MTLI

1
INTRODUCTION TO MEASURE THEORY

AND LEBESGUE INTEGRATION
Eduard EMELYANOV
Ankara — TURKEY
2007
2
FOREWORD
This book grew out of a one-semester course for graduate students that the
author have taught at the Middle East Technical University of Ankara in 2004-
06. It is devoted mainly to the measure theory and integration. They form the
base for many areas of mathematics, for instance, the probability theory, and at
least the large part of the base of the functional analysis, and operator theory.
Under measure we understand a σ-additive function with values in R+ ∪ {∞}
defined on a σ-algebra. We give the extension of this basic notion to σ-additive
vector-valued measures, in particular, to signed and complex measures and refer
for more delicate topics of the theory of vector-valued measures to the excellent
book of Diestel and Uhl [3]. The σ-additivity plays a crucial role in our book. We
do not discuss here the theory of finitely-additive functions defined on algebras
of sets which are sometimes referred as finitely-additive measures.
There are two key points in the measure theory. The Caratheodory extension
theorem and construction of the Lebesgue integral. Other results are more or
less technical. Nevertheless, we can also emphasize the importance of the Jor-
dan decomposition of signed measure, theorems about convergence for Lebesgue
integral, Cantor sets, the Radon – Nikodym theorem, the theory of Lp -spaces,
the Liapounoff convexity theorem, and the Riesz representation theorem.
We provide with proofs only basic results, and leave the proofs of the others to
the reader, who can also find them in many standard graduate books on the
measure theory like [1], [4], and [5]. Exercises play an important role in this
book. We expect that a potential reader will try to solve at least half of them.
Exercises marked with ∗ are more difficult, and sometimes are too difficult for
the first reading. In the case if someone will use this book as a basic text-book
for the analysis graduate course, the author recommends to study subsections
marked with ◦ , omitting the material of subsections marked with ! .
I am indebted to many. I thank Professor Safak Alpay for reading the manuscript
and offering many valuable suggestions. I thank to our students of 2004-2006
METU graduate real analysis classes, especially Tolga Karayayla, who made
many corrections. Finally, I thank to my wife Svetlana Gorokhova for helping
in preparing of the manuscript.
3
Contents
Introduction
Chapter 1
1.1. σ-Algebras, Measurable Functions, Measures, the Egoroff Theorem, Ex-
haustion Argument
1.2. Vector-valued, Signed and Complex Measures, Variation of a Vector-valued
Measure, Operations with Measures, the Jordan Decomposition Theorem, Ba-
nach Space of Signed Measures of Bounded Variation
1.3. Construction of the Lebesgue Integral, the Monotone Convergence Theo-
rem, the Dominated Convergence Theorem,
Chapter 2
2.1. The Caratheodory Theorem, Lebesgue Measure on R, Lebesgue – Stieltjes
Measures, the Product of Measure Spaces, the Fubini Theorem
2.2. Lebesgue Measure on Rn , Lebesgue Integral in Rn , the Lusin Theorem,
Cantor Sets
Chapter 3
3.1. The Radon – Nikodym Theorem, Continuity of a Measure with Respect
to another Measure, the Hahn Decomposition Theorem
3.2. Hölder’s and Minkowski’s Inequalities, Completeness, Lp -Spaces, Duals
3.3. The Liapounoff Convexity Theorem
Chapter 4
4.1. Vector Spaces of Functions on Rn , Convolutions
4.2. Radon Measures, the Riesz Representation Theorem
Bibliography
Index
4
Chapter 1
1.1 σ-Algebras, Measurable Functions, Measures
Here we define the notion of σ-algebra which plays the key role in the measure
theory. We study basic properties of σ-algebras and measurable functions. In
the end of this section we define and study the notion of measure.
1.1.1.◦ σ-Algebras. The following notion is the principal in the measure

theory.
Definition 1.1.1 A collection A of subsets of a set X is called a σ-algebra if
(a) X ∈ A;
(b) if A ∈ A then X \ A ∈ A;
S
(c) given a sequence (Ak )k ⊆ A, we have Ak ∈ A.
k
It follows from this definition that the empty set ∅ belongs to A since X ∈ A
and ∅ = X \ X. Further, given a sequence (Ak )k ⊆ A, we have
\ [
Ak = X \ (X \ Ak ) ∈ A.
k k
Finally, the difference A \ B := A ∩ (X \ B) and the symmetric difference

A4B := (A \ B) ∪ (B \ A)
both belong to A.
Any σ-algebra of subsets of a set X has at least two elements: ∅ and X itself.
One of the main and mostly obvious examples of a σ-algebra is P(X) is the set
of all subsets of X. The following simple proposition shows us how to construct
new σ-algebras from a given family of σ-algebras.
5
6 CHAPTER 1.
Proposition 1.1.1 Let {Ωα }α∈A be a nonempty family of σ-algebras in P(X),

then Ω = ∩α Ωα is also a σ-algebra. 2
This proposition leads to the following definition.
Definition 1.1.2 Let G ⊆ P(X), then the set of all σ-algebras containing G
is nonempty since it contains P(X). Hence we may talk about the minimal σ-
algebra containing G. This σ-algebra is called the σ-algebra generated by G.
An important special case of this notion is the following.
Definition 1.1.3 Let X be a topological space and let G be the family of all
open subsets of X. The σ-algebra generated by G is called the Borel algebra
of X and denoted by B(X).
1.1.2.◦ Measurable functions. Let f be a real-valued function defined on

a set X. We suppose that some σ-algebra Ω ⊆ P(X) is fixed.
Definition 1.1.4 We say that f is measurable, if f −1 ([a, b]) ∈ Ω for any reals
a < b.
The following three propositions are obvious.
Proposition 1.1.2 Let f : X → R be a function. Then the following conditions

are equivalent:
(a) f is measurable;
(b) f −1 ([0, b)) ∈ Ω for any real b;
(c) f −1 ((b, ∞)) ∈ Ω for any real b;
(d) f −1 (B) ∈ Ω for any B ∈ B(R). 2
Proposition 1.1.3 Let f and g be measurable functions, then

(a) α · f + β · g is measurable for any α, β ∈ R;
(b) functions max{f, g} and f · g are measurable.
In particular, functions f + := max{f, 0}, f − := (−f )+ , and |f | := f + + f − are
measurable. 2
1.1. σ-ALGEBRAS, MEASURABLE FUNCTIONS, MEASURES 7
Proposition 1.1.4 Let (fn )∞

n=1 be a sequence of measurable functions, then
lim sup fn and lim inf fn

n→∞ n→∞
are measurable. 2
1.1.3.◦ Measures. The main definition here is the following.
Definition 1.1.5 Let A be a σ-algebra. A function µ : A → R ∪ {∞} is called

a measure, if:
(a) µ(∅) = 0;
(b) µ(A) ≥ 0 for all A ∈ A; and
S P
(c) µ( k Ak ) = k µ(Ak ) for any sequence (Ak )k of pairwise disjoint sets from
A, that is Ai ∩ Aj = ∅ for i 6= j.
The axiom (c) is called σ-additivity of the measure µ. As usual, we will also
assume that any measure under consideration satisfies the following axiom:
(d) for any subset A ∈ A with µ(A) = ∞, there exists B ∈ A such that B ⊆ A
and 0 < µ(B) < ∞.
This axiom allows to avoid a pathological case that for some A, with µ(A) = 0
it holds either µ(B) = 0 or µ(B) = ∞ for any B ⊆ A, B ∈ A.
We will use often the following simple proposition, the proof of which is left to
the reader.
Proposition 1.1.5 Let µ be a measure on a σ-algebra A, An ∈ A, and An → A.

Then A ∈ A and µ(A) = lim µ(An ). In particular, if (Bn )∞n=1 is a decreasing
n→∞ T∞
sequence of elements of A such that n=1 Bn = ∅, then µ(Bn ) → 0. 2
1.1.4.◦ Measure spaces. We consider a fixed but arbitrary σ-algebra with

a measure.
Definition 1.1.6 If A is a σ-algebra of subsets of X and µ is a measure on A,

then the triple (X, A, µ) is called a measure space. The sets belonging to A
are called measurable sets because the measure is defined for them.
8 CHAPTER 1.
Now we present several examples of measure spaces.
Example 1.1.1 Let X = {x1 , . . . , xN } be a finite set, A be the σ-algebra of all

subsets of X and a measure is defined by setting to each xi ∈ X a nonnegative
number, say pi . This follows that the measure of a subset {xα1 , . . . , xαk } ⊆ X is
just pα1 + · · · + pαk . If pi = 1 for all i, then the measure is called a counting
measure because it counts the number of elements in a set.
Example 1.1.2 If X is a topological space, then the most natural σ-algebra of

subsets of X is the Borel algebra B(X). Any measure defined on a Borel algebra
is called Borel measure. In Section 2.1, we will prove that on the Borel σ-
algebra B(R) there exists a unique measure such that µ([a, b]) = b − a for any
interval [a, b] ⊆ R.
Whenever we consider spaces X = [a, b], X = R, or X = Rn , we usually assume

that the measure under consideration is the Borel measure.
As presented in Definition 1.1.6, the notion of measure space is extremely gen-
eral. In almost all applications, the following specific class of measure spaces is
adequate.
Definition 1.1.7 A measure space (X, A, µ) is called σ-finite if there is a se-

quence (Ak )∞
k=1 , Ak ∈ A, satisfying
∞
[
X= Ak and µ(Ak ) < ∞ for all k.
k=1
Obviously, any σ-finite measure satisfies the axiom (d). Moreover, a measure µ
∞
is σ-finite iff (= if and only if) there exists
S∞an increasing sequence (Xn )n=1 of
subsets of finite measure such that X = n=1 Xn . If X = R, then Ak may be
chosen as intervals [−k, k]. In Rd , they may be chosen as balls of radius k, etc.
Definition 1.1.8 A measure space (X, A, µ) is called finite if µ(X) < ∞. In

particular, if µ(X) = 1, then the measure space is said to be probabilistic, and
µ is said to be a probability. A measure µ is called separable if there exists a
countable family R ⊆ A such that for any A ∈ A, µ(A) < ∞, and for any ε > 0
there exists B ∈ R satisfying µ(A4B) < ε. A measure µ is called complete if
there holds:
[ µ(A) = 0 & B ⊆ A ] ⇒ B ∈ A .
Every Borel measure on R (or on [0, 1], or on Rn , etc.) possesses a unique com-
pletion, which is called a Lebesgue measure.
1.1.5.◦ Convergence of functions and the Egoroff theorem. For mea-

surable functions, there are several natural types of convergence. Some of them
are given by the following definition.
Definition 1.1.9 Let (fn )∞

n=1 be a sequence of R-valued functions defined on X.
We say that:
(a) fn → f pointwise, if fn (x) → f (x) for all x ∈ X;
(b) fn → f almost everywhere (a.e.), if fn (x) → f (x) for all x ∈ X except
a set of measure 0;
(c) fn → f uniformly, if for any ε > 0 there is n(ε) such that
sup{|fn (x) − f (x)| : x ∈ X} ≤ ε
for all n ≥ n(ε).
Theorem 1.1.1 (Egoroff ’s theorem) Suppose that µ(X) < ∞, {fn }∞ n=1 and
f are measurable functions on X such that fn → f a.e. Then, for every ε > 0,
there exists E ⊆ X such that µ(E) < ε and fn → f uniformly on E c = X \ E.
Proof: Without loss of generality, we may assume that fn → f everywhere on

X and (by replacing fn with fn − f ) that f ≡ 0. For k, n ∈ N, let
∞
[
En (k) := {x : |fm (x)| ≥ k −1 }.
m=n
Then, for a fixed k, En (k) decreases as n increases, and ∞

T
n=1 En (k) = ∅. Since
µ(X) < ∞, we conclude that µ(En (k)) → 0 as n → ∞. Given ε > 0 and k ∈ N,
choose nk such that
µ(Enk (k)) < ε · 2−k ,
and set ∞
[
E := Enk (k).
k=1
10 CHAPTER 1.
Then µ(E) < ε, and we have
|fn (x)| < k −1 (∀n > nk , x 6∈ E).
Thus fn → 0 uniformly on X \ E. 2
1.1.6.◦ Exhaustion argument.

Let (X, Σ, µ) be a σ-finite measure space. Given a sequence (Un )∞
n=1 ⊆ Σ, a set
A ∈ Σ is called (Un )n -bounded if there exists n such that A ⊆ Un µ-almost
everywhere.
Theorem 1.1.2 (Exhaustion theorem) Let (Yn )∞ n=1 ⊆ Σ be a sequence satis-

fying Yn ↑ X and µ(Yn ) < ∞ for all n. Let P be some property of (Yn )n -bounded
measurable sets, such that A ∈ P iff B ∈ P for all B, µ(A4B) = 0. Suppose
that any (Yn )n -bounded set A, µ(A) > 0, has a subset B ∈ Σ, µ(B) > 0 with the
property P. Moreover, assume that either
(a) A1 ∪ A2 ∈ P for every A1 , A2 ∈ P, or
(b) ∪n Bn ∈ P for every at most countable family (Bn )n of pairwise disjoint
sets possessing the property P.
Then there exists a sequence (Xn )∞n=1 ⊆ Σ such that Xn ↑ X, and P 3 Xn ⊆ Yn
for all n. Moreover, there exists a pairwise disjoint sequence (An )∞
n=1 ⊆ Σ such
∞
S
that An = X and An ∈ P for all n.
n=1
Proof: Let A be a (Yn )n -bounded set with µ(A) > 0. Denote
PA := {B ∈ P : B ⊆ A} & m(A) := sup{µ(B) : B ∈ PA } .
I(a) Suppose P satisfies (a). Then there exists a sequence (Fn )∞

n=1 ⊆ PA such
that m(A) = lim µ(Fn ), We may assume, that Fn ↑ . By Proposition 1.1.5, the
n→∞
set F = ∪∞ n=1 Fn satisfies µ(F ) = m(A). We show that µ(A) = m(A). If not
then µ(A \ F ) > 0. The set A \ F has a subset of positive measure F0 ∈ P.
Then Fn ∪ F0 ∈ PA and µ(Fn ∪ F0 ) > m(A) for a sufficiently large n, which
contradicts to the definition of m(A). Therefore, µ(A) = m(A).
Now we apply this for A = Yn . Thus, there exists a sequence (Xn0 )n ⊆ Σ such
that Xn0 ⊆ Yn , Xn0 ∈ P, and µ(Yn \ Xn0 ) < n−1 for all n. By (a), we may assume
that Xn0 ↑. The set X00 = ∪∞ 0 0 0 0
n=1 Xn satisfies Yn \X0 ⊆ Yn \Xn , so µ(Yn \X0 ) < n
−1
for all n. Then µ(Yn \ X00 ) = 0, and µ((∪∞ 0 0

n=1 Yn ) \ X0 ) = 0, or µ(X \ X0 ) = 0. Let
0 0
Xn := (Xn ∪(X \X0 ))∩Yn , then the sequence (Xn )n has the required properties.
The desired pairwise disjoint sequence (An )∞
n=1 is given recurrently by A1 = X1
and Ak+1 = Xk+1 \ ∪ki=1 Ai .
I(b) Suppose P satisfies (b). Let FA be the family of all pairwise disjoint
families of elements of PA of nonzero measure. Then FA is ordered by inclusion
and, obviously, satisfies the conditions of the Zorn lemma. Therefore, we have
a maximal element in FA , say ∆. Then ∆ is at most countable family, say
∆ = {Dn }n . By (b), its union D := ∪n Dn is an element of PA as well. If D is
a proper subset of A, then µ(A \ D) > 0. The set A \ D has a subset F ∈ P
of the positive measure. Then ∆1 := ∆ ∪ {F } is an element of FA which is
strictly greater then ∆. The obtained contradiction, shows that A ∈ P for every
(Yn )n -bounded set A. So, we may take Xn := Yn for each n.
Now we apply this for A = Zm := Ym \ ∪m−1 m
k=1 Yk . Let Zm = ∪n Dn be a pairwise
disjoint union, where Dnm ∈ P for all n, m. The family {Dnm }n,m is an at most
countable disjoint decomposition of X, say {Dnm }n,m = (An )∞ n=1 . The sequence
(An )n=1 satisfies the required properties. 2
∞
1.1.7.◦ Exercises to Section 1.1.
Exercise 1.1.1 Prove that the cardinality of any σ-algebra is either finite or uncountable.
Exercise 1.1.2 Let f and g be measurable R-valued functions. Show that f · g is measurable.
Exercise 1.1.3 For each X ⊆ N and for each k ∈ N define:
nkX := card(X ∩ {1, ..., k}) .
Let A be a family of all X ⊆ N such that the number µ(X) = lim k −1 nkX exists. Is A a
k→∞
σ-algebra? Is µ a measure on A?
Exercise 1.1.4 Prove Proposition 1.1.5.
∗
Exercise 1.1.5 Let (Ω, Σ, µ) be a measure space. Show that the set
R(µ) := {µ(E) : E ∈ Σ}
is, in general, neither closed nor convex in R ∪ {∞}. Is R(µ) closed if, additionally, µ is finite
or non-atomic (see Exercise 1.1.9 for the definition)?
12 CHAPTER 1.
Exercise 1.1.6 Show that each separable measure which satisfies Axiom 1.1.3 d) is σ-finite.
Exercise 1.1.7 ∗ Give an example of a family (Ωα )α∈[0,2π] of σ-subalgebras of the Borel
algebra B([0, 1]2 ) such that for any α, β ∈ [0, 2π], α 6= β:
Ωα ∩ Ωβ = {∅, [0, 1]2 }
and
(∀α)[α ∈ [0, π]](∀a)[0 ≤ a ≤ 1](∃B ∈ Ωα )[µ(B) = a].
Exercise 1.1.8 ∗∗ Construct a sequence (Σn )∞ 2

n=1 of σ-subalgebras of the Borel algebra B([0, 1] )
such that, for any n < m,
Σm ⊆ Σn & Σn 6= Σm
and
(∀n)(∀a)[0 ≤ a ≤ 1](∃B ∈ Σn )[µ(B) = a].
Exercise 1.1.9 ∗∗ Let (Ω, Σ, µ) be a measure space equipped with a probabilistic measure µ
such that µ has no atom (non-atomic measure), i.e., for any A ∈ Σ, µ(A) > 0 implies that
there exists A0 ⊆ A such that 0 < µ(A0 ) < µ(A).
(a) Show that, for any 0 ≤ α ≤ 1, there exists B ∈ Σ such that µ(B) = α.
(b) Give an example of a measure ν on (N, P(N)) such that ν(N) = 1 and, for any 0 ≤ α ≤ 1,
there exists B ∈ P(N) such that µ(B) = α.
Exercise 1.1.10 (TheP Borel – Cantelli lemma) Let (X, Σ, µ) be a measure space. Show
∞
that if {An }n ⊆ Σ and n=1 µ(An ) < ∞ then µ(lim sup An ) = 0.
n→∞
Exercise 1.1.11 Show that Egoroff ’s theorem may fail if µ(X) = ∞.
Exercise 1.1.12 ∗∗∗ Let (X, Ω, µ) be a measure space and µ(X) < ∞. Say that A ∼ B if
µ(A4B) = 0.
(a) Show that ∼ is an equivalence relation on Ω;
(b) Show that the function ρ : (Ω/ ∼)2 → R:
ρ([A], [B]) := µ(A4B),
is a metric, and (Ω/ ∼, ρ) is a complete metric space.
Exercise 1.1.13 ∗∗∗ Let (Ω/ ∼, ρ) be the metric space from Exercise 1.1.12.
(a) Show that (Ω/ ∼, ρ) is compact, if (X, Ω, µ) is a purely atomic measure space.
(b) Show that (Ω/ ∼, ρ) is not compact, if (X, Ω, µ) is not purely atomic.
P any A ∈ Ω, µ(A) < ∞, there
Here, the measure space (X, Ω, µ) is called purely atomic if for
exists a sequence (an )∞
n=1 of elements of A such that µ(A) = n µ({an }).
∗
Exercise 1.1.14 Show that in Proposition 1.1.4 pointwise limits lim sup fn and lim inf fn
n→∞ n→∞
may be replaced by a.e.-limits lim sup fn and lim inf fn .
n→∞ n→∞
1.2. VECTOR-VALUED MEASURES 13
1.2 Vector-valued Measures
In this section, we extend the notion of a measure. Then we study the basic
operations with signed measures and present the Jordan decomposition theo-
rem. We refer for further delicate results about vector-valued measures to [3]
and about spaces of signed measures to [7] and [12].
1.2.1.◦ Vector-valued, signed and complex measures. Let Σ be a

σ-algebra of subsets of a set X, and let E = (E, k · k) be a Banach space.
Definition 1.2.1 A function µ : Σ → E ∪ {∞} is called a vector-valued

measure (or E-valued measure) if
(a) µ(∅)
S = 0; P
(b) µ( k Ak ) = k µ(Ak ) for any pairwise disjoint sequence (Ak )k ⊆ Σ;
(c) for any A ∈ Σ, µ(A) = ∞, there exists B ∈ Σ such that B ⊆ A and
0 < kµ(B)k < ∞.
Example 1.2.1 Take Σ = P(N), and c0 is the Banach space of all convergent
C-valued sequences with a fixed element (αn )n ∈ c0 . Define for any A ⊆ N:
ψ(A) := (βn )n ,
where βn = αn if n ∈ A and βn = 0 if n 6∈ A. Then ψ is a c0 -valued measure on
P(N).
Example 1.2.2 Let X be a set and let Ω be a σ-algebra in P(X). Then for any
family {µk }m m
k=1 of finite measures on Ω and for any family {wk }k=1 of vectors of
Rn , the Rn -valued measure Ψ on Ω is defined by the formula
m
X
Ψ(E) := µk (E) · wk (E ∈ Ω).
k=1
Example 1.2.3 Let X be a set and let Ω be a σ-algebra in P(X). Then for
any family {µk }m m
k=1 of finite measures on Ω, for any family {Ak }k=1 of pairwise
disjoint sets in Ω, and for any family {wk }m n n
k=1 of vectors of R , the R -valued
measure Φ on Ω is defined by the formula
m
X
Φ(E) := µk (E ∩ Ak ) · wk (E ∈ Ω).
k=1
14 CHAPTER 1.
From Definition 1.2.1, it is quite easy to see (and we leave this as an exercise to
the reader) that if µ is an E-valued measure, then for two linearly independent
vectors x, y ∈ E, kxk = kyk = 1, it is impossible to find sequences (An )∞ n=1 and
∞
(Bn )n=1 of elements of Σ such that
µ(An ) µ(An )
kµ(An )k → ∞ , lim = x , and kµ(Bn )k → ∞ , lim = y.
n→∞ kµ(An )k n→∞ kµ(Bn )k
This can be expressed as: any vector-valued measure cannot be infinite in two
different directions.
The next two definitions are special cases of Definition 1.2.1.
Definition S1.2.2 A function

P µ : Σ → R ∪ {∞} is called a signed measure if
µ(∅) = 0, µ( k Ak ) = k µ(Ak ) for any sequence (Ak )k of pairwise disjoint sets
from Σ, and, for any A ∈ Σ, µ(A) = ∞, there exists B ∈ Σ such that B ⊆ A
and 0 < |µ(B)| < ∞.
Definition 1.2.3 P µ : Σ → C ∪ {∞} is called a complex measure

