241 Notes and comments As hinted in 241Yb-241Yc, the elementary properties of the space L0 which

take up most of this section are strongly interdependent; it is not difficult to develop a theory of Riesz

algebras to incorporate the ideas of 241H into the rest. (Indeed, I sketch such a theory in 352 in the next

volume.)

If we write L0strict for the space of measurable functions from X to R, then L0strict is also a Dedekind -

complete Riesz space, and L0 can be identified with the quotient L0strict /N, writing N for the set of functions

in L0strict which are zero almost everywhere. (To do this properly, we need a theory of quotients of ordered

linear spaces; see 241Yg-241Yh above.) Of course L0 , as I define it, is not quite a linear space. I choose the

slightly more awkward description of L0 as a space of equivalence classes in L0 rather than in L0strict because

it frequently happens in practice that a member of L0 arises from a member of L0 which is either not defined

at every point of the underlying space, or not quite measurable; and to adjust such a function so that it

becomes a member of L0strict , while trivial, is an arbitrary process which to my mind is liable to distort

242 intro. L1 141

the true nature of such a construction. Of course the same argument could be used in favour of a slightly

larger space, the space L0 of -virtually measurable [, ]-valued functions defined and finite almost

everywhere, relying on 135E rather than on 121E-121F. But I maintain that the operation of restricting a

function in L0 to the set on which it is finite is not arbitrary, but canonical and entirely natural.

Reading the exposition above or, for that matter, scanning the rest of this chapter you are sure to

notice a plethora of s, adding a distinctive character to the pages which, I expect you will feel, is disagreeable

to the eye and daunting, or at any rate wearisome, to the spirit. Many, perhaps most, authors prefer to

simplify the typography by using the same symbol for a function in L0 or L0strict and for its equivalence

class in L0 ; and indeed it is common to use syntax which does not distinguish between them either, so that

an object which has been defined as a member of L0 will suddenly become a function with actual values

at points of the underlying measure space. I prefer to maintain a rigid distinction; you must choose for

yourself whether to follow me. Since I have chosen the more cumbersome form, I suppose the burden of

proof is on me, to justify my decision. (i) Anyone would agree that there is at least a formal difference

between a function and a set of functions. This by itself does not justify insisting on the difference in every

sentence; mathematical exposition would be impossible if we always insisted on consistency in such questions

as whether (for instance) the number 3 belonging to the set N of natural numbers is exactly the same object

as the number 3 belonging to the set C of complex numbers, or the ordinal 3. But the difference between

an object and a set to which it belongs is a sufficient difference in kind to make any confusion extremely

dangerous, and while I agree that you can study this topic without using different symbols for f and f , I

do not think you can ever safely escape a mental distinction for more than a few lines of argument. (ii) As a

teacher, I have to say that quite a few students, encountering this material for the first time, are misled by

any failure to make the distinction between f and f into believing that no distinction need be made; and

as a teacher I always insist on a student convincing me, by correctly writing out the more pedantic forms

of the arguments for a few weeks, that he understands the manipulations necessary, before I allow him to

go his own way. (iii) The reason why it is possible to evade the distinction in certain types of argument is

just that the Dedekind -complete Riesz space L0strict parallels the Dedekind -complete Riesz space L0 so

closely that any proposition involving only countably many members of these spaces is likely to be valid in

one if and only if it is valid in the other. In my view, the implications of this correspondence are at the

very heart of measure theory. I prefer therefore to keep it constantly conspicuous, reminding myself through

symbolism that every theorem has a Siamese twin, and rising to each challenge to express the twin theorem

in an appropriate language. (iv) There are ways in which L0strict and L0 are actually very different, and

many interesting ideas can be expressed only in a language which keeps them clearly separated.

For more than half my life now I have felt that these points between them are sufficient reason for being

consistent in maintaining the formal distinction between f and f . You may feel that in (iii) and (iv) of

the last paragraph I am trying to have things both ways; I am arguing that both the similarities and the

differences between L0 and L0 support my case. Indeed that is exactly my position. If they were totally

different, using the same language for both would not give rise to confusion; if they were essentially the

same, it would not matter if we were sometimes unclear which we were talking about.

242 L1

While the space L0 treated in the previous section is of very great intrinsic interest, its chief use in

the elementary theory is as a space in which some of the most important spaces of functional analysis are

embedded. In the next few sections I introduce these one at a time.

The first is the space L1 of equivalence classes of integrable functions. The importance of this space is not

only that it offers a language in which to express those many theorems about integrable functions which do

not depend on the differences between two functions which are equal almost everywhere. It can also appear

as the natural space in which to seek solutions to a wide variety of integral equations, and as the completion

of a space of continuous functions.

142 Function spaces 242A

(a) Let L1 = L1 () be the set of real-valued functions, defined on subsets of X, which are integrable over

X. Then L1 L0 = L0 (), as defined in 241, and, for f L0 , we have f L1 iff there is a g L1 such

that |f | a.e. g; if f L1 , g L0 and f =a.e. g, then g L1 . (See 122P-122R.)

R of L1 . If f , gR L1 and

R

1

f =a.e. g then f = g (122Rb). Accordingly we may define a functional on L by writing f = f

for every f L1 .

R

(c)

R R It will be convenient to be able to write A

u for u L1 , A X; this may be defined by saying that

1

A

f R= A f Rfor every f L , where the integral is defined in 214D. P P I have only to check that if f =a.e. g

then A f = A g; and thisR is because

R f A = gA almost everywhere

R Ron A. Q

Q

If E , u L1 then E u = u (E) ; this is because E f = f E for every integrable function

f (131Fa).

P As noted in

241Bk, there is a measurable f : X R such that f = u; but of course f is integrable because it is equal

almost everywhere to some integrable function. Q Q

R 242B Theorem Let (X, , ) be any measure space. Then L1 () is a linear subspace of L0 () and

1

: L R is a linear functional.

proof If u, v L1 = L1 () and c R let f , g be integrable functions such that u = f , v = g ; then f + g

and cf are integrable, so u + v = (f + g) and cu = (cf ) belong to L1 . Also

R R R R R R

u+v = f +g = f + g = u+ v

and

R R R R

cu = cf = c f = c u.

(a) L1 = L1 () has an order structure derived from that of L0 = L0 () (241E); that is, f g iff f g

a.e. Being a linear subspace of L0 , L1 must be a partially ordered linear space; the two conditions of 241Ec

are obviously inherited by linear subspaces. R R

1

Note

R alsoRthat if u, v L and u v then u v, because if f , g are integrable functions and f a.e. g

then f g (122Od).

u = f , v = g ; then g is integrable and |f | a.e. |g|, so f is integrable and u L1 . Q

Q

R R R R

| u| = max( u, (u)) |u|,

because u, u |u|.

1

u v = (u + v + |u v|), u v = 12 (u + v |u v|)

2

w u & w v w u v,

w u & w v w u v

because these are true for all w L0 , so u v = sup{u, v}, u v = inf{u, v} in L1 . Thus L1 is, in itself, a

Riesz space.

242E L1 143

R

(e) Note that if uR L1 , then u 0 iff E u 0 for every E ; this is because if f is an integrable

1

function

R R on X and E f 0 for every E , then f a.e. 0 (131Fb). More1 generally,

R if u,

R v L and

E

u E v for every E , then u v. It follows at once that if u, v L and E u = E v for every

E , then u = v (cf. 131Fc).

R R

(a) For f L1 = L1 () I write kf k1 = |f | [0, [. For u L1 = L1 () set kuk1 = |u|, so that

kf k1 = kf k1 for every f L1 . Then k k1 is a norm on L1 . P

P (i) If u, v L1 then |u + v| |u| + |v|, by

241Ee, so

R R R R

ku + vk1 = |u + v| |u| + |v| = |u| + |v| = kuk1 + kvk1 .

(ii) If u L1 and c R then

R R R

kcuk1 = |cu| =

|c||u| = |c| |u| = |c|kuk1 .

R R

(iii) If u L1 and kuk1 = 0, express u as f , where f L1 ; then |f | = |u| = 0. Because |f | is

non-negative, it must be zero almost everywhere (122Rc), so f =a.e. 0 and u = 0 in L1 . Q

Q

R R

(b) Thus L1 , with k k1 , is a normed space and : L1 R is a linear operator; observe that k k 1,

because

R R

| u| |u| = kuk1

for every u L1 .

R R

kuk1 = |u| |v| = kvk1 .

1

In particular, kuk1 = k|u|k1 for every u L .

(d) Note the following property of the normed Riesz space L1 : if u, v L1 and u, v 0, then

R R R

ku + vk1 = u + v = u + v = kuk1 + kvk1 .

P If v L1 , u (L1 )+ then ku vk1 kv 0k1 ; this is

1

because if f , g L and f a.e. 0, |f (x) g(x)| | min(g(x), 0)| whenever f (x) and g(x) are both defined

and f (x) 0, which is almost everywhere, so

R R

ku vk1 = |f g| |g 0| = kv 0k1 .

Now this means that if v L1 and v 6 0, the ball {w : kw vk1 < } does not meet (L1 )+ , where

= kv 0k1 > 0 because v 0 6= 0. Thus L1 \ (L1 )+ is open and (L1 )+ is closed. Q

Q

Lemma

PLetR (X, , ) be a measurePspace and hfn inN a sequence of -integrable real-valued functions such

that n=0 |fn | < . Then f = n=0 fn is integrable and

R P R R P R

f = n=0 fn , |f | n=0 |fn |.

Pn

proof (a) Suppose first that every fn is non-negative. Set gn = k=0 fk for each n; then hgn inN is

increasing a.e. and

R P R

limn gn = k=0 fk

is finite, so by B.Levis theorem (123A) f = limn gn is integrable and

R R P R

f = limn gn = k=0 fk .

144 Function spaces 242E

R R P R P R

|f | = f= n=0 fn = n=0 |fn |.

1 1

(b) For the general case, set fn+ = 2 (|fn | + fn ), fn = 2 (|fn | fn ), as in 241Ef; then fn+ and fn are

non-negative integrable functions, and

P R P R P R

n=0 fn+ + n=0 fn = n=0 |fn | < .

P P

So h1 = n=0 fn+ and h2 = n=0 fn are both integrable. Now f =a.e. h1 h2 , so

R R R P R P R P R

f = h1 h2 = n=0 fn+ n=0 fn = n=0 fn .

Finally

R R R P R P R P R

|f | |h1 | + |h2 | = n=0 fn+ + n=0 fn = n=0 |fn |.

242F Theorem For any measure space (X, , ), L1 () is complete under its norm k k1 .

proof Let hun inN be a sequence in L1 such that kun+1 un k1 4n for every n N. Choose integrable

functions fn such that f0 = u0 , fn+1

= un+1 un for each n N. Then

P R P

n=0 |fn | = ku0 k1 + n=0 kun+1 un k1 < .

P Pn

So f = n=0 fn is integrable, by 242E, and u = f L1 . Set gn = j=0 fj for each n; then gn = un , so

R R P P j

ku un k1 = |f gn | j=n+1 |fj | j=n+1 4 = 4n /3

for each n. Thus u = limn un in L1 . As hun inN is arbitrary, L1 is complete (2A4E).

242G Definition It will be convenient, for later reference, to introduce the following phrase. A Banach

lattice is a Riesz space U together with a norm k k on U such that (i) kuk kvk whenever u, v U and

|u| |v|, writing |u| for u (u), as in 241Ee (ii) U is complete under k k. Thus 242Dc and 242F amount

to saying that the normed Riesz space (L1 , k k1 ) is a Banach lattice.

242H L1 as a Riesz space We can discuss the ordered linear space L1 in the language already used

in 241E-241G for L0 .

Theorem Let (X, , ) be any measure space. Then L1 = L1 () is Dedekind complete.

proof (a) Let A L1 be any non-empty set which is bounded above in L1 . Set

A0 = {u0 . . . un : u0 , . . . , un A}.

Then A A0 , A0 has the same upper R bounds

R as A and u v A0 for all u, vR A0 . Taking w0 to be any

upper bound of A and A , we have R u w0 for every u A0 , so = supuA0 u is defined in R. For each

0

u = supnN un is defined in L0 , and u0 u w0 in L0 . Consequently

0 u u0 w0 u0

in L0 . But w0 u0 L1 , so u u0 L1 (242Cb) and u L1 .

(b) The point is that u is an upper bound for A. P

P If u A, then u un A0 for every n, so

Z Z

ku u u k1 = u u u u u un

(because u un un u , so u un u u )

Z

= u un un

242Jc L1 145

Z Z

= u un un ( 2n ) = 2n

for every n; so ku u u k1 = 0. But this means that u = u u , that is, that u u . As u is arbitrary,

u is an upper bound for A. Q Q

(c) On the other hand, any upper bound for A is surely an upper bound for {un : n N}, so is greater

than or equal to u . Thus u = sup A in L1 . As A is arbitrary, L1 is Dedekind complete.

Remark Note that the order-completeness of L1 , unlike that of L0 , does not depend on any particular

property of the measure space (X, , ).

242I The Radon-Nikodym theorem I think it is worth re-writing the Radon-Nikodym theorem

(232E) in the language of this chapter.

Theorem Let (X, , ) be a measure space. Then there is a canonical bijection between L1 = L1 () and

the set of truly continuous additive functionals : R, given by the formula

R

F = F u for F , u L1 .

Remark Recall that if is -finite, then the truly continuous additive functionals are just the absolutely

continuous countably additive functionals; and that if is totally finite, then all absolutely continuous

(finitely) additive functionals are truly continuous (232B).

R

proof For u L1 , F set u F = F u. If u L1 , there is an integrable function f such that f = u, in

which case

R

F 7 u F = F f : R

is additive and truly continuous, by 232D. If R : R is additive and truly continuous, then by 232E there

1

is an integrable function f such that F = F f for every F R; setting R u = f in L , = u . Finally, if

1

u, v are distinct members of L , there is an F such that F u 6= F v (242Ce), so that u 6= v ; thus

u 7 u is injective as well as surjective.

242J Conditional expectations revisited We now have the machinery necessary for a new interpre-

tation of some of the ideas of 233.

(a) Let (X, , ) be a measure space, and T a -subalgebra of , as in 233A. Then (X, T, T) is a

measure space, and L0 ( T) L0 (); moreover, if f , g L0 ( T), then f = g ( T)-a.e. iff f = g -a.e.

P

P There are T-conegligible sets F , G T such that f F and gG are T-measurable; set

E = {x : x F G, f (x) 6= g(x)} T;

then

f = g ( T)-a.e. ( T)(E) = 0 E = 0 f = g -a.e. Q

Q

Accordingly we have a canonical map S : L0 ( T) L0 () defined by saying that if u L0 ( T) is the

equivalence class of f L0 ( T), then Su is the equivalence class of f in L0 (). It is easy to check, working

through the operations described in 241D, 241E and 241H, that S is linear, injective and order-preserving,

and that |Su| = S|u|, S(u v) = Su Sv, S(u v) = Su Sv for u, v L0 ( T).

R R

(b) Next, if f L1 ( T), then f L1 () and f d = f d( T) (233B); so Su L1 () and kSuk1 =

kuk1 for every u L1 ( T).

Observe also that every member of L1 () S[L0 ( T)] is actually in S[L1 ( T)]. P P Take u L1 ()

0 1 0

S[L ( T)]. Then u is expressible both as f where f L (), and as g where g L ( T). So g =a.e. f ,

Q

This means that S : L1 ( T) L1 () S[L0 ( T)] is a bijection.

(c) Now suppose that X = 1, so that (X, , ) is a probabilityR space.R Recall that g is a conditional

expectation of f on T if g is T-integrable, f is -integrable and F g = F f for every F T; and that

every -integrable function has such a conditional expectation (233D).R If g is Ra conditional expectation of

f and f1 = f -a.e. then g is a conditional expectation of f1 , because F f1 = F f for every F ; and I have

already remarked in 233Dc that if g, g1 are conditional expectations of f on T then g = g1 T-a.e.

146 Function spaces 242Jd

R P (f ) = g

1 1

whenever g L ( T) is a conditional expectation of f L () on T; that is, that F P u = F u whenever

u L1 (), F T. If we identify L1 (), L1 ( T) with the sets of absolutely continuous additive functionals

defined on and T, as in 242I, then P corresponds to the operation 7 T.

R R

(e) Because P u is uniquely defined in L1 ( T) by the requirement F P u = F u for every F T (242Ce),

we see that P must be linear. P P If u, v L1 () and c R, then

R R R R R R R

F

P u + P v = F P u + F P v = F u + F v = F u + v = F P (u + v),

R R R R R

F

P (cu) = F cu = c F u = c F P u = F cP u

R R

for every F T. Q Q Also, if u 0, then F P u = F u 0 for every F T, so P u 0 (242Ce again).

It follows at once that P is order-preserving, that is, that P u P v whenever u v. Consequently

|P u| = P u (P u) = P u P (u) P |u|

0

for every u L ( T), because u |u| and u |u|.

the conditional expectation operator.

1 1

R

R (g) If Ru L ( T), then we have a corresponding Su L (), as in (b); now P Su = u. P P F P Su =

F

Su = F u for every F T. Q Q Consequently SP SP = SP : L1 () L1 ().

I believe it is necessary to be aware of such distinctions, even though for nearly all purposes it is safe as well

as convenient to regard L0 ( T) as actually a subset of L0 (). If we do so, then (b) tells us that we can

identify L1 ( T) with L1 () L0 ( T), while (g) becomes P 2 = P .

242K The language just introduced allows the following re-formulations of 233J-233K.

Theorem Let (X, , ) be a probability space and T a -subalgebra of . Let : R R be a convex

function and : L0 () L0 () the corresponding operator defined by setting (f ) = (f ) (241I). If

P : L1 () L1 ( T) is the conditional expectation operator, then (P u) P (u) whenever u L1 () is

such that (u) L1 ().

proof This is just a restatement of 233J.

L ( T) be the corresponding conditional expectation operator. If u L1 = L1R() and v R L0 ( T), then

1

proof (I am here using the identification of L0 ( T) as a subspace of L0 (), as suggested in 242Jh.) Express

u as f , v as h , where f L1 = L1 () and h L0 ( T). Let g, g0 L1 ( T) be conditional expectations

of f , |f | respectively, so that P u = g and P |u| = g0 . Then, using 233K,

u v L1 f h L1 g0 h L1 P |u| v L1 ,

and in this case g h is a conditional expectation of f h, that is, P u v = P (u v).

242M L1 as a completion I mentioned in the introduction to this section that L1 appears in functional

analysis as a completion of some important spaces; put another way, some dense subspaces of L1 are

significant. The first is elementary.

Proposition Let (X, , ) be any measure space, and write S for the space of -simple functions on X.

Then R

(a) whenever f is a -integrable real-valued function and > 0, there is an h S such that |f h| ;

(b) S = {f : f S} is a dense linear subspace of L1 = L1 ().

242O L1 147

R R

proof (a)(i) If f is non-negative, then there is a simple function h such that h a.e. f and h f 12

(122K), in which case

R R R R 1

|f h| = f h = f h .

2

(ii) In the general case, f is expressible

R as a difference f1 f2 of non-negative integrable functions. Now

there are h1 , h2 S such that |fj hj | 21 for both j and

R R R

|f h| |f1 h1 | + |f2 h2 | .

and > 0, there are an f L1 such that f = u and an h S such that |f h| ; now v = h S and

R

ku vk1 = |f h| .

As u and are arbitrary, S is dense in L1 .

242N As always, Lebesgue measure on R r and its subsets is by far the most important example; and

in this case we have further classes of dense subspace of L1 . If you have reached this point without yet

troubling to master multi-dimensional Lebesgue measure, just take r = 1. If you feel uncomfortable with

general subspace measures, take X to be R r or [0, 1] R or some other particular subset which you find

interesting. The following term will be useful.

Definition If f is a real- or complex-valued function defined on a subset of R r , say that the support of f

is {x : x dom f, f (x) 6= 0}.

242O Theorem Let X be any subset of R r , where r 1, and let be Lebesgue measure on X, that

is, the subspace measure on X induced by Lebesgue measure on R r . Write Ck for the space of bounded

continuous functions f : R r R which have bounded support, and S0 for the space of linear combinations

of functions of the form I where I R r is a bounded half-open interval. Then R R

(a) whenever f L1 = L1 () and > 0, there are g Ck , h S0 such that X |f g| , X |f h| ;

(b) {(gX) : g Ck } and {(hX) : h S0 } are dense linear subspaces of L1 = L1 ().

Remark Of course there is a redundant bounded in the description of Ck ; see 242Xh.

proof (a) I argue in turn that the result is valid for each of an increasing number of members f of L1 = L1 ().

Write r for Lebesgue measure on R r , so that is the subspace measure (r )X .

(i) Suppose first that f = IX where I R r is a bounded half-open interval. Of course I is already

in S0 , so I have only to show that it is approximated by members of Ck . If I = the result is trivial; we

can take g = 0. Otherwise, express I as [a b, a + b[ where a = (1 , . . . , r ), b = (1 , . . . , r ) and j > 0

for each j. Let > 0 be such that

Q Q

jr (j + 2) + jr j .

For R set

gj () = 1 if | j | j ,

= (j + | j |)/ if j | j | j + ,

= 0 if | j | j + .

j

j

The function gj

148 Function spaces 242O

For x = (1 , . . . , r ) R r set

Q

g(x) = jr gj (j ).

Then g Ck and I g J, where J = [a b 1, a + b + 1] (writing 1 = (1, . . . , 1)), so that (by the

choice of ) r J r I + , and

Z Z

|g f | ((J X) (I X))d = ((J \ I) X)

X

r (J \ I) = r J r I ,

as required.

(ii) Now suppose that f = (X E) where E R r is S a set of finite measure. Then there is a disjoint

family I0 , . . . , In of half-open intervals such that r (E4 jn Ij ) 21 . P P There is an open set G E

such that r (G \ E) 14 (134Fa). For each m N, let Im be the family of half-open intervals in R r of

m m m

the form [a, b[ where a = (2 S k1 , . . . , 2 kr ), k1 , . . . , kr being integers, and b = a + 2 1; then Im is a

disjoint family. Set Hm = {I : I Im , I G}; then hHm imN is a non-decreasing family with union G,

so that there isSan m such that r (G \ Hm ) 14 and r (E4Hm ) 21 . But now Hm is expressible as a

disjoint union jn Ij where I0 , . . . , In enumerate the members of Im included in Hm . (The last sentence

derails if Hm is empty. Pn But if Hm = then we can take n = 0, I0 = .) Q Q

Accordingly h = j=0 Ij S0 and

R S 1

X

|f h| = (X (E4 . jn Ij ))

2

R

As for Ck , (i) tells us that there is for each j n a gj Ck such that X |gj Ij | /2(n + 1), so that

Pn

g = j=0 gj Ck and

R R R Pn R

X

|f g| X

|f h| + X

|h g| + j=0 X |gj Ij | .

2

Pn

(iii) If f is a simple function, express f as k=0 ak Ek where each Ek is of finite measure in X. Each

Ek is expressible as X Fk where r Fk = Ek (214Ca). By (ii), we can find gk Ck , hk S0 such that

R R

|ak | X |gk Fk | , |ak | X |hk Fk |

n+1 n+1

Pn Pn

for each k. Set g = k=0 ak gk , h = k=0 ak hk ; then g Ck , h S0 and

R R Pn Pn R

X

|f g| X k=0 |ak ||Fk gk | = k=0 |ak | X |Fk gk | ,

R Pn R

X

|f h| k=0 |ak | X |Fk hk | ,

as required.

R (iv) If f is any integrable function on X, then by 242Ma we can R find a simple function

R f0 such that

|f f0 | 12 , and now by (iii) there are g Ck , h S0 such that X |f0 g| 21 , X |f0 h| 21 ; so

that

R R R

X

|f g| X |f f0 | + X |f0 g| ,

R R R

X

|f h| X |f f0 | + X |f0 h| .

(b)(i) We must check first that if g Ck then gX is actually -integrable. The point here is that if

g Ck and a R then

{x : x X, g(x) > a}

is the intersection of X with an open subset of R r , and is therefore in the domain of , because all open sets

are Lebesgue measurable (115G). Next, g is bounded and the set E = {x : x X, g(x) 6= 0} is bounded in

R r , therefore of finite outer measure for r and of finite measure for . Thus there is an M 0 such that

|g| M E, which is -integrable. Accordingly g is -integrable.

242Xb L1 149

Of course hX is -integrable for every h S0 because (by the definition of subspace measure) (I X)

is defined and finite for every bounded half-open interval I.

(ii) Now the rest follows by just the same arguments as in 242Mb. Because {gX : g Ck } and

{hX : h S0 } are linear subspaces of RX included in L1 (), their images Ck# and S0# are linearRsubspaces

of L1 . If u L1 and > 0, there are an f L1 such that f = u, and g Ck , h S0 such that X |f g|,

R

X

|f h| ; now v = (gX) Ck# and w = (hX) S0# and

R R

ku vk1 = X |f g| , ku wk1 = X |f h| .

As u and are arbitrary, Ck# and S0# are dense in L1 .

242P Complex L1 As you would, I hope, expect, we can repeat the work above with L1C , the space of

complex-valued integrable functions, in place of L1 , to construct a complex Banach space L1C . The required

changes, based on the ideas of 241J, are minor.

f L1C |f | L1 Re(f ), Im(f ) L1 .

Consequently, for u L0C ,

u L1C |u| L1 Re(u), Im(u) L1 .

1

P R

(b) ToP

prove Ra complex version

Pof 242E,

R observe that if hf n i nN is a sequence in LC such that n=0 |fn | <

, then n=0 | Re(fn )| and n=0 | Im(fn )| are both finite, so we may apply 242E twice and see that

R P R P R P P R

( n=0 fn ) = ( n=0 Re(fn )) + ( n=0 Im(fn )) = n=0 fn .

Accordingly we can prove that L1C is complete under k k1 by the argument of 242F.

(c) Similarly, little change is needed to adapt 242J to give a description of a conditional expectation

operator P : L1C () L1C ( T) when (X, , ) is a probability space and T is a -subalgebra of . In the

formula

|P u| P |u|

of 242Je, we need to know that

|P u| = sup||=1 Re(P u)

in L0 ( T) (241Jc), while

Re(P u) = Re(P (u)) = P (Re(u)) P |u|

whenever || = 1.

P(d)

n

In 242M, we need to replace S by SC , the space of complex-valued simple functions of the form

k=0 k Ek where each ak is a complex number and each Ek is a measurable set of finite measure; then

a

we get a dense linear subspace SC = {f : f SC } of L1C . In 242O, we must replace Ck by Ck (R r ; C), the

space of bounded continuous complex-valued functions of bounded support, and S0 by the linear span over

C of {(I X) : I is a bounded half-open interval}.

242X Basic exercises >(a) Let X be a set, and let be counting measure on X. Show that L1 ()

can be identified with the space `1 (X) of absolutely summable real-valued functions on X (see 226A). In

particular, the space `1 = `1 (N) of absolutely summable real-valued sequences is an L1 space. Write out

proofs of 242F adapted to these special cases.

>(b) Let (X, , ) be any measure space, and the completion of (212C, 241Xb). Show that L1 () =

L () and L1 () = L1 ().

1

150 Function spaces 242Xc

(c) Show that any Banach lattice must be an Archimedean Riesz space (241Fa).

(d) Let h(Xi , i , i )iiI be anyQfamily of measure spaces, and (X, , ) their direct sum. Show that the

isomorphism between L0 () and iI L0 (i ) (241Xg) induces an identification between L1 () and

Q P Q

{u : u iI L1 (i ), kuk = iI ku(i)k1 < } iI L1 (i ).

L1 () L1 ( T), P2 : L1 ( T) L1 ( ) and P : L1 () L1 ( ) be the corresponding conditional

expectation operators. Show that P = P2 P1 .

Show that g 7 g : L1 () L1 () (235I) induces a linear operator T : L1 () L1 () such that

kT vk1 = kvk1 for every v L1 ().

(g) Let U be a Riesz space (definition: 241E). A Riesz norm on U is a norm k k such that kuk kvk

whenever |u| |v|. Show that if U is given its norm topology (2A4Bb) for such a norm, then (i) u 7 |u| :

U U , (u, v) 7 u v : U U U are continuous (ii) {u : u 0} is closed.

(h) Show that if g : R r R is continuous and has bounded support it is bounded. (Hint: 2A2F-2A2G.)

1

(i) Let be Lebesgue measure on R. (i) Show that if (x) = exp( )

for |x| < , 0 for |x| then

2 x2

Rx

is smooth, that is, differentiable arbitrarily often. (ii) Show that if F (x) = d for x R then F

is smooth. (iii) Show that if a < b < c < d in R there is a smooth function h such that [b, c] h [a, d].

(iv) Write D for the space of smooth functions h : R R such that {x : h(x) 6= 0} is bounded. Show that

{h : h D} is dense in L1 (). (v) Let f be a real-valued function whichR is integrable over every bounded

subset of R. Show that f h is integrable for every h D, and that if f h = 0 for every h D then

f =a.e. 0. (Hint: 222D.)

242Y Further exercises (a) Let (X, , ) be a measure space. Let A L1 = L1 () be a non-

empty downwards-directed set, and suppose that inf A = 0 in L1 . (i) Show that inf uA kuk1 = 0. (Hint: set

= inf uA kuk1 ; find a non-increasing sequence hun inN in A such that limn kun k1 = ; set v = inf nN un

and show that u v = v for every u A, so that v = 0.) (ii) Show that if U is any open set containing 0,

there is a u A such that v U whenever 0 v u.

(b) Let (X, , ) be a measure space, and A L1 = L1 () a non-empty upwards-directed set. Suppose

that A is bounded

R for the norm

R k k1 . (i) Show that there is a non-decreasing sequence hun inN in A such

that limn un = supuA u, and that hun inN is Cauchy. (ii) Show that w = sup A is defined in L1 and

belongs to the norm-closure of A in L1 , so that, in particular, kwk1 supuA kuk1 .

non-empty downwards-directed set with infimum 0. (Thus 242Ya tells us that the norms k k1 are all order-

continuous.) Show that in this case (i) any non-decreasing sequence in U which has an upper bound in U must

be Cauchy (ii) U is Dedekind complete. (Hint for (i): if hun inN is a non-decreasing sequence with an upper

bound in U , let B be the set of upper bounds of {un : n N} and show that A = {v un : v B, n N}

has infimum 0 because U is Archimedean.)

(d) Let (X, , ) be any measure space. Show that L1 () has the countable sup property (241Yd).

(e) More generally, show that any Banach lattice with an order-continuous norm has the countable sup

property.

(f ) Let (X, , ) be a measure space and Y any subset of X; let Y be the subspace measure on Y and

T : L0 () L0 (Y ) the canonical map described in 241Ye. (i) Show thatR T u L 1

R (Y ) and kT uk1 kuk1

1 1

for every u L (). (ii) Show that if u L () then kT uk1 = kuk1 iff E u = Y E T u for every E .

(iii) Show that T is surjective and that kvk1 = min{kuk1 : u L1 (), T u = v} for every v L1 (Y ). (Hint:

214Eb.) (See also 244Yc below.)

242 Notes L1 151

(g) Let (X, , ) be a measure space. Write L1strict for the space of all integrable -measurable functions

from X to R, and N for the subspace of L1strict consisting of measurable functions which are zero almost

everywhere. (i) Show that L1strict is a Dedekind -complete Riesz space. (ii) Show that L1 () can be

identified, as ordered linear space, with the quotient L1strict /N as defined in 241Yg. (iii) Show that k k1 is

a seminorm on L1strict (definition: 2A5D). (iv) Show that f 7 |f | : L1strict L1strict is continuous if L1strict

is given the topology defined from k k1 (2A5B). (v) Show that {f : f a.e. 0} is closed in L1strict , but that

{f : f 0} need not be.

(h) Let (X, , ) be a measure space, and the c.l.d. version of (213E). Show that the inclusion

L1 () L1 () induces an isomorphism, as ordered normed linear spaces, between L1 () and L1 ().

(i) Let (X, , ) and (Y, T, ) be measure spaces and U L0 () a linear subspace. Let T : U L0 ()

be a linear operator such that T u 0 in L0 () whenever u U and u 0 in L0 (). Suppose that w U

is such that w 0 and T w = (Y ) . Show that whenever : R R is a convex function and u L0 () is

such that w u and w (u) U , defining : L0 () L0 () as in 241I, then T (w u) T (w u).

Explain how this result may be regarded as a common generalization of Jensens inequality, as stated in

233I, and 242K above. See also 244M below.

(j) (i) A function : C R is convex if (ab + (1 a)c) a(b) + (1 a)(c) for all b, c C and

a [0, 1]. (ii) Show that such a function must be bounded on any bounded subset of C. (iii) If : C R is

convex and c C, show that there is a b C such that (x) (c) + Re(b(x c)) for every x C. (iv) If

hbc icC is such that (x) c (x) = (c) + Re(bc (x c)) for all x, c C, show that {bc : c I} is bounded

for any bounded I C. (v) Show that if D C is any dense set, (x) = supcD c (x) for every x C.

(k) Let (X, , ) be a probability space and T a -subalgebra of . Let P : L1C () L1C ( T) be

the conditional expectation operator. Show that if : C R is any convex function, and we define

(f ) = (f ) for every f L0C (), then (P u) P ((u)) whenever u L1C () is such that (u) L1 ().

Pn Pspace and u0 , . . . , un L1 (). (i) Suppose

Pn Pk 0 , . . . , kn Z are such that

n n n

i=0 i k = 1. Show that i=0 j=0 i kj kui uj k1 0. P

k (Hint: i=0 j=0 ki kjP |i j | 0 for all

n n Pn

0 , . . . , n R.) (ii) Suppose 0 , . . . , n R are such that i=0 i = 0. Show that i=0 j=0 i j kui

uj k1 0.

242 Notes and comments Of course L1 -spaces compose one of the most important classes of Riesz space,

and accordingly their properties have great prominence in the general theory; 242Xc, 242Xg and 242Ya-

242Ye outline some of the interrelations between these properties. I will return to these questions in Chapter

35 in the next volume. I have mentioned in passing (242Dd) the additivity of the norm of L1 on the positive

elements. This elementary fact actually characterizes L1 spaces among Banach lattices (Kakutani 41); see

369E in the next volume.

Just as L0 () can be regarded as a quotient of a linear space L0strict , so can L1 () be regarded as a

quotient of a linear space L1strict (242Yg). I have discussed this question in the notes to 241; all I try to do

here is to be consistent.

We now have a language in which we can speak of the conditional expectation of a function f , the

equivalence class in L1 ( T) consisting precisely of all the conditional expections of f on T. If we think

of L1 ( T) as identified with its image in L1 (), then the conditional expectation operator P : L1 ()

L1 ( T) becomes a projection (242Jh). We therefore have re-statements of 233J-233K, as in 242K, 242L

and 242Yi.

I give 242O in a fairly general form; but its importance already appears if we take X to be [0, 1] with one-

dimensional Lebesgue measure. In this case, we have a natural norm on C([0, 1]), the space of all continuous

real-valued functions on [0, 1], given by setting

R1

kf k1 = 0 |f (x)|dx

for every f C([0, 1]). The integral here can, of course, be taken to be the Riemann integral; we do not

need the Lebesgue theory to show that k k1 is a norm on C([0, 1]). It is easy to check that C([0, 1]) is not

complete for this norm (if we set fn (x) = min(1, 2n xn ) for x [0, 1], then hfn inN is a k k1 -Cauchy sequence

152 Function spaces 242 Notes

with no k k1 -limit in C([0, 1])). We can use the abstract theory of normed spaces to construct a completion

of C([0, 1]); but it is much more satisfactory if this completion can be given a relatively concrete form, and

this is what the identification of L1 with the completion of C([0, 1]) can do. (Note that the remark that

k k1 is a norm on C([0, 1]), that is, that kf k1 6= 0 for every non-zero f C([0, 1]), means just that the map

f 7 f : C([0, 1]) L1 is injective, so that C([0, 1]) can be identified, as ordered normed space, with its

image in L1 .) It would be even better if we could find a realization of the completion of C([0, 1]) as a space

of functions on some set Z, rather than as a space of equivalence classes of functions on [0, 1]. Unfortunately

this is not practical; such realizations do exist, but necessarily involve either a thoroughly unfamiliar base

set Z, or an intolerably arbitrary embedding map from C([0, 1]) into R Z .

You can get an idea of the obstacle to realizing the completion of C([0, 1]) asPa space of functions on

[0,

P 1] itself by considering fn (x) = n1 xn for n 1. An easy calculation shows that n=1 kfn k1 < , so that

n=1 fn must exist in the completion of C([0, 1]); but there is no natural value to assign to it at the point

1. Adaptations of this idea can give rise to indefinitely complicated phenomena indeed, 242O shows that

every integrable function is associated with some appropriate sequence from C([0, 1]). In 245 I shall have

more to say about what k k1 -convergent sequences look like.

From the point of view of measure theory, narrowly conceived, most of the interesting ideas appear most

clearly with real functions and real linearspaces. But some of the most important applications of measure

theory important not only as mathematics in general, but also for the measure-theoretic questions they

inspire deal with complex functions and complex linear spaces. I therefore continue to offer sketches of

the complex theory, as in 242P. I note that at irregular intervals we need ideas not already spelt out in the

real theory, as in 242Pb and 242Yk.

243 L

The second of the classical Banach spaces of measure theory which I treat is the space L . As will appear

below, L is the polar companion of L1 , the linked opposite; for ordinary measure spaces it is actually the

dual of L1 (243F-243G).

243A Definitions Let (X, , ) be any measure space. Let L = L () be the set of functions

f L0 = L0 () which are essentially bounded, that is, such that there is some M 0 such that

{x : x dom f, |f (x)| M } is conegligible, and write

L = L () = {f : f L ()} L0 ().

Note that if f L , g L0 and g = f a.e., then g L ; thus L = {f : f L0 , f L }.

(a) L = L () is a linear subspace of L0 = L0 ().

(b) If u L , v L0 and |v| |u| then v L . Consequently |u|, u v, u v, u+ = u 0 and

u = (u) 0 belong to L for all u, v L .

(c) Writing e = 1 , the equivalence class in L0 of the constant function with value 1, then an element u

of L0 belongs to L iff there is an M 0 such that |u| M e.

(d) If u, v L then u v L .

(e) If u L , v L1 = L1 () then u v L1 .

proof (a) If f , g L = L () and c R, then f + g, cf L . P

P We have M1 , M2 0 such that

|f | M1 a.e. and |g| M2 a.e. Now

|f + g| |f | + |g| M1 + M2 a.e., |cf | |c||M1 | a.e.,

so f + g, cf L . Q

Q It follows at once that u + v, cu L whenever u, v L and c R.

(b)(i) Take f L , g L0 = L0 () such that u = f , v = g . Then |g| |f | a.e. Let M 0 be such

that |f | M a.e.; then |g| M a.e., so g L and v L .

243Dd L 153

belong to L for all u, v L .

(c)(i) If u L , take f L such that f = u. Then there is an M 0 such that |f | M a.e., so that

|f | M 1 a.e. and |u| M e. (ii) Of course 1 L , so e L , and if u L0 and |u| M e then u L

by (b).

(d) f g L whenever f , g L . P

P If |f | M1 a.e. and |g| M2 a.e., then

|f g| = |f | |g| M1 M2 a.e. Q

Q

So u v L for all u, v L .

(e) If f L and g L1 = L1 (), then there is an M 0 such that |f | M a.e., so |f g| M |g|

almost everywhere; because M |g| is integrable and f g is virtually measurable, f g is integrable and

u v L1 .

243C The order structure of L Let (X, , ) be any measure space. Then L = L (), being

a linear subspace of L0 = L0 (), inherits a partial order which renders it a partially ordered linear space

(compare 242Ca). Because |u| L whenever u L (243Bb), u v and u v belong to L whenever u,

v L , and L is a Riesz space (compare 242Cd).

The behaviour of L as a Riesz space is dominated by the fact that it has an order unit e = 1 with

the property that

for every u L there is an M 0 such that |u| M e

(243Bc).

ess sup |f | = inf{M : M 0, {x : x dom f, |f (x)| M } is conegligible}.

P Set M = ess sup |f |. For each n N, there is an Mn M + 2n such that

Then |f | ess sup |f | a.e. P

|f | Mn a.e. Now

T

{x : |f (x)| M } = nN {x : |f (x)| Mn }

is conegligible, so |f | M a.e. Q

Q

(b) If f , g L and f = g a.e., then ess sup |f | = ess sup |g|. Accordingly we may define a functional

k k on L = L () by setting kuk = ess sup |f | whenever u = f .

(c) From (a), we see that, for any u L , kuk = min{ : |u| e}, where, as before, e = 1 L .

Consequently k k is a norm on L . P P(i) If u, v L then

|u + v| |u| + |v| (kuk + kvk )e

so ku + vk kuk + kvk . (ii) If u L and c R then

|cu| = |c||u| |c|kuk e,

so kcuk |c|kuk . (iii) If kuk = 0, there is an f L such that f = u and |f | kuk a.e.; now

f = 0 a.e. so u = 0. Q

Q

(d) Note also that if u L0 , v L and |u| |v| then |u| kvk e so u L and kuk kvk ;

similarly,

ku vk kuk kvk , ku vk max(kuk , kvk )

for all u, v L . Thus L is a commutative Banach algebra (2A4J).

154 Function spaces 243De

(e) Moreover,

R R

| u v| |u v| = ku vk1 kuk1 kvk

whenever u L1 and v L , because

|u v| = |u| |v| |u| kvk e = kvk |u|.

ku vk = max(kuk , kvk );

this is because, for any 0,

u v e u e and v e.

243E Theorem For any measure space (X, , ), L = L () is a Banach lattice under k k .

proof (a) We already know that kuk kvk whenever |u| |v| (243Dd); so we have just to check

that L is complete under k k . Let hun inN be a Cauchy sequence in L . For each n N choose

fn L = L () such that fn = un in L . For all m, n N, (fm fn ) = um un . Consequently

Emn = {x : |fm (x) fn (x)| > kum un k }

is negligible, by 243Da. This means that

T S

E = nN {x : x dom fn , |fn (x)| kun k } \ m,nN Emn

is conegligible. But for every x E, |fm (x) fn (x)| kum un k for all m, n N, so that hfn (x)inN is

a Cauchy sequence, with a limit in R. Thus f = limn fn is defined almost everywhere. Also, at least for

x E,

|f (x)| supnN kun k < ,

so f L and u = f L . If m N, then, for every x E,

so

ku um k supnm kun um k 0

as m , and u = limm um in L . As hun inN is arbitrary, L is complete.

243F The duality between L and L1 Let (X, , ) be any measure space.

1 1 1

R (a) I have already remarked that if u L = L () and v L = L (), then u v L and

| u v| kuk1 kvk (243Bd, 243De).

(b) Consequently we have a bounded linear operator T from L to the normed space dual (L1 ) of L1 ,

given by writing

R

(T v)(u) = u v

for all u L1 , v L . P

P (i) By (a), (T v)(u) is well-defined for u L1 , v L . (ii) If v L , u, u1 ,

1

u2 L and c R, then

Z Z

(T v)(u1 + u2 ) = (u1 + u2 ) v = (u1 v) + (u2 v)

Z Z

= u1 v + u2 v = (T v)(u1 ) + (T v)(u2 ),

R R R

(T v)(cu) = cu v = c(u v) = c u v = c(T v)(u).

This shows that T v : L1 R is a linear functional for each v L . (iii) Next, for any u L1 and v L ,

243G L 155

R

|(T v)(u)| = | u v| ku vk1 kuk1 kvk ,

as remarked in (a). This means that T v (L1 ) and kT vk kvk for every v L . (iv) If v, v1 , v2 L ,

u L1 and c R, then

Z Z

T (v1 + v2 )(u) = (v1 + v2 ) u = (v1 u) + (v2 u)

Z Z

= v1 u + v2 u = (T v1 )(u) + (T v2 )(u)

= (T v1 + T v2 )(u),

R R

T (cv)(u) = cv u = c v u = c(T v)(u) = (cT v)(u).

As u is arbitrary, T (v1 + v2 ) = T v1 + T v2 and T (cv) = c(T v); thus T : L (L1 ) is linear. (v) Recalling

from (iii) that kT vk kvk for every v L , we see that kT k 1. Q Q

(c) Exactly the same arguments show that we have a linear operator T 0 : L1 (L ) , given by writing

R

(T 0 u)(v) = u v for all u L1 , v L ,

and that kT 0 k is also at most 1.