S A function
if µ(∅) = 0, µ( k Ak ) = k µ(Ak ) for any sequence (Ak )k of pairwise disjoint
sets from Σ, and, for any A ∈ Σ, µ(A) = ∞, there exists B ∈ Σ such that
B ⊆ A and 0 < |µ(B)| < ∞.
There are many interesting classes of vector-valued measures. In this book we

consider only a few of them, in particular, the classes given by the following
definition.
Definition 1.2.4 An E-valued measure µ is called finite if µ(A) ∈ E for every

measurable A. An E-valued measure µ is called σ-finite if there is a sequence
∞
S
(Ak )k , Ak ∈ Σ, satisfying X = Ak and µ|Ak is finite measure for all k ∈ N.
k=1
An E-valued measure µ is called separable if there exists a countable family
R ⊆ Σ such that, for any A ∈ Σ of a finite measure and for any ε > 0, there
exists B ∈ R satisfying kµ(A4B)k < ε.
The definitions of σ-finite, finite, and separable signed or complex measure are
obvious.
1.2.2.◦ The variation of a vector-valued measure. Now we show how in

the natural way construct a new measure from a given vector-valued measure.
Let µ be a E-valued measure on (X, Σ). We define a function
|µ| : Σ → R+ ∪ {∞}
by the following formula:

n=j n=j
X [
|µ|(A) := sup{ kµ(An )k : An ∈ Σ, An = A, Ak ∩ Ap = ∅ if k 6= p}.
n=1 n=1
(1.2.1)
This function is called the variation of µ. It is an exercise for the reader to
show that |µ| is additive and therefore monotone.
Theorem 1.2.1 Let µ be an E-valued measure on (X, Σ). Then |µ| is a mea-
sure.
Proof: Suppose that µ is an E-valued measure. We have to show only the

σ-additivity of the function |µ| : Σ → R+ ∪ {∞}.
Let (An )∞
S
n=1 be a pairwise disjoint sequence of elements of Σ and A := n An . If
|µ|(A) = ∞, then there is nothing to proof. So we may assume that |µ|(A) < ∞.
Let π be a finite partition of A into pairwise disjoint members of Σ. Then
X X X X
kµ(E)k = kµ(E ∩ A)k = k µ(E ∩ An )k ≤
E∈π E∈π E∈π n
XX XX X
kµ(E ∩ An )k = kµ(E ∩ An )k ≤ |µ|(An ).
E∈π n n E∈π n
Since it holds for any partition π, we obtain the inequality

[ X
|µ|( An ) ≤ |µ|(An ). (1.2.2)
n n
Since |µ| is additive and monotone, then for each n:

i=n
X n
[ [
|µ|(Ai ) = |µ|( Ai ) ≤ |µ|( An ),
i=1 i=1 n
16 CHAPTER 1.
and by taking the limit:

∞
X [
|µ|(Ai ) ≤ |µ|( An ). (1.2.3)
i=1 n
Combining (1.2.2) and (1.2.3) give us σ-additivity of |µ|. 2

It is also easy to see that µ is a σ-finite or finite E-valued measure iff |µ| is.
Definition 1.2.5 An E-valued measure µ is called a vector-valued measure of

bounded variation if |µ| is finite.
The vector-valued measure constructed in Example 1.2.1 is of bounded variation

if αn = 2−n ; and, of unbounded variation if αn = 1/n.
1.2.3.◦ Operations with vector-valued measures. Let Σ be a σ-algebra

of subsets of a non-empty set X and let E be a Banach space. The set Mb =
MbE (X, Σ) of all E-valued measures of bounded variation on Σ is a vector space
with respect to the natural operations of addition and scalar multiplication, i.e.,
(µ1 + µ2 )(A) = µ1 (A) + µ2 (A), (αµ)(A) = αµ(A) (1.2.4)
for every A ∈ Σ.
Theorem 1.2.2 Mb is a Banach space with respect to the norm k · kb :
kµkb := |µ|(X) (∀µ ∈ Mb )
which is called the total variation of a measure µ.
Proof: By (1.2.1) and (1.2.4), the map k · kb : Mb → R+ satisfies all axioms of

norm. To show that Mb is complete under the norm k · kb , it is enough to show
that if ∞
X
kµn kb < ∞ (1.2.5)
n=1
for some sequence (µn )∞

n=1 of E-valued measures, then
∞
X
µ := µn ∈ Mb . (1.2.6)
n=1
For any A ∈ Σ, the series

∞
X
µn (A)
n=1
is convergent in E, because E is a Banach space, and there hold (1.2.5) and
kµn (A)k ≤ kµn kb (∀n).
So µ in (1.2.6) is well defined. We leave to the reader to show that µ ∈ Mb as

an exercise. 2
In general, if µ1 and µ2 are not finite E-valued measures, the formula (1.2.4) does
not define the sum of them. Thus, in general, the set of all E-valued measures
is not a vector space.
Now we are going to study the important case of finite signed measures. Let Mb
be the Banach space of all finite signed measures on (X, Σ). First, we define a
partial ordering in Mb saying that µ1 ≤ µ2 whenever
µ1 (A) ≤ µ2 (A) (∀A ∈ Σ), (1.2.7)
then Mb becomes a partially ordered vector space. We show that Mb is a

vector lattice, which means, by the definition, that for every µ, ν ∈ Mb there
exists sup{µ, ν} ∈ Mb .
For this purpose, we denote for µ ∈ Mb the number
kµk := sup{|µ(A)| : A ∈ Σ}.
From
|(µ1 + µ2 )(A)| ≤ |µ1 (A)| + |µ2 (A)| ≤ kµ1 k + kµ2 k
holding for µ1 and µ2 in Mb and arbitrary A ∈ Σ, it follows that
kµ1 + µ2 k ≤ kµ1 k + kµ2 k.
Furthermore, it is evident that kαµk = |α| · kµk for µ ∈ Mb and a real α. Thus,
k · k is, clearly, a norm in Mb (it is equivalent to k · kb in Theorem 1.2.2).
We prove now that sup{µ1 , µ2 } exists in Mb for all µ1 and µ2 in Mb . For any
A ∈ Σ, let the number ν(A) be defined by
ν(A) = sup{µ1 (B) + µ2 (A \ B) : A ⊇ B ∈ Σ}.

18 CHAPTER 1.
It is not difficult to see that ν is a signed measure on Σ. Since the supremum

on the right is less than or equal to kµ1 k + kµ2 k, we get
sup{|ν(A)| : A ∈ Σ} ≤ kµ1 k + kµ2 k.
It follows that ν is bounded and kνk ≤ kµ1 k + kµ2 k. Having shown that ν is an
element of Mb , we prove now that ν = sup{µ1 , µ2 }. From the definition of ν, it
is clear that ν(A) ≥ µ1 (A) and ν(A) ≥ µ2 (A) for every A ∈ Σ, so ν is an upper
bound of µ1 and µ2 . Let τ be another upper bound. Then, for any A ∈ Σ and
A ⊇ B ∈ Σ, we have
τ (A) = τ (B) + τ (A \ B) ≥ µ1 (B) + µ2 (A \ B),
so
τ (A) ≥ sup{µ1 (B) + µ2 (A \ B) : A ⊇ B ∈ Σ} = ν(A).
This shows that ν = sup{µ1 , µ2 } in Mb . Note now that inf{µ1 , µ2 } exists as
well, because
inf{µ1 , µ2 } = − sup{−µ1 , −µ2 }.
Hence Mb is a vector lattice.
As a direct consequence of this we have the following theorem in the case of
finite signed measures.
Theorem 1.2.3 (The Jordan decomposition theorem) If µ is a signed mea-

sure then there exist unique positive measures ν and ξ such that µ = ν − ξ and,
for any positive measures ν 0 and ξ 0 such that µ = ν 0 − ξ 0 , the inequalities ν ≤ ν 0
and ξ ≤ ξ 0 hold.
Proof: In the case when µ is finite, it is enough to take ν := µ+ = sup{0, µ}

and ξ := µ− = − inf{0, µ}. If µ is not finite (or even not σ-finite) the proof is
more complicated. We will not treat it in this book, and refer the reader for the
proof to [5] and [4]. 2
We list main properties of the Banach space Mb = (Mb , k · kb ) of all signed
measures of bounded variation on (X, Σ). Proofs are easy and left to the reader.
(i) The norm k · kb on Mb satisfies
|µ| ≤ |ν| ⇒ kµkb ≤ kνkb (∀µ, ν ∈ Mb ),

where |µ| := sup{µ, −µ}. In other words, Mb is a Banach lattice.

(ii) The norm k · kb is additive on the positive cone Mb+ of Mb :
µ ≥ 0, ν ≥ 0 ⇒ kµ + νkb = kµkb + kνkb .
(iii) Mb is Dedekind complete in the following sense. For any order bounded
nonempty family {µα }α∈A , the supremum supα∈A µα exists and can be evaluated
by the formula
k j=k
X [
sup µα (B) = sup{ µαj (Bj ) : Bj ∈ Σ, αj ∈ A, Bj = B, Bi ∩Bj = ∅ if i 6= j}
α∈A
j=1 j=1
(1.2.8)
for any B ∈ Σ .
∗∗
Exercise 1.2.1 Prove the property of vector-valued measures given after Definition 1.2.1
∗
Exercise 1.2.2 Let µ be a E-valued measure on (X, Σ). Show that
∞
X ∞
[
|µ|(A) := sup{ kµ(An )k : An ∈ Σ, An = A, Ak ∩ Ap = ∅ if k 6= p}.
n=1 n=1
Exercise 1.2.3 Let µ be a E-valued measure on (X, Σ). Show that |µ| is additive and
monotone in the following sense:
|µ|(A ∪ B) = |µ|(A) + |µ|(B)
for any A, B ∈ Σ, A ∩ B = ∅, and

|µ|(A) ≤ |µ|(B)
for any A, B ∈ Σ, A ⊆ B.
Exercise 1.2.4 ∗∗ Show that a signed measure µ is finite iff its variation |µ| is finite. Show
that a signed measure µ is σ-finite iff its variation |µ| is σ-finite.
Exercise 1.2.5 Show that the vector-valued measure constructed in Example 1.2.1 is of un-
bounded variation if αn = 1/n; and, of bounded variation if αn = 2−n .
20 CHAPTER 1.
Exercise 1.2.6 Let µ be a E-valued measure. Show that |µ| is a separable iff µ is separable.
Exercise 1.2.7 Show that the function µ from Σ to E, which is defined in the proof of The-
orem 1.2.2 by
∞
X
µ(A) = µn (A) (∀A ∈ Σ),
n=1
is an E-valued measure of bounded variation.
Exercise 1.2.8 ∗∗∗ Let µ be a non-atomic signed measure of bounded variation on Σ (i.e.
for any A ∈ Σ, µ(A) 6= 0, there exists B ∈ Σ, B ⊆ A, such that 0 < |µ(B)| < |µ(A)|). Using
Exercise 1.1.9, show that, for any α,
inf{µ(A) : A ∈ Σ} ≤ α ≤ sup{µ(A) : A ∈ Σ} ,
there is Aα ∈ Σ such that µ(Aα ) = α.
Exercise 1.2.9 Let µ be a signed non-atomic measure on (Ω, Σ). Show that the set
R(µ) := {µ(E) : E ∈ Σ}.
is closed in R ∪ {∞}.
Exercise 1.2.10 ∗ Let Mb be the Banach space of all finite signed measures on (X, Σ). Show
that Mb is a partially ordered Banach space with respect to the order given in (1.2.7).
Exercise 1.2.11 Show that Mb satisfies 1.2.4(i).
Exercise 1.2.12 Show that Mb satisfies 1.2.4(ii).
∗∗
Exercise 1.2.13 Show that (1.2.8) defines the supremum supα∈A µα .
Exercise 1.2.14 Show that the Rn -valued measure Ψ : Ω → Rn defined in Example 1.2.2 has
a bounded variation and
Xm
|Ψ|(X) ≤ µk (X) · kwk k.
k=1
∗∗
Exercise 1.2.15 Show that the R -valued measure Φ : Ω → Rn defined in Example 1.2.3
n
has a bounded variation and

Xm
|Φ|(X) ≤ µk (Ak ) · kwk k.
k=1
Show that the range

R(Φ) := {Φ(E) : E ∈ Ω}
n
of Φ is a compact subset of R if all µk are non-atomic.
Exercise 1.2.16 ∗∗ Take the Rn -valued measure Φ as in Exercise 1.2.15 and assume that any
µk , which was used in the construction of Φ, is non-atomic on Ak . Show that R(Φ) is convex
in Rn .
1.3. THE LEBESGUE INTEGRAL 21
1.3 The Lebesgue Integral
Historically, many approaches to integration have been used (see the book [2]
of S.B. Chae for nice historical remarks). No doubt that the Lebesgue integra-
tion is the most successful approach. In the following, we fix a σ-finite measure
space (X, A, µ). To avoid unnecessary details, we consider only the case of R-
valued functions and leave obvious generalizations to C- or Rn -valued cases to
the reader.
1.3.1.◦ The construction of the Lebesgue integral. Recall that if a

certain property involving the points of measure space is true, except a subset
having measure zero, then we say that this property is true almost everywhere
(abbreviated as a.e.). We denote
f + (x) = max(0, f (x)),
f − (x) = max(0, −f (x)),
and
|f |(x) = f + (x) + f − (x).
Let Ai ∈ A, i = 1, . . . , n, be such that µ(Ai ) < ∞ for all i, and Ai ∩ Aj = ∅ for
all i 6= j. The function
n
X
g(x) = λi χAi (x), λi ∈ R,
i=1
is called a simple function. The Lebesgue integral of a simple function g(x)

is defined as Z n
X
g dµ := λi · µ(Ai ).
X i=1
It is a simple exercise to show that the Lebesgue integral of a simple function is
well defined. We leave this to the reader.
Definition 1.3.1 Suppose that µ is finite. Let f : X → R be an arbitrary

nonnegative bounded measurable function and let (gn )∞
n=1 be a sequence of simple
functions which converges uniformly to f . Then the Lebesgue integral of f is
Z Z
f dµ := lim gn dµ.
X n→∞ X
22 CHAPTER 1.
It can be easily shown that the limit in Definition 1.3.1 exists and does not
depend on the choice of a sequence (gn )∞ ∞
n=1 , and moreover, the sequence (gn )n=1
can be chosen such that 0 ≤ gn ≤ f for all n.
Definition 1.3.2 Let f : X → R be an arbitrary nonnegative bounded measur-

able function. Then the Lebesgue integral of f is
Z Z
f dµ := sup { f dµ : A ∈ A , µ(A) < ∞ }
X A
Remark that the existence of the supremum in Definition 1.3.2 is guarantied by

1.1.3(d).
Definition 1.3.3 Let f : X → R be a nonnegative unbounded measurable. Put

f (x) if 0 ≤ f (x) ≤ M,
fM (x) =
M if M < f (x).
Then the Lebesgue integral of f is

Z Z
f dµ := lim fM dµ.
X M →∞ X
Definition 1.3.4 Let f : X → R be a measurable function. Then the Lebesgue

integral of f is defined by
Z Z Z
f dµ := +
f dµ − f − dµ.
X X X
If both of these terms are finite then the function f is called integrable. In this
case we write f ∈ L1 .
1.3.2.◦ Elementary properties of the Lebesgue integral. We will use

the following notation. For any A ∈ A:
Z Z
f dµ := f · χA dµ.
A X
Let us give several obvious properties of Lebesgue integral.

Lemma 1.3.1 Let f : X → R be an arbitrary nonnegative measurable function

then
Z Z
f dµ = sup{ φ dµ : φ is a simple f unction such that 0 ≤ φ ≤ f }.
X X
Proof: Firstly
R consider the case of bounded f and finite µ. Then by the
definition of X f dµ there exists a sequence (see the remark after Definition
1.3.1) (gn )∞
n=1 of simple functions such that 0 ≤ gn ≤ f for all n, and (gn )
converges uniformly to f , and satisfies
Z Z Z
f dµ = lim gn dµ = sup gn dµ .
X n→∞ X n X
Now the using of Definitions 1.3.2 and 1.3.3 completes the proof. 2
L1. If f, g : X → R are measurable, g is integrable, and |f (x)| ≤ g(x), then f
is integrable and Z Z

f dµ ≤ g dµ.

X X
R
L2. X
|f | dµ = 0 if and only if f (x) = 0 a.e.
L3. If f1 , f2 : X → R are integrable then, for λ1 , λ2 ∈ R, the linear combination
λ1 f1 + λ2 f2 is integrable and
Z Z Z
[λ1 f1 + λ2 f2 ] dµ = λ1 f1 dµ + λ2 f2 dµ.
X X X
If f is integrable function, we write f ∈ L1 = L1 (X, A, µ).

L4. Let f ∈ L1 , then the formula
Z
ν(A) := f dµ
A
defines a signed measure on the σ-algebra A.
1.3.3.◦ Convergence. If (fn )∞ n=1 is a sequence of integrable functions on a

set X, the statement “fn → f as n → ∞” can be taken in many different senses,
for example, for pointwise or uniform convergence (cf. the end of Section 1.1).
One of them is L1 -convergence.
24 CHAPTER 1.
Definition 1.3.5 We say that a sequence (fn )∞

n=1 of integrable functions L1 -
converges to f (or converges in L1 ) if
Z
|fn − f | dµ → 0 as n → ∞.
Of course, uniform convergence implies pointwise convergence, which in turn

implies a.e.-convergence, but these modes of convergence do not imply L1 -con-
vergence. The reader should keep in mind the following examples:
(i) fn = n−1 χ(0,n) ;
(ii) fn = χ(n,n+1) ;
(iii) fn = nχ[0,1/n] ;
(iv) f1 = χ[0,1] , f2 = χ[0,1/2] , f3 = χ[1/2,1] , f4 = χ[0,1/4] , f5 = χ[1/4,1/2] , and, in
general, fn = χ[j/2k ,(j+1)/2k ] , where n = 2k + j with 0 ≤ j < 2k .
In (i), (ii), and (iii), fn R→ 0 uniformly,
R pointwise, and a.e., respectively, but
fn 6→ 0 in L R 1 (in fact, |fn | dµ = fn dµ = 1 for all n). In (iv), fn → 0
in L1 since |fn | dµ = 2−k for 2k ≤ n < 2k+1 , but fn (x) does not converge
for any x ∈ [0, 1], since there are infinitely many n for which fn (x) = 0 and
infinitely many, for which fn (x) = 1. On the other hand, if fn → f a.e. and
|fn | ≤ g ∈ L1 for all n, then fn → f in L1 . This will be clear from the domi-
nated convergence theorem (see Theorem 1.3.2 below) since |fn − f | ≤ 2g. Also,
we will see below that if fn → f in L1 then some subsequence converges to f a.e.
1.3.4.◦ The monotone convergence theorem. Now we state one of the

most important results about convergence.
Theorem 1.3.1 (The monotone convergence theorem) If (fn )∞ n=1 is a se-

+
quence in L1 such that fj ≤ fj+1 for all j and f = supn fn then
Z Z
f dµ = lim fn dµ.
X n→∞ X
f dµ)∞
R
Proof: The limit of the increasing
R sequence
R ( X n n=1 (finite or infinite)
exists. Moreover by 1.3.2.(L1), X fn dµ ≤ X f dµ for all n, so
Z Z
lim fn dµ ≤ f dµ.
n→∞ X X
To establish the reverse inequality, fix α ∈ (0, 1), let φ be a simple function with
0 ≤ φ ≤ f , and let En = {x : fn (x) ≥ αφ(x)}. Then (En )∞ n=1 is an increasing
sequence of measurable sets whose union is X, and we have
Z Z Z
fn dµ ≥ fn dµ ≥ α φ dµ (∀n ≥ 1).
X En En
R R
By 1.3.2.(L4) and by Proposition 1.1.5, lim En
φ dµ = X
φ dµ, and hence
n→∞
Z Z
lim fn dµ ≥ α φ dµ.
n→∞ X X
Since this is true for all α, 0 < α < 1, it remains true for α = 1:
Z Z
lim fn dµ ≥ φ dµ .
n→∞ X X
Using Lemma 1.3.1, we may take the supremum over all simple functions φ,
0 ≤ φ ≤ f . Thus Z Z
lim fn dµ ≥ f dµ. 2
n→∞ X X
Proofs of the following two corollaries of Theorem 1.3.1 are left to the reader.
+
P∞
Corollary 1.3.1 If (fn )∞
n=1 is a sequence in L1 and f = n=1 fn pointwise
then Z XZ
f dµ = fn dµ. 2
n
+ +
n=1 is a sequence in L1 , f ∈ L1 , and fn ↑ f a.e., then
Z Z
fn dµ ↑ f dµ. 2
1.3.5.◦ The Fatou lemma. The condition in the previous subsection that
the sequence (fn )∞
n=1 is increasing can be omitted in the following way.
+
Lemma 1.3.2 (Fatou’s lemma) If (fn )∞n=1 is any sequence in L1 then
Z Z
lim inf fn dµ ≤ lim inf fn dµ .
n→∞ n→∞
26 CHAPTER 1.
Proof: For each k ≥ 1, we have
inf fn ≤ fj (∀j ≥ k),

n≥k
hence Z Z
inf fn dµ ≤ fj dµ (∀j ≥ k),
n≥k
hence Z Z
inf fn dµ ≤ inf fj dµ.
n≥k j≥k
Now let k → ∞ and apply Theorem 1.3.1:

Z Z Z
lim inf fn dµ = lim inf fn dµ ≤ lim inf fn dµ . 2
n→∞ k→∞ n≥k n→∞
+ +
n=1 is a sequence in L1 , f ∈ L1 , and fn → f a.e., then
Z Z
f dµ ≤ lim inf fn dµ. 2
n→∞
1.3.6.◦ The dominated convergence theorem. Now we present the

following convergence theorem, which has many applications in PDEs, functional
analysis, operator theory, etc.
Theorem 1.3.2 (The dominated convergence theorem) Let f and g be

measurable, let fn be measurable for any n such that
|fn (x)| ≤ g(x) a.e.,
and fn → f a.e. If g is integrable then f and fn are also integrable and

Z Z
lim fn dµ = f dµ.
n→∞
Proof: f is measurable by Exercise 1.1.14 and, since |f | ≤ g a.e., we have

f ∈ L1 . We have that g + fn ≥ 0 a.e. and g − fn ≥ 0 so, by Fatou’s lemma,
Z Z Z Z Z
g dµ + f dµ ≤ lim inf (g + fn ) dµ = g dµ + lim inf fn dµ,
n→∞ n→∞
Z Z Z Z Z
g dµ − f dµ ≤ lim inf (g − fn ) dµ = g dµ − lim sup fn dµ.
n→∞ n→∞
Therefore Z Z Z
lim inf fn dµ ≥ f dµ ≥ lim sup fn dµ,
n→∞ n→∞
and the result follows. 2
1.3.7.! Convergence in measure. Another mode of convergence, that is

frequently useful, is convergence in measure. We say that a sequence (fn )∞
n=1 of
measurable functions on (X, M, µ) is Cauchy in measure if, for every ε > 0,
µ({x : |fn (x) − fm (x)| ≥ ε}) → 0 as m, n → ∞,
and that (fn )∞

n=1 converges in measure to f if, for every ε > 0,
µ({x : |fn (x) − f (x)| ≥ ε}) → 0 as n → ∞.
For example, the sequences (i), (iii), and (iv) above converge to zero in measure,
but (ii) is not Cauchy in measure.
Proposition 1.3.1 If fn → f in L1 then fn → f in measure.
Proof: Let En,ε = {x : |fn (x) − f (x)| ≥ ε}. Then