243G Theorem Let (X, , ) be a measure space, and T : L () (L1 ()) the canonical map

described in 243F. Then

(a) T is injective iff (X, , ) is semi-finite, and in this case is norm-preserving;

(b) T is bijective iff (X, , ) is localizable, and in this case is a normed space isomorphism.

proof (a)(i) Suppose that T is injective, and that E has E = . Then E is notR equal a.e. to 0,

so (E) 6= 0 in L , and T (E) 6= 0; let uR L1 be suchR that T (E) (u) 6= 0, that is, u (E) 6= 0.

Express u as f where

R f Ris integrable;

R then R E f 6= 0 so E |f | 6= 0. Let g be a simple function such that

Pn

0 g a.e. |f | and g > |f | E |f |; then E g 6= 0. Express g as i=0 ai Ei where Ei < for each i;

Pn

then 0 6= i=0 ai (Ei E), so there is an i n such that (E Ei ) 6= 0, and now E Ei is a measurable

subset of E of non-zero finite measure.

As E is arbitrary, this shows that (X, , ) must be semi-finite if T is injective.

(ii) Now suppose that (X, , ) is semi-finite, and that v L is non-zero. Express v as g where

g : X R is measurable; then g L . Take any a ]0, kvk [; then E = {x : |g(x)| a} has non-zero

measure. Let F E be a measurable set of non-zero finite measure, and set f (x) = |g(x)|/g(x) if x F , 0

otherwise; then f L1 and (f g)(x) a for x F , so, setting u = f L1 , we have

R R R

(T v)(u) = u v = f g aF = a |f | = akuk1 > 0.

This shows that kT vk a; as a is arbitrary, kT vk kvk . We know already from 243F that kT vk kvk ,

so kT vk = kvk for every non-zero v L ; the same is surely true for v = 0, so T is norm-preserving and

injective.

(b)(i) Using (a) and the definition of localizable, we see that under either of the conditions proposed

(X, , ) is semi-finite and T is injective and norm-preserving. I therefore have to show just that it is

surjective iff (X, , ) is localizable.

(ii) Suppose that T is surjective and that E . Let F be the family of finite unions of members of

E, counting as the union of no members of E, so that F is closed under finite unions and, for any G ,

E \ G is negligible for every E E iffR E \ G is negligible for every E F.

If u L1 , then h(u) = limEF ,E E u exists in R. P P If u is non-negative, then

R R

h(u) = sup{ E u : E F } u < .

For other u, we can express u as u1 u2 , where u1 and u2 are non-negative, and now h(u) = h(u1 ) h(u2 ).

Q

Q R

Evidently h : L1 R is linear, being a limit of the linear functionals u 7 E u, and also

156 Function spaces 243G

R R

|h(u)| supEF | E

u| |u|

for every u, so h (L1 ) . Since we are supposing that T is surjective, there is a v L such that T v = h.

Express v as g where g : X R is measurable and essentially bounded. Set G = {x : g(x) > 0} .

If F and F < , then

R R

F

g = (F ) g = (T v)(F ) = h(F ) = supEF (E F ).

?? If E E and E \ G is not negligible, then there is a set F E \ G such that 0 < F < ; now

R

F = (E F ) F g 0,

as g(x) 0 for x F . X

X Thus E \ G is negligible for every E E.

Let H be such that E \ H is negligible for every E E. ?? If G \ H is not negligible, there is a set

F G \ H of non-zero finite measure. Now

(E F ) (H F ) = 0

R

for every E E, so (E F ) = 0 for every E F, and F g = 0; but g(x) > 0 for every x F , so F = 0,

which is impossible. X

X Thus G \ H is negligible.

Accordingly G is an essential supremum of E in . As E is arbitrary, (X, , ) is localizable.

(iii) For the rest of this proof, I will suppose that (X, , ) is localizable and seek to show that T is

surjective.

Take h (L1 ) such that khk = 1. Write f = {F : F , F < }, and for F f define F : R

by setting

F E = h((E F ) )

for every E . Then F = h(0) = 0, and if hEn inN is a disjoint sequence in with union E,

P

(E F ) = n=0 (En F )

in L1 . P

P

Pn S

k(E F ) k=0 (En F ) k1 = (F E \ kn Ek ) 0

as n . Q

Q So

P P

F E = h((E F ) ) = n=0 h((En F ) ) = n=0 F En .

Thus F is countably additive. Also

|F E| k(E F ) k1 = (E F )

for every E , so F is truly continuous in the

R sense of 232Ab. By the Radon-Nikodym theorem (232E),

there is an integrable function gF such that E gF = F E for every E ; we may take it that gF is

measurable and has domain X (232He).

(iv) It is worth noting that |gF | a.e. 1. P

P If G = {x : gF (x) > 1}, then

R

g = F G (F G) G;

G F

R

g = F G0 G0 ,

G0 F

so again G0 = 0. Q

Q

(v) If F , F 0 f , then gF = gF 0 almost everywhere on F F 0 . P

P If E and E F F 0 , then

R R

g = h((E F ) ) = h((E F 0 ) ) = E gF 0 .

E F

So 131H gives the result. Q

there is a measurable function g : X R such that g = gF almost everywhere on F , for every F f .

(vi) For any F f , the set

{x : x F, |g(x)| > 1} {x : |gF (x)| > 1} {x : x F, g(x) 6= gF (x)}

243I L 157

is negligible; because is semi-finite, {x : |g(x)| > 1} is negligible, and g L , with ess sup |g| 1.

Accordingly v = g L , and we may speak of T v (L1 ) .

(vii) If F f , then

R R

F

g= F

gF = F X = h(F ).

It follows at once that

R

(T v)(f ) = f g = h(f )

for every simple function f : X R. Consequently T v = h, because both T v and h are continuous and the

equivalence classes of simple functions form a dense subset of L1 (242Mb, 2A3Uc). Thus h = T v is a value

of T .

(viii) The argument as written above has assumed that khk = 1. But of course any non-zero member

of (L1 ) is a scalar multiple of an element of norm 1, so is a value of T . So T : L (L1 ) is indeed

surjective, and is therefore an isometric isomorphism, as claimed.

243H Recall that L0 is always Dedekind -complete and sometimes Dedekind complete (241G), while

L1 is always Dedekind complete (242H). In this respect L follows L0 .

Theorem Let (X, , ) be a measure space.

(a) L () is Dedekind -complete.

(b) If is localizable, L () is Dedekind complete.

proof These are both consequences of 241G. If A L = L () is bounded above in L , fix u0 A and

an upper bound w0 of A in L . If B is the set of upper bounds for A in L0 = L0 (), then B L is the

set of upper bounds for A in L . Moreover, if B has a least member v0 , then we must have u0 v0 w0 ,

so that

0 v0 u0 w0 u0 L

and v0 u0 , v0 belong to L . (Compare part (a) of the proof of 242H.) Thus v0 = sup A in L .

Now we know that L0 is Dedekind -complete; if A L is a non-empty countable set which is bounded

above in L , it is surely bounded above in L0 , so has a supremum in L0 which is also its supremum in L .

As A is arbitrary, L is Dedekind -complete. While if is localizable, we can argue in the same way with

arbitrary non-empty subsets of L to see that L is Dedekind complete because L0 is.

243I A dense subspace of L In 242M-242O I described a couple of important dense linear subspaces

of L1 spaces. The position concerning L is a little different. However I can describe one important dense

subspace.

Proposition Let (X, , ) be a measure space.

(a) Write SP for the space of -simple functions on X, that is, the space of functions from X to R

n

expressible as k=0 ak Ek where ak R and Ek for every k n. Then for every f L = L ()

and every > 0, there is a g S such that ess sup |f g| .

(b) S = {f : f S} is a k k -dense linear subspace of L = L ().

(c) If (X, , ) is totally finite, then S is the space of -simple functions, so S becomes just the space of

equivalence classes of simple functions, as in 242Mb.

proof (a) Let f : X R be a bounded measurable function such that f =a.e. f. Let n N be such that

|f (x)| n for every x X. For n k n set

Ek = {x : k f(x) < k + 1).

Set

Pn

g= k=n kEk S;

then 0 f(x) g(x) for every x X, so

ess sup |f g| = ess sup |f g| .

158 Function spaces 243I

(c) is also elementary.

243J Conditional expectations Conditional expectations are so important that it is worth considering

their interaction with every new concept.

(a) If (X, , ) is any measure space, and T is a -subalgebra of , then the canonical embedding

S : L0 ( T) L0 () (242Ja) embeds L ( T) as a subspace of L (), and kSuk = kuk for every

u L ( T). As in 242Jb, we can identify L ( T) with its image in L ().

(b) Now suppose that X = 1, and let P : L1 () L1 ( T) be the conditional expectation operator

(242Jd).

R Then L () is actually a linear subspace of L1 (). Setting e = 1 L (), we see that

F

e = ( T)(F ) for every F T, so

P e = 1 L ( T).

If u L (), then setting M = kuk we have M e u M e, so M P e P u M P e, because P is

order-preserving (242Je); accordingly kP uk M = kuk . Thus P L () : L () L ( T) is an

operator of norm 1.

243K Complex L All the ideas needed to adapt the work above to complex L spaces have already

appeared in 241J and 242P. Let L

C be

Then

L 0

C = {f : f LC } = {u : u LC , Re(u) L , Im(u) L }.

Setting

kuk = k|u|k = ess sup |f | whenever f = u,

we have a norm on L

C rendering it a Banach space. We still have u v LC and ku vk kuk kvk

for all u, v LC .

We now have a duality between L1C and L 1

C giving rise to a linear operator T : LC LC of norm at

most 1, defined by the formula

R

(T v)(u) = u v for every u L1 , v L .

T is injective iff the underlying measure space is semi-finite, and is a bijection iff the underlying measure

space is localizable. (This can of course be proved by re-working the arguments of 243G; but it is perhaps

easier to note that T (Re(v)) = Re(T v), T (Im(v)) = Im(T v) for every v, so that the result for complex

spaces can be deduced from the result for real spaces.) To check that T is norm-preserving when it is

injective, the quickest route seems to be to imitate the argument of (a-ii) of the proof of 243G.

243X Basic exercises (a) Let (X, , ) be any measure space, and the completion of (212C,

241Xb). Show that L () = L (), L () = L ().

> (b) Let (X, , ) be a non-empty measure space. Write L strict for the space of bounded -measurable

real-valued functions with domain X. (i) Show that L () = {f : f L 0 0

strict } L = L (). (ii) Show

that Lstrict is a Dedekind -complete Banach lattice if we give it the norm

kf k = supxX |f (x)| for every f L

strict .

strict , f = u}.

> (c) Let (X, , ) be any measure space, and A a subset of L (). Show that A is bounded for the norm

k k iff it is bounded above and below for the ordering of L .

(d) Let (X, , ) be any measure space, and A L () a non-empty set with a least upper bound w in

L (). Show that kwk supuA kuk .

243Y L 159

Q spaces, and (X, , ) their direct sum (214K). Show that

the canonical isomorphism between L0 () and iI L0 (i ) (241Xg) induces an isomorphism between L ()

and the subspace

Q

{u : u iI L (i ), kuk = supiI ku(i)k < }

Q

of iI L (i ).

1

(f ) Let (X, ,

R ) be any measure space, and u L (). Show that there is a v L () such that

kvk 1 and u v = kuk1 .

(g) Let (X, , ) be a semi-finite measure space and v L (). Show that

R

kvk = sup{ u v : u L1 , kuk1 1} = sup{ku vk1 : u L1 , kuk1 1}.

(h) Give an example of a probability space (X, , ) and a v L () such that ku vk1 < kvk

whenever u L1 () and kuk1 1.

(i) Write out proofs of 243G adapted to the special cases (i) X = 1 (ii) (X, , ) is -finite.

(j) Let (X, , ) be any measure space. Show that L0 () is Dedekind complete iff L () is Dedekind

complete.

(k) Let (X, , ) be a totally finite measure space and : R a functional. Show that the following

are equiveridical: (i) there is a continuous linear functional h : L1 () R such that h((E) ) = E for

every E (ii) is additive and there is an M 0 such that |E| M E for every E .

> (l) Let X be any set, and let be counting measure on X. In this case it is customary to write ` (X)

for L (), and to identify it with L (). Write out statements and proofs of the results of this chapter

adapted to this special case if you like, with X = N. In particular, write out a direct proof that (`1 ) can

be identified with ` . What happens when X has just two members? or three?

C (), then

(n) Let (X, , ) and (Y, T, ) be measure spaces, and : X Y an inverse-measure-preserving function.

Show that g L () for every g L (), and that the map g 7 g induces a linear operator T : L ()

L () defined by setting T (g ) = (g) for every g L (). (Compare 241Xh.) Show that kT vk = kvk

for every v L ().

(o) On C = C([0, 1]), the space of continuous real-valued functions on the unit interval [0, 1], say

f g iff f (x) g(x) for every x [0, 1],

kf k = supx[0,1] |f (x)|.

Show that C is a Banach lattice, and that moreover

kf gk = max(kf k , kgk ) whenever f , g 0,

243Y Further exercises (a) Let (X, , ) be a measure space, and Y a subset of X; write Y for the

subspace measure on Y . Show that the canonical map from L0 () onto L0 (Y ) (241Ye) induces a canonical

map from L () onto L (Y ), which is norm-preserving iff it is injective.

160 Function spaces 243 Notes

ku vk = max(kuk , kvk ) for u, v 0

(243Df) because while it does not characterize L spaces among Banach lattices (see 243Xo), it is in a sense

dual to the characteristic property

ku + vk1 = kuk1 + kvk1 for u, v 0

1

of the norm of L . (I will return to this in Chapter 35 in the next volume.)

The particular set L I have chosen (243A) is somewhat arbitrary. The space L can very well be

described entirely as a subspace of L0 , without going back to functions at all; see 243Bc, 243Dc. Just as

with L0 and L1 , there are occasions when it would be simpler to work with the linear space of essentially

bounded measurable functions from X to R; and we now have a third obvious candidate, the linear space

Lstrict of measurable functions from X to R which are literally, rather than essentially, bounded, which is

itself a Banach lattice (243Xb).

I suppose the most important theorem of this section is 243G, identifying L with (L1 ) . This identifi-

cation is the chief reason for setting localizable measure spaces apart. The proof of 243Gb is long because

it depends on two separate ideas. The Radon-Nikodym theorem deals, in effect, with the totally finite case,

and then in parts (b-v) and (b-vi) of the proof localizability is used to link the partial solutions gF together.

Exercise 243Xi is supposed to help you to distinguish the two operations. The map T 0 : L1 (L ) (243Fc)

is also very interesting in its way, but I shall leave it for Chapter 36.

243G gives another way of looking at conditional expectation operators. If (X, , ) is a probability

space and T is a -subalgebra of , of course both and T are localizable, so L () can be identified

with (L1 ()) and L ( T) can be identified with (L1 ( T)) . Now we have the canonical embedding

S : L1 ( T) L1 () (242Jb) which is a norm-preserving linear operator, so gives rise to an adjoint

operator S 0 : L1 () L1 ( T) defined by the formula

(S 0 h)(v) = h(Sv) for all v L1 ( T), h L1 () .

Writing T : L () L1 () and T T : L ( T) L1 ( T) for the canonical maps, we get a map

1 0

Q = T T S T : L () L ( T), defined by saying that

R R R

Qu v = (T T Qu)(v) = (S 0 T u)(v) = (T v)(Su) = Su v = u v

whenever v L1 ( T) and u L (). But this agrees with the formula of 242L: we have

R R R R

Qu v = u v = P (u v) = P u v.

Because v is arbitrary, we must have Qu = P u for every u L (). Thus a conditional expectation

operator is, in a sense, the adjoint of the appropriate embedding operator.

The discussion in the last paragraph applies, of course, only to the restriction P L () of the conditional

expectation operator to the L space. Because is totally finite, L () is a subspace of L1 (), and the

real qualities of the operator P are related to its behaviour on the whole space L1 . P : L1 () L1 ( T)

can also be expressed as an adjoint operator, but the expression needs more of the theory of Riesz spaces

than I have space for here. I will return to this topic in Chapter 36.

244 Lp

Continuing with our tour of the classical Banach spaces, we come to the Lp spaces for 1 < p < . The

case p = 2 is more important than all the others put together, and it would be reasonable, perhaps even

advisable, to read this section first with this case alone in mind. But the other spaces provide instructive

examples and remain a basic part of the education of any functional analyst.

244A Definitions Let (X, , ) be any measure space, and p ]1, [. Write Lp = Lp () for the set of

functions f L0 = L0 () such that |f |p is integrable, and Lp () for {f : f Lp ()} L0 = L0 ().

Note that if f Lp , g L0 and f =a.e. g, then |f |p =a.e. |g|p so |g|p is integrable and g Lp ; thus

L = {f : f L0 , f Lp }.

p

244E Lp 161

that f (x) 0 for every x dom f (compare 241I), and say that Lp = {u : u L0 , |u|p L1 ()}.

(a) Lp = Lp () is a linear subspace of L0 = L0 ().

(b) If u Lp , v L0 and |v| |u|, then v Lp . Consequently |u|, u v and u v belong to Lp for all u,

v Lp .

proof The cases p = 1, p = are covered by 242B, 242C and 243B; so I suppose that 1 < p < .

(a)(i) Suppose that f , g Lp = Lp (). If a, b R then |a + b|p 2p max(|a|p , |b|p ), so |f + g|p a.e.

2 (|f |p |g|p ); now |f + g|p L0 and 2p (|f |p |g|p ) L1 so |f + g|p L1 . Thus f + g Lp for all f , g Lp ;

p

(ii) If f Lp and c R then |cf |p = |c|p |f |p L1 , so cu Lp . Accordingly cu Lp whenever u Lp

and c R.

(b)(i) Express u as f and v as g , where f Lp and g L0 . Then |g| a.e. |f |, so |g|p a.e. |f |p and

|g| is integrable; accordingly g Lp and v Lp .

p

belong to Lp for all u, v Lp .

244C The order structure of Lp Let (X, , ) be any measure space, and p [1, ]. Then 244B is

enough to ensure that the partial ordering inherited from L0 () makes Lp () a Riesz space (compare 242C,

243C).

R

(a) For f Lp = Lp (), set kf kp = ( |f |p )1/p . If f , g Lp and f =a.e. g then |f |p =a.e. |g|p so

kf kp = kgkp . Accordingly we may define k kp :RLp () [0, [ by writing kf kp = kf kp for every f Lp .

Alternatively, we can say just that kukp = ( |u|p )1/p for every u Lp = Lp ().

(b) The notation k kp carries a promise that it is a norm on Lp ; this is indeed so, but I hold the proof

over to 244F below. For the

R moment, however, let us note just that kcukp = |c|kukp for all u Lp , c R,

and that if kukp = 0 then |u| = 0 so |u|p = 0 and u = 0.

p

(c) If |u| |v| in Lp then kukp kvkp ; this is because |u|p |v|p .

244E I now work through the lemmas required to show that k kp is a norm on Lp and, eventually, that

the normed space dual of Lp may be identified with a suitable Lq .

1 1

Lemma Suppose (X, , ) is a measure space, and that p, q ]1, [ are such that p + q = 1. Then

(a) ab p1 ap + 1q bq for all real a, b 0.

(b)(i) f g is integrable and

R R

f g |f g| kf kp kgkq

for all f Lp = Lp (), g Lq = Lq ();

(ii) u v L1 = L1 () and

R

| u v| ku vk1 kukp kvkq

for all u Lp = Lp (), v Lq = Lq ().

proof (a) If either a or b is 0, this is trivial. If both are non-zero, we may argue as follows. The function

x 7 x1/p : [0, [ R is concave, with second derivative strictly less than 0, so lies entirely below any of its

162 Function spaces 244E

tangents; in particular, below its tangent at the point (1, 1), which has equation y = 1 + p1 (x 1). Thus we

have

1 1 1 1

x1/p x + 1 = x+

p p p q

c 1c 1

( )1/p + ;

d pd q

multiplying both sides by d,

1 1

c1/p d1/q c + d;

p q

setting c = ap , d = bq , we get

1 1

ab ap + bq ,

p q

as claimed.

(b)(i)() Suppose first that kf kp = kgkq = 1. For every x dom f dom g we have

1 1

|f (x)g(x)| |f (x)|p + |g(x)|q

p q

by (a). So

1 1

|f g| |f |p + |g|q L1 ()

p q

and f g is integrable; also

R 1R 1R 1 1 1 1

|f g| |f |p + |g|q = kf kpp + kgkqq = + = 1.

p q p q p q

R p p

() If kf kp = 0, then |f | = 0 so |f | =a.e. 0, f =a.e. 0, f g =a.e. 0 and

R

|f g| = 0 = kf kp kgkq .

Similarly, if kgkq = 0, then g =a.e. 0 and again

R

|f g| = 0 = kf kp kgkq .

() Finally, for general f Lp , g Lq such that c = kf kp and d = kgkq are both non-zero, we have

k 1c f kp = k d1 gkq = 1 so

1 1

f g = cd( f g)

c d

is integrable, and

R R 1 1

|f g| = cd | f g| cd,

c d

as required.

(ii) Now if u Lp , v Lq take f Lp , g Lq such that u = f , v = g ; f g is integrable, so

u v L1 , and

R R

| u v| ku vk1 = |f g| kf kp kgkq = kukp kvkq .

244F Proposition Let (X, , ) be a measure space and p ]1, [. Set q = p/(p1), so that p1 + 1q = 1.

R

(a) For every u Lp = Lp (), kukp = max{ u v : v Lq (), kvkq 1}.

(b) k kp is a norm on Lp .

proof (a) For u Lp , set

244G Lp 163

R

(u) = sup{ u v : v Lq (), kvkq 1}.

R

0 = kukp = (u) = max{ u v : v Lq (), kvkq 1}.

If kukp = c > 0, consider

v = cp/q sgn u |u|p/q ,

where for a R I write sgn a = |a|/a if a 6= 0, 0 if a = 0, so that sgn : R R is a Borel measurable

function; for f L0 I write (sgn f )(x) = sgn(f (x)) for x dom f , so that sgn f L0 ; and for f L0 I write

sgn(f ) = (sgn f ) to define a function sgn : L0 L0 (cf. 241I). Then v Lq and

R R

kvkq = ( |v|q )1/q = cp/q ( |u|p )1/q = cp/q cp/q = 1.