Z Z
|fn − f | dµ ≥ |fn − f | dµ ≥ εµ(En,ε ),
En,ε
so µ(En,ε ) ≤ ε−1 |fn − f | dµ → 0. 2

R
The converse of Proposition 1.3.1 is false, as Examples 1.3.3.(i) and 1.3.3.(iii)

show.
Theorem 1.3.3 Suppose that (fn )∞ n=1 is Cauchy in measure. Then there is a
measurable function f such that fn → f in measure, and there is a subsequence
(fnj )j that converges to f a.e. Moreover, if fn → g in measure then g = f a.e.
28 CHAPTER 1.
Proof: We can choose a subsequence (gj )j = (fnj )j of (fn )∞

n=1 such that if
Ej = {x : |gj (x) − gj+1 (x)| ≥ 2−j }
then µ(Ej ) ≤ 2−j . If Fk = ∞

P∞ −j
= 21−k , and if
S
j=k Ej then µ(Fk ) ≤ k=1 2
x 6∈ Fk we have for i ≥ j ≥ k
i−1
X i−1
X
|gj (x) − gi (x)| ≤ |gl+1 (x) − gl (x)| ≤ 2−l ≤ 21−j . (1.3.1)
l=j l=j
Thus (gj )j is pointwise Cauchy on Fkc . Let

∞
\
F = Fk = lim sup Ej .
j
k=1
Then µ(F ) = 0, and if we set f (x) = lim gj (x) for x 6∈ F , and f (x) = 0 for
x ∈ F , then f is measurable and gj → f a.e. By (1.3.1), we have that
|gj (x) − f (x)| ≤ 21−j
for x 6∈ Fk and j ≥ k. Since µ(Fk ) → 0 as k → ∞, it follows that gj → f in

measure, because
1 1
{x : |fn (x) − f (x)| ≥ ε} ⊆ {x : |fn (x) − gj (x)| ≥ ε} ∪ {x : |gj (x) − f (x)| ≥ ε},
2 2
and the sets on the right both have small measure when n and j are large.
Likewise, if fn → g in measure
1 1
{x : |f (x) − g(x)| ≥ ε} ⊆ {x : |f (x) − fn (x)| ≥ ε} ∪ {x : |fn (x) − g(x)| ≥ ε}
2 2
for all n, hence µ({x : |f (x) − g(x)| ≥ ε}) = 0 for all ε > 0, and f = g a.e. 2
Theorem 1.3.4 Let fn → f in L1 , then there is a subsequence (fnk )k such that

fnk → f a.e.
Proof: Let
En,ε = {x : |fn (x) − f (x)| ≥ ε}.
Then Z Z
|fn − f | dµ ≥ |fn − f | dµ ≥ εµ(En,ε ),
En,ε
so µ(En,ε ) → 0. Then, by Theorem 1.3.3, there is a subsequence (fnk )k such

that fnk → f a.e. 2
Exercise 1.3.1 Check that the limit in Definition 1.3.1 exists and does not depend on the
choice of a sequence (gn )∞
n=1 .
Exercise 1.3.2 Prove the properties L1 − L4 of the Lebesgue integral from 1.3.2.
Exercise 1.3.3 Investigate simple properties of sequences (fn )∞

n=1 in 1.3.3.(i)-(iv).
Exercise 1.3.4 Let [a, b] be a compact interval in R and µ be a standard Borel measure on
[a, b]. Show that the Lebesgue integral from any continuous function f : [a, b] → R coincides
with the Riemann integral from f .
Exercise 1.3.5 Show that the condition “µ(X) < ∞” in Egoroff ’s theorem can be replaced
by “|fn | ≤ g for all n, where g ∈ L1 ”.
Exercise 1.3.6 Prove the dominated convergence theorem by using of the Egoroff theorem.
∗
Exercise 1.3.7 Let fn → f in measure and gn → g in measure. Show that
fn · gn → f · g
in measure if µ(X) < ∞, but not necessarily if µ(X) = ∞.
Exercise 1.3.8 Prove Corollary 1.3.1.
Exercise 1.3.10 Let fn → f in measure and fn ≥ 0 for all n. Show that

Z Z
f dµ ≤ lim inf fn dµ.
n→∞
30 CHAPTER 1.
Exercise 1.3.12 ∗∗ Let χAn → f in measure. Show that f is a.e. equal to the characteristic
function of a measurable set.
Exercise 1.3.13 Fix the Lebesgue measure on R.

(a) Given a nonempty set Ξ ⊆ L+1 (R), show that
nZ o Z
inf ξ(t) dt : ξ ∈ Ξ ≤ f (t) dt
for every f ∈ co(Ξ), where co(Ξ) is the convex hull of Ξ in the vector space L1 (R), which
is, by the definition, the intersection of all convex sets containing Ξ.
(b) Construct an example of a nonempty set Θ ⊆ L+ 1 (R) such that
n Z o Z
inf ξ(t) dt : ξ ∈ Θ < f (t) dt
for every f ∈ co(Θ).

(c) Show that a nonempty set ∆ ⊆ L+1 (R) satisfying
n Z o Z
inf ξ(t) dt : ξ ∈ ∆ < f (t) dt
for every f ∈ co(∆) can not be finite.
Rt
Exercise 1.3.14 Let f ∈ L1 (R) and F (t) := −∞
f (s)ds. Show that F is continuous. Com-
pare with Exercise 1.3.2.
Chapter 2
2.1 The Extension of Measure
In this section we present the Caratheodory extension theorem which is the most
important result in the measure theory. By using of this theorem, we can con-
struct almost all important measures, in particular, the Lebesgue measure and
Lebesgue – Stieltjes Measures on R. Then we consider the product of measure
spaces and prove the Fubini theorem.
2.1.1.◦ Outer measures. Let X be a nonempty set. An outer measure

(or submeasure) on X is a function
ξ : P(X) → [0, ∞]
that satisfies:
(a) ξ(∅) = 0;
(b) ξ(A) ≤ ξ(B) if A ⊆ B;
!
∞
S ∞
P
(c) ξ Aj ≤ ξ(Aj ) for all sequences (Aj )j of subsets of X.
j=1 j=1
The common way to obtain an outer measure is to start with a family G of

“elementary sets” on which a notion of measure (= length, mass, charge, or
volume) is defined (such as rectangles or cubes in Rn ) and then approximate
arbitrary sets from the outside by countable unions of members of G.
31
32 CHAPTER 2.
Proposition 2.1.1 Let G ⊆ P(X) and let ρ : G → [0, ∞] be such that ∅ ∈ G,

X ∈ G, and ρ(∅) = 0. For any A ⊆ X, define
(∞ ∞
)
X [
ξ(A) = ρ∗ (A) = inf ρ(Gj ) : Gj ∈ G and A ⊆ Gj . (2.1.1)
j=1 j=1
Then ξ is an outer measure.
Proof: For any A ⊆ X, we have A ⊆ ∞

S
j=1 X, so ξ is well defined. Obviously
ξ(∅) = 0. To prove countable subadditivity, suppose {ASj∞}∞
j=1 ⊆ P(X) and ε > 0.
k ∞
For each j, there exists {Gj }k=1 ⊆ G such that Aj ⊆ k=1 Gkj and
∞
X
ρ(Gkj ) ≤ ξ(Aj ) + ε2−j .
k=1
S∞
Then if A = j=1 Aj , we have
∞
[ X X
A⊆ Gkj & ρ(Gkj ) ≤ ξ(Aj ) + ε,
j,k=1 j,k j
ξ(Aj ) + ε. Since ε > 0 is arbitrary, we have done. 2

P
whence ξ(A) ≤ j=1
2.1.2.◦ The Caratheodory theorem. The principle step that leads from
outer measures to measures is following. Let ξ be an outer measure on X.
Definition 2.1.1 A set A ⊆ X is called ξ-measurable if
ξ(B) = ξ(B ∩ A) + ξ(B ∩ (X \ A)) (∀B ⊆ X). (2.1.2)
Of course, the inequality
ξ(B) ≤ ξ(B ∩ A) + ξ(B ∩ (X \ A))
holds for any A and B. So, to prove that A is ξ-measurable, it suffices to prove
the reverse inequality, which is trivial if ξ(B) = ∞. Thus, we see that A is
ξ-measurable iff
ξ(B) ≥ ξ(B ∩ A) + ξ(B ∩ (X \ A)) (∀B ⊆ X, ξ(B) < ∞). (2.1.3)

2.1. THE EXTENSION OF MEASURE 33
Theorem 2.1.1 (Caratheodory’s theorem) Let ξ be an outer measure on

X. Then the family Σ of all ξ-measurable sets is a σ-algebra, and the restriction
of ξ to Σ is a complete measure.
Proof: First, we observe that Σ is closed under complements, since the def-
inition of ξ-measurability of A is symmetric in A and Ac := X \ A. Next, if
A, B ∈ Σ and E ⊆ X,
ξ(E) = ξ(E ∩ A) + ξ(E ∩ Ac )
= ξ(E ∩ A ∩ B) + ξ(E ∩ A ∩ B c ) + ξ(E ∩ Ac ∩ B) + ξ(E ∩ Ac ∩ B c ).

But (A ∪ B) = (A ∩ B) ∪ (A ∩ B c ) ∪ (Ac ∩ B) so, by subadditivity,
ξ(E ∩ A ∩ B) + ξ(E ∩ A ∩ B c ) + ξ(E ∩ Ac ∩ B) ≥ ξ(E ∩ (A ∪ B)),
and hence
ξ(E) ≥ ξ(E ∩ (A ∪ B)) + ξ(E ∩ (A ∪ B)c ).
It follows that A ∪ B ∈ Σ, so Σ is an algebra. Moreover, if A, B ∈ Σ and
A ∩ B = ∅,
ξ(A ∪ B) = ξ((A ∪ B) ∩ A) + ξ((A ∪ B) ∩ Ac ) = ξ(A) + ξ(B),
so ξ is finitely additive on Σ.
To show that Σ is a σ-algebra, it suffices to show that Σ is closed under countable
disjoint unions. If (Aj )∞
j=1 is a sequence of disjoint sets in Σ, set
n
[ ∞
[
Bn = Aj & B = Aj .
j=1 j=1
Then, for any E ⊆ X,
ξ(E ∩ Bn ) = ξ(E ∩ Bn ∩ An ) + ξ(E ∩ Bn ∩ Acn )
= ξ(E ∩ An ) + ξ(E ∩ Bn−1 ),

so a simple induction shows that ξ(E ∩ Bn ) = nj=1 ξ(E ∩ Aj ). Therefore
P
n
X
ξ(E) = ξ(E ∩ Bn ) + ξ(E ∩ Bnc ) ≥ ξ(E ∩ Aj ) + ξ(E ∩ B c )
j=1
34 CHAPTER 2.
and, letting n → ∞, we obtain

∞ ∞
!
X [
c
ξ(E) ≥ ξ(E ∩ Aj ) + ξ(E ∩ B ) ≥ ξ (E ∩ Aj ) + ξ(E ∩ B c )
j=1 j=1
= ξ(E ∩ B) + ξ(E ∩ B c ) ≥ ξ(E).

Thus the inequalities in this last calculation
P∞ become equalities. It follows B ∈ Σ.
Taking E = B we have ξ(B) = 1 ξ(Aj ), so ξ is σ-additive on Σ. Finally, if
ξ(A) = 0 then we have for any E ⊆ X
ξ(E) ≤ ξ(E ∩ A) + ξ(E ∩ Ac ) = ξ(E ∩ Ac ) ≤ ξ(E),
so A ∈ Σ. Therefore ξ(E ∩ A) = 0 and ξ|Σ is a complete measure. 2

Combination of Proposition 2.1.1 and Theorem 2.1.1 gives the following corollary
which is also called Caratheodory’s theorem.
Corollary 2.1.1 Let G ⊆ P(X) be such that ∅ ∈ G, X ∈ G, and let ρ : G →

[0, ∞] satisfy ρ(∅) = 0. Then the family Σ of all ρ∗ -measurable sets (where ρ∗
is given by (2.1.1)) is a σ-algebra, and the restriction of ρ∗ to Σ is a complete
measure. 2
2.1.3.◦ Premeasures. Our main definition in this subsection is following.
Definition 2.1.2 Let A be an algebra of subsets of X, i.e. A contains ∅ and

X, and A is closed under finite intersections and complements. A function
ζ : A → [0, ∞] is called a premeasure if ζ(∅) = 0 and
∞
[ ∞
X
ζ( Aj ) = ζ(Aj )
j=1 j=1
S∞
for any disjoint sequence (Aj )j of elements of A such that j=1 Aj ∈ A.
Theorem 2.1.2 If ζ is a premeasure on an algebra A ⊆ P(X) and
ζ ∗ : P(X) → [0, ∞]
is given by (2.1.1) then ζ ∗ |A = ζ and every A ∈ A is ζ ∗ -measurable.

Proof: First, ζ is obviously additive and hence monotone on A, i.e.
A ⊆ B ⇒ ζ(A) ≤ ζ(B) (∀A, B ∈ A).

S∞
Suppose that A ∈ A, An ∈ A, and A ⊆ n=1 An . Then
n−1
[
Bn := A ∩ (An \ Aj ) ∈ A,
j=1
since A is an algebra. The sequence (Bn )∞

n=1 is disjoint. This implies
∞
X ∞
X
ζ(A) = ζ(Bn ) ≤ ζ(An ),
n=1 n=1
and therefore ζ(A) ≤ ζ ∗ (A) (here we used the monotonity of ζ). The reverse
inequality ζ ∗ (A) ≤ ζ(A) follows from the definition of ζ ∗ .
To show that every A ∈ A is ζ ∗ -measurable, take A ∈ A, Y ⊆ X, and ε > 0.
Then, by (2.1.1), there exists a sequence (An )∞
n=1 in A such that
∞
[ ∞
X
Y ⊆ An & ζ(An ) ≤ ζ ∗ (Y ) + ε.
n=1 n=1
S∞ S∞
Since ζ is additive on A, Y ∩ A ⊆ n=1 (An ∩ A), and Y ∩ (X \ A) ⊆ n=1 (An ∩
(X \ A)) then
∞
X ∞
X
∗
ζ (Y ) + ε ≥ ζ(An ∩ A) + ζ(An ∩ (X \ A)) ≥ ζ ∗ (Y ∩ A) + ζ ∗ (Y ∩ (X \ A)).
n=1 n=1
Since ε > 0 is arbitrary and ζ ∗ is an outer measure,
ζ ∗ (Y ) ≥ ζ ∗ (Y ∩ A) + ζ ∗ (Y ∩ (X \ A)) ≥ ζ ∗ (Y ).
Y ⊆ X is arbitrary, so A is ζ ∗ -measurable. 2
Theorem 2.1.3 If ζ is a premeasure on an algebra A ⊆ P(X) and Â is the

σ-algebra generated by A, then there exists a measure ζ̂ on Â such that ζ̂|A = ζ.
Moreover, if ζ is σ-finite, then ζ̂ is unique extension of ζ.
36 CHAPTER 2.
Proof: By Caratheodory’s theorem and Theorem 2.1.2, such an extension ζ ∗

exists. We leave to the reader to show that measure ζ̂ on Â, which extends ζ
from A, is unique if the premeasure ζ is σ-finite. 2
2.1.4.◦ The Lebesgue and Lebesgue – Stieltjes measure on R. The

most important application of Caratheodory’s theorem is the construction of
the Lebesgue measure on R. Take G as the set of all intervals [a, b], where
a, b ∈ R∪{−∞, +∞} and [a, b] = ∅ if a > b. Define the function ρ : G → R∪{∞}
by
ρ([a, b]) := b − a (∀a ≤ b) & ρ([a, b]) = 0 (∀a > b).
The function ρ has the obvious extension (which we denote also by ρ) to the
algebra A generated by all finite or infinite intervals, and this extension is a
premeasure on A.
The σ-algebra Σ given by Corollary 2.1.1 is called the the Lebesgue σ-algebra
in R, and the restriction of ρ∗ to Σ = Σ(R) is called the Lebesgue measure
on R and is denoted by µ. By Theorem 2.1.3, µ is the unique extension of ρ.
By the construction, B(R) ⊆ Σ(R). Hence the Lebesgue measure is a Borel
measure. It can be shown that B(R) 6= Σ(R) (see Exercise 2.1.8) and that the
Lebesgue measure can be obtained also as the completion of any Borel measure
ω such that
ω([a, b]) = b − a (∀a ≤ b).
The notion of the Lebesgue measure on R has the following very natural gener-
alization. Suppose that µ is a σ-finite Borel measure on R, and let
F (x) := µ((−∞, x]) (∀x ∈ R). (2.1.4)
Then F is increasing and right continuous (see Exercise 2.1.9). Moreover, if
b > a, (−∞, b] = (−∞, a] ∪ (a, b], so
µ((a, b]) = F (b) − F (a).
Our procedure used above can be to turn this process around and construct a
measure µ starting from an increasing, right-continuous function F . The special
case F (x) = x will yield the usual Lebesgue measure. As building blocks we can
use the left-open, right-closed intervals in R i.e. sets of the form (a, b] or (a, ∞)
or ∅, where −∞ ≤ a < b < ∞. We call such sets h-intervals. The family A
of all finite disjoint unions of h-intervals is an algebra, moreover, the σ-algebra
generated by A is the Borel algebra B(R). We omit the direct and routine proof
of the following elementary lemma.
Lemma 2.1.1 Given an increasing and right continuous function F : R → R,

if
(aj , bj ] (j = 1, . . . , n)
are disjoint h-intervals, let
n
! n
[ X
µ0 (aj , bj ] = [F (bj ) − F (aj )] ,
1 1
and let µ0 (∅) = 0. Then µ0 is a premeasure. 2
Theorem 2.1.4 If F : R → R is any increasing, right continuous function,

there is a unique Borel measure µF on R such that
µF ((a, b]) = F (b) − F (a) (∀a, b).
If G is another such function then µF = µG iff F − G is constant.

Conversely, if µ is a Borel measure on R that is finite on all bounded Borel sets,
and we define 
 µ((0, x]) if x > 0,
F (x) = 0 if x = 0,
−µ((x, 0]) if x < 0,

then F is increasing and right continuous function, and µ = µF .
Proof: Each F induces a premeasure on B(R) by Lemma 2.1.1. It is clear

S∞ iff F − G is constant, and that these
that F and G induce the same premeasure
premeasures are σ-finite (since R = −∞ (j, j + 1]). The first two assertions
follow now from Exercise 2.1.11. As for the last one, the monotonicity of µ
implies the monotonicity of F , and the continuity of µ from above and from
below implies the right continuity of F for x ≥ 0 and x < 0. It is evident that
µ = µF on A, and hence µ = µF on B(R) (accordingly to Exercise 2.1.11). 2
Lebesgue – Stieltjes measures possess some important and useful regularity prop-
erties. Let us fix a complete Lebesgue – Stieltjes measure µ on R associated to an
increasing, right continuous function F . We denote by Σµ the Lebesgue algebra
correspondent to µ. Thus, for any E ∈ Σµ ,
(∞ ∞
)
X [
µ(E) = inf [F (bj ) − F (aj )] : E ⊆ (aj , bj ]
j=1 j=1
38 CHAPTER 2.
(∞ ∞
)
X [
= inf µ((aj , bj ]) : E ⊆ (aj , bj ] .
j=1 j=1
Since B(R) ⊆ Σµ , we may replace in the second formula for µ(E) h-intervals by
open intervals, namely.
Lemma 2.1.2 For any E ∈ Σµ ,

(∞ ∞
)
X [
µ(E) = inf µ((aj , bj )) : E ⊆ (aj , bj ) . 2
j=1 j=1
Theorem 2.1.5 If E ∈ Σµ then

µ(E) = inf{µ(U ) : U ⊇ E and U is open}
= sup{µ(K) : K ⊆ E and K is compact}.
Proof: By Lemma 2.1.2, for any ε > 0, there exist intervals (aj , bj ) such that
∞
[ ∞
X
E⊆ (aj , bj ) & µ(E) ≤ µ((aj , bj )) + ε.
j=1 j=1
S∞
If U = j=1 (aj , bj ) then U is open, E ⊆ U , and µ(U ) ≤ µ(E) + ε. On the other
hand, µ(U ) ≥ µ(E) whenever E ⊆ U so the first equality is valid.
For the second one, suppose first that E is bounded. If E is closed then E is
compact and the equality is obvious. Otherwise, given ε > 0, we can choose an
open U , Ē \ E ⊆ U , such that µ(U ) ≤ µ(Ē \ E) + ε. Let K = Ē \ U . Then K
is compact, K ⊆ E, and
µ(K) = µ(E) − µ(E ∩ U ) = µ(E) − [µ(U ) − µ(U \ E)]
≥ µ(E) − µ(U ) + µ(Ē \ E) ≥ µ(E) − ε.
If E is unbounded, let Ej = E ∩ (j, j + 1]. By the preceding argument, for
any ε S> 0, there exist a compact Kj ⊆ Ej with µ(Kj ) ≥ µ(Ej ) − ε2−j . Let
Hn = j=nj=−n Kj . Then Hn is compact, Hn ⊆ E, and
j=n
[
µ(Hn ) ≥ µ( Ej ) − ε.
j=−n
Ej ), the result follows. 2

Sj=n
Since µ(E) = lim µ( j=−n
n→∞
The proofs of the following two theorems are left to the reader as exercises.
Theorem 2.1.6 If E ⊆ R, the following are equivalent:

(a) E ∈ Σµ ;
(b) E = V \ N1 , where V is a Gδ –set and µ(N1 ) = 0;
(c) E = H ∪ N2 , where H is an Fσ –set and µ(N2 ) = 0. 2
Theorem 2.1.7 If E ∈ Σµ and µ(E) < ∞ then, for every ε > 0, there is a set
A that is a finite union of open intervals such that µ(E4A) < ε.2
2.1.5.◦ Product measures. Let {(Xα , Σα , µα )}α∈∆ be a nonempty family of

measure
Q spaces. In this subsection we show how to construct a product-measure
on Xα . First we define the family Ω of blocks:
α∈∆
Y
A(Aα1 , Aα2 , . . . , Aαn ) := Aα1 ×Aα2 ×· · ·×Aαn × Xα (Aαk ∈ Σαk );
α∈∆; α6=αk : k=1,...,n
and define a function: µ : Ω → R+ ∪ {∞}:

Y
µ(A(Aα1 , Aα2 , . . . , Aαn )) := µα1 (Aα1 )·µα2 (Aα2 )·. . .·µαn (Aαn )· µα (Xα ).
α∈∆; α6=αk :k=1,...,n
This function possesses an extension (by additivity) on the algebra A generated

by Ω. It is an exercise to show that µ is a premeasure on A.
Definition 2.1.3 The measure µ̂ on the σ-algebra Σ generated by A accordingly

to Theorem 2.1.3 is called the product measure of {µα }α∈∆ , and the triple
Y
( Xα , Σ, µ̂).
α∈∆
is called the N
product of measure spaces (X Nα , Σα , µα ). We denote the σ-
algebra Σ by α∈∆ Σα , and the measure µ̂ by α∈∆ µα .
This construction is essentially non-trivial only in the following two cases. The
first one is when card(∆) < ∞. The second one is when every µα is a probability
measure (i.e. µα (Xα ) = 1 for all α).
There are many interesting and important results about the product of measure
spaces. The mostly used one is the Fubini theorem about changing the order
40 CHAPTER 2.
of integration. Let us use the the following notations. If E ⊆ X1 × X2 and

x1 ∈ X1 , x2 ∈ X2 , we define
Ex1 := {x ∈ X2 : (x1 , x) ∈ E} & E x2 := {x ∈ X1 : (x, x2 ) ∈ E} .
Also, if f : X1 × X2 → R is a function, we define fx1 : X2 → R and f x2 : X1 → R
by
fx1 (x) := f (x1 , x) & f x2 (x) := f (x, x2 ) .
In this notations, for example, (χE )x1 = χEx1 and (χE )x2 = χE x2 .
Theorem 2.1.8 (Fubini’s theorem) Let µ1 , µ2 be σ-finite measures on (X1 , Σ1 )
and (X2 , Σ2 ),
(X1 × X2 , Σ1 ⊗ Σ2 , µ1 ⊗ µ2 ) = (X1 , Σ1 , µ1 ) × (X2 , Σ2 , µ2 ),
and let f ∈ L1 (X1 × X2 , Σ1 ⊗ Σ2 , µ1 ⊗ µ2 ). Then fx1 ∈ L1 (X2 , Σ2 , µ2 ) µ1 -a.e.,
and f x2 ∈ L1 (X1 , Σ1 , µ1 ) µ2 -a.e., and
Z Z Z Z Z
x2
f d(µ1 ⊗ µ2 ) = f dµ1 dµ2 = fx1 dµ2 dµ1 .
X1 ×X2 X2 X1 X1 X2
To prove this theorem, we need several lemmas.

Lemma 2.1.3 Let (X1 , Σ1 , µ1 ) and (X2 , Σ2 , µ2 ) be measure spaces, E ∈ Σ1 ⊗Σ2 ,
and let f be a Σ1 ⊗ Σ2 -measurable function on X1 × X2 , then:
(a) Ex1 ∈ Σ2 for all x1 ∈ X1 and E x2 ∈ Σ1 for all x2 ∈ X2 ;
(b) fx1 is Σ2 -measurable and f x2 is Σ1 -measurable for all x1 ∈ X1 and x2 ∈ X2 .
Proof: Denote by A the collection of all A ⊆ X1 × X2 such that
Ax1 ∈ Σ2 & Ax2 ∈ Σ1 (∀ x1 ∈ X1 , x2 ∈ X2 ) .
The family A contains all rectangles. Thus, since
∞
[ ∞
[ ∞
[ ∞
[
x2
[ A n ] x1 = [An ]x1 , [ Bn ] = [Bn ]x2 (2.1.5)
n=1 n=1 n=1 n=1
and
[X1 × X2 \ A]x1 = X2 \ Ax1 , [X1 × X2 \ A]x2 = X1 \ Ax2 , (2.1.6)
A is a σ-algebra. So Σ1 ⊗ Σ2 ⊆ A, and (a) is proved.
Now the part (b) follows from (a) due to
fx−1
1
(A) = [f −1 (A)]x1 & [f x2 ]−1 (A) = [f −1 (A)]x2 (∀A ⊆ R) . 2 (2.1.7)
Definition 2.1.4 A family M ⊆ P(X) is called a monotone class if M is

closed under countable increasing unions and countable decreasing intersections.
The proof of the following lemma is an elementary exercise and we leave it to

the reader.
Lemma 2.1.4 If A ⊆ P(X) is an algebra then the monotone class generated

by A coincides with the σ-algebra generated by A. 2
Lemma 2.1.5 Let (X1 , Σ1 , µ1 ) and (X2 , Σ2 , µ2 ) be measure spaces, E ∈ Σ1 ⊗Σ2 .

Then the functions x1 → µ2 (Ex1 ) and x2 → µ1 (E x2 ) are measurable on (X1 , Σ1 )
and (X2 , Σ2 ), and
Z Z
x2
µ1 ⊗ µ2 (E) = µ1 (E ) dµ2 = µ2 (Ex1 ) dµ1 . (2.1.8)
X2 X1
Proof: First we consider the case when µ1 and µ2 are finite. Let A be
the family of all E ∈ Σ1 ⊗ Σ2 for which (2.1.8) is true. If E = A × B, then
µ1 (E x2 ) = µ1 (A)χB (x2 ) and µ2 (Ex1 ) = µ2 (B)χA (x1 ), so E ∈ A. By additivity,
it follows that finite disjoint unions of rectangles are in A so, by Lemma 2.1.4,
it will suffice to show thatSA is a monotone class. If (En )∞ n=1 is an increasing
∞
sequence in A and E = n=1 En , then the function fn (x2 ) = µ1 ((En )x2 ) are
measurable and increase pointwise to f (y) = µ1 (E x2 ). Hence f is measurable
and, by the monotone convergence theorem,
Z Z
x2
µ1 (E ) dµ2 = lim µ1 ((En )x2 ) dµ2 = lim µ1 × µ2 (En ) = µ1 × µ2 (E).
X2 n→∞ X2 n→∞
Likewise µ1 × µ2 (E) = X1 µ2 (Ex ) dµ1 , so E ∈ A. Similarly, if (En )∞

R
T∞ n=1 is a
decreasing sequence in A and E = n=1 En , the function x2 → µ1 ((E1 )x2 ) is in
L1 (µ2 ) because µ1 ((E1 )x2 ) ≤ µ1 (X1 ) < ∞ and µ2 (X2 ) < ∞, so the dominated
convergence theorem can be applied to show that E ∈ A. Thus, A is a monotone
class, and the proof is complete for the case of finite measure spaces.
Finally, if µ1 and µ2 are σ-finite, we can write X1 × X2 as the union of an
increasing sequence (X1j ×X2j )∞ n=1 of rectangles of finite measure. If E ∈ Σ1 ⊗Σ2 ,
the preceding argument applies to E ∩ (X1j × X2j ) for each j gives us
Z Z
j j j
µ1 × µ2 (E ∩ (X1 × X2 )) = x2
µ1 (E ∩ X1 ) dµ2 = µ2 (Ex1 ∩ X2j ) dµ1 .
X2j X1j
The application of the monotone convergence theorem then yields the desired
result. 2
42 CHAPTER 2.
Lemma 2.1.6 (Tonelli’s theorem) Let (X1 , Σ1 , µ1 ) and (X2 , Σ2 , µ2 ) be mea-

sure spaces, and f : X1 × X2 → R+ be a Σ1 ⊗ Σ2 -measurable function. Then the
functions
Z Z
fµ2 (x1 ) := fx1 dµ2 & fµ1 (x2 ) := f x2 dµ1
X2 X1
are Σ1 -measurable and Σ2 -measurable, respectively, and

Z Z Z Z Z
x2
f dµ1 ⊗ µ2 = f dµ1 dµ2 = fx1 dµ2 dµ1 . (2.1.9)
X1 ×X2 X2 X1 X1 X2
Proof: In the case when f is a characteristic function, the statement of

this lemma follows from Lemma 2.1.5. Therefore, by linearity, it holds also
for nonnegative simple functions. If a nonnegative measurable function f is
arbitrary, there exists a sequence of nonnegative simple functions which increase
pointwise to f , say (fn )∞
n=1 . By the monotone convergence theorem,
Z Z Z
n
fµ2 dµ1 = lim fµ2 dµ1 = lim fn dµ1 ⊗ µ2 ,
X1 n→∞ X1 n→∞ X1 ×X2
and Z Z Z
fµ1 dµ2 = lim fµn1 dµ2 = lim fn dµ1 ⊗ µ2 ,
X2 n→∞ X2 n→∞ X1 ×X2
where Z Z
fµn2 (x1 ) := [fn ]x1 dµ2 , fµn1 (x2 ) := [fn ]x2 dµ1 .
X2 X1
This proves (2.1.9) and the lemma. 2

Proof of Theorem 2.1.8: Since an R-valued function f is Lebesgue inte-
grable iff its positive f + and negative f − parts are integrable, it is sufficient to
prove the theorem only for nonnegative function f ∈ L1 (X1 × X2 , Σ, µ1 ⊗ µ2 ).
But this was exactly done in Lemma 2.1.6. 2
Exercise 2.1.1 Show S that if {(aα , bα ) P

: α ∈ G} is a finite or countable family of intervals in
R such that [0, 1] ⊆ α∈G (aα , bα ) then α∈G |aα − bα | > 1.
Exercise 2.1.2 ∗ Show that the length of intervals in R is a premeasure on the subalgebra in
P(R) generated by all intervals.
Exercise 2.1.3 ∗ Give an example of an outer measure on P(N) which is not a premeasure
on any subalgebra A ⊆ P(N) of infinite cardinality.
Exercise 2.1.4 ∗∗ Give an example of an algebra A in P(N) which is not a σ-algebra, and
an example of a function ρ : A → [0, 1], such that ρ(∅) = 0, and ρ(N) = 1, for which the outer
measure ρ∗ constructed in Proposition 2.1.1 is identically equal to zero.
Exercise 2.1.5 Prove the uniqueness in Theorem 2.1.3
∗∗
S
Exercise 2.1.6 Let G be a set of half-open intervals in R. Prove that g∈G g is Lebesgue
measurable.
Exercise 2.1.7 Show that the Lebesgue measure can be obtained as the completion of any
Borel measure ω such that ω([a, b]) = b − a (∀a ≤ b).
Exercise 2.1.8 ∗ Prove that card(B(R)) < card(Σ(R)). Remark that in Exercise 2.2.6 we
will see that Σ(R) 6= P(R).
Exercise 2.1.9 Show that the distribution function F of the Borel measure µ given in
(2.1.4) is increasing and right continuous.
∗
Exercise 2.1.10 Prove Lemma 2.1.1.
Exercise 2.1.11 Let A ⊆ P(X) be an algebra, let µ0 be a σ-finite premeasure on A, and

let Ω be the σ-algebra generated by A. Show that there exists a unique extension of µ0 to a
measure µ on Ω.
∗∗
Exercise 2.1.12 Prove Theorem 2.1.7.
∗∗
Exercise 2.1.13 Show that the function µ defined in the subsection 2.1.5 is a premeasure
on the algebra A.
Exercise 2.1.14 Show that if ∆ is infinite

Q and R is taking with the Lebesgue measure then
the measure µ̂ constructed in 2.1.5 on R does not satisfy 1.1.3.(d).
α∈∆
44 CHAPTER 2.
Exercise 2.1.15 Prove the formulas in (2.1.5), (2.1.6) and (2.1.7).
Exercise 2.1.16 Prove Lemma 2.1.4.
Exercise 2.1.17 ∗∗ Prove the Steinhaus theorem: for any Lebesgue measurable set A ⊆ R
such that µ(A) > 0 there exist nonempty open intervals I ⊆ A − A, J ⊆ A + A. Show that the
conclusion of the theorem is true for the standard Cantor set in spite of it has measure zero.
Exercise 2.1.18 ∗ Let f : R → R be an additive function. Show that f is linear if f is

bounded on a Lebesgue measurable set A ⊆ R, µ(A) > 0. Show that f is linear if f is bounded
on a standard Cantor set. Show that f is linear if f is measurable on a nontrivial interval.
Show that f is not Lebesgue measurable on any nontrivial interval if f is discontinuos at least
at one point.
Exercise 2.1.19 ∗∗ Let A, B be Lebesgue measurable subsets of Rn such that µ(A) > 0 and
µ(B) > 0. Prove that
µ({x ∈ Rn : µ(A ∩ (B − x)) > 0}) > 0.
Exercise 2.1.20 ∗∗ Let A be a subalgebra of P([0, 1]2 ) generated by all rectangles A × B

where A and B are Lebesgue measurable subsets of [0, 1]. Let ζ : A → R be the unique additive
extension of the function defined on rectangles by the formula:
ζ(A × B) = µ(A ∩ B) ,
where µ is the Lebesgue measure. Show that ζ is a premeasure on A.
Exercise 2.1.21 Show that the statement of Lemma 2.1.6 may fail without the positivity of
the function f .
2.2 Lebesgue Measure and Integral in Rn
In this section, we study Rn and functions from Rn to R from the point of view
of the Lebesgue measure and Lebesgue integration. All results presented below
possess obvious C-valued analogs. Then we define and study Cantor sets which
are very interesting from the point of view of the set topology and the measure
theory. Cantor sets are closed Borel nowhere dense subsets of the interval [0, 1]
or, more generally, of a Hausdorff space. The main advantage of Cantor sets is
2.2. LEBESGUE MEASURE AND INTEGRAL IN RN 45
that they are used in constructions of many examples in analysis.
2.2.1.◦ The Lebesgue measure on Rn . The Lebesgue measure µn on

Rn is the completion of the product of the Lebesgue measure on R according to
Definition 2.1.3.
The domain Σn of µn (of course, B(Rn ) ⊆ Σn ) is the class of Lebesgue mea-
surable sets in Rn . We write µ for µn and
Z Z
f (x) dx := f dµ.
We extend
Qn some of the results of previous section to the n-dimensional case. If
n
E = 1 Ej is a block in R , we call sets Ej ⊆ R the sides of the block E.
Theorem 2.2.1 Let E ∈ Σn . Then

(a) µ(E) = inf{µ(U ) : E ⊆ U, U open} = sup{µ(K) : K ⊆ E, K compact};
(b) E = A1 ∪ N1 = A2 \ N2 , where A1 is an Fσ set, A2 is a Gδ set, and
µ(N1 ) = µ(N2 ) = 0;
(c) If µ(E) < ∞ then, for any ε > 0, there is a finite family {Rj }N
j=1 of disjoint
SN
blocks, whose sides are intervals such that µ(E4 j=1 Rj ) < ε.
Proof: By the definition of product measures, if SE ∈ Σn and ε > 0, there is a

∞
countable family {Tj }∞
j=1 of blocks such that E ⊆ j=1 Tj and
∞
X
µ(Tj ) ≤ µ(E) + ε.
j=1
For each j, by applying Theorem 2.1.6 to the sides of Rj , we can findSblocks

Uj ⊇ Fj whose sides are open sets such that µ(Uj ) < µ(Tj )+ε2−j . If U = ∞
j=1 Uj
then U is open and
X∞
µ(U ) ≤ µ(Uj ) ≤ µ(E) + 2ε.
j=1
This proves the first equation in part (a). The second equation and part (b)
follow as in the proofs of Theorems 2.1.6 and 2.1.7.
46 CHAPTER 2.
Next, if µ(E) < ∞ then µ(Uj ) < ∞ for all j. Since the sides of Uj are countable
unions of open intervals, by taking suitable finite subunions, we obtain blocks
Vj ⊆ Uj whose sides are finite unions of intervals such that µ(Vj ) ≥ µ(Uj )−ε2−j .
If N is sufficiently large, we have
N
! N
! ∞
!
[ [ [
µ E\ Vj ≤ µ Uj \ Vj + µ Uj < 2ε
j=1 j=1 j=N +1
and ! ∞
N
!
[ [
µ Vj \ E ≤µ Uj \ E < ε,
j=1 j=1
so µ(E4 N
S SN
j=1 Vj ) < 3ε. Since j=1 Vj can be expressed as a finite disjoint union
of rectangles whose sides are intervals, we have proved (c). 2
2.2.2.◦ Lebesgue integrable functions on Rn . Let µ be the Lebesgue

measure in Rn . The set M(Rn , µ) of all real µ-measurable functions on Rn
is a real vector space (addition and scalar multiplication are pointwise). By
L1 (Rn , µ) we denote its subspace of all Lebesgue integrable functions (with finite
integral). Now write f ≈ g for f and g in M(Rn , µ), whenever f and g differ only
on a µ-null set (a set of measure zero). It is easily seen that ≈ is an equivalence
relation. Let L0 = L0 (Rn , µ) be the set of equivalence classes of functions in
M(Rn , µ). We denote the equivalence classes of f, g, . . . by [f ], [g], . . .. The set
L0 becomes a real vector space by defining [f ] + [g] = [f + g] and α[f ] = [αf ] for
a real α. Observe that these definitions do not depend on the choice of f and g
in their equivalence classes. The same is true for the partial order in L0 , if we
define [f ] ≤ [g] to mean f (x) ≤ g(x) for all x ∈ Rn except a null set. In practice,
the elements of L0 = L0 (Rn , µ) are usually denoted by f, g, . . . and treated as if
they were functions instead of equivalence classes of functions.
Theorem
PN 2.2.2 If f ∈ L1 (µ) and ε > 0, there is a simple R function φ =
α χ
j=1 j Rj , where each Rj is a product of intervals such that |f − φ| dµ < ε,
and
R there is a continuous function g vanishing outside of a bounded set such that
|f − g| dµ < ε.
Proof: By the definition of Lebesgue integrable functions, we can approximate

f by simple functions in L1 -norm. Then use Theorem 2.2.1 to approximate a
simple function by a function φ of the desired form. Finally, use the Urysohn
Lemma to approximate such φ by a continuous function. 2
Theorem 2.2.3 The Lebesgue measure on Rn is translation-invariant. Namely,

let a ∈ Rn . Define the shift τa : Rn → Rn by τa (x) = x + a.
(a) If E ∈ Ln then τa (E) ∈ Ln and µ(τa (E)) = µ(E);
(b) If f : Rn → R is Lebesgue measurable then so is f ◦ τa . Moreover, if either
f ≥ 0 or f ∈ L1 (µ) then
Z Z
(f ◦ τa ) dµ = f dµ.
Proof: Since τa and its inverse τ−a are continuous, they preserve the class of
Borel sets. The formula µ(τa (E)) = µ(E) follows easily from the trivial one-
dimensional variant of this result if E is a block. For a general Borel set E, the
formula µ(τa (E)) = µ(E) follows from the previous step, since µ is determined
by its action on blocks. Assertion (a) now follows immediately.
If f is Lebesgue measurable and B is a Borel set in R, we have f −1 (B) = E ∪ N ,
where E is Borel and µ(N ) = 0. But τa−1 (E) is Borel and µ(τa−1 (N )) = 0, so
(f ◦ τa )−1 (B) ∈ Σn
and f is Lebesgue measurable. The equality

Z Z
(f ◦ τa ) dµ = f dµ
reduces to the equality µ(τ−a (E)) = µ(E) when f = χE . It is true for simple
functions by linearity, and hence for nonnegative measurable functions by the
definition of integral. Taking positive and negative parts of real and imaginary
parts, we obtain the result for f ∈ L1 (µ). 2
2.2.3.◦ The Lusin theorem. This theorem says that any Lebesgue mea-
surable function on Rn can be approximated by a (partially defined) continuous
function. More precisely.
Theorem 2.2.4 (Lusin’s theorem) If f is a Lebesgue measurable function on

Rn and ε > 0 then there exist a measurable set A ⊆ Rn such that µ(Rn \ A) ≤ ε
and the restriction of f onto A is continuous.
48 CHAPTER 2.
Proof: First, assume that f vanishes outside of some Ik = [−k, k]n . There
exists a sequence (ψm )m of simple functions vanishing outside Ik such that ψm →
f pointwise. By Egoroff’s theorem, there exist G ⊆ Ik such that µ(G) > (2k)n −
ε/2 and ψk → f uniformly on G. By Theorem 2.2.1, we can find for each m a
compact Cm ⊆ G such that µ(Cm \ G) < 2−m−1 ε and ψk is continuous on Ck .
Take C = ∩∞ m=1 Cm , then
µ(Ik \ C) ≤ µ(Ik \ G) + µ(G \ C) < ε.
Each ψm is continuous on C, and the sequence (ψm )m converges uniformly on

C. Then ψm |C → ψ, which is continuous on C, and since ψm → f pointwise
then f |C is continuous.
In the general case when f is a Lebesgue measurable function on Rn we denote
the set (−k, k)n by Jk . As it was shown, for any k, there exists Rk ∈ Σn such
that f |Rk is continuous, Rk ⊆ Ik , and µ(Ik \ Rk ) < 2−k ε. Denote
Ak := (Jk \ Ik−1 ) ∩ Rk ,
where I0 = ∅. Then the restriction of f onto A := ∪∞

k=1 Ak is continuous and
µ(Rn \ A) < ε. 2
Corollary 2.2.1 If f ∈ L1 (Rn ) and ε > 0 then there exists a continuous func-
tion g : Rn → R such that
Z
|f − g| dµ ≤ ε. 2
Rn
2.2.4.◦ Cantor sets. Each x ∈ [0, 1] has a base-3 expansion