So

Z Z

(u) u v = cp/q sgn u |u| sgn u |u|p/q

Z Z

1+ p p

=cp/q

|u| q =cp/q

|u|p = cp q = c,

p p

recalling that 1 + q = p, p q = 1. Thus (u) kukp and

R

(u) = kukp = u v.

p

(b) In view of the remarks in 244Db, I have only to check

R that ku + vkp kukp + kvkp for all u, v L .

q

But given u and v, let w L be such that kwkq = 1 and (u + v) w = ku + vkp . Then

R R R

ku + vkp = (u + v) w = u w + v w kukp + kvkp ,

as required.

244G Theorem Let (X, , ) be any measure space, and p [1, ]. Then Lp = Lp () is a Banach

lattice under its norm k kp .

proof The cases p = 1, p = are covered by 242F-242G and 243E, so let us suppose that 1 < p < . We

know already that kukp kvkp whenever |u| |v|, so that it remains only to show that Lp is complete.

Let hun inN be a sequence in Lp such that kun+1 un kp 4n for every n N. Note that

Pn1 P

kun kp ku0 kp + k=0 kuk+1 uk kp ku0 kp + k=0 4k ku0 kp + 2

for every n. For each n N, choose fn Lp such that f0 = u0 , fn = un un1 for n 1; do this in such a

way that dom fk = X and fk is -measurable (241Bk). Then kfn kp 4n+1 for n 1.

For m, n N, set

Emn = {x : |fm (x)| 2n } .

Then |fm (x)|p 2np for x Emn , so

R

2np Emn |fm |p <

and Emn < . So Emn Lq = Lq () and

R R

|f | = |fk | Emn kfk kp kEmn kq

Emn k

P R P

k=0 Emn |fk | kEmn kq

k=0 kfk kp < ,

P

and S k=0 fk (x) exists for almost every x P Emn , by 242E. This is true for all m,Pn N. But if x

X \ m,nN Emn , fn (x) = 0 for every n, so k=0 fk (x) certainly exists. Thus g(x) = k=0 fk (x) is defined

in R for almost

Pnevery x X.

Set gn = k=0 fk ; then gn = un Lp for each n, and g(x) = limn gn (x) is defined a.e. in X. Now

consider |g|p =a.e. limn |gn |p . We know that

164 Function spaces 244G

R

lim inf n |gn |p = lim inf n kun kpp (2 + ku0 kp )p < ,

so by Fatous Lemma

R R

|g|p lim inf k |gk |p < .

Thus u = g Lp . Moreover, for any m N,

Z Z

|g gm |p lim inf |gn gm |p = lim inf kun um kpp

n n

n1

X

X

lim inf 4kp = 4kp = 4mp /(1 4p ).

n

k=m k=m

So

R

ku um kp = ( |g gm |p )1/p 4m /(1 4p )1/p 0

as m . Thus u = limm um in Lp . As hun inN is arbitrary, Lp is complete.

244H Following 242M-242O, I note that Lp behaves like L1 in respect of certain dense subspaces.

Proposition (a) Let (X, , ) be any measure space, and p [1, [. Then the space S of equivalence

classes of -simple functions is a dense linear subspace of Lp = Lp ().

(b) Let X be any subset of R r , where r 1, and let be the subspace measure on X induced by Lebesgue

measure on R r . Write Ck for the set of (bounded) continuous functions g : R r R such that {x : g(x) 6= 0}

is bounded, and S0 for the space of linear combinations of functions of the form I, where I R r is a

bounded half-open interval. Then {(gX) : g Ck } and {(hX) : h S0 } are dense in Lp ().

proof (a) I repeat the argument of 242M with a tiny modification.

(i) Suppose that u Lp (), u 0 and > 0. Express u as f where Rf : X

R [0, [ is a measurable

function. Let g : X R be a simple function such that 0 g f p and g f p p . Set h = g 1/p .

Then h is a simple function and h f . Because p > 1, (f h)p + hp f p and

R R

(f h)p f p g p ,

so

R

ku h kp = ( |f h|p )1/p ,

while h S.

(ii) For general u Lp , > 0, u can be expressed as u+ u where u+ = u 0, u = (u) 0 belong

to Lp and are non-negative. By (i), we can find v1 , v2 S such that ku+ v1 kp 21 , ku v2 kp 21 , so

that v = v1 v2 S and ku vkp . As u and are arbitrary, S is dense.

(b) Again, all the ideas are to be found in 242O; the changes needed are in the formulae, R notp in the

p

method.

R They will go more easilyR if I note at the outset that whenever f 1 , f 2 L () and |f1 | p ,

p p p p

|f2 | (where , 0), then |f1 + f2 | ( + ) ; this is just

R the triangle inequality

R for k kp (244Fb).

Also I will regularly express the target relationships in the form X |f g|p p , X |f g|p p . Now

let me run through the argument of 242Oa, rather more briskly than before.

(i) SupposeR first that f = IX where I R r is a bounded half-open interval. As before, we can set

h = I and get X |f h|p = 0. This time, use the same construction to R find an interval J and a function

g Ck such that I g J and r (J \ I) p ; this will ensure that X |f g|p p .

(ii) Now suppose that f = (X E) where E R r is a set of finite measure. Then, for Sthe same reasons

as before, there is a disjoint family I0 , . . . , In of half-open intervals such that r (E4 jn Ij ) ( 21 )p .

Pn R

Accordingly h = j=0 Ij S0 and X |f h|p ( 21 )p . And (i) tells us that there is for each j n a

R Pn R

gj Ck such that X |gj Ij |p (/2(n + 1))p , so that g = j=0 gj Ck and X |f g|p p .

(iii) The move toR simple functions, and thence to arbitrary members of Lp (), is just as before, but

using kf kp in place of X |f |. Finally, the translation from Lp to Lp is again direct remembering, as before,

to check that gX, hX belong to Lp () for every g Ck , h S0 .

244K Lp 165

proof Let A be the set

Pn

{( j=0 qj ([aj , bj [ X)) : n N, q0 , . . . , qn Q, a0 , . . . , an , b0 , . . . , bn Q r }.

Pn

Then A is a countable subset of Lp (), and its closure must contain ( j=0 cj ([aj , bj [ X)) whenever

c0 , . . . , cn R and a0 , . . . , an , b0 , . . . , bn R r ; that is, A is a closed set including {(hX) : h S0 }, and is

the whole of Lp (), by 244Hb.

244J Duality in Lp spaces Let (X, , ) be any measure space, and p ]1, [. Set q = p/(p 1);

note that p1 + 1q = 1 and that p = q/(q 1); the relation between p and q is symmetric. Now u v L1 ()

and ku vk1 kukp kvkq whenever u Lp = Lp () and v Lq = Lq () (244E). Consequently we have a

bounded linear operator T from Lq to the normed space dual (Lp ) of Lp , given by writing

R

(T v)(u) = u v

for all u Lp , v Lq , exactly as in 243F.

244K Theorem Let (X, , ) be a measure space, and p ]1, [; set q = p/(p 1). Then the canonical

map T : Lq () Lp () , described in 244J, is a normed space isomorphism.

Remark I should perhaps remind anyone who is reading this chapter to learn about L2 that the general

theory of Hilbert spaces yields this theorem in the case p = q = 2 without any need for the more generally

applicable argument given below (see 244N, 244Yj).

proof We know that T is a bounded linear operator of norm at most 1; I need to show (i) that T is actually

an isometry (that is, that kT vk = kvkq for every v Lq ), which will show incidentally that T is injective

(ii) that T is surjective, which is the really substantial part of the theorem.

q p

R (a) If v L , then by 244Fa (recalling that p = q/(q 1)) there is a u L such that kukp 1 and

u v = kvkq ; thus kT vk (T v)(u) = kvkq . As we know already that kT vk kvkq , we have kT vk = kvkq

for every v, and T is an isometry.

(b) The rest of the proof, therefore, will be devoted to showing that T : Lq (Lp ) is surjective. Fix

h (Lp ) with khk = 1.

I need to show that h lives on a countable union of sets of finite measure in X, in the following sense:

p

there is a non-decreasing

S sequence hEn inN of sets of finite measurepsuch that h(f ) = 0 whenever f L

and f (x) = 0 for x nN En . P P Choose a sequence hun inN in L such that kun kp 1 for every n and

limn h(un ) = khk = 1. For each n, express un as fn , where fn : X R is a measurable function. Set

Pn

En = {x : k=0 |fk (x)|p 2n }

for n N; because |fk |p is measurable and integrable and has domain X for every k, En and En <

for each n. S

Now suppose that f Lp (X) and that f (x) = 0 for x nN En ; set u = f Lp . ?? Suppose, if

possible, that h(u) 6= 0, and consider h(cu), where

sgn c = sgn h(u), 0 < |c| < (p |h(u)| kukp

p )

1/(p1)

.

(Of course kukp 6= 0 if h(u) 6= 0.) For each n, we have

S

{x : fn (x) 6= 0} mN Em {x : f (x) = 0},

so |fn + cf |p = |fn |p + |cf |p and

h(un + cu) kun + cukp = (kun kpp + kcukpp )1/p (1 + |c|p kukpp )1/p .

Letting n ,

1 + ch(u) (1 + |c|p kukpp )1/p .

Because sgn c = sgn h(u), ch(u) = |c||h(u)| and we have

1 + p|c||h(u)| (1 + ch(u))p 1 + |c|p kukpp ,

166 Function spaces 244K

so that

p|h(u)| |c|p1 kukpp < p|h(u)|

by the choice of c; which is impossible. X

X S

This means that h(f ) = 0 whenever f : X R is measurable, belongs to Lq , and is zero on nN En .

Q

Q

S

(c) Set Hn = En \ k<n Ek for each n N; then hHn inN is a disjoint sequence of sets of finite measure.

P

Now h(u) = n=0 h(u (Hn ) ) for everySu Lp . PP Express u as f , where f : X SR is measurable.

S Set

fn = f Hn for each n, g = f (X \ nN Hn ); then h(g ) = 0, by (a), because nN Hn = nN En .

Consider

Pn

gn = g + k=0 fk Lp

for each n. Then limn f gn = 0, and

|f gn |p |f |p L1

for every n, so by either Fatous Lemma or Lebesgues Dominated Convergence Theorem

R

limn |f gn |p = 0,

and

n

X

lim ku g u (Hk ) kp = lim ku gn kp

n n

k=0

Z

1/p

= lim |f gn |p = 0,

n

that is,

P

u = g + k=0 u Hk

in Lp . Because h : Lp R is linear and continuous, it follows that

P P

h(u) = h(g ) + k=0 h(u Hk ) = k=0 h(u Hk ),

as claimed. Q

Q

(d) For each n N, define n : R by setting

n E = h((E Hn ) )

for every E . (Note that n E is always defined because (E Hn ) < , so that

k(E Hn )kp = (E Hn )1/p < .)

Then n = h(0) = 0, and if hFk ikN is a disjoint sequence in ,

S Pm S

k( kN Hn Fk ) k=0 (Hn Fk )kp = (Hn k=m+1 Fk )1/p 0

as m , so

S P

n ( kN Fk ) = k=0 n Fk .

So n is countably additive. Further, |n F | (Hn F )1/p , so nR is truly continuous in the sense of 232Ab.

There is therefore an integrable function gn such that n F = F gn for every F ; let us suppose that

gn is measurable

S and defined on the whole of X. Set g(x) = gn (x) whenever n N and x Hn , g(x) = 0

for x X \ nN Hn .

P R

(e) g = n=0 gn Hn is measurable and R has the property that F g = h(F ) whenever n N and F

is a measurable

S subset of Hn ; consequentlyS F g = h(F ) whenever n N and F is a measurable subset of

En = kn Hk . Set G = {x : g(x) > 0} nN En . If F G and F < , then

R

limn g (F En ) supnN h((F En ) ) supnN k(F En )kp = (F )1/p ,

so by B. Levis theorem

244L Lp 167

R R R

F

g= g F = limn g (F En )

R R

exists. Similarly, F g exists if F R {x : g(x) < 0} has finite measure; while obviously F g exists if

F {x : g(x) = 0}. Accordingly F g exists for every set F of finite measure. Moreover, by Lebesgues

Dominated Convergence Theorem,

R R P

F

g = limn F En g = limn h((F En ) ) = n=0 h((F Hn ) ) = h(F )

for such F , by (c) above. It follows at once that

R

g f = h(f )

for every simple function f : X R.

(f ) Now g Lq . P

P (i) We already know that |g|q : X R is measurable, because g is measurable and

a 7 |a| is continuous. (ii) Suppose that f is a non-negative simple function and f a.e. |g|q . Then f 1/p is

q

R sgnp g isR measurable andR takes only the values 0, 1 and 1, so f1 = f 1/p sgn g is

1/p

simple. We see that |f1 | = f , so kf1 kp = ( f ) . Accordingly

Z Z Z

( f )1/p h(f1 ) = g f1 = |g f 1/p |

Z

f 1/q f 1/p

Z

= f,

R

and we must have f 1. (iii) Thus

R

sup{ f : f is a non-negative simple function, f a.e. |g|q } 1 < .

But now observe that if > 0 then

S

{x : |g(x)|q } = nN {x : x En , |g(x)|q },

and for each n N

{x : x En , |g(x)|q } 1 ,

because f = {x : x En , |g(x)|q } is a simple function less than or equal to |g|q , so has integral at

most 1. Accordingly

1

{x : |g(x)|q } = supnN {x : x En , |g(x)|q } < .

q

Thus |g| is integrable, by the criterion in 122Ja. Q

Q

(g) We may therefore speak of h1 = T (g ) (Lp ) , and we know that it agrees with h on members of Lp

of the form f where f is a simple function. But these form a dense subset of Lp , by 244Ha, and both h and

h1 are continuous, so h = h1 is a value of T , by 2A3Uc. The argument as written so far has assumed that

khk = 1. But of course any non-zero member of (Lp ) is a scalar multiple of an element of norm 1, so is a

value of T . So T : Lq (Lp ) is indeed surjective, and is therefore an isometric isomorphism, as claimed.

244L Continuing with the same topics as in 242 and 243, I turn to the order-completeness of Lp .

Theorem Let (X, , ) be any measure space, and p [1, [. Then Lp = Lp () is Dedekind complete.

proof I use 242H. Let A Lp be any set which is bounded above in Lp . Fix u0 A and set

A0 = {u0 u : u A},

so that A0 has the same upper bounds as A and is bounded below by u0 . Fixing an upper bound w0 of A

in Lp , then u0 u w0 for every u A0 . Set

B = {(u u0 )p : u A0 }.

168 Function spaces 244L

Then

0 v (w0 u0 )p L1 = L1 ()

for every v B, so B is a non-empty subset of L1 which is bounded above in L1 , and therefore has a

1/p 1/p

least upper bound v1 in L1 . Now v1 Lp ; consider w1 = u0 + v1 . If u A0 then (u u0 )p v1 so

1/p

u u0 v1 and u w1 ; thus w1 is an upper bound for A0 . If w Lp is an upper bound for A0 , then

u u0 w u0 and (u u0 )p (w u0 )p for every u A0 , so (w u0 )p is an upper bound for B and

1/p

v1 (w u0 )p , v1 w u0 and w1 w. Thus w = sup A0 = sup A in Lp . As A is arbitrary, Lp is

Dedekind complete.

244M As in the last two sections, the theory of conditional expectations is worth revisiting.

Theorem Let (X, , ) be a probability space, and T a -subalgebra of . Take p [1, ]. Regard L0 ( T)

as a subspace of L0 (), so that Lp ( T) becomes a subspace of Lp () (cf. 242Jb). Let P : L1 () L1 ( T)

be the conditional expectation operator, as described in 242Jd. Then whenever u Lp (), |P u|p P (|u|p ),

so P u Lp ( T) and kP ukp kukp .

proof For p = , this is 243Jb, so I assume henceforth that p < . Set (t) = |t|p for t R; then is

a convex function (because it is absolutely continuous on any bounded interval, and its derivative is non-

decreasing), and |u|p = (u) for every u L0 = L0 (), where is defined as in 241I. Now if u Lp = Lp (),

we surely have u L1 (because |u| |u|p (X) , or otherwise); so 242K tells us that |P u|p P |u|p . But

this means that P u Lp L1 ( T) = Lp ( T), and

R R R

kP ukp = ( |P u|p )1/p ( P |u|p )1/p = ( |u|p )1/p = kukp ,

as claimed.

244N The space L2 (a) As I have already remarked, the really important function spaces are L0 , L1 ,

L2 and L . L2 has the special property of being an inner product space;

R if (X, , ) is any measure space

and u, v L2 () then u v L1 , by 244Eb, and we may write (u|v) = u v. This makes L2 a real inner

product space (because

(u1 + u2 |v) = (u1 |v) + (u2 |v), (cu|v) = c(u|v), (u|v) = (v|u),

p

for all u, u1 , u2 , v L2 and c R) and its norm k k2 is the associated norm (because kuk2 = (u|u)

whenever u L2 ). Because L2 is complete (244G), it is a real Hilbert space. The fact that it may be

identified with its own dual (244K) can of course be deduced from this.

I will use the phrase square-integrable to describe functions in L2 .

(b) Conditional expectations take a special form in the case of L2 . Let (X, , ) be a probability space,

T a -subgalgebra of , and P : L1 = L1 () L1 ( T) L1 the corresponding conditional expectation

operator. Then P [L2 ] L2 , where L2 = L2 () (244M), so we have 2 2

R an operator P2 = P L from L to itself.1

2

Now P2 is an orthogonal

R projection and its kernel is {u : u L , F u = 0 for every F T}. P

P (i) If u L

then P u = 0 iff F u = 0 for every F T (cf. 242Je); so surely the kernel of P2 is the set described. (ii)

Since P 2 = P , P2 is also a projection; because P2 has norm at most 1 (244M), and is therefore continuous,

U = P2 [L2 ] = L2 ( T) = {u : u L2 , P2 u = u}, V = {u : P2 u = 0}

2 2

are closed linear subspaces of L such that U V = L . (iii) Now suppose that u U , v V . Then

P |v| L2 , so u P |v| L1 and P (u v) = u P v, by 242L. Accordingly

R R R

(u|v) = u v = P (u v) = u P v = 0.

Thus U and V are orthogonal subspaces of L2 , which is what we mean by saying that P2 is an orthogonal

projection. (Some readers will know that every projection of norm at most 1 on an inner product space is

orthogonal.) Q

Q

244Xd Lp 169

LpC = LpC () = {f : f L0C (), |f |p is integrable},

LpC () = {f : f Lp }

= {u : u L0C (), Re(u) Lp () and Im(u) Lp ()}

= {u : u L0C , |u| Lp }.

R

Then LpC is a linear subspace of L0C . Set kukp = ( |u|p )1/p for u LpC .

(b) The proof of 244E(b-i) applies unchanged to complex-valued functions, so taking q = p/(p 1) we get

ku vk1 kukp kvkq

for all u LpC ,v LqC .

244Fa becomes

for every u LC there is a v LqC such that kvkq 1 and

p

R R

u v = | u v| = kukp ;

the same proof works, if you allow me to write sgn a = |a|/a for all non-zero complex numbers it would

perhaps be more natural to write sgn(a) in place of sgn a. So, just as before, we find that k kp is a norm.

We can use the argument of 244G to show that LpC is complete. The space SC of equivalence classes of

complex-valued simple functions is dense in LpC . If X is a subset of R r and is Lebesgue measure on X,

then the space of equivalence classes of continuous complex-valued functions on X with bounded support is

dense in LpC .

R

(c) The canonical map T : LqC (LpC ) , defined by writing (T v)(u) = u v, is surjective because

T Lq : Lq (Lp ) is surjective; and it is an isometry by the remarks in (b) just above. Thus we can still

identify LqC with (LpC ) .

(d) When we come to the complex form of Jensens inequality, it seems that a new idea is needed. I have

relegated this to 242Yj-242Yk. But for the complex form of 244M a simpler argument will suffice. If we

have a probability space (X, , ), a -subalgebra T of , and the corresponding conditional expectation

operator P : L1C () L1C ( T), then for any u LpC () we shall have

|P u|p (P |u|)p P (|u|p ),

applying 242Pc and 244M. So kP ukp kukp , as before.

(e) There is a special point arising with L2C . We now have to define

R

(u|v) = u v

R

for u, v L2C , so that (u|u) = |u|2 = kuk22 for every u; this means that (v|u) is the complex conjugate of

(u|v).

244X Basic exercises > (a) Let (X, , ) be a measure space, and (X, , ) its completion. Show that

Lp () = Lp () and Lp () = Lp () for every p [1, ].

(b) Let (X, , ) be a measure space, and 1 p r . Set e = 1 in L0 (). (i) Show that if u Lp ()

and |u| e then u Lr () and kukr kukp . (Hint: look first at the case kukp = 1.) (ii) Show that if

v Lr () then (v e)+ Lp () and k(v e)+ kp kvkr .

L () + Lr () L0 (). (See also 244Yg.)

p

(d) Let (X, , ) be a measure space. Suppose that p, q, r [1, ] and that p1 + 1q = 1r , setting

1

= 0 as

r p q

usual. Show that u v L () and ku vkr kukp kvkq for every u L (), v L (). (Hint: if r <

apply Holders inequality to |u|r Lp/r , |v|r Lq/r .)

170 Function spaces 244Xe

R if 1 p r then kf kp kf kr for every

f Lr (). (Hint: use Holders inequality to show that |f |p k|f |p kr/p .) In particular, Lp () Lr ().

(ii) Let (X, , ) be a measure space such that E 1 whenever E and E > 0. (This happens,

for instance, when is counting measure on X.) Show that if 1 p r then Lp () Lr () and

kukp kukr for every u Lp (). (Hint: 244Xb.)

(f ) Let (X, , ) be a semi-finite measure space, and p, q [1, ] such that p1 + 1q = 1. Show that if

u L0 () \ Lp () then there is a v Lq () such that u v

/ L1 (). (Hint: reduce to the case u 0.

n q

Show that in this

R case therenis for each n PNa un u such that 4 kun kp < ; take vn L such that

n

kvn kq 2 , un vn 2 , and set v = n=0 vn .)