∞
X
x= xj 3−j , where xj ∈ {0, 1, 2}.
j=1
This expansion is unique unless x is of the form m · 3−k for some integers m, k;
in which case x has two expansions: one with xj = 0 for j > k and one with
xj = 2 for j > k. Assuming m is not divisible by 3, one of these expansions will
have xk = 1 and the other will have xk = 0 or 2. If we agree always to use the
latter expansion, we see that
x1 = 1 ⇔ x ∈ (1/3, 2/3),
x1 6= 1 and x2 = 1 ⇔ x ∈ (1/9, 2/9) ∪ (7/9, 8/9),

and so forth. It will also be useful to observe that if
∞
X ∞
X
−j
x= xj 3 & y= yj 3−j ,
j=1 j=1
then x < y iff there exists n such that xn < yn and xj = yj for 1 ≤ j < n.
Definition 2.2.1 The standard Cantor set C is the set of all x ∈ [0, 1] having
a base-3 expansion x = ∞ −j
P
x
j=1 j 3 with xj 6= 1 for all j.
T∞
Thus, C = n=1 ∆n , where
∆1 := [0, 1] \ (1/3, 2/3) , ∆2 := ∆1 \ ((1/9, 2/9) ∪ (7/9, 8/9)), etc.
Obviously, C is compact, nowhere dense, and totally disconnected (i.e. the

only connected subsets of C are single points). Moreover, C has no isolated
points. These simple properties of C we leave to the reader as an exercise.
2.2.5.◦ Basic properties of the standard Cantor set. Other basic

properties of C are summarized as follows:
Proposition 2.2.1 Let C be the standard Cantor set, then C is a Borel set
such that
µ(C) = 0 & card(C) = c.
Proof: C is obtained from [0, 1] by removing one interval of length 31 , two

intervals of length 19 , and so forth. Thus,
∞
X 2j 1 1
µ(C) = 1 − j+1
=1− · = 0.
j=0
3 3 1 − (2/3)
P∞
Suppose x ∈ C, so that x = j=1 xj 3−j , where xj = 0 or 2 for all j. Let
∞
X
f (x) = yj 2−j , (2.2.1)
j=1
50 CHAPTER 2.
where yj = xj /2. The series defining f (x) is the base-2 expansion of a number
in [0, 1], and any number in [0, 1] can be obtained in this way. Hence f maps C
onto [0, 1] and card(C) is continuum. 2
2.2.6.◦ Generalized Cantor sets. The construction of the standard Cantor

set which is starting with [0, 1] and successively removing open middle thirds of
intervals has an obvious generalization. If I is a bounded interval and α ∈ (0, 1),
let us call the open interval with the same midpoint as I, and length equal to α
times the length of I the “open middle αth” of I. If (αj )∞ j=1 is any sequence of
numbers in (0, 1) then we define a decreasing sequence (∆j )∞ j=1 of closed sets as
follows: ∆0 = [0, 1], and ∆j is obtained by removing the open middle αj th from
each of the intervals that make up Kj−1 . The resulting limiting set
∞
\
K= ∆j
j=1
is called a generalized Cantor set. Generalized Cantor sets possess all prop-
erties of the standard Cantor set C, but they do not have always the Lebesgue
measure zero. As for their Lebesgue measure, clearly
µ(∆j ) = (1 − αj )µ(∆j−1 ),
so
∞
Y
µ(K) = (1 − αj ).
j=1
If the αj are all equal to a fixed α ∈ (0, 1), we have µ(K) = 0. However, if
αj → 0 rapidly enough, µ(K) will be strictly positive and, for any β ∈ [0, 1),
one can choose αj so that µ(K) = β.
2.2.7.◦ Cantor functions. The map f : C → [0, 1] given by (3.1.1) has the
following property.
If x, y ∈ C, x < y, then f (x) < f (y) unless x and y are endpoints of one of the
intervals removed from [0, 1] in obtaining C (in this case, f (x) = m·2−k for some
nonnegative integers m, k; and f (x) and f (y) are the two base-2 expansions of
this number).
Therefore we can extend f to a map fˆ : [0, 1] → [0, 1] by setting it to be constant

on each interval removed from C. The map fˆ, which is obviously increasing and
continuous, is called the standard Cantor function. This notion can be
naturally extended to a generalized Cantor function by using of the notion
of the generalized Cantor set.
2.2.8.◦ Applications of Cantor sets and functions in constructing of
counterexamples. Generalized Cantor sets are examples of nowhere dense
subsets of [0, 1] with Lebesgue measure 1 − ε, where ε > 0 is arbitrarily. Let Ck
be a generalized Cantor set such that µ(Ck ) > 1 − k1 , then A = ∞
S
k=1 k is a
A
set of the first category (i.e. the countable union of nowhere dense sets) and
µ(A) = 1. By the Baire theorem, [0, 1] is a set of the second category (i.e.
the set which is not of the first category) as a complete metric space. Therefore,
[0, 1] \ A is an example of a dense subset of [0, 1] of the second category of
Lebesgue measure zero.
By addition and multiplication, we define a Cantor like set K ⊆ [a, b] in an
interval [a, b] as:
K := a + (b − a) · G,
where G is a some generalized Cantor set. The similar idea is used in the
definition of a Cantor like function on an interval [a, b]. Now it is obvious
how (with the help of Cantor like sets) to construct an example of a dense subset
D ⊆ R of the second category of Lebesgue measure zero.
Cantor like functions give us the following quite simple construction of a con-
tinuous function f : R → [0, 1] which is nowhere differentiable. Let {an }n be a
countable dense subset of R, and suppose that an 6= an+1 for all n. For each n,
take a Cantor like function fn on the interval [an , an+1 ], then the function
∞
X
f := 2−n fn
j=1
possesses desired properties.
∗
Exercise 2.2.1 Show that the Lebesgue measure in Rn is separable.
∗
52 CHAPTER 2.
∗
Exercise 2.2.3 Show that the Lebesgue measure in Rn is rotation invariant.
Exercise 2.2.4 Show that the family of all maps from Rn to Rn preserving the Lebesgue
measure in Rn is a group.
Exercise 2.2.5 ∗∗ Give an example of a transformation S : Rn → Rn , such that S is not

equal a.e. to any affine transformation of R and S preserves the Lebesgue measure in Rn .
Can such a transformation be continuous?
Exercise 2.2.6 ∗ Let Γ be a unit circle {λ ∈ C : |λ| = 1} endowed with the Lebesgue measure.
Then any λ ∈ Γ is of the form ei 2π α , where α ∈ [0, 1).
(a) Show that ≈ defined below is an equivalence relation on Γ:
ei 2π α1 ≈ ei 2π α1 if α1 − α2 ∈ Q .
S
(b) Let Γ = κ Γκ be a representation of Γ as the union of equivalence classes with respect
to ≈ . By using of the axiom of choice, define a set Ω ⊆ Γ such that |Ω ∩ Γκ | = 1 for any κ.
Let for any α ∈ R
Ωα := {ei 2π α ω : ω ∈ Ω}.
Show that, for any two rationals r1 6= r2 from [0, 1), Ωr1 ∩ Ωr2 = ∅, and
[
Γ= Ωr .
r∈Q ∩[0,1)
(c) By using (b), show that Ω is not Lebesgue measurable subset of Γ.

(d) Construct non-measurable subsets of [0, 1], R, and Rn .
Exercise 2.2.7 Show that any generalized Cantor set is compact, nowhere dense, totally dis-
connected, and has no isolated points.
Exercise 2.2.8 ∗ Show that for any β ∈ [0, 1) there is a generalized Cantor set K ⊆ [0, 1]
such that µ(K) = β.
Exercise 2.2.9 ∗ Give an example of a subset in [0, 1] which is of the second category and
has Lebesgue measure one.
Exercise 2.2.10 ∗ Give an algorithm for constructing of a generalized Cantor function and
show that it is continuous.
Exercise 2.2.11 ∗∗ Construct a function f : [0, 1] → [0, 1] such that f 0 = 0 a.e. and f is
constant on no nonempty subinterval of [0, 1].
Exercise 2.2.12 ∗ Give an example of a set D ⊆ Rn of Lebesgue measure zero such that
D ∩ U is of the second category for any nonempty open U ⊆ Rn .
Exercise 2.2.13 ∗ Construct an example of a dense subset D ⊆ Rn of the second category

and of Lebesgue measure zero.
∗∗∗
Exercise 2.2.14 Construct a Borel subset A ⊆ R such that for each interval [a, b], where
a < b:
µ(A ∩ [a, b]) > 0 & µ((R \ A) ∩ [a, b]) > 0.
Exercise 2.2.15 ∗∗∗ Construct a sequence (Ak )∞ k=1 of pairwise disjoint Borel subsets Ak ⊆ R
such that for each interval [a, b], a < b, and k ∈ N µ(Ak ∩ [a, b]) > 0.
Exercise 2.2.16 ∗∗∗ Construct a sequence (Ak )k∈N of pairwise disjoint Borel subsets Ak ⊆
Rn such that, for each rectangle
H = [a1 , b1 ] × · · · × [an , bn ] (∀j ∈ {1, . . . , n} aj < bj )
and for each k ∈ N, we have that µ(Ak ∩ H) > 0.
Exercise 2.2.17 ∗∗∗ Construct a nonnegative Lebesgue measurable function f on R, which

Rb
is finite everywhere and a f dµ = ∞ for all a < b.
Exercise 2.2.18 ∗∗∗ Construct a sequence (fn )∞n=1 of pairwise disjoint nonnegative Lebesgue
measurable functions on R such that each fn is finite everywhere and
Z b
fn dµ = ∞
a
for all a < b and n ∈ N.
∗∗
Exercise 2.2.19 Let f ∈ L1 (R, µ) such that for every open U ⊆ R
Z Z
f dµ = f dµ.
U Ū
Show that f = 0 a.e.

54 CHAPTER 2.
Chapter 3
3.1 The Radon – Nikodym Theorem
In this section, we prove the Radon – Nikodym theorem and present several its
applications, in particular, the Hahn decomposition theorem.
3.1.1.◦ The Radon – Nikodym theorem. Let (X, B, µ) be a measure

space and let f : X → R be a nonnegative integrable function. Then µf defined
by Z
µf (A) = f (x) dµ (∀A ∈ A)
A
is a finite measure accordingly to 1.3.2 L4. There is a converse of the last
property. Namely, the following theorem is of great importance. We give its
direct proof accordingly to A. Schep [10].
Theorem 3.1.1 (The Radon – Nikodym theorem) Let ν and µ be finite

measures on (X, B). Then there exist D ∈ B with µ(D) = 0 and a nonnegative
µ-integrable function f0 such that
Z
ν(E) = ν(E ∩ D) + f0 dµ (∀E ∈ B) .
E
First, we need the following lemma.
Lemma 3.1.1 Let ν and µ be finite measures on (X, B) satisfying 0 ≤ ν ≤ µ

on B. Then there exists a measurable function f0 , 0 ≤ f0 ≤ 1, such that
Z
ν(E) = f0 dµ (∀E ∈ B) .
E
55
56 CHAPTER 3.
Proof: Let
Z
H = {f : f is measurable , ν(E) ≥ f dµ for all E ∈ B}.
E
Note that H 6= ∅, since 0 belongs to H. Moreover, when f1 , f2 ∈ H, then

max{f1 , f2 } ∈ H. Indeed, if A = {x : f1 (x) ≥ f2 (x)} then
Z Z Z
max{f1 , f2 } dµ = f1 dµ + f2 dµ ≤ ν(E ∩ A) + ν(E ∩ Ac ) = ν(E).
E E∩A E∩Ac
Let nZ o
M := sup f dµ : f ∈ H .
X
Then 0 ≤ M < ∞, so there exist sequence (fn )∞ n=1 ⊆ H with fn ↑ such that
−1
R
f dµ > M − n . Let f0 = lim fn then f0 is a measurable function
X n R taking
values in [0,R 1]. By the monotone convergence theorem, f0 ∈ H and X f0 dµ ≥
M . Hence X f0 dµ = M .
R
To complete the proof, we show that ν(E) = E f0 dµ for all E ∈ B.
If not, there exists E ∈ B satisfying
Z
ν(E) > f0 dµ .
E
Denote E1 = {x ∈ E : f0 (x) = 1} and E0 = E \ E1 . It follows from

Z Z Z
ν(E0 ) + ν(E1 ) > f0 dµ = f0 dµ + µ(E1 ) ≥ f0 dµ + ν(E1 )
E E0 E0
R
that ν(E0 ) > E0 f0 dµ. Thus we may assume that f0 (x) < 1 for all x ∈ E
(otherwise, we replace E with E0 ). Let Fn := {x ∈ E : f0 (x) < 1 − n−1 }. Then
Fn ↑ E, and ν(Fn ) → ν(E). Therefore, there exists n0 such that
Z
ν(Fn0 ) > (f0 + n−1
0 χFn0 ) dµ .
Fn0
We assert that f0 + n−1

0 χF ∈ H for some measurable F ⊆ Fn0 , µ(F ) > 0.
If not, then every measurableRsubset F of Fn0 with Rpositive µ-measure contains
a measurable subset G with G (f0 + n−1 −1
0 χF ) dµ = G (f0 + n0 χG ) dµ > ν(G).
Denote this property by P, namely,
Z
A ∈ P ⇔ A ∈ B , A ⊆ Fn0 & (f0 + n−1
0 χA ) dµ > ν(A) .
A
3.1. THE RADON – NIKODYM THEOREM 57
The property P satisfies conditions of Theorem 1.1.2. Namely, every measurable

subset of Fn0 of non-zero measure contains a subset of non-zero measure with
the property P, and P is closed under at most countable unions of pairwise
disjoint families. Therefore by Theorem 1.1.2, Fn0 ∈ P, and
Z
ν(Fn0 ) > (f0 + n−1
0 χFn0 ) dµ > ν(Fn0 ),
Fn0
which is a contradiction. Thus f0 + n−1

0 χF ∈ H for some measurable subset F
of Fn0 with a positive µ-measure. However,
Z
(f0 + n−1 −1
0 χF ) dµ = M + n0 µ(F ) > M .
f0 dµ for all E ∈ B. 2
R
This contradiction yields ν(E) = E
Proof of Theorem 3.1.1: Let λ = µ+ν. Then 0 ≤ ν ≤ λ so, by Lemma R 3.1.1,

there exists a Lebesgue integrable
R g : X → [0, 1], such that ν(E) = E g dλ for
all E in B. Then
R µ(E) = E
(1 − g) dλ for all E ∈ B. Let D = {x : g(x) = 1},
then µ(D) = D 0 dλ = 0. Now, the equality
Z Z
ν(E) = g dν + g dµ
E E
implies Z Z
(1 − g) dν = g dµ
E E
R R
for all E ∈R B. Hence X φ(1R − g) dν = X φg dµ for all nonnegative simple φ
and, thus, X f (1 − g) dν = X f g dµ for all nonnegative measurable f . Taking
f = (1 + g + · · · + g n )χE , we have
Z Z
(1 − g ) dν = (1 + g + · · · + g n )g dµ
n+1
E E
for all E in B and all n ≥ 1. Since 0 ≤ g(x) < 1 on Dc , it follows from the
monotone convergence theorem that
Z Z
c n+1
ν(E ∩ D ) = lim (1 − g ) dν = lim (1 + g + · · · + g n )g dµ
n→∞ E∩Dc n→∞ E∩Dc
Z Z
= g(1 − g)−1 dµ = f0 dµ,
E∩Dc E
58 CHAPTER 3.
where f0 = g(1 − g)−1 χDc . The proof is completed. 2

In some textbooks the Radon – Nikodym theorem is given in a slightly different
form. We need the following definition.
Definition 3.1.1 Let µ and ν be signed measures on a σ-algebra A. Then ν is

called µ-continuous if ν(A) = 0 for every A ∈ A such that µ(A) = 0. In this
case, we write ν << µ.
Theorem 3.1.2 Let ν and µ be σ-finite signed measures on (X, B), let µ be
positive
R and ν << µ. Then there exists a locally µ-integrable function f (i.e.
A
f dµ < ∞ for every A ∈ B, µ(A) < ∞) such that
Z
ν(E) = f dµ (∀E ∈ B) . 2
E
The function f above is called the Radon – Nikodym derivative of ν with

∂ν
respect to µ and denoted by ∂µ .
3.1.2.◦ Applications of the Radon – Nikodym theorem. We give two

important applications of the Radon – Nikodym theorem. First one is the proof
of the Hahn decomposition theorem in the case of a finite signed measure. We
need the following definition.
Definition 3.1.2 Let µ be a signed measure on a σ-algebra A. Then P ∈ A is

called a positive set for µ if, for any B ∈ A such that B ⊆ P , µ(B) ≥ 0. A
set N ∈ A is called a negative set for µ if, for any B ∈ A such that B ⊆ N ,
µ(B) ≤ 0.
Theorem 3.1.3 (The Hahn decomposition theorem) If ν is a signed mea-

sure on (X, A), there exist a positive set P and a negative set N for ν such that
P ∪ N = X and P ∩ N = ∅.
Here we give a simple proof of this theorem based on Theorem 3.1.2 in the case
of finite measure ν.
3.1. THE RADON – NIKODYM THEOREM 59
Proof: Let ν = ν+ − ν− be the Jordan decomposition of ν. Then obviously ν+

and ν− are |ν|-continuous measures, where |ν| = ν+ + ν− . Applying Theorem
3.1.2 to them gives us two functions f1 , f2 ∈ L1 (|ν|) such that
Z Z
ν+ (E) = f1 d|ν| , ν− (E) = f2 d|ν| (∀E ∈ A).
E E
Then P := {x ∈ X : f1 (x) > 0} and N := X \ P are required sets. 2
The next one is an application in the operator theory. It is related to the

definition of one of the most important classes of Markov operators.
A transformation τ : Ω → Ω is called measurable if τ −1 (A) ∈ Σ for all A ∈ Σ.
A measurable transformation τ : Ω → Ω is called nonsingular if µ(τ −1 (A)) = 0
for all A ∈ Σ such that µ(A) = 0.
Let τ be a nonsingular transformation and let f ∈ L1 (µ). Then the function
ν : Σ → R, Z
ν(E) := f dµ,
τ −1 (E)
is a finite signed µ-continuous measure on Σ. Then, by the Radon – Nikodym

theorem, there exists Pf ∈ L1 (µ) such that
Z Z
P f dµ = f dµ (∀A ∈ Σ).
A τ −1 (A)
The map f → Pf is a linear operator from L1 (µ) := L1 (µ)/{f : f = 0 a.e. } to

itself. This operator is called the Frobenius – Perron operator corresponding
to τ . The elementary properties of Frobenius – Perron operators are collected
in Exercises 3.1.10 and 3.1.13.
Exercise 3.1.1 Let ν be a signed measure. Show that

Z
|ν|(A) = sup{| f d|ν| | : |f | ≤ 1}
A
for any measurable A.

60 CHAPTER 3.
Exercise 3.1.2 ∗∗∗ Let ν be a σ-finite signed measure on (X, Σ), which is µ-continuous for
another σ-finite measure µ on (X, Σ). Show that
Z
∂ν
|ν|(A) := dµ (∀A ∈ Σ).
A ∂µ
Exercise 3.1.3 Show that a signed measure ν is µ-continuous iff, for any decreasing sequence
of measurable sets (An )∞
n=1 , µ(An ) → 0 implies ν(An ) → 0.
Exercise 3.1.4 ∗ Let ν be a finite signed measure and let µ be a positive measure on (X, Σ).
Show that ν is µ-continuous iff, for any ε > 0, there exists δ > 0 such that |ν(A)| ≤ ε whenever
µ(A) ≤ δ. Give an example which shows that this assertion may fail if ν is not finite.
Exercise 3.1.5 Let ν and µ be σ-finite positive measures and let ν << µ. Show that if µ is
separable then ν is also separable.
Exercise 3.1.6 Let (γλ )λ∈Λ be a countable family of signed measures of bounded variation
on (X, Σ). Show that there exists a measure γ on (X, Σ) such that every γλ is γ-continuous,
and γ ∧ |γλ | > 0 for any λ ∈ Λ.
Exercise 3.1.7 Obtain the Hahn decomposition theorem for σ-finite signed measure as a
corollary of this theorem for finite signed measure.
∗
Exercise 3.1.8 Prove the Hahn decomposition theorem for arbitrary signed measure.
Exercise 3.1.9 Obtain the Jordan decomposition theorem as a corollary of the Hahn decom-
position theorem.
Exercise 3.1.10 ∗ Let S be a nonsingular transformation of (X, Σ, µ) and let PS be the

corresponding Frobenius – Perron operator PS : L1 (µ) → L1 (µ). Show that:
(a) PS is well defined;
(b) PS is a linear operator;
(c) PS preserves the L1 -norm of any nonnegative f ∈ L1 (µ).
Exercise 3.1.11 Let S be a nonsingular transformation of (X, Σ, µ). Show that S n is non-
singular transformation for any nonnegative integer n and that PS n = PSn for n ≥ 0.
Exercise 3.1.12 ∗∗ Let S be a transformation of [0, 1] with the Lebesgue measure. Find the
Frobenius – Perron operator if:
(a) S(x) = 4x(1 − x);
(b) S(x) = 4x2 (1 − x2 );
(c) S(x) = sin πx;
(d) S(x) = tan(x + 1).
3.2. LP -SPACES 61
Exercise 3.1.13 ∗ Let S be a nonsingular transformation of (X, Σ, µ) and let PS be the corre-
sponding Frobenius – Perron operator PS : L1 (µ) → L1 (µ). Prove that, for every nonnegative
f, g ∈ L1 (µ), the condition supp(f ) ⊆ supp(g) implies supp(PS f ) ⊆ supp(PS g) a.e., where
supp(ψ) := {x : ψ(x) 6= 0} for ψ ∈ L1 (µ), and supp(f ) is defined for f ∈ L1 as follows:
supp(f ) := A such that ψ(x) 6= 0 a.e. on A , ψ(x) = 0 a.e. on X \ A
for any ψ ∈ [f ].
Exercise 3.1.14 ∗∗ In notations of Exercise 2.1.20, show that the unique extension ζ of the
premeasure ζ (which exists due to Caratheodory theorem) to the product σ-algebra Σ([0, 1]) ×
Σ([0, 1])) is not µ×µ-continuous. Although the premeasure ζ on the subalgebra A ⊂ Σ([0, 1])×
Σ([0, 1])) generated by all rectangles with measurable sides is µ × µ-continuous in the following
sense:
µ × µ(W ) = 0 ⇒ ζ(W ) = 0 (∀ W ∈ A) .
3.2 Lp -Spaces
Here we present basic results about Lp -spaces. We assume in this section that
all measurable functions are C-valued and all linear spaces are complex.
3.2.1.◦ Lp -spaces for 0 ≤ p ≤ ∞. Let (X, A, µ) be a measure space and let

p be a fixed real number 0 ≤ p < ∞. We denote by Lp = Lp (X, A, µ) the set of
all measurable functions f : X → C such that
Z
|f |p dµ < ∞.
For any f ∈ Lp , we define a function kf kp : Lp → R+ as

Z p1
p
kf kp := |f | dµ .
This function introduces the natural topology on Lp (X, A, µ) by the base
{U (f, ε) : f ∈ Lp , ε > 0},
where
U (f, ε) := {g ∈ Lp : kf − gkp < ε}.
62 CHAPTER 3.
Here we don’t give the proof of this result. Below, in the next subsection, we
state the important case by showing that if 1 ≤ p < ∞ then Lp is a linear space
and the function k · kp is a seminorm.
The most popular examples of Lp -spaces are: Lp [0, 1] and Lp (R), where we
consider the Lebesgue measure on [0, 1] and on R.
Another type of examples is following. Let X be a nonempty set, let A = P(X)
be the power set of X (i.e. the σ-algebra of all subsets of X), and let µ be the
counting measure on X. Every function f : X → C is measurable. A commonly
used notation of Lp (X, A, µ) in this P
case is `p (X). It is easy to verify that a
function f : X → C is in `p (X) iff x∈X |f (x)|p < ∞, in the sense that the
finite subsumes have a finite upper bound.
The choices X = N and X = Z are of a special interest; these yield the space
of absolutely p-summable sequences (resp., bilateral sequences). If X = N then
we denote Lp (N) by `p .
In the case p = ∞, we cannot directly generalize the definition of our function
k · kp , and we treat this case as follow. Set L∞ = L∞ (X, A, µ), the set of all
measurable functions f : X → C such that there exists a constant M ∈ R,
|f |(x) ≤ M a.e.
It is obvious that L∞ (X, A, µ) is a topological linear space for the topology given
by the seminorm k · k∞ defined as
kf k∞ = esssup(|f |) = inf{M ∈ R : |f |(x) ≤ M a.e.}.
The main examples of L∞ -spaces are L∞ [0, 1], L∞ (R), and `∞ , which are de-
fined similarly to Lp [0, 1], Lp (R), and `p .
3.2.2.◦ Inequalities. We begin with elementary analytic lemma.
Lemma 3.2.1 If a ≥ 0, b ≥ 0, and 0 < λ < 1 then
aλ b1−λ ≤ λa + (1 − λ)b,
with equality iff a = b.

3.2. LP -SPACES 63
Proof: The result is obvious if b = 0; otherwise, dividing both sides by b and

setting t = a/b, we are reduced to showing that tλ ≤ λt + (1 − λ) with equality
iff t = 1. The derivative f 0 (t) = λtλ−1 − λ of the function f (t) = tλ − λt satisfies:
f 0 (t) > 0 if t < 1; f 0 (1) = 0; f 0 (t) < 0 if t > 1. Then f is strictly increasing
for t < 1 and strictly decreasing for t > 1, so its maximum value, namely 1 − λ,
occurs at t = 1. 2
p
If p > 1, we define q = p−1
; thus q > 0 and satisfies p−1 +q −1 = 1, i.e. p+q = pq.
The following inequality which called the Elementary Young Inequality
αp β q
αβ ≤ +
p q
is true for all α, β ≥ 0 and p > 1. For the proof, it is enough to substitute λ = p1 ,
1 1
α = a p , and β = b q in Lemma 3.2.1.
Theorem 3.2.1 (Hölder’s inequality) Let p > 1, f ∈ Lp , and g ∈ Lq . Then

f · g ∈ L1 and
kf · gk1 ≤ kf kp kgkq . (3.2.1)
Proof: The result is trivial if kf kp = 0 or kgkq = 0, since f = 0 or g = 0

a.e. Moreover, we observe that if (3.2.1) holds for a some f and g then it also
holds for all scalar multiples of f and g; for it, f and g are replaced by a · f and
b · g, both sides of (3.2.1) change by a factor of |ab|. It suffices therefore to prove
(3.2.1) when kf kp = kgkq = 1 with equality iff |f |p = |g|q a.e. To this end, we
apply the Young inequality with α = |f (x)| and β = |g(x)| to obtain
|f (x)g(x)| ≤ p−1 |f (x)|p + q −1 |g(x)|q . (3.2.2)
Integration of the both sides yields

Z Z
−1 −1
kf gk1 ≤ p p
|f | dµ + q |g|q dµ = p−1 + q −1 = 1 = kf kp kgkq .
Equality holds here iff it holds a.e. in (3.2.1) and, by Lemma 3.2.1, this happens
exactly iff |f |p = |g|q a.e. 2
One of the most important application of the Hölder inequality is the following
inequality.
64 CHAPTER 3.
Theorem 3.2.2 (Minkowski’s inequality) Let p ≥ 1, f, g ∈ Lp . Then

f + g ∈ Lp and
kf + gkp ≤ kf kp + kgkp .
Proof: The result is obvious if p = 1 or f + g = 0 a.e.. Otherwise, we have
|f + g|p ≤ (|f | + |g|)|f + g|p−1 = |f ||f + g|p−1 + |g||f + g|p−1 .
Taking the integral,
k(f + g)p k1 ≤ kf (f + g)p−1 k1 + kg(f + g)p−1 k1 . (3.2.3)
Integration of the inequality
|f + g)|p ≤ 2p max{|f |, |g|}p ≤ 2p max{|f |p , |g|p }
gives us f + g ∈ Lp .
Since (p − 1)q = p when q is the conjugate to p and applying Hölder’s inequality
to the functions
p
φ = f ∈ Lp , ψ = (f + g)p−1 = (f + g) q ∈ Lq ,
we have
kf (f + g)p−1 k1 ≤ kφ · ψk1 ≤ kφkp kψkq = kf kp k(f + g)p−1 kq . (3.2.4)
Similarly
kg(f + g)p−1 k1 ≤ kgkp k(f + g)p−1 kq . (3.2.5)
Combining (3.2.3), (3.2.4), and (3.2.5) gives us
R
Z
p
p1 |f + g|p dµ
kf + gkp = |f + g| dµ = R 1 =
( |f + g|p dµ) q
R
|f + g|p dµ k(f + g)p k1
1 = ≤ kgkp + kf kp . 2
k(f + g)p−1 kq
R
( |f + g|(p−1)q dµ) q
Corollary 3.2.1 Lp is a vector space with respect to pointwise linear operations.

The function f → kf kp is a seminorm on Lp . 2
3.2. LP -SPACES 65
3.2.3.◦ Completeness of Lp , where 1 ≤ p < ∞ . A basic property of Lp is

given in the following theorem.
Theorem 3.2.3 Let (fn )∞n=1 be a sequence in Lp = Lp (X, Σ, µ) satisfying

kfm −fn kp → 0 as n, m → ∞. Then there exists f ∈ Lp with lim kfn −f kp = 0.
n→∞
Proof: We prove this theorem for 1 ≤ p < ∞. The case p = ∞ is more

elementary and it is left for the reader as an exercise.
We may suppose, by passing to a subsequence, that
kfn+1 − fn kp ≤ 2−n (∀n ∈ N).

P∞
Thus we have n=1 kfn+1 − fn kp ≤ 1. With the convention f0 = 0, define
n
X
gn := |f1 | + |f2 − f1 | + · · · + |fn − fn−1 | = |fk − fk−1 |.
k=1
By Theorem 3.2.2, gn ∈ Lp and

n
X n
X
kgn kp ≤ kfk − fk−1 kp = kf1 kp + kfk − fk−1 kp ≤ kf1 kp + 1 .
k=1 k=2
Thus gnp ∈ L1 for all n and

Z
|gn |p dµ = kgn kpp ≤ (kf1 kp + 1)p . (3.2.6)
X
Since (gn )∞ p ∞
n=1 is an increasing sequence and p ≥ 1, the sequence ((gn ) )n=1 is
also increasing. It follows from (3.2.6) and the monotone convergence theorem
that there exists h ∈ L1 , h ≥ 0, such that (gn )p ↑ h a.e. Denoting g := h1/p , we
have g ∈ Lp and gn ↑ g a.e.
Let E ∈ Σ be such that µ(E) = 0 and gn (x) ↑ g(x) for all x ∈ X \ E. Then
n
X
g(x) = lim gn (x) = lim |fk (x) − fk−1 (x)| (∀x ∈ X \ E) .
n→∞ n→∞
k=1
66 CHAPTER 3.
Thus the series ∞

P
P|f
k=1
∞
k (x) − fk−1 (x)| is convergent to g(x) for all x ∈ X \ E.
Therefore the series k=1 (fk (x) − fk−1 (x)) is also convergent for x ∈ X \ E, and
satisfies:
n
X
lim fn (x) = lim (fk (x) − fk−1 (x)) ≤ g(x) (∀x ∈ X \ E) .
n→∞ n→∞
k=1
Define
f (x) := lim fn (x) for x ∈ X \ E , and f (x) := 0 for x ∈ E.

n→∞
Then f is measurable, fn → f a.e., and |f | ≤ g. Therefore |f |p ≤ g p = h ∈ L1 ,

and |f |p ∈ L1 , i.e., f ∈ Lp .
It remains to show that kfn − f kp → 0. Given an ε > 0, choose Nε such that
kfm − fn kp ≤ ε for all m, n ≥ Nε . Fix m ≥ Nε , then
Z
|fm − fn |p dµ ≤ εp for all n ≥ Nε .
X
Since |fm − fn |p ∈ L1 for all n ≥ Nε , it follows from the Fatou lemma that
Z Z
p
(lim sup |fm − fn | ) dµ ≤ lim sup |fm − fn |p dµ ≤ εp . (3.2.7)
X n→∞ n→∞ X
In particular, lim sup |fm − fn |p ∈ L1 . But |fm − fn |p → |fm − f |p a.e. as

n→∞
n → ∞, thus
lim sup |fm − fn |p = |fm − f |p a.e.
n→∞
R
So X |fm − f | dµ ≤ ε by (3.2.7), i.e., kfm − f kp ≤ εp for all m ≥ Nε . Since
p p
ε > 0 has been chosen arbitrary, the proof is completed. 2
3.2.4.◦ Lp -spaces for 1 ≤ p < ∞. Let now 1 ≤ p < ∞ and (X, A, µ) be a

measure space. Take the following relation ”≈” on Lp (X, A, µ):
f ≈ g ⇔ f (x) = g(x) a.e. (3.2.8)
Obviously ”≈” is an equivalence relation and {f : f ≈ 0} = {f : kf kp = 0} is a

linear subspace of Lp . Thus we may consider a quotient space
Lp (X, A, µ) := Lp (X, A, µ)/{f : kf kp = 0}.

3.2. LP -SPACES 67
We will denote elements of Lp (X, A, µ) in the same way as functions of Lp (X, A, µ),
so we will identify f ∈ Lp (X, A, µ) with [f ] ∈ Lp (X, A, µ). The seminorm k · kp
on Lp becomes the norm on Lp . We use the same symbol k·kp for its denotation.
Accordingly to Corollary 3.2.1, all Lp -spaces are normed linear spaces. As a
direct consequence of Theorem 3.2.3, we have the following theorem.
Theorem 3.2.4 Every Lp -space is a Banach space for 1 ≤ p < ∞, i.e. every
Cauchy sequence in Lp has a norm limit. 2
As an application of the last theorem, we have the following important property

P∞
of Lp -spaces. Let 1 ≤ p < ∞. If fn ∈ Lp and kfi kp < ∞ then there exists
i=1
f ∈ Lp such that
n
X
lim g − fi = 0 .

n→∞
i=1 p
∞
P
In this case, we write g = fi .
i=1
In Lp -spaces, the norm convergence and the a.e. convergence are related to each
other as follows.
Theorem 3.2.5 Let 1 ≤ p < ∞, {fn }∞

n=1 ⊆ Lp , and let g ∈ Lp satisfy
fn (x) → 0 a.e. & |fn (x)| ≤ g(x) a.e. (∀n).
Then kfn kp → 0. 2
The proof of this theorem is a direct application of the dominated convergence

theorem.
Theorem 3.2.6 Let 1 ≤ p < ∞, {fn }∞

n=1 ⊆ Lp , and let M ∈ R satisfy
fn (x) ↑ a.e. & kfn kp ≤ M (∀n ∈ N).
Then there exists f ∈ Lp such that kfn − f k → 0. 2

68 CHAPTER 3.
The proof of this theorem is a direct application of the monotone convergence

theorem.
3.2.5.! Separable Lp -spaces. A Banach space X is called separable if there

exists a countable family {xn }n ⊆ X such that its norm closure is equal to X.
It is easy to see that L∞ (µ) is separable iff its dimension is finite.
Theorem 3.2.7 If the measure µ is σ-finite and separable and 1 ≤ p < ∞ then
Lp (µ) = Lp (X, Σ, µ) is separable.
Proof: We will prove that the countable collection Y of all simple functions,
which are finite sums with rational complex coefficients of characteristic func-
tions of measurable sets from a fixed countable family R (where R is a collection
of sets as in Definition 1.1.8), is dense in Lp (µ). Let f ∈ Lp (µ) and ε > 0 be
given. Since there exists an increasing sequence Xn ↑ X (each Xn of finite mea-
sure), we have |f − f · χXn | ↓ 0 pointwise. Hence, there exists a set X 0 of finite
measure (we may assume that X 0 = X1 ) such that if we define f1 := f · χX1
then kf − f1 kp ≤ ε/3.
The function f1 can be written as f = (g1 − g2 ) + i(h1 − h2 ), where g1 , g2 , h1 , h2
are non-negative members of Lp vanishing outside of X1 . For g1 , there exists
a sequence (g (n) )∞
n=1 of rational simple functions, non-negative and vanishing
outside of X1 , such that g (n) ↑ g1 pointwise. Then |g1 − g (n) |p ↓ 0, so
kg1 − g (n) kp ≤ ε/12
for n sufficiently large. Similarly for g2 , h1 , and h2 . By linear combination,

we obtain a rational simple function f2 vanishing outside X1 and such that
kf1 − f2 kp ≤ ε/3.
The function f2 can be written as f2 = kj=1 αj χAj , where all αj are rational
P
complex, all Aj are mutually disjoint, and ∪kj=1 Aj = X1 . For each Aj , there
exists a set Bj ∈ R such that
µ(Aj 4Bj ) ≤ εp /(3k|αj |)p ,
so
kχAj − χBj kp = µ(Aj 4Bj )1/p ≤ ε/(3k|αj |) .
3.2. LP -SPACES 69
Pk
Hence, writing f3 = j=1 αj χBj , we have
k
X
kf2 − f3 kp ≤ |αj | · kχAj − χBj kp ≤ ε/3 .
j=1
It follows that kf −f3 kp ≤ ε. Since f3 ∈ Y , this shows that Lp (µ) is separable. 2
3.2.6.◦ Hilbert spaces and L∞ -spaces. Despite of the historically different

definitions of Hilbert spaces and L2 -spaces, they are the same object and it is a
quite reasonable idea to define Hilbert space as an L2 -space. The main tool in
the investigation of Hilbert spaces is a notion of the scalar product:
Z
(f, g) := f · ḡ dµ (f, g ∈ L2 ).
1
The scalar product generates the norm k · k of L2 as kf k = |(f, f )| 2 .
The scalar product leads to the notion of orthogonality of functions. Two func-
tions f, g ∈ L2 are called orthogonal if (f, g) = 0. The family {fα }α∈A is called
an orthonormal basis of L2 if kfα k = 1 for any α and (fα , fβ ) = 0 for any
α 6= β. The following theorem is a generalization of the well known Pythagorian
theorem.
Theorem 3.2.8 Any L2 -space has at least one orthonormal basis. If {fα }α∈A
is an orthonormal basis of L2 then for any f ∈ L2
X
f= (f, fα )fα . 2
α∈A
In Hilbert spaces, the Hölder inequality is known as the Cauchy – Schwarz

inequality:
1 1
|(f, g)| ≤ (f, f ) 2 · (g, g) 2 (f, g ∈ L2 ).
L∞ -space is the quotient space of L∞ with respect to the equivalence relation

”≈” defined in (3.2.8). The correspondent norm we will denote by k · k∞ . The
poof of the next theorem is direct and routine and we refer for them to any
textbook on functional analysis.
70 CHAPTER 3.
Theorem 3.2.9 Every L∞ -space is a Banach space. 2
It is an important remark that Theorem 3.2.5 and Theorem 3.2.6 fail for infinite
dimensional L∞ -spaces.
All Lp -spaces for 1 ≤ p ≤ ∞ are vector lattices and, since
|f | ≤ |g| ⇒ kf k ≤ kgk (∀f, g ∈ Lp ),
they are Banach lattices.
3.2.7.! The duality and the weak convergence. Let X be a complex

Banach space. A function ψ : X → C is called a linear functional if
ψ(αx + βy) = αψ(x) + βψ(y) ∀x, y ∈ X, α, β ∈ C.
A linear functional ψ is called continuous if
kxn − xk → 0 ⇒ ψ(xn − x) → 0.
The set of all continuous linear functionals on the Banach space X is called the
dual space (or adjoint) to X and denoted by X ∗ .
Theorem 3.2.10 The dual space X ∗ of a Banach space X is a Banach space

with respect to the norm
kψk = sup{|ψ(x)| : x ∈ X, kxk ≤ 1}. 2
There is a standard way for constructing continuous linear functionals on Lp -

spaces. Namely, for 1 ≤ p ≤ ∞ let q be such that
1/p + 1/q = 1 .
Let g ∈ Lq , denote
Z
ĝ(f ) = hf, gi := f · g dµ ∀f ∈ Lp .
By the Hölder inequality, if p < ∞ (and, by the direct arguments, if p = ∞)

ĝ is a continuous linear functional on Lp . Moreover, it can be evaluated that
kĝk = kgkq . If p < ∞ then this is the most general form of a continuous linear
functional on Lp -space.
3.2. LP -SPACES 71
Theorem 3.2.11 Let 1 ≤ p < ∞. Then, for every continuous linear functional
ψ on Lp , there exists a unique g ∈ Lq such that ψ = ĝ. Moreover, the dual space
L∗p is isometrically isomorphic to Lq . 2
It is convenient to write L∗p = Lq . The structure of the dual of L∞ is more

complicated. We say only that L∗∞ is much more bigger then L1 if dim(L∞ ) = ∞.
For measurable functions and, in particular, for functions from Lp -spaces, we
have studied several modes of convergence: the convergence in measure, con-
vergence in norm, uniform convergence, etc. Now we give one more type of
convergence in Lp -spaces for 1 ≤ p < ∞.
Definition 3.2.1 A sequence (fn )∞

n=1 ⊆ Lp is weakly convergent to f ∈ Lp
if Z Z
lim fn · g dµ = f · g dµ (∀g ∈ Lq ),
n→∞
where, as usual, p−1 + q −1 = 1.
From the Hölder inequality, we have
|hfn − f, ĝi| ≤ kfn − f kp · kgkq
and, thus, if kfn − f kp converges to zero, so does hfn − f, ĝi. Hence the conver-
gence in norm implies the weak convergence.
In general, the weak convergence is strictly weaker then the norm convergence.
There is only one interesting exception, namely.
Theorem 3.2.12 Let (ρn )∞ n=1 be a sequence of elements of `1 which converges

weakly to ρ ∈ `1 . Then kρn − ρk → 0. 2
The weak convergence generates the weak topology on Lp . This topology is,
by the definition, the weakest topology on Lp in which all functionals ĝ (where
g ∈ Lq , p−1 + q −1 = 1) are continuous. The following theorem is very important.
Although the proof uses only ideas from the measure theory, it is quite involved,
and we omit it in this book.
1 , then the set [0, g] ⊆ L1 is weakly compact. 2

Theorem 3.2.13 Let g ∈ L+
72 CHAPTER 3.
Exercise 3.2.1 Prove the Chebyshev inequality:
kf kpp
µ({x : |f (x)| > ε}) ≤ ,
εp
where f ∈ Lp for 0 < p < ∞, and ε > 0.
∗∗∗
Exercise 3.2.2 Let 1 ≤ a < b < c ≤ ∞. Show that
La ∩ Lc ⊆ Lb & kf kb ≤ kf kα 1−α
a · kf kc ,
where α is defined by
b−1 = αa−1 + (1 − α)c−1 .
∗∗∗
Exercise 3.2.3 Let µ be a finite measure and 1 ≤ a ≤ b ≤ ∞. Show that
−1
−b−1 )
Lb ⊆ La & kf ka ≤ kf kb · µ(X)(a .
This implies, in particular, that the strong convergence in Lb implies the strong convergence in
La with the same limit. Suppose that µ is infinite, construct an example of a sequence (fn )∞
n=1
in La ∩ Lb and f ∈ La ∩ Lb such that kfn − f kb → 0, but kfn − f ka 6→ 0.
∗
Exercise 3.2.4 Let (X, Σ, µ) be a finite measure space and let f ∈ L∞ (X, Σ, µ). Show that
the function
N (p) := kf kp , (1 ≤ p < ∞)
is continuous and lim N (n) = kf k∞ .
n→∞
Exercise 3.2.5 Show that the linear subspace of all simple functions is dense in Lp -space for
any 1 ≤ p ≤ ∞.
Exercise 3.2.6 Show that `p and Lp (R) are separable Banach spaces for any
1 ≤ p < ∞.
Exercise 3.2.7 Let fn = sin nx ∈ Lp [0, 1], where 1 ≤ p < ∞. Show that fn → 0 weakly, but
fn 6→ 0 in measure.
Exercise 3.2.8 Let gn = nχ[0, n1 ] ∈ Lp [0, 1], where 1 ≤ p < ∞. Show that gn → 0 in measure,
but gn 6→ 0 weakly.
3.3. THE LIAPOUNOFF CONVEXITY THEOREM 73
Exercise 3.2.9 (Minkowski’s Inequality for Integrals. I.) ∗∗∗

Let 1 ≤ p < ∞, and let (X, M, µ), (Y, N , ν) be σ-finite measure spaces, and let f ≥ 0 be a
M ⊗ N -measurable function on X × Y . Show that
hZ p i1/p Z 1/p
f (x, y) dν(y) dµ(x) ≤ f (x, y)p dµ(x) dν(y).
Exercise 3.2.10 (Minkowski’s Inequality for Integrals. II.) ∗∗∗

Let 1 ≤ p ≤ ∞, f (·, y) ∈ Lp (µ) for a.e. y, and let the function y → kf (·, y)kp be in L1 (ν).
R
Show that f (x, ·) ∈ L1 (ν) for a.e. x; the function x → f (x, y) dν(y) is in Lp (µ); and
Z Z
f (·, y) dν(y) ≤ kf (·, y)kp dν(y).

p
∗∗∗
∗∗∗
Exercise 3.2.13 ∗∗ Let An is a measurable subset of [0, 1] for each n, χAn ∈ L1 , and χAn → f
weakly in L1 . Show that f is not necessarily a characteristic function of some measurable set.
Exercise 3.2.14 Let (X, Σ, µ) be a measure space, and P be a Frobenius – Perron operator
on L1 (X, Σ, µ). Show that the dual operator P ∗ on L∞ (X, Σ, µ) satisfies the condition that
P ∗ (χA ) is a characteristic function of some measurable set for every A ∈ Σ.
3.3 The Liapounoff Convexity Theorem
In Exercise 1.2.8, we have seen that if µ is a non-atomic signed measure of

bounded variation on Σ then the range of µ is the closed interval
[inf{µ(A) : A ∈ Σ}, sup{µ(A) : A ∈ Σ}].
One of the central and nicest result about vector-valued measures is the Lia-
pounoff convexity theorem, which says that the range of a non-atomic Rn -valued
measure of bounded variation is compact and convex. In this section, we give a
direct proof of this theorem, which is due to D.A. Ross [8].
74 CHAPTER 3.
3.3.1.◦ One-dimensional case. For the convenience of the reader, who will
not study the proof of main theorem of this section, we give here the proof of
the result of Exercise 1.2.8, which is very partial, but important, case of the
Liapounoff theorem.
First by the Jordan decomposition theorem, we may suppose that µ has nonnega-
tive values only. Also we may suppose, that sup{µ(A) : A ∈ Σ} = 1. So we have
to show that the range of µ coincides with the interval [0, 1]. It takes obviously
the values 0 and 1. Let 0 < α < 1. Consider the family F of all pairs (A, B) of
measurable subsets of X satisfying µ(A) ≤ α, µ(B) ≤ 1 − α. The family F is
ordered by inclusion, and it is trivial to show that it satisfies conditions of the
Zorn lemma. Therefore, there exists a maximal element, say (A0 , B0 ) in F. If
µ(A0 ) < α, then µ(X \(A0 ∪B0 )) > 0, and there exists a subset Y of X \(A0 ∪B0 )
(due to non-atomic condition on µ) with 0 < µ(Y ) < α − µ(A0 ). Thus we get
that a pair (A1 , B0 ) is strictly greater then (A0 , B0 ), where A1 := A0 ∪ Y . The
obtained contradiction with the maximality of (A0 , B0 ) shows that µ(A0 ) = α,
what is required.
3.3.2.◦ Examples. First, let us show that the Liapounoff convexity theorem
may fail for E-valued measures, if E is an infinite dimensional Banach space
(see, [3]).
Example 3.3.1 (J.J. Uhl, Jr.) A non-atomic vector-valued measure of

bounded variation, whose range is closed and is neither convex nor
compact. Let B([0, 1]) be the Borel algebra on [0, 1] and µ be the Lebesgue
measure. Define
G : B([0, 1]) → L1 (µ)
by G(E) := χE . If π ⊆ B([0, 1]) is a partition of [0, 1], it is evident that
X X
kG(E)k1 = µ(E) = 1.
E∈π E∈π
By an easy application of the dominated convergence theorem, G(Σ) is closed in

L1 (µ). Show that G(Σ) is not a convex set. Indeed, 21 χ[0,1] ∈ coG(Σ), but
1 1
kG(E) − χ[0,1] k1 = [µ([0, 1] \ E) + µ(E)]/2 = (∀E ∈ Σ).
2 2
To see that G(Σ) is not compact, let En = {t ∈ [0, 1] : sin(2n πt) > 0} for each
positive integer n. An easy computation shows that
1
kG(Em ) − G(En )k = (∀m 6= n).
4
Hence G(Σ) is not compact.
Example 3.3.2 (A. Liapounoff) An `2 -valued non-atomic measure of

bounded variation whose range is not convex. Let Σ = B[0, 2π] with the
Lebesgue measure µ. Accordingly to Exercise 3.3.4, select a complete orthogonal
system (wn )∞n=0 inRL2 [0, 2π] such that each wn assumes only the values ±1 and
2π
w0 = χ[0,2π] while 0 wn (t) dt = 0 for n ≥ 1. For each n, define λn on Σ by
Z
−n
λn (E) = 2 [(1 + wn (t))/2] dt,
E
E ∈ Σ. Define G : Σ → `2 by
G(E) = (λ0 (E), λ1 (E), . . . , λn (E), . . .).
By Exercise 3.3.6, G is a non-atomic `1 -valued measure. G has bounded varia-

tion, since kG(E)k`2 ≤ 2µ(E) for each E ∈ Σ.
Now consider
G([0, 2π]) = (2π, π/2, π/4, . . .)
and suppose there is E ∈ Σ such that
G(E) = G([0, 2π])/2.
Then we have Z
π = λ0 (E) = dt = µ(E)
E
and for n ≥ 1
Z
−n−1 −n
2 π = λn (E) = 2 [(1 + wn (t))/2] dt = 2−n µ(E ∩ Un ),
E
where Un = {s ∈ [0, 2π] : wn (s) = 1}. From this and the identities
µ(Un ) = µ(E) = π,
76 CHAPTER 3.
it follows
µ(E ∩ Un ) = µ(E \ Un ) = µ(Un \ E) = µ([0, 2π] \ (E ∪ Un )) = π/2
for n > 0. Define f = χE − χ[0,2π]\E . Then we have

Z 2π
f (t) · w0 (t) dt = π − π = 0
0
and, for n > 0, we have

Z 2π
f (t)·wn (t) dt = µ(E ∩Un )+µ([0, 2π]\(E ∪Un )) = µ(E \Un )−µ(Un \E) = 0.
0
Since f ∈ L2 ([0, 2π]) and f 6= 0, this contradicts the completeness of (wn )∞

n=0
and shows that G(Σ) is not convex.
3.3.3.! Liapounoff ’s convexity theorem. Suppose that Ψ is an Rn -valued

measure on (X, Σ). The following theorem was stated by A. Liapounoff in [6].
Theorem 3.3.1 (Liapounoff convexity theorem) If Ψ is non-atomic and

has the bounded variation then
R(Ψ) := {Ψ(A) : A ∈ Σ}
is a closed convex subset of Rn .
We deduce this theorem from its special case, when R(Ψ) ⊆ Rn+ . Suppose
that µ1 , µ2 , . . . , µn are finite non-atomic measures on (X, Σ). Denote by Φ =
(µ1 , . . . , µn ) the corresponding Rn -valued measure.
Lemma 3.3.1 The set {Φ(E) : E ∈ Σ} ⊆ Rn+ is closed and convex.
The proof of this lemma is postponed until the next subsection.
Proof of Theorem 3.3.1: Let Ψ be non-atomic and have bounded variation.