(g) Let h(Xi , i , i )iiI be a family of measure spaces, and (X, , ) their

Q direct sum (214K). Take any

p [1, [. Show that the canonical isomorphism between L0 () and iI L0 (i ) (241Xg) induces an

isomorphism between Lp () and the subspace

Q P

{u : u iI Lp (i ), kuk = p 1/p

iI ku(i)kp ) < }

Q p

of iI L (i ).

(h) Let (X, , ) be a measure space. Set M ,1 = L1 () L (). Show that for u M ,1 the function

p 7 kukp : [1, [ [0, [ is continuous, and that kuk = limp kukp . (Hint: consider first the case in

which u is the equivalence class of a simple function.)

(i) Let be counting measure on X = {1, 2}, so that L0 () = R 2 and Lp () = L0 () can be identified

with R 2 for every p [1, ]. Sketch the unit balls {u : kukp 1} in R 2 for p = 1, 23 , 2, 3 and .

(j) Let be counting measure on X = {1, 2, 3}, so that L0 () = R 3 and Lp () = L0 () can be identified

with R 3 for every p [1, ]. Describe the unit balls {u : kukp 1} in R 3 for p = 1, 2 and .

(k) At which point does the argument of 244Hb break down if we try to apply it to L with k k ?

(l) For any measure space (X, , ) write M 1, = M 1, () for {v + w : v L1 (), w L ()} L0 ().

Show that M 1, is a linear subspace of L0 including Lp for every p [1, ], and that if u L0 , v M 1,

and |u| |v| then u M 1, . (Hint: u = v w where |w| 1 .)

(m) Let (X, , ) and (Y, T, ) be two measure spaces, and let T + be the set of linear operators T :

M 1, () M 1, () such that () T u 0 whenever u 0 in M 1, () () T u L1 () and kT uk1 kuk1

whenever u L1 () () T u L () and kT uk kuk whenever u L (). (i) Show that if : R R

is a convex function such that (0) = 0, and u M 1, () is such that (u) M 1, () (interpreting

: L0 () L0 () as in 241I), then (T u) M 1, () and (T u) T ((u)) for every T T + . (ii) Hence

show that if p [1, ] and u Lp (), T u Lp () and kT ukp kukp for every T T + .

> (n) Let X be any set, and let be counting measure on X. In this case it is customary (at least for

p [1, ]) to write `p (X) for Lp (), and to identify it with Lp (). In particular, L2 () becomes identified

with `2 (X), the space of square-summable functions on X. Write out statements and proofs of the results

of this chapter adapted to this special case.

(o) Let (X, , ) and (Y, T, ) be measure spaces and : X Y an inverse-measure-preserving function.

Show that the map g 7 g : L0 () L0 () (241Xh) induces a norm-preserving map from Lp () to Lp ()

for every p [1, ], and also a map from M 1, () to M 1, () which belongs to the class T + of 244Xm.

244Y Further exercises (a) Let (X, , ) be a measure space, and (X, , ) its c.l.d. version. Show

that Lp () Lp () and that this embedding induces a Banach lattice isomorphism between Lp () and

Lp (), for every p [1, [.

(b) Let (X, , ) be any measure space, and p [1, [. Show that Lp () has the countable sup property

in the sense of 241Yd. (Hint: 242Yd.)

244 Notes Lp 171

(c) Let (X, , ) be a measure space, and Y a subset of X; write Y for the subspace measure on Y .

Show that the canonical map T from L0 () onto L0 (Y ) (241Ye) includes a surjection from Lp () onto

Lp (Y ) for every p [1, ], and also a map from M 1, () to M 1, (Y ) which belongs to the class T +

of 244Xm. Show that the following are equiveridical: (i) there is some p [1, [ such that T Lp () is

injective; (ii) T : Lp () Lp (Y ) is norm-preserving for every p [1, [; (iii) F Y 6= whenever F

and 0 < F < .

(d) Let (X, , ) be any measure space, and p [1, [. Show that the norm k kp on Lp () is order-

continuous in the sense of 242Yc.

(e) Let (X, , ) be any measure space, and p [1, ]. Show that if A Lp () is upwards-directed and

norm-bounded, then it is bounded above. (Hint: 242Yb.)

(f ) Let (X, , ) be any measure space, and p [1, ]. Show that if a non-empty set A Lp () is

upwards-directed and has a supremum in Lp (), then k sup Akp supuA kukp . (Hint: consider first the

case 0 A.)

(g) Let (X, , ) be a measure space and u L0 (). Show that I = {p : p [0, [ , u Lp ()} is an

interval. Give examples to show that it may be open, closed or half-open. Show that p 7 p ln kukp : I R

is convex. Hence show that if p q r I, kukq max(kukp , kukr ).

(h) Let [a, b] be a non-trivial closed interval in R and F : [a, b] R a function; take p ]1, [. Show

that the following are equiveridical: (i) F is absolutely continuous and its derivative F 0 belongs to Lp (),

where is Lebesgue measure on [a, b] (ii)

Pn |F (ai )F (ai1 )|p

c = sup{ i=1 : a a0 < a1 < . . . < an b}

(ai ai1 )

p1

is finite, and that in this case c = kF kp . (Hint: (i) if F is absolutely continuous and F 0 Lp , use Holders

0

R b0

inequality to show that |F (b0 ) F (a0 )|p (b0 a0 )p1 a0 |F 0 |p whenever a a0 b0 b. (ii) If F satisfies

Pn Pn

the conditions, show that ( i=0 |F (bi ) F (ai )|)p c( i=0 (bi ai ))p1 whenever a a0 b0 a1 . . .

bn b, so that F is absolutely continuous. Take aR sequence hFn inN R of polygonal functions approximating

F ; use 223Xh to show that Fn0 F 0 a.e., so that |F 0 |p supnN |Fn0 |p cp .)

(i) Let G be an open set in R r and write for Lebesgue measure on G. Let Ck (G) be the set of continuous

functions f : G R such that inf{kx yk : x G, f (x) 6= 0, y R r \ G} > 0 (counting inf as ). Show

that for any p [1, [ the set {f : f Ck (G)} is a dense linear subspace of Lp ().

(j) Let U be any Hilbert space. (i) Show that if C U is convex (that is, tu + (1 t)v C whenever

u, v C and t [0, 1]; see 233Xd) and closed, and u U , then there is a unique v C such that

ku vk = inf wC ku wk, and that (u v|v w) 0 for every w C. (ii) Show that if h U there is a

unique v U such that h(w) = (w|v) for every w U . (Hint: apply (i) with C = {w : h(w) = 1}, u = 0.)

(iii) Show that if V U is a closed linear subspace then there is a unique linear projection P on U such

that P [U ] = V and (u P u|v) = 0 for all u U , v V (P is orthogonal). (Hint: take P u to be the point

of V nearest to u.)

(k) Let (X, , ) be a probability space, and T a -subalgebra Rof . UseR part (iii) of 244Yj to show that

there is an orthogonal projection P : L2 () R L2 ( T) 2

R such that F P u = F u for every u L (), F T.

Show that P u 0 whenever u 0 and that P u = u for every u, so that P has a unique extension to a

continuous operator from L1 () onto L1 ( T). Use this to develop the theory of conditional expectations

without using the Radon-Nikodym theorem.

244 Notes and comments At this point I feel we must leave the investigation of further function spaces.

The next stage would have to be a systematic abstract analysis of general Banach lattices. The Lp spaces

give a solid foundation for such an analysis, since they introduce the basic themes of norm-completeness,

order-completeness and identification of dual spaces. I have tried in the exercises to suggest the importance

172 Function spaces 244 Notes

of the next layer of concepts: order-continuity of norms and the relationship between norm-boundedness and

order-boundedness. What I have not had space to discuss is the subject of order-preserving linear operators

between Riesz spaces, which is the key to understanding the order structure of the dual spaces here. (But

you can make a start by re-reading the theory of conditional expectation operators in 242J-242L, 243J and

244M.) All these topics are treated in Fremlin 74 and in Chapters 35 and 36 of the next volume.

I remember that one of my early teachers of analysis said that the Lp spaces (for p 6= 1, 2, ) had

somehow got into the syllabus and had never been got out again. I would myself call them classics, in the

sense that they have been part of the common experience of all functional analysts since functional analysis

began; and while you are at liberty to dislike them, you can no more ignore them than you can ignore Milton

if you are studying English poetry. Holders inequality, in particular, has a wealth of applications; not only

244F and 244K, but also 244Xd, 244Xe and 244Yh, for instance.

The Lp spaces, for 1 p , form a kind of continuum. In terms of the concepts dealt with here, there is

no distinction to be drawn between different Lp spaces for 1 < p < except the observation that the norm

of L2 is an inner product norm, corresponding to a Euclidean geometry on its finite-dimensional subspaces.

To discriminate between the other Lp spaces we need much more refined concepts in the geometry of normed

spaces.

In terms of the theorems given here, L1 seems closer to the middle range of Lp for 1 < p < than

L does; thus, for all 1 p < , we have Lp Dedekind complete (independent of the measure space

involved), the space S of equivalence classes of simple functions is dense in Lp (again, for every measure

space), and the dual (Lp ) is (almost) identifiable as another function space. All of these should be regarded

as consequences in one way or another of the order-continuity of the norm of Lp for p < . The chief

obstacle to the universal identification of (L1 ) with L is that for non--finite measure spaces the space

L can be inadequate, rather than any pathology in the L1 space itself. (This point, at least, I mean to

return to in Volume 3.) There is also the point that for a non-semi-finite measure space the purely infinite

sets can contribute to L without any corresponding contribution to L1 . For 1 < p < , neither of these

problems can arise. Any member of any such Lp is supported entirely by a -finite part of the measure

space, and the same applies to the dual see part (c) of the proof of 244K.

Of course L1 does have a markedly different geometry from the other Lp spaces. The first sign of this

is that it is not reflexive as a Banach space (except when it is finite-dimensional), whereas for 1 < p <

the identifications of (Lp ) with Lq and of (Lq ) with Lp , where q = p/(p 1), show that the canonical

embedding of Lp in (Lp ) is surjective, that is, that Lp is reflexive. But even when L1 is finite-dimensional

the unit balls of L1 and L are clearly different in kind from the unit balls of Lp for 1 < p < ; they have

corners instead of being smoothly rounded (244Xi-244Xj).

The proof of 244K, identifying (Lp ) , is a fairly long haul, and it is natural to ask whether we really

have to work so hard, especially since in the case of L2 we have a much easier argument (244Yj). Of course

we can go faster if we know a bit more about Banach lattices (369 in Volume 3 has the relevant facts),

though this route uses some theorems quite as hard as 244K as given. There are alternative routes using

the geometry of the Lp spaces, following the ideas of 244Yj, but I do not think they are any easier, and the

argument I have presented here at least has the virtue of using some of the same ideas as the identification

of (L1 ) in 243G. The difference is that whereas in 243G we may have to piece together a large family of

functions gF (part (b-v) of the proof), in 244K there are only countably many gn ; consequently we can make

the argument work for arbitrary measure spaces, not just localizable ones.

The geometry of Hilbert space gives us an approach to conditional expectations which does not depend

on the Radon-Nikodym theorem (244Yk). To turn these ideas into a proof of the Radon-Nikodym theorem

itself, however, requires qualities of determination and ingenuity which can be better employed elsewhere.

The convexity arguments of 233J/242K can be used on many operators besides conditional expectations

(see 244Xm). The class T + described there is not in fact the largest for which these arguments work; I

take the ideas farther in Chapter 37. There is also a great deal more to be said if you put an arbitrary pair

of Lp spaces in place of L1 and L in 244Xl. 244Yg is a start, but for the real thing (the Riesz convexity

theorem) I refer you to Zygmund 59, XII.1.11 or Dunford & Schwartz 57, VI.10.11.

245Bb Convergence in measure 173

I come now to an important and interesting topology on the spaces L0 and L0 . I start with the definition

(245A) and with properties which echo those of the Lp spaces for p 1 (245D-245E). In 245G-245J I

describe the most useful relationships between this topology and the norm topologies of the Lp spaces. For

-finite spaces, it is metrizable (245Eb) and sequential convergence can be described in terms of pointwise

convergence of sequences of functions (245K-245L).

(a) For any measurable set F X of finite measure, we have a functional F on L0 = L0 () defined by

setting

R

F (f ) = |f | F

for every f L0 . (The integral exists in R because |f |F belongs to L0 and is dominated by the integrable

function F ). Now F (f + g) F (f ) + F (g) whenever f , g L0 . P

P We need only observe that

min(|(f + g)(x)|, (F )(x)) min(|f (x)|, (F )(x)) + min(|g(x)|, (F )(x))

for every x dom f dom g, which is almost every x X. Q

Q Consequently, setting F (f, g) = F (f g),

we have

F (f, h) = F ((f g) + (g h)) F (f g) + F (g h) = F (f, g) + F (g, h),

F (f, g) = F (f g) 0,

F (f, g) = F (f g) = F (g f ) = F (g, f )

for all f , g, h L0 ; that is, F is a pseudometric.

{F : F , F < }

now defines a topology on L (2A3F); I will call it the topology of convergence in measure on L0 .

0

(c) If f , g L0 and f =a.e. g, then |f | F =a.e. |g| F and F (f ) = F (g), for every set F of finite

measure. Consequently we have functionals F on L0 = L0 () defined by writing

F (f ) = F (f )

whenever f L0 , F and F < . Corresponding to these we have pseudometrics F defined by either

of the formulae

F (u, v) = F (u v), F (f , g ) = F (f, g)

for u, v L0 , f , g L0 and F of finite measure. The family of these pseudometrics defines the topology

of convergence in measure on L0 .

(d) I shall allow myself to say that a sequence (in L0 or L0 ) converges in measure if it converges for

the topology of convergence in measure (in the sense of 2A3M).

245B Remarks (a) Of course the topologies of L0 , L0 are about as closely related as it is possible for

them to be. Not only is the topology of L0 the quotient of the topology on L0 (that is, a set G L0 is open

iff {f : f G} is open in L0 ), but every open set in L0 is the inverse image under the quotient map of an

open set in L0 .

(b) It is convenient to note that if F0 , . . . , Fn are measurable sets of finite measure with union F , then,

in the notation of 245A, Fi F for every i; this means that a set G L0 is open for the topology of

convergence in measure iff for every f G we can find a single set F of finite measure and a > 0 such that

F (g, f ) = g G.

174 Function spaces 245Bb

Similarly, a set G L0 is open for the topology of convergence in measure iff for every u G we can find a

set F of finite measure and a > 0 such that

F (v, u) = v G.

(c) The phrase topology of convergence in measure agrees well enough with standard usage when

(X, , ) is totally finite. But a warning! the phrase topology of convergence in measure is also used

for the topology defined by the metric of 245Ye below, even when X = . I have seen the phrase local

convergence in measure used for the topology of 245A. Most authors ignore non--finite spaces in this

context. However I hold that 245D-245E below are of sufficient interest to make the extension worth while.

245C Pointwise convergence The topology of convergence in measure is almost definable in terms

of pointwise convergence, which is one of the roots of measure theory. The correspondence is closest in

-finite measure spaces (see 245K), but there is still a very important relationship in the general case, as

follows. Let (X, , ) be a measure space, and write L0 = L0 (), L0 = L0 ().

(a) If hfn inN is a sequence in L0 converging almost everywhere to f L0 , then hfn inN f in measure.

P

P By 2A3Mc, I have only to show that limn F (fn , f ) = 0 whenever F < . But h|fn f | F inN

converges to 0 a.e. and is dominated by the integrable function F , so by Lebesgues Dominated Convergence

Theorem

R

limn F (fn , f ) = limn |fn f | F = 0. Q Q

(b) To formulate a corresponding result applicable to L0 , we need the following concept. If hfn inN ,

hgn inN are sequences in L0 such that fn = gn for every n, and f , g L0 are such that f = g , and

hfn inN f a.e., then hgn inN g a.e., because

\ \

{x : x dom f dom g dom fn gn ,

nN nN

n

is conegligible. Consequently we have a definition applicable to sequences in L0 ; we can say that, for f ,

fn L0 , hfn inN is order*-convergent, or order*-converges, to f iff f =a.e. limn fn . In this case,

of course, hfn inN f in measure. Thus, in L0 , a sequence hun inN which order*-converges to u L0 also

converges to u in measure.

Remark I suggest alternative descriptions of order-convergence in 245Xc; the conditions (iii)-(vi) there are

in forms adapted to more general structures.

(c) For a typical example of a sequence which is convergent in measure without being order-convergent,

consider the following. Take to be Lebesgue measure on [0, 1], and set fn (x) = 2m if x [2m k, 2m (k+1)],

0 otherwise, where k = k(n) N, m = m(n) N are defined by saying that n + 1 = 2m + k and

0 k < 2m . Then hfn inN 0 for the topology of convergence in measure (since F (fn , 0) 2m if

F [0, 1] is measurable and 2m 1 n), though hfn inN is not convergent to 0 almost everywhere (indeed,

lim supn fn = everywhere).

(a) The topology of convergence in measure is a linear space topology on L0 = L0 ().

(b) The maps , : L0 L0 L0 , and u 7 |u|, u 7 u+ , u 7 u : L0 L0 are all continuous.

(c) The map : L0 L0 L0 is continuous.

(d) For any continuous function h : R R, the corresponding function h : L0 L0 (241I) is continuous.

proof (a) The point is that the functionals F , as defined in 245Ac, satisfy the conditions of 2A5B below.

P

P Fix a set F of finite measure. We have already seen that

F (u + v) F (u) + F (v) for all u, v L0 .

245D Convergence in measure 175

Next,

F (cu) F (u) whenever u L0 , |c| 1 ...(*)

because |cf | F a.e. |f | F whenever f L0 , |c| 1. Finally, given u L0 and > 0, let f L0 be

such that f = u. Then

limn |2n f | F =a.e. 0,

so by Lebesgues Dominated Convergence Theorem

R

limn F (2n u) = limn |2n f | F = 0,

and there is an n such that F (2n u) . It follows (by (*) just above) that F (cu) whenever |c| 2n .

As is arbitrary, limc0 F (u) = 0 for every u L0 ; which is the third condition in 2A5B. Q Q

Now 2A5B tells us that the topology defined by the F is a linear space topology.

(b) For any u, v L0 , ||u| |v|| |u v|, so F (|u|, |v|) F (u, v) for every set F of finite measure. By

2A3H, | | : L0 L0 is continuous. Now

1 1

u v = (u + v + |u v|), u v = (u + v |u v|),

2 2

u+ = u 0, u = (u) 0.

+

As addition and subtraction are continuous, so are , , and .

0

(c) Take u0 , v0 L and F a set of finite measure and > 0. Represent u0 and v0 as f0 , g0

respectively, where f0 , g0 : X R are -measurable (241Bk). If we set

Fm = {x : x F, |f0 (x)| + |g0 (x)| m},

then hFm imN is a non-decreasing sequence of sets with union F , so there is an m N such that (F \Fm )

1 2 1

2 . Let > 0 be such that (2m + F ) + 2 2 .

Now suppose that u, v L are such that F (u, u0 ) 2 and F (v, v0 ) 2 . Let f , g : X R be

0

{x : x F, |f (x) f0 (x)| } , {x : x F, |g(x) g0 (x)| } ,

so that

{x : x F, |f (x) f0 (x)||g(x) g0 (x)| 2 } 2

and

R

F

min(1, |f f0 | |g g0 |) 2 F + 2.

Also

|f g f0 g0 | |f f0 | |g g0 | + |f0 | |g g0 | + |f f0 | |g0 |,

so that

Z

F (u v, u0 v0 ) = min(1, |f g f0 g0 |)

F

Z

1

+ min(1, |f g f0 g0 |)

2 Fm

Z

1

+ min(1, |f f0 | |g g0 | + m|g g0 | + m|f f0 |)

2 Fm

Z

1

+ min(1, |f f0 | |g g0 |)

2 F

Z Z

+m min(1, |g g0 |) + m min(1, |f f0 |)

F F

1

+ 2 F 2

+ 2 + 2m .

2

176 Function spaces 245D

(d) Take u L0 , F of finite measure and > 0. Then there is a > 0 such that F (h(v), h(u))

whenever F (v, u) . P P?? Otherwise, we can find, for each n N, a vn such that F (v, u) 4n but

F (h(v), h(u)) > . Express u as f and vn as gn where f , gn : X R are measurable. Set

En = {x : x F, |gn (x) f (x)| 2n }

T S

for each n. Then F (vn , u) 2n En , so En 2n for each n, and E = nN mn Em is negligible.

But limn gn (x) = f (x) for every x F \ E, so (because h is continuous) limn h(gn (x)) = h(f (x)) for

every x F \ E. Consequently (by Lebesgues Dominated Convergence Theorem, as always)

R

limn F (h(vn ), h(u)) = limn F min(1, |h(gn (x)) h(f (x))|(dx) = 0,

which is impossible. X

XQQ

By 2A3H, h is continuous.

Remark I cannot say that the topology of convergence in measure on L0 is a linear space topology solely

because (on the definitions I have chosen) L0 is not in general a linear space.

245E I turn now to the principal theorem relating the properties of the topological linear space L0 ()

to the classification of measure spaces in Chapter 21.

Theorem Let (X, , ) be a measure space. Let T be the topology of convergence in measure on L0 = L0 (),

as described in 245A.

(a) (X, , ) is semi-finite iff T is Hausdorff.

(b) (X, , ) is -finite iff T is metrizable.

(c) (X, , ) is localizable iff T is Hausdorff and L0 is complete under T.

proof I use the pseudometrics F on L0 = L0 (), F on L0 described in 245A.

(a)(i) Suppose that (X, , ) is semi-finite and that u, v are distinct members of L0 . Express them as

f and g where f and g are measurable functions from X to R. Then {x : f (x) 6= g(x)} > 0 so, because

(X, , ) is semi-finite, there is a set F of finite measure such that {x : x F, f (x) 6= g(x)} > 0. Now

R

F (u, v) = F min(|f (x) g(x)|, 1)dx > 0

(see 122Rc). As u and v are arbitrary, T is Hausdorff (2A3L).

(ii) Suppose that T is Hausdorff and that E , E > 0. Then u = E 6= 0 so there is an F

such that F < and F (u, 0) 6= 0, that is, (E F ) > 0. Now E F is a non-negligible set of finite

measure included in E. As E is arbitrary, (X, , ) is semi-finite.

(b)(i) Suppose that (X, , ) is -finite. Let hEn inN be a non-decreasing sequence of sets of finite

measure covering X. Set

X

En (u, v)

(u, v) =

n=0

1 + 2n En

express u as f , v as g where f , g L0 (); then

R

|f g| En = En (u, v) = 0,

S

so f = g almost everywhere on En , for every n. Because X = nN En , f =a.e. g and u = v. Q Q

If F and F < and > 0, take n such that (F \ En ) 21 . If u, v L0 and (u, v)

/2(1 + 2n En ), then F (u, v) . P P Express u as f , v = g where f , g L0 . Then

R

|u v| En = En (u, v) (1 + 2n En )(u, v) ,

2

while

R

|f g| (F \ En ) (F \ En ) ,

2

245E Convergence in measure 177

so

R R R

F (u, v) = |f g| F |f g| En + |f g| (F \ En ) + = . Q

Q

2 2

In the other direction, given > 0, take n N such that 2n 12 ; then (u, v) whenever En (u, v)

/2(n + 1).

These show that defines the same topology as the F (2A3Ib), so that T, the topology defined by the

F , is metrizable.

(ii) Suppose that T is metrizable. Let be a metric defining T. For each n N there must be a

measurable set Fn of finite measure and a n > 0 such that

Fn (u, 0) n = (u, 0) 2n .

S

Set E = X \ nN Fn . ?? If E is not negligible, then u = E 6= 0; because is a metric, there is an n N

such that (u, 0) > 2n ; now

(E Fn ) = Fn (u, 0) > n .

But E Fn = . X

X S

So E = 0 < . Now X = E nN Fn is a countable union of sets of finite measure, so is -finite.

(c) By (a), either hypothesis ensures that is semi-finite and that T is Hausdorff.

(i) Suppose that (X, , ) is localizable; then T is Hausdorff, by (a). Let F be a Cauchy filter on L0

(2A5F). For each measurable set F of finite measure, choose a sequence hAn (F )inN T of members of F such

that F (u, v) 4n for every u, v An (F ) and every n (2A5G). Choose uF n kn An (F ) for each n;

then F (uF,n+1 , uF n ) 2n for each n. Express each uF n as fF n where fF n is a measurable function from

X to R. Then

{x : x F, |fF,n+1 (x) fF n (x)| 2n } 2n F (uF,n+1 , uF n ) 2n

for each n. It follows that hfF n inN must converge almost everywhere on F . P

P Set

Hn = {x : x F, |fF,n+1 (x) fF n (x)| 2n }.

Then Hn 2n for each n, so

T S P

( nN mn Hm ) inf nN m=n 2m = 0.

T S S

If x F \ nN mn Hm , then there is some k such that x F \ mk Hm , so that |fF,m+1 (x) fF m (x)|

2m for every m k, and hfF n (x)inN is Cauchy, therefore convergent. Q Q

Set fF (x) = limn fF n (x) for every x F such that the limit is defined in R, so that fF is measurable

and defined almost everywhere in F .

If E, F are two sets of finite measure and E F , then E (uEn , uF n ) 2 4n for each n. P

P An (E) and

An (F ) both belong to F, so must have a point w in common; now

E (uEn , w) + F (w, uF n )

4n + 4n . Q

Q

Consequently

{x : x E, |fF n (x) fEn (x)| 2n } 2n E (uF n , uEn ) 2n+1

for each n, and limn fF n fEn = 0 almost everywhere on E; so that fE = fF a.e. on E.

Consequently, if E and F are any two sets of finite measure, fE = fF a.e. on E F , because both are

equal almost everywhere on E F to fEF .

Because is localizable, it follows that there is an f L0 such that f = fE a.e. on E for every measurable

set E of finite measure (213N). Consider u = f L0 . For any set E of finite measure,

R R

E (u, uEn ) = E min(1, |f (x) fEn (x)|)dx = E min(1, |fE (x) fEn (x)|)dx 0

as n , using Lebesgues Dominated Convergence Theorem. Now

178 Function spaces 245E

AF vA nN vAEn

nN vAEn

nN

(ii) Now suppose that L0 is complete under T and let E be any family of sets in . Let E 0 be

S

{ E0 : E0 is a finite subset of E}.

Then the union of any two members of E 0 belongs to E 0 . Let F be the set

{A : A L0 , E E 0 such that A AE },

where for E E 0 I write

AE = {F : F E 0 , F E}.

Then F is a filter on L0 , because AE AF = AEF for all E, F E 0 .

In fact F is a Cauchy filter. PP Let H be any set of finite measure and > 0. Set = supEE 0 (H E)

and take E E 0 such that (H E) . Consider AE F . If F , G E 0 and F E, G E then

H (F , G ) = (H (F 4G))

= (H (F G)) (H F G)

(H E) .

Thus H (u, v) for all u, v AE . As H and are arbitrary, F is Cauchy. Q Q

Because L0 is complete under T, F has a limit w say. Express w as h , where h : X R is measurable,

and consider G = {x : h(x) > 21 }.

?? If E E and (E\G) > 0, let F E\G be a set of non-zero finite measure. Then {u : F (u, w) < 12 F }

belongs to F, so meets AE ; let H E 0 be such that E H and F (H , w) < 21 F . Then

R 1

F

min(1, |1 h(x)|) = F (H , w) < F ;

2

1

but because F G = , 1 h(x) for every x F , so this is impossible. X

2 X

Thus E \ G is negligible for every E E.

Now suppose that H and (G \ H) > 0. Then there is an E E such that (E \ H) > 0. P P Let

F G \ H be a set of non-zero finite measure. Let u A be such that F (u, w) < 12 F . Then u is of the

form C for some C E 0 , and

R 1

F

min(1, |C(x) h(x)|) < F .

2

1

As h(x) for every x F , (C F ) > 0. But C is a finite union of members of E, so there is an E E

2

such that (E F ) > 0, and now (E \ H) > 0. Q Q

As H is arbitrary, G is an essential supremum of E in . As E is arbitrary, (X, , ) is localizable.

245F Alternative description of the topology of convergence in measure Let us return to ar-

bitrary measure spaces (X, , ).

F (f ) = {x : x F dom f, |f (x)| > }

for f L0 , taking to be the outer measure associated with (132B). If f , g L0 and f =a.e. g, then

{x : x F dom f, |f (x)| > }4{x : x F dom g, |g(x)| > }

is negligible, so F (f ) = F (g); accordingly we have a functional from L0 to [0, [, given by

245H Convergence in measure 179

F (u) = F (f )

0 0

whenever f L and u = f L .

(b) Now F is not (except in trivial cases) subadditive, so does not define a pseudometric on L0 or L0 .

But we can say that, for f L0 ,

F (f ) min(1, ) = F (f ) = F (f ) (1 + F ).

(The point is that if E dom f is a measurable conegligible set such that f E is measurable, then

R

F (f ) = EF min(f (x), 1)dx, F (f ) = {x : x E F, f (x) > }.)

This means that a set G L0 is open for the topology of convergence in measure iff for every f G we

can find a set F of finite measure and , > 0 such that

F (g f ) = g G.

Of course F (f ) F (f ) whenever , so we can equally say:G L0 is open for the topology of

convergence in measure iff for every f G we can find a set F of finite measure and > 0 such that

F (g f ) = g G.

Similarly, G L is open for the topology of convergence in measure on L0 iff for every u G we can find

0

F (v u) = v G.

(c) It follows at once that a sequence hfn inN in L0 = L0 () converges in measure to f L0 iff

limn {x : x F dom f dom fn , |fn (x) f (x)| > } = 0

whenever F , F < and > 0. Similarly, a sequence hun inN in L0 converges in measure to u iff

limn F (u un ) = 0 whenever F < and > 0.

limn {x : x dom f dom fn , |f (x) fn (x)| > } = 0

for every > 0, and hun inN u in L0 iff

limn X (u un ) = 0

for every > 0.

245G Embedding Lp in L0 : Proposition Let (X, , ) be any measure space. Then for any p

[1, ], the embedding of Lp = Lp () in L0 = L0 () is continuous for the norm topology of Lp and the

topology of convergence in measure on L0 .

proof Suppose that u, v Lp and that F < . Then (F ) belongs to Lq , where q = p/(p 1) (taking

q = 1 if p = , q = if p = 1 as usual), and

R

F (u, v) |u v| (F ) ku vkp kF kq

(244E). By 2A3H, this is enough to ensure that the embedding u 7 u : Lp L0 is continuous.

Proposition Let (X, , ) be a measure space.

1 1

R (a)(i) If f L = L () 1and R > R0, there are a > 0 and a set F of finite measure such that

|f g| whenever g L , |g| |f | + and F (f, g) . R

(ii) For any RsequenceRhfn inN in L1 and any f L1 , limn |f fn | = 0 iff hfn inN f in measure

and lim supn |fn | |f |.

(b)(i) If u L1 = L1 () and > 0, there are a > 0 and a set F of finite measure such that

ku vk1 whenever v L1 , kvk1 kuk1 + and F (u, v) .

180 Function spaces 245H

(ii) For any sequence hun inN in L1 and any u L1 , hun inN u for k k1 iff hun inN u in measure

and lim supn kun k1 kuk1 .

R

proof (a)(i) We know that there are a set F of finite measure and an > 0 such that RE |f | R51 whenever

(E F ) (225A). Take > 0 such that ( + 5F ) and 15 . Then if |g| |f | + and

F (f, g) , let G dom f dom g be a conegligible measurable set such that f G and gG are both

measurable. Set

E = {x : x F G, |f (x) g(x)| };

+5F

then

F (f, g) E,

+5F

R

so E . Set H = F \ E, so that (F \ H) and X\H |f | 15 . On the other hand, for almost every

R

x H, |f (x) g(x)| +5F , so H |f g| 15 and

R R 1 R R 1 R 2

H

|g| H

|f | |f | X\H

|f | |f | .

5 5 5

R R R

Since |g| |f | + 51 , X\H

|g| 35 . Now this means that

R R R R 3 1 1

|g f | X\H

|g| + X\H

|f | + H

|g f | + + = ,

5 5 5

as required.

R

(ii) If limn |f fn | = 0, that is, limn fn = f in L1 , then by 245G we must have hfn inN

R f

0

in

R L , that is, hfn inN f for the topology of convergence in measure. Also, of course, limn |fn | =

|f |. R R

In the other direction, if lim supn |fn | |f | and hfn inN f for the topology R of convergence

R

in measure, then whenever > 0 and F < there must R be an m N such that |fn | |f | + ,

F (f, fn ) for every m n; so (a) tells us that limn |fn f | = 0.

(b) This now follows immediately if we express u as f , v as g and un as fn .

245I Remarks (a) I think the phenomenon here is so important that it is worth looking at some

elementary examples.

(i) If

R is counting measure on N, and we set fn (n) = 1, fn (i) = 0 for i 6= n, then hfn inN 0 in measure,

while |fn | = 1 for every n.

(ii) If is Lebesgue measureRon [0, 1], and we set fn (x) = 2n for 0 < x 2n , 0 for other x, then again

hfn inN 0 in measure, while |fn | = 1 for every n. R

(iii) In 245Cc we have another sequence hfn inN converging to 0 in measure, while R |fn | = 1 for every

R n.

In all these cases (as required by Fatous Lemma, at least in (i) and (ii)) we have |f | lim inf n |fn |.

(The next proposition shows that this applies to any sequence which is convergent in measure.)

The common feature of these examples is the way in which somehow the fn escape to infinity, either

0 n

laterally (in (i)) or vertically (in (iii)) or both (in (ii)). Note that in all three

R 0examples we can set fn = 2 fn

to obtain a sequence still converging to 0 in measure, but with limn |fn | = .

R

(b) In 245H, I have used the explicit formulations limn |fn f | = 0 (for sequences of functions),

hun inN u for k k1 (for sequences in L1 ). These are often expressed by saying that hfn inN , hun inN are

convergent in mean to f , u respectively.

Proposition Let (X, , ) be a semi-finite measure R space. Write L0 = L0 (), etc.

(a)(i) For any a 0, the set {f : f L , |f | a} is closed in L0 for the topology of convergence in

1

measure. R

(ii) If hfn inN is a sequence

R in L1 which Ris convergent in measure to f L0 , and lim inf n |fn | < ,

then f is integrable and |f | lim inf n |fn |.

245L Convergence in measure 181

(b)(i) For any a 0, the set {u : u L1 , kuk1 a} is closed in L0 for the topology of convergence in

measure.

(ii) If hun inN is a sequence in L1 which is convergent in measure to u L0 , and lim inf n kun k1 < ,

then u L1 and kuk1 lim inf n kun k1 .

R

proof (a)(i) Set A = {f : f L1 , |f | a}, and let g be any member of the closure of A 0

R in L .

Let h be any simple function such that 0 h a.e. |g|, and > 0. If h = 0 then of course h a.

Otherwise, setting F = {x : h(x) > 0}, M = supxX h(x), there is an f A such that {x : x

F dom f dom g, |f (x) g(x)| } (245F); let E {x : x F dom fR dom g, |f (x) g(x)| }

be a measurable

R set of measure at most . Then h a.e. |f | + F + M E, so h a + (M + F ). As is

arbitrary,R h a. But we are supposing that is semi-finite, so this is enough to ensure that g is integrable

and that |g| a (213B), that is, that g A. As g is arbitrary, A is closed.

R

(ii) Now if hfn inN is convergent R in measure to f , and lim inf nN |fn | = a, then for any > 0 there is

a subsequence

R hfn(k) ikN such that R|fn(k) | a + for every k; since hfn(k) ikN still converges in measure

to f , |f | a + . As is arbitrary, |f | a.

(b) As in 245H, this is just a translation of part (a) into the language of L1 and L0 .

245K For -finite measure spaces, the topology of convergence in measure on L0 is metrizable, so can

be described effectively in terms of convergent sequences; it is therefore important that we have, in this case,

a sharp characterisation of sequential convergence in measure.

Proposition Let (X, , ) be a -finite measure space. Then

(a) a sequence hfn inN in L0 converges in measure to f L0 iff every subsequence of hfn inN has a

sub-subsequence converging to f almost everywhere;

(b) a sequence hun inN in L0 converges in measure to u L0 iff every subsequence of hun inN has a

sub-subsequence which order*-converges to u.

R

proof (a)(i) Suppose that hfn inN f , that is, that limn |f fn | F = 0 for every set F of finite

measure. Let hEk inN be a non-decreasing sequence

R of sets of finite measure covering X, and letP

hn(k)ikN

be a strictly increasing sequence in N such that |f fn(k) | Ek 4k for every k N. Then k=0 |f

P

fn(k) | Ek < a.e. (242E); but limk fn(k) (x) = f (x) whenever k=0 min(1, |f (x) fn(k) (x)|) < ,

so hfn(k) ikN f a.e.

(ii) The same applies to every subsequence of hfn inN , so that every subsequence of hfn inN has a

sub-subsequence converging to f almost everywhere.

(iii) Now suppose that hfn inN does not converge to f . Then there is an open set U containing f such

/ U } is infinite, that is, hfn inN has a subsequence hfn0 inN with fn0

that {n : fn / U for every n. But now

no sub-subsequence of hfn0 inN converges to f in measure, so no such sub-subsequence can converge almost

everywhere, by 245Ca.

(b) This follows immediately from (a) if we express u as f , un as fn .

(a) A subset A of L0 = L0 () is closed for the topology of convergence in measure iff f A whenever

f L0 and there is a sequence hfn inN in A such that f =a.e. limn fn .

(b) A subset A of L0 = L0 () is closed for the topology of convergence in measure iff u A whenever

u L0 and there is a sequence hun inN in A order*-converging to u.

proof (a)(i) If A is closed for the topology of convergence in measure, and hfn inN is a sequence in

A converging to f almost everywhere, then hfn inN converges to f in measure, so surely f A (since

otherwise all but finitely many of the fn would have to belong to the open set L0 \ A).

(ii) If A is not closed, there is an f A \ A. The topology can be defined by a metric (245Eb),

and we can choose a sequence hfn inN in A such that (fn , f ) 2n for every n, so that hfn inN f in

measure. By 245K, hfn inN has a subsequence hfn0 inN converging a.e. to f , and this witnesses that A fails

to satisfy the condition.

(b) This follows immediately, because A L0 is closed iff {f : f A} is closed in L0 .

182 Function spaces 245M

245M Complex L0 In 241J I briefly discussed the adaptations needed to construct the complex linear

space L0C . The formulae of 245A may be used unchanged to define topologies of convergence in measure on

L0C and L0C . I think that every word of 245B-245L still applies if we replace each L0 or L0 with L0C or L0C .

Alternatively, to relate the real and complex forms of 245E, for instance, we can observe that because

F (Re(u), Re(v)) + F (Im(u), Im(v))

for all u, v L0 and all sets F of finite measure, L0C can be identified, as uniform space, with L0 L0 , so is

Hausdorff, or metrizable, or complete iff L0 is.

245X Basic exercises > (a) Let X be any set, and counting measure on X. Show that the topology

of convergence in measure on L0 () = RX is just the product topology on RX regarded as a product of

copies of R.

> (b) Let (X, , ) be any measure space, and (X, , ) its completion. Show that the topologies of

convergence in measure on L0 () = L0 () (241Xb), corresponding to the families {F : F , F < },

{F : F , F < } are the same.

>(c) Let (X, , ) be any measure space; set L0 = L0 (). Let u, un L0 for n N. Show that the

following are equiveridical:

(i) hun inN order*-converges to u in the sense of 245C;

(ii) there are measurable functions f , fn : X R such that f = u, fn = un for every n N, and

f (x) = limn fn (x) for every x X;

(iii) u = inf nN supmn um = supnN inf mn um , the infima and suprema being taken in L0 ;

(iv) inf nN supmn |u um | = 0 in L0 ;

(v) there is a non-increasing sequence hvn inN in L0 such that inf nN vn = 0 in L0 and u vn un

u + vn for every n N;

(vi) there are sequences hvn inN , hwn inN in L0 such that hvn inN is non-decreasing, hwn inN is non-

increasing, supnN vn = u = inf nN wn and vn un wn for every n N.

(d) Let (X, , ) be a semi-finite measure space. Show that a sequence hun inN in L0 = L0 () is order*-

convergent to u L0 iff {|un | : n N} is bounded above in L0 and hsupmn |um u|inN 0 for the

topology of convergence in measure.

(e) Write out proofs that L0 () is complete (as linear topological space) adapted to the special cases (i)

X = 1 (ii) is -finite, taking advantage of any simplifications you can find.

(f ) Let (X, , ) be a measure space and r 1; let h : Rr R be a continuous function. (i) Suppose

that for 1 k r we are given a sequence hfkn inN in L0 = L0 () converging in measure to fk L0 . Show

that hh(f1n , . . . , fkn )inN converges in measure to h(f1 , . . . , fk ). (ii) Generally, show that (f1 , . . . , fr ) 7

h(f1 , . . . , fr ) : (L0 )r L0 is continuous for the topology of convergence in measure. (iii) Show that the

corresponding function h : (L0 )r L0 (241Xd) is continuous for the topology of convergence in measure.

R

(g) Let (X, , ) be a measure space and u L1 (). Show that v 7 u v : L R is continuous for

the topology of convergence in measure on the unit ball of L , but not, as a rule, on the whole of L .

(h) Let (X, , ) be a measure space and v a non-negative member of L1 = L1 (). Show that on the

set A = {u : u L1 , |u| v} the subspace topologies (2A3C) induced by the norm topology of L1 and the

topology of convergence

R in measure are the same. (Hint: given > 0, take F of finite measure and

M 0 such that (|v| M F )+ . Show that ku u0 k1 + M F (u, u0 ) for all u, u0 A.)

(i) Let (X, , ) be a measure space and F a filter on L1 = L1 () which is convergent, for the topology of

convergence in measure, to u L1 . Show that F u for the norm topology of L1 iff inf AF supvA kvk1

kuk1 .

245Yh Convergence in measure 183

> (j) Let (X, , ) be a semi-finite measure space and p [1, ], a 0. Show that {u : u Lp (), kukp

a} is closed in L0 () for the topology of convergence in measure.

(k) Let (X, , ) be a measure space, and hun inN a sequence in Lp = Lp (), where 1 p < . Let

u Lp . Show that the following are equiveridical: (i) u = limn un for the norm topology of Lp (ii)

hun inN u for the topology of convergence in measure and limn kun kp = kukp (iii) hun inN u for

the topology of convergence in measure and lim supn kun kp kukp .

(l) Let X be a set and , two measures on X with the same measurable sets and the same negligible

sets. (i) Show that L0 () = L0 () and L0 () = L0 (). (ii) Show that if both and are semi-finite, then

they define the same topology of convergence in measure on L0 and L0 . (Hint: use 215A to show that if

E < then E = sup{F : F E, F < }.)

(m) Let (X, , ) be a measure space and p [1, [. Suppose that hun inN is a sequence in Lp () which

converges for k kp to u Lp (). Show that h|un |p inN |u|p for k k1 . (Hint: 245G, 245Xf, 245H.)

245Y Further exercises (a) Let (X, , ) be a measure space and give the topology described in

232Ya. Show that : L0 () is a homeomorphism between and its image [] in L0 , if L0 is given

the topology of convergence in measure and [] the subspace topology.

(b) Let (X, , ) be a measure space and Y any subset of X; let Y be the subspace measure on Y . Let

T : L0 () L0 (Y ) be the canonical map defined by setting T (f ) = (f Y ) for every f L0 () (241Ye).

Show that T is continuous for the topologies of convergence in measure on L0 () and L0 (Y ).

(c) Let (X, , ) be a measure space, and the c.l.d. version of . Show that the map T : L0 () L0 ()

induced by the inclusion L0 () L0 () (241Ya) is continuous for the topologies of convergence in measure.

(d) Let (X, , ) be a measure space, and give L0 = L0 () the topology of convergence in measure. Let

A L0 be a non-empty downwards-directed set, and suppose that inf A = 0 in L0 . (i) Let F be any

set of finite measure, and define F as in 245A; show that inf uA F (u) = 0. (Hint: set = inf uA F (u);

find a non-increasing sequence hun inN in A such that limn F (un ) = ; set v = (F ) inf nN un and

show that u v = v for every u A, so that v = 0.) (ii) Show that if U is any open set containing 0, there

is a u A such that v U whenever 0 v u.