Then
Ψ = (ν1+ − ν1− , . . . , νn+ − νn− )
and, by the Hahn decomposition theorem (Theorem 3.1.3), there exists a family
{Pk }nk=1 ⊆ Σ such that Pk is a positive set for νk and X \ Pk is a negative set for
νk . Denote Pk0 := Pk and Pk1 := X \ Pk for all k ∈ 1, n. It follows from Lemma
3.3.1 that, for any function f : 1, n → {0, 1}, the set
n
\ f (k)
Rf (Ψ) := {Ψ(A) : A ∈ Σ, A ⊆ Pk }
k=1
is closed and convex in Rn . Then our range R(Ψ) is a closed and convex subset
of Rn , as a finite sum of closed convex subsets of Rn :
X
R(Ψ) = Rf (Ψ). 2
f is a function from 1,n to {0,1}
3.3.4.! Proof of Lemma 3.3.1. This lemma is an application of the following,

more elaborate, lemma the proof of which is postponed until the next subsection.
Lemma 3.3.2 Let µ1 , µ2 , . . . , µn be finite non-atomic measures on (X, Σ). De-

note by Φ = (µ1 , . . . , µn ) the corresponding Rn -valued measure.
(LT1) For each E in Σ and r ∈ [0, 1], there is a subset A of E with A in Σ
and Φ(A) = r · Φ(E).
(LT2) For each E in Σ, there is an r ∈ (0, 1) and a subset A of E with A in
Σ and Φ(A) = r · Φ(E).
(LT3) For each E in Σ, there is a subfamily {Ar }r∈[0,1] of Σ such that Ar ⊆
As ⊆ E whenever 0 ≤ r ≤ s ≤ 1 and Φ(Ar ) = r · Φ(E) for each r in [0, 1].
Moreover, the conditions (LT1), (LT2), and (LT3) are equivalent
To see that Lemma 3.3.1 follows from Lemma 3.3.2, let E and F belong to Σ,
and let 0 ≤ r ≤ 1. By (LT1), there are subsets E1 of E \ F and F1 of F \ E
with Φ(E1 ) = r · Φ(E \ F ) and Φ(F1 ) = (1 − r) · Φ(F \ E). Then
Φ(E1 ∪ [E ∩ F ] ∪ F1 ) = r · Φ(E) + (1 − r) · Φ(F ).
This shows that R(Φ) is convex.

Now we show that R(Φ) is closed. It is known that any bounded closed convex
subset of Rn is the convex hull of the set of all its extreme points. Thus R(Φ) =
78 CHAPTER 3.
co(Ex(R(Φ))), and to show that R(Φ) is closed it is enough to show that z ∈

R(Φ) for any z ∈ Ex(R(Φ)). Let z ∈ Ex(R(Φ)). There is (and unique up to
scalar multiplication) yz ∈ Rn such that
(z, yz ) = max{(x, yz ) : x ∈ R(Φ)} = sup{(x, yz ) : x ∈ R(Φ)}. (3.3.1)
Consider a signed measure µz on (X, Σ) defined by
µz (A) := (Φ(A), yz ) (A ∈ Σ).
Then, by (3.3.1),
(z, yz ) = sup{µz (A) : A ∈ Σ}. (3.3.2)
It follows from (3.3.2) that there is a set E ∈ Σ such that
(z, yz ) = µz (E) = (Φ(E), yz ).
Since z is an extreme point of R(Φ) and yz satisfies (3.3.1), z = Φ(E) ∈ R(Φ),

what is required. 2
3.3.5.! Proof of Lemma 3.3.2. The proof is carried out by an induction

on the number n of non-atomic measures. It is convenient to assume (LT3), the
strongest of the three statements, as the induction hypothesis for n measures,
then prove the weakest of the statements, (LT2), for n+1 measures. We therefore
need to show first that (LT1), (LT2), and (LT3) are equivalent, in the sense that
a vector-valued measure Φ satisfying one of the statements must satisfy all three.
The implications
(LT3) ⇒ (LT1) ⇒ (LT2)
are clear. Assume then that (LT2) holds, and fix a set E in Σ. If A is a
measurable subset of E, r is in [0, 1], and Φ(A) = r · Φ(E), then write rA = r.
Let E be the family of all such A. Order E by A < B if A ⊆ B and rA < rB . Let
C be a maximal chain in E with ∅ and E belonging to C. Put I = {rA : A ∈ C}.
It suffices to show that I = [0, 1] (since we can take {Ar }r∈[0,1] = C). Suppose
(in search of a contradiction) that a ∈ (0, 1) \ I. Put
a∞ = sup(I ∩ [0, a)) ≤ a & b∞ = inf(I ∩ (a, 1]) ≥ a.
There exist An and Bn in E for n =S1, 2, 3, . . . such that

T rAn increases to a∞
and rBn decreases to b∞ . Put A∞ = n An and B∞ = n Bn . It is easy to see
that A∞ and B∞ are membersS of E with a∞ = rA∞ and T b∞ = rB∞ . Since C

is totally ordered, A∞ = {A ∈ C : rA < a} and B∞ = {A ∈ C : rA > a}.
Because C is maximal, A∞ and B∞ belong to C and (a∞ , b∞ ) ∩ I = ∅. By (LT2),
there is a subset C of B∞ \ A∞ with Φ(C) = r · Φ(B∞ \ A∞ ). Then A∞ ∪ C is
in E and a∞ < r(A∞ ∪C) < b∞ , so C ∪ {A∞ ∪ C} is a chain in E that properly
extends C, a contradiction. Thus
LT3 ⇔ LT1 ⇔ LT2 .
Given the measures µ1 , . . . , µn , put
Φ0 = (µ1 , µ1 + µ2 , µ1 + µ2 + µ3 , . . . , µ1 + . . . + µn ).
If A belongs to Σ and Φ0 (A) = r · Φ0 (E), then one can easy verify that Φ(A) =
r · Φ(E). So we may always assume µ1 µ2 . . . µn .
When n = 1, (LT2) is trivial since µ1 is non-atomic (see Exercise 1.1.9), so
Lemma 3.3.2 is immediate. We proceed by induction on n. Suppose that Lemma
3.3.2 holds for up to n measures, and that E ∈ Σ and measures µ1 , µ2 , . . . , µn+1
are given. Put ν = (µ2 , . . . , µn+1 ). By two applications of (LT1), there are
disjoint sets E 1 , E 2 , and E 3 in Σ with E = E 1 ∪E 2 ∪E 3 and ν(E i ) = (1/3)·ν(E)
for each i. By (LT3), for each i, there is a subfamily {Air }r∈[0,1] of Σ such that
Air ⊆ Ais ⊆ E i whenever 0 ≤ r ≤ s ≤ 1 and
ν(Air ) = r · ν(E i ) = (r/3) · ν(E).
We may assume that Ai1 = E i . There are now three cases.

Case 1: µ1 (E i ) = (r/3) · µ1 (E) for some i. Since also ν(E i ) = (1/3) · ν(E),
(LT2) holds with r = 1/3.
Case 2: for some choice of i1 , i2 , and i3 ,
µ1 (E i1 ) ≥ µ1 (E i3 ) > (1/3) · µ1 (E) > µ1 (E i2 ).
For definiteness, take i1 = 1, i2 = 2, and i3 = 3. Define a subfamily {Ar }r∈[0,1]

of Σ by  1
 A3r if 0 ≤ r ≤ 1/3;
Ar = A1 ∪ A23r−1 if 1/3 < r ≤ 2/3;
 11
A1 ∪ A21 ∪ A33r−2 if 2/3 < r ≤ 1.
One readily verifies that ν(Ar ) = r·ν(E) for r in [0, 1]. If µ1 (E) = 0 then Case 1
applies. Otherwise the function φ given on [0, 1] by φ(r) = µ1 (Ar )/µ1 (E) is well
80 CHAPTER 3.
defined. Note that φ is increasing, and, the assumption µ1 µ2 ensures that φ

is continuous. Moreover,
µ1 (A11 ) µ1 (E 1 )
φ(1/3) = = > 1/3,
µ1 (E) µ1 (E)
and
µ1 (A11 ∪ A21 ) µ1 (E 1 ∪ E 2 ) µ1 (E) − µ1 (E 3 )
φ(2/3) = = = < 1 − 1/3 = 2/3.
µ1 (E) µ1 (E) µ1 (E)
By the intermediate value theorem, φ(r) = r for some r ∈ (1/3, 2/3). In other
words, µ1 (Ar ) = r · µ1 (E). Since already ν(Ar ) = r · ν(E), A = Ar ensures that
(LT2) holds.
Case 3: for some choice of i1 , i2 , and i3 ,
µ1 (E i1 ) ≤ µ1 (E i3 ) < (1/3) · µ1 (E) < µ1 (E i2 ).
In this case, the argument from Case 2 applies without change, except now
φ(1/3) < 1/3 and φ(2/3) > 2/3.
This exhausts the cases (since µ1 (E) = µ1 (E 1 ) + µ1 (E 2 ) + µ1 (E 3 )) and proves
the theorem. 2
3.3.6.! Exercises to Section 3.3.
Exercise 3.3.1 ∗ Let C := {x = (x1 , x2 ) ∈ R2 : |x1 | ≤ 1 & |x2 | ≤ 1}. Construct a R2 -valued
measure ν on B[0, 1] such that R(ν) = C.
Exercise 3.3.2 ∗∗∗ Let D := {x = (x1 , x2 ) ∈ R2 : x21 + x22 ≤ 1} be the closed unit disk in R2 .
Construct an R2 -valued measure ν on the Borel algebra B[0, 1] whose range R(ν) is equal to
D.
∗
Exercise 3.3.3 Construct two R2 -valued measures µ and ν of bounded variation on B[0, 1]
such that
R(ν) ∪ R(µ) ⊆ {x = (x1 , x2 ) ∈ R2 : x1 ≥ 0 & x2 ≥ 0},
and R(ν) + R(µ) 6= R(ν + µ).
Exercise 3.3.4 ∗∗ Show that in L2 ([0, 2π], µ) there exists a complete orthogonal system (wn )∞
n=0
R 2π
of {−1, 1}-valued functions such that w0 = χ[0,2π] while 0 wn dµ = 0 for n ≥ 1.
Exercise 3.3.5 ∗∗∗ Show that the result of Exercise 3.3.4 can be extended to the case of a
non-atomic measure space with finite measure. Namely, show that if (X, Σ, µ) is a measure
space with a non-atomic finite measure µ, then in L2 (µ) there exists a complete orthogonal
system (wn )∞
R
n=0 of {−1, 1}-valued functions such that w0 ≡ 1 and X wn dµ = 0 for n ≥ 1.
Exercise 3.3.6 Show that the function G : B[0, 2π] → `2 constructed in Example 3.3.2 is a
non-atomic `2 -valued measure.
Exercise 3.3.7 Let µ be a finite signed measure on (X, Σ). Show that there exists A ∈ Σ
such that
µ(A) = sup{µ(B) : b ∈ Σ} .
Prove the following facts about convex subsets of Rn which were used in the proof of Lemma
3.3.1.
Exercise 3.3.8 Let A be a bounded closed convex subset of Rn . Show that A is the convex
hull of all extreme points of A.
Exercise 3.3.9 Let A be a bounded convex subset of Rn and let a ∈ A be an extreme point of
the closure A of A. Show that there is (and unique up to scalar multiplication) y ∈ Rn such
that
(a, y) = max{(x, y) : x ∈ A} = sup{(x, y) : x ∈ A}.
Let A, a, and y be as before, and let b ∈ A. Show that
(b, y) = max{(x, y) : x ∈ A} ⇒ b = a .
82 CHAPTER 3.
Chapter 4
4.1 Function Spaces on Rn
In this section we describe some elementary notions which play an important

role in the Fourier analysis and its applications to PDEs. Our aim is to give
only a few basic constructions from measure theory concerning function spaces
on Rn . We do not give any introduction to Fourier transform and to the theory
of distributions; for this propose, we send the reader to many special text-books
(see, for example, [4] and [9]).
4.1.1.◦ Multi-indexes. Let U be an open set in Rn and m ≥ 0, we de-

m
note by C (U ) the space of all real or complex valued functions on U whose
partial
T∞ derivatives of order ≤ m exist and are continuous. We set C ∞ (U ) =
m n ∞
m=1 C (U ). Furthermore, for any E ⊆ R , we denote by C00 (E) the space
of all C ∞ -functions on Rn whose support is compact and contained in E. If
E = Rn or U = Rn , we usually write without any confusion Lp = Lp (Rn ),
C00 = C00 (Rn ), and C ∞ = C ∞ (Rn ). The proof of the next simple lemma is left
to the reader as an exercise (Exercise 4.1.2).
Lemma 4.1.1 If f ∈ C00 (Rn ) then f is uniformly continuous. 2
If x = (xk )nk=1 , y = (yk )nk=1 ∈ Rn , we set

n
X p
(x , y) := xk yk , kxk := (x , x).
k=1
83
84 CHAPTER 4.
It will be convenient to have a compact notation for partial derivatives. We

write ∂j = ∂x∂ j , and we use multi-index notation for higher-order derivatives. A
multi-index is an ordered n-tuple of nonnegative integers. If α = (α1 , . . . , αn )
is a multi-index, we set
n n α1 αn
X Y
α ∂ ∂
|α| = αj , α! = αj !, ∂ = ◦ ··· ◦ ;
j=1 j=1
∂x 1 ∂x n
n
and if x ∈ Rn , then xα = xαk k ∈ R.
Q
k=1
∞ n
Two subspaces of C (R ) are of the great importance. The first one is the space
∞
C00 of C ∞ -functions with compact support. The existence of nonzero functions
∞
in C00 is not quite obvious; the standard construction is based on the fact that
the function η(t) = e−1/t · χ(0,∞) (t) is C ∞ -function even at the origin. If we set
exp[(kxk2 − 1)−1 )] if kxk < 1,

2
ψ(x) = η(1 − kxk ) = (4.1.1)
0 if kxk ≥ 1,
We have ψ ∈ C ∞ and supp(ψ) is the closed unit ball in Rn . The second impor-
tant subspace of C ∞ is the Schwartz space S consisting of those C ∞ -functions
which, together with all their derivatives, vanish at infinity faster than any power
of kxk. More precisely, for any nonnegative integer N and any multi-index α,
we define
kf k(N,α) = sup (1 + kxk)N |∂ α f (x)|;
x∈Rn
then
S = {f ∈ C ∞ : kf k(N,α) < ∞ for all N, α}.
2
Examples of functions in S are fα (x) = xα e−kxk , where α is any multi-index.
∞
Also, clearly, C00 ⊆ S. Another important observation is that if f ∈ S then
∂ f ∈ Lp for all α and all p ∈ [1, ∞]. Indeed, |∂ α f (x)| ≤ CN (1 + kxk)−N for all
α
N , and (1 + kxk)−N ∈ Lp for all N > n/p.
Proposition 4.1.1 S is a Fréchet space (= complete linear metric space)

with the topology defined by the seminorms {k · k(N,α) }N,α .
Proof: It is enough to prove the completeness of S. If (fk )∞ k=1 is a Cauchy

sequence in S then kfj − fk k(N,α) → 0 for all N, α. In particular, for each multi-
index α, the sequence (∂ α fk )∞
k=1 converges uniformly to a continuous function
4.1. FUNCTION SPACES ON RN 85
gα . Denoting by ej the vector (0. . . . , 1, . . . , 0) with the 1 in the j-th position,

we have Z t
fk (x + tej ) − fk (x) = ∂j fk (x + sej ) ds.
0
Letting k → ∞, we obtain
Z t
g0 (x + tej ) − g0 (x) = gej (x + sej ) ds.
0
Here we consider the vector ej as a multi-index. Then gej = ∂j g0 , and an

induction on |α| yields gα = ∂ α g0 for all α. Now it is easy to check that
kfk − g0 k(N,α) → 0 for all α. 2
4.1.2.◦ Shift operation and convolution. Let f be a function on Rn and

y ∈ Rn . We define the shift of f with respect to the vector y by
(τy f )(x) := f (x − y) .
Observe that kτy f kp = kf kp for 1 ≤ p ≤ ∞. It is almost obvious that a

continuous function f is uniformly continuous iff kτy f − f k∞ → 0 as kyk → 0.
Proposition 4.1.2 If 1 ≤ p < ∞, the translation is continuous in the Lp norm;

that is, if f ∈ Lp and z ∈ Rn , then limy→0 kτy+z f − τz f kp = 0.
Proof: Since τy+z = τy τz , replacing f by τz f it suffices to assume that z = 0.

First, if g ∈ C00 , for kyk ≤ 1 the functions τy g are all supported in a common
compact set K. So, by Lemma 4.1.1,
Z
|τy g − g|p dµ ≤ kτy g − gkp∞ µ(K) → 0 as kyk → 0 . (4.1.2)
Rn
Now suppose f ∈ Lp . If ε > 0 then, by the Urysohn lemma, there exists g ∈ C00
with kg − f kp < ε/3, so
2
kτy f − f kp ≤ kτy (f − g)kp + kτy g − gkp + kg − f kp < ε + kτy g − gkp ,
3
and kτy g − gkp < ε/3 if y is small enough accordingly to (4.1.2). 2
86 CHAPTER 4.
Let f and g be measurable functions on Rn . The convolution of f and g is the

function f ∗ g defined by
Z
(f ∗ g)(x) := f (x − y)g(y) dy
Rn
for all x ∈ Rn such that the integral exists. Various conditions can be imposed
on f and g to guarantee that f ∗ g is defined at least almost everywhere.
R For ex-
ample, if f ∈ C00 , g can be any locally integrable function i.e. A |g| dµ < ∞
for any compact A.
4.1.3.◦ Basic properties of convolutions. The elementary properties of

convolutions are summarized in the following proposition.
Proposition 4.1.3 Assuming that all integrals below exist, we have:

(a) f ∗ g = g ∗ f ;
(b) (f ∗ g) ∗ h = f ∗ (g ∗ h);
(c) For z ∈ Rn , τz (f ∗ g) = (τz f ) ∗ g = f ∗ (τz g);
(d) If A is the closure of {x + y : x ∈ supp(f ), y ∈ supp(g)}
then supp(f ∗ g) ⊆ A.
Proof: (a): is proved by the substitution z = x − y:

Z Z
f ∗ g(x) = f (x − y)g(y) dy = f (z)g(x − z) dz = g ∗ f (x).
(b): follows from (a) and Fubini’s theorem.

(c):
Z Z
τz (f ∗ g)(x) = f (x − z − y)g(y) dy = τz f (x − y)g(y) dy = ((τz f ) ∗ g)(x)
and, by (a),
τz (f ∗ g) = τz (g ∗ f ) = (τz g) ∗ f = f ∗ (τz g).
(d): Observe that if x 6∈ A then, for any y ∈ supp(g), we have x − y 6∈ supp(f );
hence f (x − y)g(y) = 0 for all y, so (f ∗ g)(x) = 0. 2
Theorem 4.1.1 (Young’s inequality) If f ∈ L1 and g ∈ Lp (1 ≤ p ≤ ∞)

then (f ∗ g)(x) exists almost everywhere, f ∗ g ∈ Lp , and kf ∗ gkp ≤ kf k1 kgkp .
Proof: By Minkowski’s inequality for integrals (see Exercise 3.2.10),

Z Z
kf ∗ gkp = f (y) · g(·, −y) dy ≤ |f (y)| · kτy gkp dy = kf k1 · kgkp . 2

Rn p Rn
Proposition 4.1.4 If p−1 + q −1 = 1, f ∈ Lp , and g ∈ Lq then f ∗ g(x) exists

for every x ∈ Rn , f ∗ g is bounded and uniformly continuous, and kf ∗ gk∞ ≤
kf kp kgkq . If 1 < p < ∞ then f ∗ g ∈ C0 (Rn ).
Proof: The existence of f ∗ g and the estimate for kf ∗ gk∞ follow immediately
from Hölder’s inequality. In view of Propositions 4.1.2 and 4.1.3, so does the
uniform continuity of f ∗ g: If 1 ≤ p < ∞,
kτy (f ∗ g) − f ∗ gk∞ = k(τy f − f ) ∗ g)k∞ ≤ kτy f − f kp kgkq → 0 as y → 0.
(If p = ∞, interchange the roles of f and g.) Finally, if 1 < p, q < ∞, choose
sequences (fn )∞ ∞
n=1 and (gn )n=1 of continuous functions with compact supports
such that
kfn − f kp → 0 & kgn − f kq → 0.
By Proposition 4.1.3 (d), fn ∗ gn ∈ C00 . But
kfn ∗ gn − f ∗ gk∞ ≤ kfn − f kp kgn kq + kf kp kgn − gkq → 0,
so f ∗ g ∈ C0 by Exercise 4.1.1. 2
4.1.4.◦ Approximate identity. The following theorem underlies many

important applications of convolutions on Rn . If φ is any function on Rn and
t > 0, we set
φt (x) = t−n φ(t−1 x). (4.1.3)
R
Remark that if φ ∈ L1 then Rn φt (x) dx is independent on t, thus,
Z Z Z
−n −1
φt (x) dx = t φ(t x) dx = φ(y) dy .
Rn Rn Rn
The proof of the following theorem is left to the reader as an exercise.

R
Theorem 4.1.2 Suppose φ ∈ L1 and Rn φ(x) dx = 1.
(a) If f ∈ Lp , where 1 ≤ p < ∞ then lim kf ∗ φt − f kp = 0 .
t→0
(b) If f is bounded and uniformly continuous then lim kf ∗ φt − f k∞ = 0.
t→0
(c) If f ∈ L∞ and f is continuous on an open set U then f ∗ φt → f uniformly
on compact subsets of U as t → 0. 2
88 CHAPTER 4.
The family {φt }t≥0 as in Theorem 4.1.2 is called an approximate identity.