(e) Let (X, , ) be a measure space. (i) Show that for u L0 = L0 () we may define a (u), for a 0,

by setting a (u) = {x : |f (x)| a} whenever f : X R is a measurable function and f = u. (ii) Define

: L0 L0 [0, 1] by setting (u, v) = min({1} {a : a 0, a (u v) a}. Show that is a metric on

L0 , that L0 is complete under , and that +, , , : L0 L0 L0 are continuous for . (iii) Show that

c 7 cu : R L0 is continuous for every u L0 iff (X, , ) is totally finite, and that in this case defines

the topology of convergence in measure on L0 .

which is bounded in the linear topological space sense (i.e., such that for every neighbourhood U of 0 in L0

there is a k N such that A kU ). Show that A is bounded above in L0 , and that its supremum belongs

to its closure.

(g) Let (X, , ) be a measure space, p [1, [ and v a non-negative member of Lp = Lp (). Show that

on the set A = {u : u Lp , |u| v} the subspace topologies induced by the norm topology of Lp and the

topology of convergence in measure are the same.

(h) Let S be the set of all sequences s : N N such that limn s(n) = . For every s S,

let (Xs , s , s ) be [0, 1] with Lebesgue measure, and let (X, , ) be the direct sum of h(Xs , s , s )isS

(214K). For s S, t [0, 1], n N set hn (s, t) = fs(n) (t), where hfn inN is the sequence of 245Cc. Show

that hhn inN 0 for the topology of convergence in measure on L0 (), but that hhn inN has no subsequence

which is convergent to 0 almost everywhere.

184 Function spaces 245Yi

(i) Let X be a set, and suppose we are given a relation * between sequences in X and members of X

such that () if xn = x for every n then hxn inN * x () hx0n inN * x whenever hxn inN * x and hx0n inN

is a subsequence of hxn inN () if hxn inN * x and hxn inN * y then x = y. Show that we have a topology

T on X defined by saying that a subset G of X belongs to T iff whenever hxn inN is a sequence in X and

hxn inN * x G then some xn belongs to G. Show that a sequence hxn inN in X is T-convergent to x iff

every subsequence of hxn inN has a sub-subsequence hx00n inN such that hx00n inN * x.

(j) Let be Lebesgue measure on R r . Show that L0 () is separable for the topology of convergence in

measure. (Hint: 244I.)

245 Notes and comments In this section I am inviting you to regard the topology of (local) convergence

in measure as the standard topology on L0 , just as the norms define the standard topologies on Lp spaces

for p 1. The definition I have chosen is designed to make addition and scalar multiplication and the

operations , and continuous (245D); see also 245Xf. From the point of view of functional analysis

these properties are more important than metrizability or even completeness.

Just as the algebraic and order structure of L0 can be described in terms of the general theory of Riesz

spaces, the more advanced results 241G and 245E also have interpretations in the general theory. It is not

an accident that (for semi-finite measure spaces) L0 is Dedekind complete iff it is complete as uniform space;

you may find the relevant generalizations in 23K and 24E of Fremlin 74. Of course it is exactly because the

two kinds of completeness are interrelated that I feel it necessary to use the phrase Dedekind completeness

to distinguish this particular kind of order-completeness from the more familiar uniformity-completeness

described in 2A5F.

The usefulness of the topology of convergence in measure derives in large part from 245G-245J and the

Lp versions 245Xj and 245Xk. Some of the ideas here can be related to a question arising out of the basic

convergence theorems.

R If hfn inN is a sequence

R of integrable functions converging (pointwise) to a function f ,

in what ways can f fail to be limn fn ? In the language of this section, this translates into: if we have

a sequence (or filter) in L1 converging for the topology of convergence in measure, in what ways can it fail

to converge for the norm topology of L1 ? The first answer is Lebesgues Dominated Convergence Theorem:

this cannot happen if the sequence is dominated, that is, lies within some set of the form {u : |u| v}

where v L1 . (See 245Xh and 245Yg.) I will return to this in the next section. For the moment, though,

245H tells us that if hun inN converges in measure to u L1 , but not for the topology of L1 , it is because

lim supn kun k1 is too big; some of its weight is being lost at infinity, as in the examples of 245I. If hun inN

actually order*-converges to u, then Fatous Lemma tells us that lim inf n kun k1 kuk1 , that is, that

the limit cannot have greater weight (as measured by k k1 ) than the sequence provides. 245J and 245Xj are

generalizations of this to convergence in measure. If you want a generalization of B.Levis theorem, then

242Yb remains the best expression in the language of this chapter; but 245Yf is a version in terms of the

concepts of the present section.

In the case of -finite spaces, we have an alternative description of the topology of convergence in measure

(245L) which makes no use of any of the functionals or pseudo-metrics in 245A. This can be expressed, at

least in the context of L0 , in terms of a standard result from general topology (245Yi). You will see that that

result gives a recipe for a topology on L0 which could be applied in any measure space. What is remarkable

is that for -finite spaces we get a linear space topology.

The next topic is a fairly specialized one, but it is of great importance, for different reasons, in both

probability theory and functional analysis, and it therefore seems worth while giving a proper treatment

straight away.

246C Uniform integrability 185

(a) A set A L1 () is uniformly integrable if for every > 0 we can find a set E , of finite measure,

and an M 0 such that

R

(|f | M E)+ for every f A.

(b) A set A L1 () is uniformly integrable if for every > 0 we can find a set E , of finite measure,

and an M 0 such that

R

(|u| M E )+ for every u A.

(b) The phrase uniformly integrable is not particularly helpful. But of course we can observe that for

any particular integrable function f , there are simple functions approximating f for k k1 (242M), and such

functions will be bounded (in modulus) by functions of the form M E, with E < ; thus singleton subsets

of L1 and L1 are uniformly integrable. A general uniformly integrable set of functions is one in which M

and E can be chosen uniformly over the set.

(c) It will I hope be clear from the definitions that A L1 is uniformly integrable iff {f : f A} L1

is uniformly integrable.

(d) There is a useful simplification in the definition if X < (in particular, if (X, , ) is a probability

space). In this case a set A L1 () is uniformly integrable iff

R

inf M 0 supuA (|u| M e)+ = 0

iff

R

limM supuA (|u| M e)+ = 0,

1

R

writing

R e = 1 0 L+ (), where 1 is the

constant function with value 1. (For if supuA (|u| M E )+ ,

then (|u| M e) for every M 0 M .) Similarly, A L1 () is uniformly integrable iff

R

limM supf A (|f | M 1)+ = 0

iff

R

inf M 0 supf A (|f | M 1)+ = 0.

Warning! Some authors use the phrase uniformly integrable for sets satisfying the conditions in (d) even

when is not totally finite.

246C We have the following wide-ranging stability properties of the class of uniformly integrable sets

in L1 or L1 .

Proposition Let (X, , ) be a measure space and A a uniformly integrable subset of L1 ().

(a) A is bounded for the norm k k1 .

(b) Any subset of A is uniformly integrable.

(c) For any a R, aA = {au : u A} is uniformly integrable.

(d) There is a uniformly integrable C A such that C is convex and k k1 -closed, and v C whenever

u C and |v| |u|.

(e) If B is another uniformly integrable subset of L1 , then A B, A + B = {u + v : u A, v B} are

uniformly integrable.

proof Write f for {E : E , E < }.

R

(a) There must be E f , M 0 such that (|u| M E )+ 1 for every u A; now

R R

kuk1 (|u| M E )+ + M E 1 + M E

186 Function spaces 246C

(b) This is immediate from the definition 246Ab.

f

R

R (c) Given >0,+ we can find E , M 0 such that |a| E

(|u| M E )+ for every u A; now

E

(|v| |a|M E ) for every v aA.

(d) If A is empty, take C = A. Otherwise, try

R R

C = {v : v L1 , (|v| w)+ supuA (|u| w)+ for every w L1 ()}.

Evidently A C, and C satisfies the definition 246Ab because A does, considering w of the form M E

where E f and M 0. The functionals

R

v 7 (|v| w)+ : L1 () R

R

are all continuous for k k1 (because the operators v 7 |v|, v 7 v w, v 7 v + , v 7 v are continuous), so

C is closed. If |v 0 | |v| and v C, then

R 0 R R

(|v | w)+ (|v| w)+ supuA (|u| w)+

for every w, and v 0 C. If v = av1 + bv2 where v1 , v2 C, a [0, 1] and b = 1 a, then |v| a|v1 | + b|v2 |,

so

|v| w (a|v1 | aw) + (b|v2 | bw) (a|v1 | aw)+ + (b|v2 | bw)+

and

(|v| w)+ a(|v1 | w)+ + b(|v2 | w)+

for every w; accordingly

Z Z Z

(|v| w)+ a (|v1 | w)+ + b (|v2 | w)+

Z Z

(a + b) sup (|u| w)+ = sup (|u| w)+

uA uA

Thus C has all the required properties.

(e) I show first that A B is uniformly integrable. PP Given > 0, let M1 , M2 0 and E1 , E2 f be

such that

R

(|u| M1 E1 )+ for every u A,

R

(|u| M2 E2 )+ for every u B.

Set M = max(M1 , M2 ), E = E1 E2 ; then E < and

R

(|u| M E )+ for every u A B.

As is arbitrary, A B is uniformly integrable. Q

Q

Now (d) tells us that there is a convex uniformly integrable set C including A B, and in this case

A + B 2C, so A + B is also uniformly integrable, using (b) and (c).

246D Proposition Let (X, , ) be a probability space and A L1 () a uniformly integrable set.

Then there is a convex, k k1 -closed uniformly integrable set C L1 such that A C, w C whenever

v C and |w| |v|, and P v C whenever v C and P is the conditional expectation operator associated

with a -subalgebra of .

proof Set

R R

C = {v : v L1 (), (|v| M e)+ supuA (|u| M e)+ for every M 0},

writing e = 1 as usual. The arguments in the proof of 246Cd make it plain that C A is uniformly

integrable, convex and closed, and that w C whenever v C and |w| |v|. As for the conditional

246G Uniform integrability 187

operator, and M 0, then

|P v| P |v| = P ((|v| M e) + (|v| M e)+ ) M e + P ((|v| M e)+ ),

so

(|P v| M e)+ P ((|v| M e)+ )

and

R R R R

(|P v| M e)+ P (|v| M e)+ = (|v| M e)+ supuA (|u| M e)+ ;

as M is arbitrary, P v C.

246E Remarks (a) Of course 246D has an expression in terms of L1 rather than L1 : if (X, , ) is

a probability space and A L1 () is uniformly integrable, then there is a uniformly integrable set C A

such that (i) af + (1 a)g C whenever f , g C and a [0, 1] (ii) g C whenever f RC, g L0 ()

and |g| a.e. |f | (iii) f C whenever there is a sequence hfn inN in C such that limn |f fn | = 0

(iv) g C whenever there is an f C such that g is a conditional expectation of f with respect to some

-subalgebra of .

(b) In fact, there are obvious extensions of 246D; the proof there already shows that T [C] C whenever

T : L1 () L1 () is an order-preserving linear operator such that kT uk1 kuk1 for every u L1 () and

kT uk kuk for every u L1 () L () (246Yc). If we had done a bit more of the theory of operators

on Riesz spaces I should be able to take you a good deal farther along this road; for instance, it is not in

fact necessary to assume that the operators T of the last sentence are order-preserving. I will return to this

in Chapter 37 in the next volume.

(c) Moreover, the main theorem of the next section will show that for any measure spaces (X, , ),

(Y, T, ), T [A] will be uniformly integrable in L1 () whenever A L1 () is uniformly integrable and

T : L1 () L1 () is a continuous linear operator (247D).

246F We shall need an elementary lemma which I have not so far spelt out.

Lemma Let (X, , ) be a measure space. Then for any u L1 (),

R

kuk1 2 supE | E u|.

R R R R R

kuk1 = |f | = | F f | + | X\F f | 2 supE | E f | = 2 supE | E u|.

246G Now we come to some of the remarkable alternative descriptions of uniform integrability.

Theorem Let (X, , ) be any measure space and A a non-empty subset of L1 (). Then the following are

equiveridical:

(i) A is uniformly

R integrable;

(ii) supuA |

R F u| < for every -atom F and for every > 0 there are E , > 0 such that

E < and | F u| R whenever u A, F and (F E) ; R

(iii) supuA | F u| < for every -atom F and limn supuA | Fn u| = 0 whenever hFn inN is

a disjoint sequenceR in ; R

(iv) supuA | F u| < for every -atom F and limn supuA | Fn u| = 0 whenever hFn inN is

a non-increasing sequence in with empty intersection.

Remark I use the phrase -atom to emphasize that I mean an atom in the measure space sense (211I).

proof (a)(i)(iv) Suppose that A is uniformly integrable. Then surely if F is a -atom,

R

supuA | F u| supuA kuk1 < ,

188 Function spaces 246G

by 246Ca. Now suppose that hFn inN is a non-increasing R sequence in with empty intersection, and that

> 0. Take E , M 0 such that E < and (|u| M E )+ 12 whenever u A. Then for all n

large enough, M (Fn E) 12 , so that

R R R R

| Fn u| Fn |u| (|u| M E )+ + Fn M E + M (Fn E)

2

R

for every u A. As is arbitrary, limn supuA | Fn u| = 0, and (iv) is true.

R

(b)(iv)(iii) Suppose that (iv) is true. Then of course supuA | F u| < for every -atom F . ??

Suppose, if possible, that hFn inN is a disjoint sequence in such that

R

= lim supn supuA min(1, 13 | Fn u|) > 0.

S R

Set Hn = in Fi for each n, so that hHn inN is non-increasing and has empty intersection, and Hn u 0

as n for every u L1 (). ChooseR hni iiN , hmi iiN , hui iiN inductively, asR follows. n0 = 0. Given

ni N, take mi ni , ui A such that | Fm ui | 2. Take ni+1 > mi such that Hn |ui | . Continue.

S i i+1

Set Gk = ik Fmi for each k. Then hGk ikN is a non-increasing sequence in with empty intersection.

But Fmi Gi Fmi Hni+1 , so

R R R R

| Gi ui | | Fm ui | | Gi \Fm ui | 2 Hn |ui |

i i i+1

R (iv). X X

This means that limn supuA | Fn u| must be zero, and (iii) is true.

R

(c)(iii)(ii) We still have supuA | F u| < for every -atom F . ?? Suppose, if possible, that there is

an > 0 such that for every

R measurable set E of finite measure and every > 0 there are u A, F such

that (F E) and | F u| . Choose a sequence hEn inN of sets of finite measure, a sequence hGn inN

in , a sequence hn inN of strictly positive real numbers and aSsequence hun inN in A as follows. Given uk ,

ERk , k for k < n, choose un A and Gn such that (Gn k<n Ek ) 2n R min({1} {k : k < n}) and

| Gn un | ; then choose a set En of finite measure and a n > 0 such that F |un | 12 whenever F

and (F En ) n (see 225A). Continue. S

On completing the induction, set Fn = En Gn \ k>n Gk for each n; then hFn inN is a disjoint sequence

in . By the choice of Gk ,

S P

(En k>n Gk ) k=n+1 2k n n ,

R R R

so (En (Gn \ Fn )) n and Gn \Fn |un | 21 . This means that | Fn un | | Gn un | 12 21 . But this

is contrary to the hypothesis (iii). XX

R (d)(ii)(i)( ) Assume (ii). Let > 0. Then there are E , R > 0 such that E < and

| F u| whenever u A, F and (F E) R. Now supuA E |u| < . P P Write I for the

family of

R those F such

R that F E and sup uA F |u| is finite. If F E is an atom for , then

supuA F |u| = supuA | F u| < , so F I. (The point is that if f : X R is a measurable function

0 00

such that

R f = u, thenRone of F

R = {x : x

R F, f (x)R 0}, F = {x : x F, f (x) < 0} must be negligible,

so that F |u| is either F 0 u = F u or F 00 u = F u.) If F , F E and F then

R R

supuA F |u| 2 supuA,G,GF | G u| 2

R R R

(by 246F), so F I. Next, if F , G I then supuA F G |u| S supuA F |u| + supuA G |u| is finite, so

F GS I. Finally, if hFSn inN is any sequence

S in I, and F = nN Fn , there is some n N such that

(F \ in Fi ) ; now in Fi and F \ in Fi both belong to I, so F I.

By 215Ab, there is an F I such that H \F is negligible for every H I. Now observe that E \F cannot

include any non-negligible member of I; in particular, cannot include either an atom or a non-negligible

set of measure less than . But this means that the subspace measure on E \ F is atomless, totally finite

and has no non-negligible measurable sets of measure less than ; by 215D, (E \ F ) = 0 and E \ F and E

belong toR I, as required. Q

Q R

Since X\E |u| for every u A, = supuA |u| is also finite.

) Set M = /. If u A, express u as f , where f : X R is measurable, and consider

(

246J Uniform integrability 189

F = {x : f (x) M E(x)}.

Then

R R

M (F E) F f = F u ,

R R

so (F E) /M = . Accordingly F u . Similarly, F 0 (u) , writing F 0 = {x : f (x)

M E(x)}. But this means that

R R R R

(|u| M E )+ = (|f | M E)+ F F 0 |f | = F F 0 |u| 2,

for every u A. As is arbitrary, A is uniformly integrable.

246H Remarks (a) Of course conditions (ii)-(iv) of this theorem, like (i), have direct R translations in

terms of members of L1 . Thus a non-empty set A L1 is uniformly integrable iff supf A | F f | is finite for

every atom F and

R

either for every > 0 we can find E , > 0 such that E < and | F f | whenever

f A, F and (F E)

R

or limn supf A | Fn f = 0| for every disjoint sequence hFn inN in

R

or limn supf A | Fn f | = 0 for every non-decreasing sequence hFn inN in with empty

intersection.

(b) There are innumerable further equivalent expressions characterizing uniform integrability; every au-

thor has his own favourite. Many of them are variants on (i)-(iv) of this theorem, as in 246I and 246Yd-246Yf.

For a condition of a quite different kind, see Theorem 247C.

246I Corollary Let (X, , ) be a probability space. For f L0 (), M 0 set F (f, M ) = {x : x

dom f, |f (x)| M }. Then a non-empty set A L1 () is uniformly integrable iff

R

limM supf A F (f,M ) |f | = 0.

R R

inf M 0 supf A (|f | M X)+ inf M 0 supf A F (f,M ) |f | = 0,

so A is uniformly integrable.

R

(b) If A is uniformly Rintegrable, and > 0, there is an M0 0 such that (|f | M0 X)+ for every

f A; also, = supf A |f | is finite (246Ca). Take any M M0 max(1, (1 + )/). If f A, then

|f | F (f, M ) (|f | M0 X)+ + M0 F (f, M ) (|f | M0 X)+ + |f |

+1

everywhere on dom f , so

R R R

F (f,M )

|f | (|f | M0 X)+ + |f | 2.

+1

R

As is arbitrary, limM supf A F (f,M )

|f | = 0.

246J The next step is to set out some remarkable connexions between uniform integrability and the

topology of convergence in measure discussed in the last section.

Theorem Let (X, , ) be a measure space.

(a) If hfn inN is a uniformly integrable sequence of real-valued

R functions on X, and fR(x) = limn Rfn (x)

for almost every x X, then f is integrable and limn |fn f | = 0; consequently f = limn fn .

(b) If A L1 = L1 () is uniformly integrable, then the norm topology of L1 and the topology of

convergence in measure of L0 = L0 () agree on A.

(c) For any u L1 and any sequence hun inN in L1 , the following are equiveridical:

(i) u = limn un for k k1 ;

190 Function spaces 246J

(d) If (X, , ) is semi-finite, and A L1 is uniformly integrable, then the closure A of A in L0 for the

topology of convergence in measure is still a uniformly integrable subset of L1 .

R

proof (a) Note first that because sup R nN |fn | < (246Ca)

R and |f | = lim inf n |fn |, Fatous Lemma

assures us that |f | is integrable, with |f | lim supn |fn |. It follows immediately that {fn f : n N}

is uniformly integrable, being the sum of two uniformly integrable R sets (246Cc, 246Ce).

Given > 0, there are M 0, E such that E < and (|fn f | M E)+ for every n N.

Also |fn f | M E 0 a.e., so

Z Z

lim sup |fn f | lim sup (|fn f | M E)+

n n

Z

+ lim sup |fn f | M E

n

,

R R

by Lebesgues Dominated Convergence Theorem. As is arbitrary, limn |fn f | = 0 and limn fn

f = 0.

(b) Let TA , SA be the topologies on A induced by the norm topology of L1 and the topology of

convergence in measure on L0 respectively.

R

(i) Given > 0, let F , M 0 be such that F < and (|v| M F )+ for every v A,

and consider F , defined as in 245A. Then for any f , g L0 ,

|f g| (|f | M F )+ + (|g| M F )+ + M (|f g| F )

everywhere on dom f dom g, so

|u v| (|u| M F )+ + (|v| M F )+ + M (|u v| F )

for all u, v L0 . Consequently

ku vk1 2 + M F (u, v)

for all u, v A.

This means that, given > 0, we can find F , M such that, for u, v A,

F (u, v) = ku vk1 3.

1+M

It follows that every subset of A which is open for TA is open for SA (2A3Ib).

(ii) In the other direction, we have F (u, v) ku vk1 for every u L1 and every set F of finite

measure, so every subset of A which is open for SA is open for TA .

(c) If hun inN u for k k1 , A = {un : n N} is P

uniformly integrable. P

P Given > 0, let m be such

that kun uk1 whenever n m. Set v = |u| + im |ui | L1 , and let M 0, E be such that

R

E

(v M E )+ . Then, for w A,

(|w| M E )+ (|w| v)+ + (v M E )+ ,

so

R R

E

(|w| M E )+ k(|w| v)+ k1 + E

(v M E )+ 2. Q

Q

Thus on either hypothesis we can be sure that {un : n N} and A = {u} {un : n N} are uniformly

integrable, so that the two topologies agree on A (by (b)) and hun inN converges to u in one topology iff it

converges to u in the other.

(d) Because A is k k1 -bounded (246Ca)R and is semi-finite, A L1 (245J(b-i)). Given > 0, let

M 0, E be such that E < and (|u| M E )+ for every u A. Now the maps u 7 |u|,

u 7 u M E , u 7 u+ : L0 L0 are all continuous for the topology of convergence

R in measure (245D),

while {u : kuk1 } is closed for the same topology (245J again), so {u : u L0 , (|u| M E )+ } is

246Y Uniform integrability 191

R

closed and must include A. Thus (|u| M E )+ for every u A. As is arbitrary, A is uniformly

integrable.

246K Complex L1 and L1 The definitions and theorems above can be repeated without difficulty

for spaces of (equivalence classes of) complex-valued functions, with just one variation: in the complex

equivalent of 246F, the constant must be changed. It is easy to see that, for u L1C (),

Z Z Z

2 sup | Re(u)| + 2 sup | Im(u)| 4 sup | u|.

F F F F F F

R

(In fact, kuk1 supF | F u|; see 246Yl and 252Yo.) Consequently some of the arguments of 246G need

to be written out with different constants, but the results, as stated, are unaffected.

246X Basic exercises (a) Let (X, , ) be a measure space and A a subset of L1 = L1 (). Show that

the following

R are equiveridical: (i) A is uniformly integrable; (ii) for every > 0 there is a w 0 in L1

such that (|u| w) for every u A; (iii) h(|un+1 | supin |ui |)+ inN 0 in L1 for every sequence

+

hun inN in A. (Hint: for (ii)(iii), set vn = supin |ui | and note that hvn winN is convergent in L1 for

every w 0.)

R Show that for any pR > 1, M 0 the set {f : f

Lp (), kf kp M } is uniformly integrable. (Hint: (|f | M X)+ M 1p |f |p .)

> (c) Let be counting measure on N. Show that a set A L1 () = `1 is uniformlyP integrable iff (i)

supf A |f (n)| < for every n N (ii) for every > 0 there is an m N such that n=m |f (n)| for

every f A.

(d) Let X be a set, and let be counting measure on X. Show that a set A L1 () = `1 (X) is uniformly

integrable

P iff (i) supf A |f (x)| < for every x X (ii) for every > 0 there is a finite set I X such that

xX\I |f (x)| for every f A. Show that in this case A is relatively compact for the norm topology of

1

` .

(e) Let (X, , ) be a measure space, > 0, and I a family such that (i) every atom belongs to I

(ii) E I whenever E and E (iii) E F I whenever E, F I and E F = . Show that every

set of finite measure belongs to I.

Show that a set A L1 () is uniformly integrable iff {g : g A} is uniformly integrable in L1 (). (Hint:

use 246G for if, 246A for only if.)

>(g) Let (X, , ) be a measure space and p [1, [. Let hfn inN be a sequence in LpR = Lp () such

that {|fn |p : n N} is uniformly integrable and fn f a.e. Show that f Lp and limn |fn f |p = 0.

(h) Let (X, , ) be a semi-finite measure space and p [1, [. Let hun inN be a sequence in Lp = Lp ()

and u L0 (). Show that the following are equiveridical: (i) u Lp and hun inN converges to u for k kp

(ii) hun inN converges in measure to u and {|un |p : n N} is uniformly integrable. (Hint: 245Xk.)

(i) Let (X, , ) be a totally finite measure space, and 1 p < r . Let hun inN be a k kr -bounded

sequence in Lr () which converges in measure to u L0 (). Show that hun inN converges to u for k kp .

(Hint: show that {|un |p : n N} is uniformly integrable.)

246Y Further exercises (a) Let (X, , ) be a totally finite measure space. Show that A L1 ()

is uniformly

R integrable iff there is a convex function : [0, [ R such that lima (a)/a = and

supf A (|f |) < .

192 Function spaces 246Yb

(b) For any metric space (Z, ), let CZ be the family of closed subsets of Z, and for F , F 0 CZ \ {}

set (F, F 0 ) = max(supzF inf z0 F 0 (z, z 0 ), supz0 F 0 inf zF (z, z 0 )). Show that is a metric on CZ \ {}

(it is the Hausdorff metric). Show that if (Z, ) is complete then the family KZ \ {} of non-empty

compact subsets of Z is closed for . Now let (X, , ) be any measure space and take Z = L1 = L1 (),

(z, z 0 ) = kz z 0 k1 for z, z 0 Z. Show that the family of non-empty closed uniformly integrable subsets of

L1 is a closed subset of CZ \ {} including KZ \ {}.

(c) Let (X, , ) be a totally finite measure space and A L1 () a uniformly integrable set. Show that

there is a uniformly integrable set C A such that (i) C is convex and closed in L0 () for the topology of

convergence in measure (ii) if u C and |v| |u| then v C (iii) if T belongs to the set T + of operators

from L1 () = M 1, () to itself, as described in 244Xm, then T [C] C.

R

(d) Let be Lebesgue measure on R. Show that a set A L1 () is uniformly integrable iff limn Fn fn

= 0 for every disjoint sequence hFn inN of compact sets in R and every sequence hfn inN in A.

R

(e) Let be Lebesgue measure on R. Show that a set A L1 () is uniformly integrable iff limn Gn fn

= 0 for every disjoint sequence hGn inN of open sets in R and every sequence hfn inN in A.

(g) Let X be a set and a -algebra of subsets of X. Let hn inN be a sequence of countably additive

functionals on such that E = limn n E is defined for every E . Show that limn n Fn = 0

whenever hFn inN is a disjoint sequence in . (Hint: suppose otherwise. By taking suitable subsequences

n i

reduceS to the case in which |n Fi Fi | 2 for i < n, |n Fn | 3, |n Fi | 2 for i > n. Set

F = iN F2i+1 and show that |2n+1 F 2n F | for every n.) Hence show that is countably additive.

(This is the Vitali-Hahn-Saks theorem.)

R

(h) Let (X, , ) be a measure space and hun inN a sequence in L1 = L1 () such that limn F un is

defined for every F . Show that {un : n N} is uniformly integrable. (Hint: suppose not.R Then there are

a disjoint sequence hFn inN in and a subsequence hu0n inN of hun inN such that inf nN | Fn u0n | = > 0.

But this contradicts 246Yg.)

P

(i) In 246Yg, show that is countably additive. (Hint: Set = n=0 an n for a suitable sequence

han inN of strictly positive numbers. For each n choose a Radon-Nikodym derivative fn of n with respect

to . Show that {fn : n N} is uniformly integrable, so that is truly continuous.)

1

(j) Let (X, , ) be any measure

R space, and A L (). Show that the following are equiveridical:

R (i)

A is k k1 -bounded; (ii) supuA | F u| < for every -atom F and lim supn supuA | Fn u| <

R

for every disjoint sequence hFn inN of measurable sets of finite measure; (iii) supuA | E u| < for every

E . (Hint: show that han un inN is uniformly integrable whenever limn an = 0 in R and hun inN is

a sequence in A.)

(k) Let (X, , ) be a measure space and A L1 () a non-empty set. Show that the following are

equiveridical: (i) A is uniformly integrable; (ii) whenever

R B L () is non-empty and downwards-directed

and has infimum 0 in L () then inf vB supuA | uv| = 0. (Hint: for (i)(ii), note that inf vB wv = 0

for every w 0 in L0 . For (ii)(i), use 246G(iv).)

R

(l) Set f (x) = eix for x [, ]. Show that | E f | 2 for every E [, ].

246 Notes and comments I am holding over to the next section the most striking property of uniformly

integrable sets (they are the relatively weakly compact sets in L1 ) because this demands some non-trivial

ideas from functional analysis and general topology. In this section I give the results which can be regarded

as essentially measure-theoretic in inspiration. The most important new concept, or technique, is that of

disjoint-sequence theorem. A typical example is in condition (iii) of 246G, relating uniform integrability

to the behaviour of functionals on disjoint sequences of sets. I give variants of this in 246Yd-246Yf, and

247A Weak compactness in L1 193

246Yg-246Yj are further results in which similar methods can be used. The central result of the next section

(247C) will also use disjoint sequences in the proof, and they will appear more than once in Chapter 35 in

the next volume.

The phrase uniformly integrable ought to mean something like uniformly approximable by simple func-

tions, and the definition 246A can be forced into such a form, but I do not think it very useful to do so.

However condition (ii) of 246G amounts to something like uniformly truly continuous, if we think of mem-

bers of L1 as truly continuous functionals on , as in 242I. (See 246Yi.) Note that in each of the statements

(ii)-(iv) of 246G we need to take special note of any atoms for the measure, since they are not controlled by

the main condition imposed. In an atomless measure space, of course, we have a simplification here, as in

246Yd-246Yf.

Another way of justifying theRuniformly in uniformly integrable is by considering functionals w where

w 0 in L1 , setting w (u) = (|u| w)+ for u L1 ; then A L1 is uniformly integrable iff w 0

uniformly on A as w rises in L1 (246Xa). It is sometimes useful to know that if this is true at all then it is

necessarily witnessed by elements w which can be built directly from materials at hand (see (iii) of 246Xa).

Furthermore, the sets Aw = {u : w (u) } are always convex, k k1 -closed and solid (if u Aw and

|v| |u| then v Aw )(246Cd); they are closed under pointwise convergence of sequences (246Ja) and in

semi-finite measure spaces they are closed for the topology of convergence in measure (246Jd); in probability

spaces, for level w, they are closed under conditional expectations (246D) and similar operators (246Yc).

Consequently we can expect that any uniformly integrable set will be included in a uniformly integrable set

which is closed under operations of several different types.

Yet another uniform property of uniformly integrable sets is in 246Yk. The norm k k is never (in

interesting cases) order-continuous in the way that other k kp are (244Yd); but the uniformly integrable

subsets of L1 provide interesting order-continuous seminorms on L .

246J supplements results

R from 245. In the notesR to that section I mentioned

R the question: if hfn inN f

a.e., in what ways can h fn inN fail to converge to f ? Here we find that h |fn f |inN 0 iff {fn : n N}

is uniformly integrable; this is a way of making precise the expression none of the weight of the sequence is

lost at infinity. Generally, for sequences, convergence in k kp , for p [1, [, is convergence in measure for

pth-power-uniformly-integrable sequences (246Xh).

I now come to the most striking feature of uniform integrability: it provides a description of the relatively

weakly compact subsets of L1 (247C). I have put this into a separate section because it demands some

knowledge of functional analysis in particular, of course, of weak topologies on Banach spaces. I will try

to give an account in terms which are accessible to novices in the theory of normed spaces because the result

is essentially measure-theoretic, as well as being of vital importance to applications in probability theory. I

have written out the essential definitions in 2A3-2A5.

247A Part of the argument of the main theorem below will run more smoothly if I separate out an

idea which is, in effect, a simple special case of a theme which has been running through the exercises of

this chapter (241Ye, 242Yf, 243Ya, 244Yc).

Lemma Let (X, , ) be a measure space, and G any member of . Let G be the subspace measure on

G, so that G E = E for E G, E . Set

U = {u : u L1 (), u G = u} L1 ().

Then we have an isomorphism S between the ordered normed spaces U and L1 (G ), given by writing

S(f ) = (f G)

for every f L1 () such that f U .

proof Of course I should remark explicitly that U is a linear subspace of L1 (). I have discussed integration

over subspaces in 131 and 214; in particular, I noted that f G is integrable, and that

194 Function spaces 247A

R R R

|f G|dG = |f | G d |f |d

1 1

for every f L () (131Fa). If f , g L () and f = g -a.e., then f G = gG G -a.e.; so the proposed

formula for S does indeed define a map from U to L1 (G ).

Because

(f + g)G = (f G) + (gG), (cf )G = c(f G)

1

for all f , g L () and all c R, S is linear. Because

f g -a.e. = f G gG G -a.e.,

R R

S is order-preserving. Because |f G|dG |f |d for every f L1 (), kSuk1 kuk1 for every u U .

To see that S is surjective, take any v L1 (G ). Express v as g where g L1 (G ). By 131E, f L1 (),

where f (x) = g(x) for x dom g, 0 for x X \ G; so that f U and f G = g and v = S(f ) S[U ].

To see that S is norm-preserving, note that, for any f L1 (),

R R

|f G|dG = |f | G d,

so that if u = f U we shall have

R R

kSuk1 = |f G|dG = |f | G d = ku G k1 = kuk1 .

247B Corollary Let (X, , ) be any measure space, and let G be a measurable set expressible as

1

a countable union of sets of finite measure. Define U as in 247A,

R and let h : L () R be any continuous

linear functional. Then there is a v L () such that h(u) = u v d for every u U .

proof Let S : U L1 (G ) be the isomorphism described in 247A. Then S 1 : L1 (G ) U is linear and

continuous, so h1 = hS 1 belongs to the normed space dual (L1 (G )) of L1 (G ). Now of course G is

-finite, therefore localizable (211L), so 243Gb tells us that there is a v1 L (G ) such that

R

h1 (u) = u v1 dG

for every u L1 (G ).

Express v1 as g1 where g1 : G R is a bounded measurable function. Set g(x) = g1 (x) for x G, 0 for

x X \ G; then g : X R is a bounded measurable function, and v = g L (). If u U , express u as

f where f L1 (); then

Z

h(u) = h(S 1 Su) = h1 ((f G) ) = (f G) g1 dG

Z Z Z Z

= (f g)G dG = f g G d = f g d = u v.

247C Theorem Let (X, , ) be any measure space and A a subset of L1 = L1 (). Then A is uniformly

integrable iff it is relatively compact in L1 for the weak topology of L1 .

proof (a) Suppose that A is relatively compact for the weak topology. I seek to show that it satisfies the

condition (iii) of 246G.

R R

(i) If F , then surely supuA | F u| < , because u 7 F u belongs to (L1 ) , and if h (L1 ) then

the image of any relatively weakly compact set under h must be bounded (2A5Ie).

(ii) Now suppose that hFn inN is a disjoint sequence in . ?? Suppose, if possible, that

R

hsupuA | Fn u|inN

does not converge to 0. Then there is a strictly increasing sequence hn(k)ikN in N such that

1 R

= inf kN supuA | Fn(k) u| > 0.

2

247C Weak compactness in L1 195

R

For each k, choose uk A such that | Fn(k)

uk | . Because A is relatively compact for the weak topology,

there is a cluster point u of huk ikN in L for the weak topology (2A3Ob). Set j = 2j /6 > 0 for each

1

j N.

We can now choose a strictly increasing sequence hk(j)ijN inductively so that, for each j,

R Pj1

Fn(k(j))

(|u| + i=0 |uk(i) |) j

Pj1 R R

i=0 | Fn(k(i)) u Fn(k(i)) uk(j) | j

P1 Pj1 R

P Given hk(i)ii<j , set v = |u|+ i=0 |uk(i) |; then limk Fn(k) v = 0,

for every j, interpreting i=0 as 0. P

by Lebesgues

R Dominated Convergence Theorem or otherwise, so there is a k such that k > k(i) for every

i < j and Fn(k) v j for every k k . Next,

Pj1 R R

w 7 i=0 | Fn(k(i)) u Fn(k(i)) w| : L1 R

is continuous for the weak topology of L1 and zero at u,R and u belongs

R to every weakly open set containing

Pj1

{uk : k k }, so there is a k(j) k such that i=0 | Fn(k(i)) u Fn(k(i)) uk(j) | < j , which continues the

construction. Q Q

R Let v be

R any cluster point in L1 , for the weak topology,

R of huk(j)RijN . Setting Gi = F R n(k(i)) , Rwe have

| Gi u Gi uk(j) | j whenever i < j, so limj Gi uk(j) exists = Gi u for each i, and Gi v = Gi u for

S

every i; setting G = iN Gi ,

R P R P R R

G

v = i=0 Gi v = i=0 Gi u = G u,

by 232D, because hGi iiN is disjoint.

For each j N,

j1 Z

X

X Z

| uk(j) | + | uk(j) |

i=0 Gi i=j+1 Gi

j1 Z

X j1 Z

X Z Z

X

|u| + | u uk(j) | + |uk(j) |

i=0 Gi i=0 Gi Gi i=j+1 Gi

j1

X

X

X

i + j + i = i = .

3

i=0 i=j+1 i=0

R

On the other hand, | Gj

uk(j) | . So

R P R 2

| G

uk(j) | = | i=0 Gi uk(j) | .

3

R

This

R is true2 for every j; because every weakly open set containing v meets {uk(j) : j N}, | G

v| 32

and | G u| 3 . On the other hand,

R P R P R P

| G u| = | i=0 Gi u| i=0 Gi |u| i=0 i = ,

3

which is absurd. X

X R

This contradiction shows that limn supuA | Fn u| = 0. As hFn inN is arbitrary, A satisfies the

condition 246G(iii) and is uniformly integrable.

(b) Now assume that A is uniformly integrable. I seek a weakly compact set C A.

R

(i) For each n N, choose En , Mn 0 such that En < and (|u| Mn En )+ 2n for

every u A. Set

R

C = {v : v L1 , | F v| Mn (F En ) + 2n n N, F },

196 Function spaces 247C

R R R

| F u| F (|u| Mn En )+ + F Mn En 2n + Mn (F En )

for every n. Observe also that C is k k1 -bounded, because

R

kuk1 2 supF | F u| 2(1 + M0 (F E0 )) 2(1 + M0 E0 )

for every u C (using 246F).

(ii) Because I am seeking to prove this theorem for arbitrary measure spaces (X, , ), I cannot use

243G to identify the dual of L1 . Nevertheless, 247B above shows thatR 243Gb it is nearly valid, in the

1

following

S sense: if h (L ) , there1 is a v L such that h(u) = u v for every u C. RP P Set

G = nN En , and define U L as in 247A-247B. By 247B, there is a v L such that h(u) = uv

for every u U . But if u C, we can express u as f where f : X R is measurable. If F and

F G = , then

R R

| F f | = | F u| 2n + Mn (F En ) = 2n

R

for every n N, so F f = 0; it followsRthat f = 0 a.e. on X \ G (131Fc), so that f G =a.e. f and

u = u G , that is, u U , and h(u) = u v, as required. QQ

(iii) So we may proceed, having an adequate description, not of (L1 ()) itself, but of its action on C.

Let F be any ultrafilter on L1 containing C (see 2A3R). For each F , set

R

F = limuF F u;

because

R

supuC | F

u| supuC kuk1 < ,

R R R

this is well-defined in R (2A3Se). If E, F are disjoint members of , then EF u = E u + F u for every

u C, so

R R R

(E F ) = limuF EF u = limuF E u + limuF F u = E + F

(2A3Sf). Thus : R is additive. Next, it is truly continuous with respect to . P

P Given > 0, take

n N such that 2n 21 , set = /2(Mn + 1) > 0 and observe that

R

|F | supuC | F u| 2n + Mn (F En )

whenever

R (F En ) . Q Q By the Radon-Nikodym theorem (232E), there is an f0 L1 such that

f = F for every F . Set u0 = f0 L1 . If n N, F then

F 0

R R

| F u0 | = |F | supuC | F u| 2n + Mn (F En ),

so u0 C.

(iv) OfRcourse the point is that F converges to u0 . P P Let h (L1 ) . Then there is a v L such

that h(u) = u v for every u C. Express v as g , where g : X R is bounded and -measurable. Let

> 0. Take a0 a1 . . . an such that ai+1 ai Pfor each i while a0 g(x) < an for each x X. Set

n

Fi = {x : ai1 g(x) < ai } for 1 i n, and set g = i=1 ai Fi , v = g ; then kv vk . We have

Z n

X Z n

X

u0 v = ai u= ai Fi

i=1 Fi i=1

Xn Z n

X Z Z

= ai lim u = lim ai u = lim u v.

uF Fi uF Fi uF

i=1 i=1

Consequently

247Yb Weak compactness in L1 197

Z Z Z Z Z Z

lim sup | uv u0 v| | u0 v u0 v| + sup | uv u v|

uF uC

uC

2 sup kuk1 .

uC

As is arbitrary,

Z Z

lim sup |h(u) h(u0 )| = lim sup | uv u0 v| = 0.

uF uF

in L1 , and the proof is complete.

247D Corollary Let (X, , ) and (Y, T, ) be any two measure spaces, and T : L1 () L1 () a

continuous linear operator. Then T [A] is a uniformly integrable subset of L1 () whenever A is a uniformly

integrable subset of L1 ().

proof The point is that T is continuous for the respective weak topologies (2A5If). If A L1 () is uniformly

integrable, then there is a weakly compact C A, by 247C; T [C], being the image of a compact set under

a continuous map, must be weakly compact (2A3N(b-ii)); so T [C] and T [A] are uniformly integrable by the

other half of 247C.

247E Complex L1 There are no difficulties, and no surprises, in proving 247C for L1C . If we follow

the same proof, everything works, but of course we must remember to change the constant when applying

246F, or rather 246K, in part (b-i) of the proof.

247X Basic exercises > (a) Let (X, , ) be any measure space. Show that if A L1 = L1 () is

relatively weakly compact, then {v : v L1 , |v| |u| for some u A} is relatively weakly compact.

1 1 0

(b) Let (X, , ) be a Rmeasure

R space.0 On L = LR () define Rpseudometrics F , w for F , w L ()

1

by setting F (u, v) = | F u F v|, w (u, v) = | u w v w| for u, v L . Show that on any

k k1 -bounded subset of L1 , the topology defined by {F : F } agrees with the topology generated by

{0w : w L }.

> (c) Show that for any set X a subset of `1 = `1 (X) is compact for the weak topology of `1 iff it is

compact for the norm topology of `1 . (Hint: 246Xd.)

(d) Use the argument of (a-ii) in the proof of 247C to show directly that if A `1 (N) is weakly compact

then inf nN |un (n)| = 0 for any sequence hun inN in A.

(e) Let (X, , ) and (Y, T, ) be measure spaces, and T : L2 () L1 () any bounded linear operator.

Show that {T u : u L2 (), kuk2 1} is uniformly integrable in L1 (). (Hint: use 244K to see that

{u : kuk2 1} is weakly compact in L2 ().)

247Y Further exercises (a) Let (X, , ) be a measure space. Take 1 < p < and M 0 and set

A = {u : u Lp = Lp (), kukp M }. Write SA for the topology of convergence in measure on A, that is,

the subspace topology induced by the topology of convergence in measure on L0 (). Show that if h (Lp )

then hA is continuous for SA ; so that if T is the weak topology on Lp , then the subspace topology TA is

included in SA .

R

(b) Let (X, , ) be a measure space and hun inN a sequence in L1 = L1 () such that limn F un is

defined for every F . Show that {un : n N} is weakly convergent. (Hint: 246Yh.) Find an alternative

argument relying on 2A5J and the result of 246Yj.

198 Function spaces 247 Notes

247 Notes and comments In 247D and 247Xa I try to suggest the power of the identification between

weak compactness and uniform integrability.

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