In some sense, an approximate identity plays the role of an identity operator
whenever we are working with convolution as a multiplication operation.
∞
Proposition 4.1.5 C00 (and hence also S) is dense in Lp (for 1 ≤ p < ∞)
and in C0 .
Proof: Given f ∈ Lp and ε > 0, there exists g ∈ CR00 with kf − gkp < ε/2 by
∞
Exercise 4.2.5. Let φ be a function in C00 such that Rn φ dµ = 1 (for example,
take φ = ( Rn ψ dµ)−1 ψ as in (4.1.1)). Then g ∗ φt ∈ C00
∞
R
by Proposition 4.1.3(d)
and Exercise 4.1.9, and
kg ∗ φt − gkp < ε/2
for sufficiently small t by Theorem 4.1.2. The same argument works if Lp is
replaced by C0 , and k · kp , by k · k∞ . 2
Theorem 4.1.3 (The C ∞ -Urysohn lemma) If K ⊆ Rn is compact and U is

∞
an open set containing K, there exists f ∈ C00 such that 0 ≤ f ≤ 1, f = 1 on
K, and supp(f ) ⊆ U .
Proof: Let δ be the distance from K to U c (δ is positive since K is compact)

and let
V = {x ∈ Rn : ρ(x, K) < δ/3}.
∞
R
Choose a nonnegative φ ∈ C 00 such that Rn
φ dx = 1 and φ(x) = 0 for kxk >
−1
R
δ/3 (for example, ( Rn ψ dx) · ψδ/3 with ψ as in (4.1.1)), and set f = χV ∗ φ.
∞
Then f ∈ C00 by Proposition 4.1.3 (d) and Exercise 4.1.9. It is easy to see that
0 ≤ f ≤ 1, f = 1 on K, and
supp(f ) ⊆ {x : ρ(x, K) ≤ 2δ/3} ⊆ U. 2
Theorem 4.1.2 does not say anything about the pointwise convergence f ∗ φt to
f . Indeed, the situation with the pointwise convergence is much more delicate.
To illustrate problems which arise here, we give without a proof the following
theorem.
Theorem 4.1.4
R Suppose |φ(x)| ≤ C(1 + kxk)−n−ε for some C, ε > 0. Then
φ ∈ L1 and Rn φ(x) dx = 1. If f ∈ Lp (1 ≤ p < ∞) then f ∗ φt (x) → f (x) as
t → 0 for every x in the Lebesgue set of f . In particular, for almost every x
and for every x at which f is continuous. 2
By the Lebesgue set Lf of a locally integrable function f : Rn → R (for short

f ∈ Lloc (Rn )) we understood here
Z
n
n 1 o
Lf := x ∈ R : lim |f (y) − f (x)|dy = 0 .
t→∞ µ(B(x, t−1 )) B(x,t−1 )

Exercise 4.1.1 Show that the space C0 (Rn ) of functions vanishing at infinity is uniform
∞
closure of C00 .
Exercise 4.1.2 Show that any f ∈ C0 (Rn ) is uniformly continuous.
∗
Exercise 4.1.3 Show that for x, y ∈ R:
X k!
(x + y)k = xα1 y α2 α = (α1 , α2 ).
α!
|α|=k
∗
Exercise 4.1.4 Show that for x ∈ Rn :
X k!
(x1 + x2 + ... + xn )k = xα .
α!
|α|=k
∗
Exercise 4.1.5 Show that for x, y ∈ Rn :
X α!
(x + y)α = xβ · y γ .
β! · γ!
β+γ=α
∗
Exercise 4.1.6 Prove the product rule for partial derivatives:
X X
∂ α (xβ f ) = xβ ∂ α f + cγδ xδ ∂ γ f, xβ ∂ α f = ∂ α (xβ f ) + c0γδ ∂(xδ f ),
where cγδ = c0γδ = 0 unless |γ| < |α| and |δ| < |β|.
Exercise 4.1.7 ∗∗ Let f ∈ L1 (R) and f be nonnegative. Use the result of Exercise 2.1.19 to
show that:
(a) if f ∗ f = 0 then f (t) = 0 a.e. on R;
(b) if f ∗ f = f then f (t) = 0 for all t ∈ R;
(c) the equality (f ∗ f )(t) = 1 a.e. is impossible.
∗∗
Exercise 4.1.9 ∗∗ Let f ∈ L1 , g ∈ C k and let ∂ α g be bounded for |α| ≤ k. Show that
f ∗ g ∈ C k and ∂ α (f ∗ g) = f ∗ (∂ α g) for |α| ≤ k.
∗∗∗
90 CHAPTER 4.
4.2 The Riesz Representation Theorem
In this section, we study the structure of the dual space to the spaces of continu-
ous functions on a locally compact Hausdorff space. We treat only the R-valued
case. The complex case is essentially the same.
4.2.1.◦ The space C00 (X) and positive functionals. Let X be a locally
compact Hausdorff space (LCH-space, for short). This means that, for every
x 6= y in X, there exist open neighborhoods U of x and V of y such that Ū and
V̄ are compact and Ū ∩ V̄ = ∅. From the point-set topology, it is known that any
LCH-space is normal, so we may use the Urysohn lemma in its investigation.
We denote by C00 (X) the space of continuous functions on X with compact
support, i.e. f ∈ C00 (X) if f is continuous and supp(f ) = cl{x : f (x) 6= 0}
is compact. A linear functional Ψ on C00 (X) is called positive if Ψ(f ) ≥ 0
whenever f ≥ 0. It is an important fact that every positive linear functional
on C00 (X) is continuous with respect to the uniform convergence on compact
subsets of X. There are many ways for proving this, one of them is given below.
Lemma 4.2.1 If Ψ is a positive linear functional on C00 (X). Then, for each
compact K ⊆ X, there is CK < ∞ such that |Ψ(f )| ≤ CK kf k∞ for all f ∈
C00 (X) with supp(f ) ⊆ K.
Proof: Given a compact K, choose φ ∈ C00 (X) with values in [0, 1] such that
φ|K ≡ 1 by Urysohn’s lemma. If supp(f ) ⊆ K, we have
kf k∞ φ − f ≥ 0 & kf k∞ φ + f ≥ 0.
Thus
kf k∞ Ψ(φ) − Ψ(f ) ≥ 0 & kf k∞ Ψ(φ) + Ψ(f ) ≥ 0,
so |Ψ(f )| ≤ CK kf k∞ with CK = Ψ(φ). 2
If µ is a Borel measure on X such that µ(K) < ∞ for every compact K ⊆ X,

then C00 (X) ⊆ L1 (µ), so Z
f→ f dµ
X
4.2. THE RIESZ REPRESENTATION THEOREM 91
is a positive linear functional on C00 (X). The main result of this section says
that every positive linear functional on C00 (X) arises in this way. Moreover, we
give some regularity conditions on µ, under which µ is unique.
Let µ be a Borel measure on X and let E be a Borel subset of X. The measure
µ is called outer regular on E if
µ(E) = inf{µ(U ) : E ⊆ U, U open};
µ is called inner regular on E if
µ(E) = sup{µ(K) : K ⊆ E, K compact}.
If µ is outer and inner regular on all Borel sets, µ is called regular (compare
with 2.1.5). The regularity of a Borel measure sometimes is too strong condition.
Definition 4.2.1 A Borel measure that is finite on compact sets, outer regular
on Borel sets, and inner regular on open sets is called a Radon measure.
4.2.2.◦ The Riesz representation theorem for C00 (X). This theorem
historically is one of the first results in functional analysis. Originally it was
stated by F. Riesz in 1909 for C[0, 1]. Then it was generalized by several authors
for C(K), where K is a compact Hausdorff space, and for C00 (X), where X is
an LCH-space. Here we begin with the general case and derive from it the Riesz
representation theorem for C(K). We use the following notation. If U is open
in X and f ∈ C00 (X), 0 ≤ f ≤ 1, and supp(f ) ⊆ U , then we write f ≺ U .
Theorem 4.2.1 If Ψ is a positive linear functional on C00 (X), where X is an

LCH-space. Then there exists a unique Radon measure µ on X such that
Z
Ψ(f ) = f dµ (∀f ∈ C00 (X)) . (4.2.1)
X
Moreover,
µ(U ) = sup{Ψ(f ) : f ∈ C00 (X), f ≺ U } for all open U ⊆ X (4.2.2)
and
µ(K) = inf{Ψ(f ) : f ∈ C00 (X), f ≥ χK } for all compact K ⊆ X. (4.2.3)

92 CHAPTER 4.
Sketch of the proof: First, we prove uniqueness. Let µ be a Radon measure

satisfying (4.2.1). Let U ⊆ X be an open subset of X. Then Ψ(f ) ≤ µ(U )
whenever f ≺ U . If K is a compact subset of U , by Urysohn’s lemma, there is
f ∈ C00 (X) such that f ≺ U and f |K ≡ 1. Thus
Z
µ(K) ≤ f dµ = Ψ(f ) ≤ µ(U ) .
X
This proves (4.2.2) since µ is inner regular on U . Thus µ is uniquely determined

by Ψ on open sets, and hence on all Borel sets because of outer regularity. This
proves the uniqueness of µ and suggests how to prove existence.
We define
ν(U ) := sup{Ψ(f ) : f ∈ C00 (X), f ≺ U }
for any open U , and we define ν ∗ (E) for an arbitrary E ⊆ X by
ν ∗ (E) := inf{ν(U ) : U ⊇ E, U open}.
Clearly, ν(U ) ≤ ν(V ) if U ⊆ V , and hence ν ∗ (U ) = ν(U ) if U is open. The

outline of the proof is now as follows. We only fix several important steps and
leave the proofs of them to the reader.
(1) Show that ν ∗ is an outer measure on P(X).
(2) Show that every open set is ν ∗ -measurable.
Now it follows from Caratheodory’s theorem that every Borel set is ν ∗ -measurable
and µ := ν ∗ |BX is a Borel measure (note that µ(U ) = ν ∗ (U ) = ν(U )) for any
open U ). Moreover, µ is outer regular and satisfies (4.2.2) by the definition.
(3) Show that µ satisfies (4.2.3).
Since X is an LCH-space, µ is finite on compact sets. Prove the inner regularity
on open sets. Let U be an open set and µ(U ) > α. Fix ε > 0, µ(U ) > α + ε.
Choose f ∈ C00 (X) such that f ≺ U and Ψ(f ) > α + ε, and let
K := supp(f ) ⊆ U .
If g ∈ C00 (X) and g ≥ χK then g ≥ f and hence Ψ(g) ≥ Ψ(f ) > α + ε. But
then µ(K) ≥ α + ε > α by (4.2.3), so µ is inner regular on U .
(4) Show that µ satisfies (4.2.1).
With this last step, the proof of the theorem is completed. 2
4.2.3.◦ The Riesz representation theorem for C(K) . Let K be a compact

Hausdorff space and let C(K) be a vector space of all continuous R-valued
functions on K. It is well known that C(K) is a Banach space with respect to
the sup-norm. The following theorem, which is historically also called the Riesz
representation theorem describes the structure of its dual space space C(K)∗ .
We prove this theorem by using of Theorem 4.2.1.
Theorem 4.2.2 Let K be a compact Hausdorff space and let ψ ∈ C(K)∗ . Then
there are two unique Radon measures µ1 and µ2 on X such that
Z Z
ψ(f ) = f dµ1 − f dµ2 (∀f ∈ C(K)) .
K K
Moreover, µ1 = µ+ and µ2 = µ− for some signed measure µ of bounded variation

on the Borel algebra B(K).
Proof: Let ψ ∈ C(K)∗ . Then the function ϑ : C+ (K) → R+ , which is defined

by the formula
ϑ(f ) := sup{ψ(g) : 0 ≤ g ≤ f } (f ∈ C+ (K)) , (4.2.4)
is additive on C+ (K) (see Exercise 4.2.14) . Every such an additive function
ϑ : C+ (K) → R+ possesses a unique extension ψ+ on C(K), which is a positive
linear functional (see Exercise 4.2.15) . This extension is given by the formula:
ψ+ (f ) := ϑ(f+ ) − ϑ(f− ) (f ∈ C(K)).
Let ψ− be the positive functional correspondent to −ψ, i.e., ψ− := (−ψ)+ .
Now we apply Theorem 4.2.1 to ψ+ ∈ C(K)∗ and ψ− ∈ C(K)∗ . Then we have
Z
ψ+ (f ) = f dµ1 (∀f ∈ C(K))
K
and Z
ψ− (f ) = f dµ2 (∀f ∈ C(K)),
K
where µ1 and µ2 are unique Radon measures on X. It is routine to show that
µ1 = µ+ & µ2 = µ− (4.2.5)
for a signed Borel measure µ := µ1 − µ2 . 2
94 CHAPTER 4.
Exercise 4.2.1 ∗∗ Let X be a locally compact Hausdorff space. Show that, for any compact
K ⊆ X such that K = ∩∞ n=1 Un and Un is open for any n ∈ N, there exists f ∈ C00 (X) such
that K = f −1 ({1}).
Exercise 4.2.2 Let fn (t) = t2n be the sequence of R-valued functions on R. These functions
define Borel measures µn on R as follows
Z
µn (A) := t2n dt (∀A ∈ B(R)).
A
(a) Show that µn is a Radon measure for each n.

(b) Show that µk is µj -continuous for every k, j ∈ N.
(c) Find the Radon – Nikodym derivative of µk with respect to µj .
(d) Let A ∈ B(R) with the Lebesgue measure µ(A) 6= 0. Show that there is no constant
M ∈ R such that µn (A) ≤ M for all n.
Exercise 4.2.3 Show that any Radon measure µ is inner regular on each σ-finite subset of X,
where A is called σ-finite if there exists a sequence An of measurable sets such that µ(An ) < ∞
for any n and A = ∪∞ n=1 An .
Exercise 4.2.4 Let Y be the one-point compactification of a set X with the discrete topology
and let µ be a Radon measure on Y . Show that supp(µ) is countable, where
supp(µ) = Y \ [∪{U ⊆ Y : µ(U ) = 0}] .
Exercise 4.2.5 ∗ Show that C00 (X) is dense in any Lp (µ) for any 1 ≤ p < ∞ and any Radon
measure µ on X.
Exercise 4.2.6 Prove the properties (1) − (4) in the proof of Theorem 4.2.1.
Exercise 4.2.7 ∗∗ Show that a sequence (fn )∞

n=1 in C0 (X) converges weakly to 0 iff
sup kfn k∞ < ∞ and fn → 0 pointwise.
Exercise 4.2.8 Let µ be a Radon measure on X such that µ({x}) = 0 for all x ∈ X and a
Borel set A ∈ B(X) satisfies µ(A) < ∞. Show that, for any α, 0 ≤ α ≤ µ(A), there exists
B ∈ B(X), B ⊆ A, such that µ(B) = α.
Exercise 4.2.9 Let ν be a non-atomic Radon measure on Rn and let µ be another measure
on Rn such that µ is ν-continuous. Show that µ is a Radon measure.
Exercise 4.2.10 ∗ Let ν be a Radon measure on Rn and let µ be another measure on Rn

such that µ is ν-continuous. Show that µ is a Radon measure.
Exercise 4.2.11 ∗ Let ν be a σ-finite Radon measure on a LCH-space and let µ be another
measure such that µ is ν-continuous. By using of the Radon – Nikodym theorem, show that µ
is a Radon measure.
Exercise 4.2.12 ∗∗∗ Let ν be a Radon measure on a LCH-space and let µ be another measure
such that µ is ν-continuous. Show that µ is a Radon measure.
Exercise 4.2.13 Let X = N with the discrete topology. Show that C0 (X)∗ ∼
= `1 .
Exercise 4.2.14 Show that the function ψ+ in (4.2.4) is well defined and additive on C+ (K).
Exercise 4.2.15 Show that every additive on C+ (K) R-valued function possesses a unique
extension on C(K) which is a positive linear functional.
Exercise 4.2.16 Prove the formula (4.2.5).

96 CHAPTER 4.
Bibliography
[1] C.D. Aliprantis; O. Burkinshaw, Principles of real analysis. Third edi-

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Index
(Xn )n -bounded sequence, 10 Caratheodory extension theorem, 31

C ∞ -Urysohn lemma, 88 Caratheodory theorem, 33
E-valued measure, 13 Cauchy – Schwarz inequality, 69
L1 -convergence, 24 Cauchy in measure sequence, 27
µ-continuous measure, 58 Chebyshev inequality, 72
µ-integrable function, 58 compact support, 90
σ-additivity of measure, 7 complete measure, 8
σ-algebra, 5 complex measure, 14
σ-algebra generated by G, 6 continuous linear functional, 70
σ-finite measure, 14 convergence in measure, 27
σ-finite measure space, 8 convex hull, 30
σ-finite premeasure, 43 convolution, 86
σ-finite subset, 94 counting measure, 8
ξ-measurable set, 32
Dedekind completeness, 19
a.e., 21 difference of sets, 5
additive function, 19 distribution function, 43
adjoint space, 70 dominated convergence theorem, 26
algebra of subsets, 34 dual space, 70
almost everywhere, 21 Egoroff theorem, 9
almost everywhere convergence, 9 elementary Young inequality, 63
approximate identity, 88 exhaustion argument, 10
exhaustion theorem, 10
Baire theorem, 51
Banach lattice, 19, 70 Fatou lemma, 25
block, 39 finite measure, 14
Borel algebra of X, 6 finite measure space, 8
Borel measure, 8 Frobenius – Perron operator, 59
Fubini theorem, 31, 40
Cantor like function, 51
Cantor like set, 51 generalized Cantor function, 51
99
100 INDEX
generalized Cantor set, 50 negative set, 58

non-atomic measure, 11, 12, 20
h-interval, 36
Hölder inequality, 63 orthogonal functions, 69
Hahn decomposition theorem, 58 orthonormal basis, 69
outer measure, 31
inner regular measure, 91 outer regular measure, 91
integrable function, 22
partial ordering, 17
Jordan decomposition theorem, 18 partially ordered vector space, 17
pointwise convergence, 9
LCH-space, 90 positive linear functional, 90
Lebesgue σ-algebra, 36 positive set, 58
Lebesgue – Stieltjes Measure, 31 premeasure, 34
Lebesgue integral, 21 probabilistic measure space, 8
Lebesgue measurable set in Rn , 45 probability, 8
Lebesgue measure, 9, 31 product measure, 39
Lebesgue measure on R, 36 product of measure spaces, 39
Lebesgue measure on Rn , 45 purely atomic measure, 12
Lebesgue set, 89
Liapounoff, 73, 75 Radon – Nikodym derivative, 58
Liapounoff convexity theorem, 76 Radon – Nikodym theorem, 55
linear functional, 70 Radon measure, 91
locally compact Hausdorff space, 90 regular measure, 91
locally integrable function, 86 Riesz representation theorem, 91, 93
Lusin theorem, 47 Ross, 73
measurable function, 6 scalar product, 69

measurable set, 7 Schep, 55
measurable transformation, 59 Schwartz space, 84
measure, 7 separable Banach space, 68
measure of bounded variation, 16 separable measure, 8, 14
measure space, 7 set of the first category, 51
Minkowski inequality, 64, 73 set of the second category, 51
monotone class, 41 shift, 47, 85
monotone convergence theorem, 24 side of block, 45
monotone function, 19 signed measure, 14
monotone function on A, 35 simple function, 21
multi-index, 84 standard Cantor function, 51
INDEX 101
standard Cantor set, 49

submeasure, 31
symmetric difference of sets, 5
Tonelli theorem, 42
total variation of measure, 16
totally disconnected set, 49
Uhl, Jr., 74
uniform convergence, 9
Urysohn lemma, 46, 85, 90, 92
variation of measure, 15
vector lattice, 17
vector-valued measure, 13
weak topology on Lp , 71
weakly convergent sequence, 71
Young inequality, 86

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1

INTRODUCTION TO MEASURE THEORY

1.1 σ-Algebras, Measurable Functions, Measures

1.1.1.◦ σ-Algebras. The following notion is the principal in the measure

Finally, the difference A \ B := A ∩ (X \ B) and the symmetric difference

Proposition 1.1.1 Let {Ωα }α∈A be a nonempty family of σ-algebras in P(X),

This proposition leads to the following definition.

An important special case of this notion is the following.

1.1.2.◦ Measurable functions. Let f be a real-valued function defined on

The following three propositions are obvious.

Proposition 1.1.2 Let f : X → R be a function. Then the following conditions

Proposition 1.1.3 Let f and g be measurable functions, then

Proposition 1.1.4 Let (fn )∞

lim sup fn and lim inf fn

1.1.3.◦ Measures. The main definition here is the following.

Definition 1.1.5 Let A be a σ-algebra. A function µ : A → R ∪ {∞} is called

Proposition 1.1.5 Let µ be a measure on a σ-algebra A, An ∈ A, and An → A.

1.1.4.◦ Measure spaces. We consider a fixed but arbitrary σ-algebra with

Definition 1.1.6 If A is a σ-algebra of subsets of X and µ is a measure on A,

Now we present several examples of measure spaces.

Example 1.1.1 Let X = {x1 , . . . , xN } be a finite set, A be the σ-algebra of all

Example 1.1.2 If X is a topological space, then the most natural σ-algebra of

Whenever we consider spaces X = [a, b], X = R, or X = Rn , we usually assume

Definition 1.1.7 A measure space (X, A, µ) is called σ-finite if there is a se-

Definition 1.1.8 A measure space (X, A, µ) is called finite if µ(X) < ∞. In

1.1.5.◦ Convergence of functions and the Egoroff theorem. For mea-

Definition 1.1.9 Let (fn )∞

sup{|fn (x) − f (x)| : x ∈ X} ≤ ε

for all n ≥ n(ε).

Proof: Without loss of generality, we may assume that fn → f everywhere on

Then, for a fixed k, En (k) decreases as n increases, and ∞

Then µ(E) < ε, and we have

|fn (x)| < k −1 (∀n > nk , x 6∈ E).

1.1.6.◦ Exhaustion argument.

Theorem 1.1.2 (Exhaustion theorem) Let (Yn )∞ n=1 ⊆ Σ be a sequence satis-

Proof: Let A be a (Yn )n -bounded set with µ(A) > 0. Denote

PA := {B ∈ P : B ⊆ A} & m(A) := sup{µ(B) : B ∈ PA } .

I(a) Suppose P satisfies (a). Then there exists a sequence (Fn )∞

for all n. Then µ(Yn \ X00 ) = 0, and µ((∪∞ 0 0

1.1.7.◦ Exercises to Section 1.1.

Exercise 1.1.3 For each X ⊆ N and for each k ∈ N define:

nkX := card(X ∩ {1, ..., k}) .

Exercise 1.1.4 Prove Proposition 1.1.5.

Exercise 1.1.8 ∗∗ Construct a sequence (Σn )∞ 2

Exercise 1.1.11 Show that Egoroff ’s theorem may fail if µ(X) = ∞.

1.2 Vector-valued Measures

1.2.1.◦ Vector-valued, signed and complex measures. Let Σ be a

Definition 1.2.1 A function µ : Σ → E ∪ {∞} is called a vector-valued

Definition S1.2.2 A function

Definition 1.2.3 P µ : Σ → C ∪ {∞} is called a complex measure

There are many interesting classes of vector-valued measures. In this book we

Definition 1.2.4 An E-valued measure µ is called finite if µ(A) ∈ E for every

1.2.2.◦ The variation of a vector-valued measure. Now we show how in

by the following formula:

Proof: Suppose that µ is an E-valued measure. We have to show only the

Since it holds for any partition π, we obtain the inequality

Since |µ| is additive and monotone, then for each n:

and by taking the limit: