Measure and Integration: First Steps

We are all made of the same stuff, Dewey.

Jim Peterson
Department of Mathematical Sciences
Clemson University
email: [email protected]

December 12, 2006

 Based On:
Handwritten Notes For Measure and Integration
MTHSC 822
1995 - 2006

Jim has been steadily shrinking since 1996 and is currently only able to be seen when standing on a
large box. This has forced him to alter his lecture style somewhat so that his students can see him
and he is considering the use of platform shoes. However, if he can ever remember the code to his
orbiting spaceship, he will be able to access the shape changing facilities on board and solve the problem
permanently. However, he does what he can with this handicap.
There were many problems with the handwritten version of these notes, but with the help of my many
students in this class over the years, they have gotten better. However, being written in my handwriting
was not a good thing. In fact, one student some years ago was so unhappy with the handwritten notes,
that they sent me the names of four engineering professors who actually typed their class notes nicely.
He told me I could learn from them how to be a better teacher. Well, it has taken me awhile, but at
least the notes are being typed. The teaching part, though, is another matter.
I wish to thank all my students for helping me by listening to what I say in my lectures, finding
my typographical errors and my other mistakes. I am always hopeful that my efforts help my students
to some extent and also impart some of my enthusiasm for the subject. Of course, the reality is that I
have been damaging students for years by forcing them to learn these abstract things. This is why I tell
people at parties I am a roofer or electrician. If I am identified as a mathematician, it could go badly
given the terrible things I inflict on the students in my classes. Who knows whom they have told about
my tortuous methods. Hence, anonymity is best.
Still, by writing these notes, I have gone public. Sigh. This could be bad. So before I am taken out
with a very public hit, I, of course, want to thank my family for all their help in many small and big
ways. It is amazing to me that I have been teaching this material since my children were in grade school
and now my youngest is getting ready to begin college. They have put up with my vacant stares way
too much.
4
Contents

Contents i

I Introductory Matter 1

1 Introduction 3
1.1 Senior Level Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
1.2 The Graduate Analysis Courses . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
1.3 More Advanced Courses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
1.4 Teaching The Measure and Integration Course . . . . . . . . . . . . . . . . . . . 7

II The Main Event 9

2 An Overview Of Riemann Integration 11

2.1 Integration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
2.1.1 A Riemann Sum Example . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
2.1.2 The Riemann Integral As A Limit . . . . . . . . . . . . . . . . . . . . . . 14
2.1.3 The Fundamental Theorem Of Calculus . . . . . . . . . . . . . . . . . . . 16
2.1.4 The Cauchy Fundamental Theorem Of Calculus . . . . . . . . . . . . . . 19
2.1.5 Applications . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
2.1.6 Simple Substitution Techniques . . . . . . . . . . . . . . . . . . . . . . . . 22
2.2 The Riemann Integral of Functions With Jumps . . . . . . . . . . . . . . . . . . 25
2.2.1 Removable Discontinuity . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
2.2.2 Jump Discontinuity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
2.2.3 Homework . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29

3 Functions Of Bounded Variation 31

3.1 Partitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32

i
CONTENTS CONTENTS

3.1.1 Homework . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
3.2 Monotone Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
3.2.1 Worked Out Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
3.2.2 Homework . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
3.3 Functions of Bounded Variation . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44
3.3.1 Homework . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
3.4 The Total Variation Function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
3.5 Continuous Functions of Bounded Variation . . . . . . . . . . . . . . . . . . . . . 52

4 The Theory Of Riemann Integration 55

4.1 Defining The Riemann Integral . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55
4.2 The Existence of the Riemann Integral: Darboux Integration . . . . . . . . . . . 58
4.3 Properties Of The Riemann Integral . . . . . . . . . . . . . . . . . . . . . . . . . 65
4.4 What Functions Are Riemann Integrable? . . . . . . . . . . . . . . . . . . . . . . 69
4.5 Further Properties of the Riemann Integral . . . . . . . . . . . . . . . . . . . . . 71
4.6 The Fundamental Theorem Of Calculus . . . . . . . . . . . . . . . . . . . . . . . 74
4.6.1 Homework . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 80
4.7 Substitution Type Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 80
4.8 When Do Two Functions Have The Same Integral? . . . . . . . . . . . . . . . . . 83

5 Further Riemann Integration Results 87

5.1 The Limit Interchange Theorem for Riemann Integration . . . . . . . . . . . . . 87
5.2 Showing Functions Are Riemann Integrable . . . . . . . . . . . . . . . . . . . . . 92
5.3 Sets Of Content Zero . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94

6 Cantor Set Experiments 101

6.1 The Generalized Cantor Set . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101
6.2 Representing The Generalized Cantor Set . . . . . . . . . . . . . . . . . . . . . . 104
6.3 The Cantor Function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 106

7 The Riemann-Stieltjes Integral 109

7.1 Standard Properties Of The Riemann - Stieljes Integral . . . . . . . . . . . . . . 110
7.2 Step Functions As Integrators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 112
7.3 Monotone Integrators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 117
7.4 The Riemann - Stieljes Equivalence Theorem . . . . . . . . . . . . . . . . . . . . 118
7.5 Properties Of The Riemann Integral . . . . . . . . . . . . . . . . . . . . . . . . . 119
7.6 Bounded Variation Integrators . . . . . . . . . . . . . . . . . . . . . . . . . . . . 121

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CONTENTS CONTENTS

8 Further Riemann Stieljes Results 125

8.1 The Riemann - Stieljes Fundamental Theorem Of Calculus . . . . . . . . . . . . 125
8.2 Existence Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 128
8.3 Worked Out Examples Of Riemann Stieljes Computations . . . . . . . . . . . . . 131
8.4 Homework . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 136

9 Measurable Functions and Spaces 139

9.1 Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 140
9.2 The Borel Sigma - Algebra of < . . . . . . . . . . . . . . . . . . . . . . . . . . . . 141
9.2.1 Homework . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143
9.3 The Extended Borel Sigma Algebra . . . . . . . . . . . . . . . . . . . . . . . . . . 143
9.4 Measurable Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 145
9.4.1 Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 147
9.5 Properties of Measurable Functions . . . . . . . . . . . . . . . . . . . . . . . . . . 148
9.6 Extended Valued Measurable Functions . . . . . . . . . . . . . . . . . . . . . . . 150
9.7 Homework . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 157

10 Measure And Integration 159

10.1 Some Basic Properties Of Measures . . . . . . . . . . . . . . . . . . . . . . . . . . 161
10.2 Integration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 166
10.3 Complete Measures And Equality a.e. . . . . . . . . . . . . . . . . . . . . . . . . 171
10.4 Convergence Theorems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 174
10.5 Extending Integration To Extended Real Valued Functions . . . . . . . . . . . . 180
10.6 Properties Of Summable Functions . . . . . . . . . . . . . . . . . . . . . . . . . . 184
10.7 The Dominated Convergence Theorem . . . . . . . . . . . . . . . . . . . . . . . . 186
10.8 Homework . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 189

11 The Lp Spaces 191

11.1 The General Lp spaces . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 195
11.2 The World Of Counting Measure . . . . . . . . . . . . . . . . . . . . . . . . . . . 204
11.3 Equivalence Classes of Essentially Bounded Functions . . . . . . . . . . . . . . . 206
11.4 The Hilbert Space L2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 212
11.5 Homework . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 213

12 Constructing Measures 215

12.1 Measures From Outer Measures . . . . . . . . . . . . . . . . . . . . . . . . . . . . 215
12.2 Measures From Metric Outer Measures . . . . . . . . . . . . . . . . . . . . . . . . 222
12.3 Constructing Outer Measures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 227
12.4 Worked Out Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 231
12.5 Homework . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 233

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CONTENTS CONTENTS

13 Lebesgue Measure 235

13.1 Lebesgue Outer Measure and Measure . . . . . . . . . . . . . . . . . . . . . . . . 235
13.2 Lebesgue Outer Measure Is A Metric Outer Measure . . . . . . . . . . . . . . . . 245
13.3 Lebesgue - Stieljes Outer Measure and Measure . . . . . . . . . . . . . . . . . . . 250
13.4 Homework . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 255

14 Modes Of Convergence 257

14.1 Subsequence Extraction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 259
14.2 Egoroff’s Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 267
14.3 Vitali Convergence Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 269
14.4 Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 274
14.5 Homework . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 277

15 Decomposition Of Measures 279

15.1 Basic Decomposition Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 279
15.2 The Variation Of A Charge . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 286
15.3 Absolute Continuity Of Charges . . . . . . . . . . . . . . . . . . . . . . . . . . . 289
15.4 The Radon - Nikodym Theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . 291
15.5 The Lebesgue Decomposition of a Measure . . . . . . . . . . . . . . . . . . . . . 297
15.6 Homework . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 301

16 Connections To Riemann Integration 303

17 Fubini Type Results 305

18 Interesting Questions 307

18.1 Midterm Examination . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 307
18.2 Final Examination . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 309

III References 313

Bibliography 315

IV Detailed Indices 317

Index 319

iv
 Part I

Introductory Matter

1
Chapter 1
Introduction

We believe that all students who are seriously interested in mathematics at the Master’s and
Doctoral level should have a passion for analysis even if it is not the primary focus of their
own research interests. So you should all understand that my own passion for the subject will
shine though in the notes that follow! And, it goes without saying that we assume that you are
all mature mathematically and eager and interested in the material! Now, the present course
focuses on the topics of Measure and Integration from a very abstract point of view, but it is
very helpful to place this course into its proper context. Also, for those of you who are preparing
to take the qualifying examination in in analysis, the overview below will help you see why all
this material fits together into a very interesting web of ideas. These ideas are covered in the
we will discuss below. In outline form, these courses would cover the following material using
textbooks equivalent to the ones listed below:

(A): Undergraduate Analysis, text Advanced Calculus: An Introduction to Analysis,

by Watson Fulks. Here these are MTHSC 453 and MTHSC 454.

(B): Introduction to Abstract Spaces, text Introduction to Functional Analysis and Ap-
plications, by Ervin kreyszig. Here this is MTHSC 821.

(C): Measure Theory and Abstract Integration, texts General Theory of Functions and
Integration, by Angus Taylor and Real Analysis, by Royden. Here this is MTHSC
822.

In addition, a nice book that organizes the many interesting examples and counterexamples in
this area is a nice one to have on your shelf. We recommend the text Counterexamples in
Analysis by Gelbaum and Olmstead. There are thus essentially five courses required to teach
you enough of the concepts of mathematical analysis to enable you to read technical literature

3
Senior Level Analysis Chapter 1:

(such as engineering, control, physics, mathematics, statistics and so forth) at the beginning
research level. Here are some more details about these courses.

1.1 Senior Level Analysis

Typically, this is a full two semester sequence that discusses thoroughly what we would call the analysis
of functions of a real variable. Here, this is the sequence MTHSC SC 453–454. This two semester
sequence covers the following:

Advanced Calculus I: MTHSC 453: This course studies sequences and functions whose domain is
simply the real line. There are, of course, many complicated ideas, but everything we do here
involves things that act on real numbers to produce real numbers. If we call these things that act
on other things, OPERATORS, we see that this course is really about real–valued operators on
real numbers. This course invests a lot of time in learning how to be precise with the notion of
convergence of sequences of objects, that happen to be real numbers, to other numbers.

1. Basic Logic, Inequalities for Real Numbers, Functions

2. Sequences of Real Numbers, Convergence of Sequences
3. Subsequences and the Bolzano–Weierstrass Theorem
4. Cauchy Sequences
5. Continuity of Functions
6. Consequences of Continuity
7. Uniform Continuity
8. Differentiability of Functions
9. Consequences of Differentiability
10. Taylor Series Approximations

Advanced Calculus II: MTHSC 454: In this course, we rapidly become more abstract. First, we
develop carefully the concept of the Riemann Integral. We show that although differentiation is
intellectually quite a different type of limit process, it is intimately connected with the Riemann
integral. Also, for the first time, we begin to explore the idea that we could have sequences
of objects other than real numbers. We study carefully their convergence properties. We learn
about two fundamental concepts: pointwise and uniform convergence of sequences of objects called
functions. We are beginning to see the need to think about sets of objects, such as functions, and
how to define the notions of convergence and so forth in this setting.

1. The Riemann Integral

2. Sequences of Functions
3. Uniform Convergence of Sequence of Functions
4. Series of Functions

4
The Graduate Analysis Courses Chapter 1:

1.2 The Graduate Analysis Courses

There are three basic courses here. First, linear analysis (MTHSC 821), then measure and integration
(MTHSC 822) and finally, functional analysis (MTHSC 927).

Introductory Linear Analysis: MTHSC 821: We now begin to rephrase all of our knowledge about
convergence of sequence of objects in a much more general setting.

1. Metric Spaces: A set of objects and a way of measuring distance between objects which
satisfies certain special properties. This function is called a metric and its properties were
chosen to mimic the properties that the absolute value function has on the real line. We learn
to understand convergence of objects in a general metric space. It is really important to note
that there is NO additional structure imposed on this set of objects; no linear structure (i.e.
vector space structure), no notion of a special set of elements called a basis which we can
use to represent arbitrary elements of the set. The metric in a sense generalizes the notion
of distance between numbers. We can’t really measure the size of an object by itself, so we
do not yet have a way of generalizing the idea of size or length.
A fundamentally important concept now emerges: the notion of completeness and how it is
related to our choice of metric on a set of objects. We learn a clever way of constructing an
abstract representation of the completion of any metric space, but at this time, we have no
practical way of seeing this representation.
2. Normed Spaces: We add linear structure to the set of objects and a way of measuring the
magnitude of an object; that is, there is now an operation we think of as addition and another
operation which allows us to scale objects and a special function called a norm whose value
for a given object can be thought of as the object’s magnitude. We then develop what we
mean by convergence in this setting. Since we have a vector space structure, we can now
begin to talk about a special subset of objects called a basis which can be used to find a
useful way of representing an arbitrary object in the space.
Another most important concept now emerges: the cardinality of this basis may be finite
or infinite. We begin to explore the consequences of a space being finite versus infinite
dimensional.
3. Inner Product Spaces: To a set of objects with vector space structure, we add a function
called an inner product which generalizes the notion of dot product of vectors. This has
the extremely important consequence of allowing the inner product of two objects to zero
even though the objects are not the same. Hence, we can develop an abstract notion of
the orthogonality of two objects. This leads to the idea of a basis for the set of objects
in which all the elements are mutually orthogonal. We then finally can learn how to build
representations of arbitrary objects efficiently.
4. Completions: We learn how to complete an arbitrary metric, normed or inner product space
in an abstract way, but we know very little about the practical representations of such
completions.
5. Linear Operators: We study a little about functions whose domain is one set of objects and
whose range is another. These functions are typically called operators. We learn a little
about them here.

5
More Advanced Courses Chapter 1:

6. Linear Functionals: We begin to learn the special role that real-valued functions acting on
objects play in analysis. These types of functions are called linear functionals and learning
how to characterize them is the first step in learning how to use them. We just barely begin
to learn about this here.

Measure Theory: MTHSC 822: This course is about generalizing the notion of the length of an
interval. We learn how to develop the notion of the length of an arbitrary subset of the real line;
This generalization is called a measure on the real line. We then extend this notion to other
euclidean spaces (<n ) and finally develop the notion of measures on arbitrary sets of objects. We
use these new generalizations of length to carefully develop a corresponding theory of integration.
The set of objects we now work with is a subset of the power set of of a given set S, P (S). The set
S could be a set of real numbers, a set of vectors or a set of any objects. A measure is a special
kind of real–valued function that acts on sets. The set theoretic nature of this function requires
many new tools and a new level of abstraction.
It is only when we have these tools at our disposal that we can discuss in a illuminating way the
concepts of weak convergence, and convergence in measure. It turns out that we also now have a
way of representing the dual spaces of certain classes of functions. This is extremely powerful in
applications. So, in this class, we discuss the following:

1. The Riemann Integral

2. Measure in <n , integration with respect to the measure
3. Abstract Measures, abstract integration theory
4. Differentiation and Integration

1.3 More Advanced Courses

It is also recommended that at some point you consider taking a course in what is called Functional
Analysis. Here that is MTHSC 927. While not part of the qualifying examination, in this course, we can
finally develop in a careful way the necessary tools to work with linear operators, weak convergence and
so forth. This is a huge area of mathematics, so there are many possible ways to design an introductory
course. A typical such course would cover:

1. The Open Mapping and Closed Graph Theorem

2. An Introduction to General Operator Theory

3. An Introduction to the Spectral Theory of Linear Operators; this is the study of the eigenvalues
and eigenobjects for a given linear operator–lots of applications here!

4. Some advanced topic using these ideas: possibilities include

(a) Existence Theory of Boundary Value Problems

(b) Existence Theory for Integral Equations
(c) Existence Theory in Control

6
Teaching The Measure and Integration Course Chapter 1:

1.4 Teaching The Measure and Integration Course

So now that you have seen how the analysis courses all fit together, it is time for the main course. So
roll up your sleeves and prepare to work! Let’s start with a few more details on what this course on
Measure and Integration will cover.
In this course, we assume mathematical maturity and we tend to follow the The Enthusiastic “maybe
I can get them interested anyway” Approach in lecturing (so, be warned)! It is difficult to decide where
to start converge in this course. There is usually a reasonable fraction of you who have never seen an
adequate treatment of Riemann Integration. For example, not everyone may have seen the equivalent
of MTHSC 454 where Riemann integration is carefully discussed. We therefore have several versions of
this course. We have divided the material into blocks as follows: We believe there are a lot of advantages
in treating integration abstractly. So, if we covered the Lebesgue integral on < right away, we can take
advantage of a lot of the special structure < has which we don’t have in general. It is better for long
term intellectual development to see measure and integration approached without using such special
structure. Also, all of the standard theorems we want to do are just as easy to prove in the abstract
setting, so why specialize to <? So we tend to do abstract measure stuff first. The core material for
Block 1 is as follows:

1. abstract measure ν on a sigma - algebra S of subsets of a universe X.

2. measurable functions with respect to a measure ν; these are also called random variables when ν
is a probability measure.
R
3. integration f dν

4. convergence results: monotone convergence theorem, dominated convergence theorem etc.

Then we develop the Lebesgue Integral in <n via outer measures as the great example of a nontrivial
measure. So Block 2 of material is thus

1. outer measures in <n

2. caratheodory conditions for measurable sets

3. construction of the Lebesgue sigma algebra

4. connections to Borel sets

Along the way, starting from day one, we have a concurrent thread running which concerns the
Cantor sets of measure β. We believe there is a lot of value in working out these complicated things as
they serve several purposes. First, they are hard but doable for you no matter what your background.
Also, they absolutely require an abstract approach. You can’t use Matlab to get a good picture of the
construction process. So this helps build your intellectual tool set. So in the first month, while learning
abstract measure theory, you will also be doing projects on Cantor sets. In the second month, we start
you working through the Cantor singular function and the many consequences of that function.
To fill out the course, we pick topics from the following

1. Riemann and Riemann - Stieljes integration. This would go before Block 1 if we do it. Call it
block Riemann.

7
Teaching The Measure and Integration Course Chapter 1:

2. Decomposition of measures – I love this material so this is after Block 2. Call it block Decom-
position.

3. Connection to Riemann integration via absolute continuity of functions. this is actually hard stuff
and takes about 3 weeks to cover nicely. Call it Block Riemann and Lebesgue. If this is done
without Block Riemann, you have to do a quick review of Riemann stuff so they can follow the
proofs.

4. Fubini type theorems. This would go after Block 2. Call this Block Fubini.

5. Differentiation via the Vitali approach. This is pretty hard too. Call this Differentiation.

6. Treatment of the usual Lp spaces. Call this Block Lp .

7. More convergence stuff like convergence in measure, Lp convergence implies convergence of a

subsequence pointwise etc. These are hard theorems and to do them right requires a lot of time.
Call this More Convergence.

We have taught this in at least the following ways. And always, lots of homework and projects, as
we believe only hands on work really makes this stuff sink in.

Way 1: Block Riemann, Block 1, Block 2 and Block Decomposition.

Way 2: Block 1, Block 2, Block Decomposition and Block Riemann and Lebesgue.

Way 3: Block 1, Block 2, Block Decomposition and Differentiation.

Way 4: Block 1, Block 2, Block Lp , Block More Convergence and Block Decomposition.

Way 5: Block 1, Block 2, Block Fubini, Block More Convergence and Block Decomposition.

So as you can see it will be an interesting ride!

8
 Part II

The Main Event

9
Chapter 2
An Overview Of Riemann Integration

In this Chapter, we will give you a quick overview of Riemann integration. There are few real
proofs but it is useful to have a quick tour before we get on with the job of extending this
material to a more abstract setting. Much of this material can be found in a good Calculus
book although the more advanced stuff requires that you look at a book on beginning real
analysis such as (Fulks (3) 1978) .

2.1 Integration
You should also have been exposed to the idea of the integration of a function f . There are two
intellectually separate ideas here:

1. The idea of a primitive or antiderivative of a function f . This is any function F which is differ-
entiable and satisfies F 0 (t) = f (t) at all points in the domain of f . Normally, the domain of f
is a finite interval of the form [a, b], although it could also be an infinite interval like all of < or
[1, ∞) and so on. Note that an antiderivative does not require any understanding of the process
of Riemann integration at all – only what differentiation is!

2. The idea of the Riemann integral of a function. You should have been exposed to this in your
first Calculus course and perhaps a bit more rigorously in your undergraduate second semester
analysis course.

Let’s review what Riemann Integration involves. First, we start with a bounded function f on a
finite interval [a, b]. This kind of function f need not be continuous! Then select a finite number of
points from the interval [a, b], {x0 , x1 , , . . . , xn−1 , xn }. We don’t know how many points there are, so
a different selection from the interval would possibly gives us more or less points. But for convenience,
we will just call the last point xn and the first point x0 . These points are not arbitrary – x0 is always
a, xn is always b and they are ordered like this:

11
Integration Chapter 2:

x0 = a < x1 < x2 < . . . < xn−1 < xn = b

The collection of points from the interval [a, b] is called a Partition of [a, b] and is denoted by some
letter – here we will use the letter π. So if we say π is a partition of [a, b], we know it will have n+1 points
in it, they will be labeled from x0 to xn and they will be ordered left to right with strict inequalities.
But, we will not know what value the positive integer n actually is. The simplest Partition π is the two
point partition {a, b}. Note these things also:

1. Each partition of n + 1 points determines n subintervals of [a, b]

2. The lengths of these subintervals always adds up to the length of [a, b] itself, b − a.

3. These subintervals can be represented as

{[x0 , x1 ], [x1 , x2 ], . . . , [xn−1 , xn ]}

or more abstractly as [xi , xi+1 ] where the index i ranges from 0 to n − 1.

4. The length of each subinterval is xi+1 − xi for the indices i in the range 0 to n − 1.

Now from each subinterval [xi , xi+1 ] determined by the Partition π, select any point you want and
call it si . This will give us the points s0 from [x0 , x1 ], s1 from [x1 , x2 ] and so on up to the last point,
sn−1 from [xn−1 , xn ]. At each of these points, we can evaluate the function f to get the value f (sj ).
Call these points an Evaluation Set for the partition π. Let’s denote such an evaluation set by the
letter σ. Note there are many such evaluation sets that can be chosen from a given partition π. We
will leave it up to you to remember that when we use the symbol σ, you must remember it is associated
with some partition.

If the function f was nice enough to be positive always and continuous, then the product f (si ) ×
(xi+1 − xi ) can be interpreted as the area of a rectangle. Then, if we add up all these rectangle areas
we get a sum which is useful enough to be given a special name: the Riemann sum for the function
f associated with the Partition π and our choice of evaluation set σ = {s0 , . . . , sn−1 }. This sum is
represented by the symbol S(f, π, σ) where the things inside the parenthesis are there to remind us that
this sum depends on our choice of the function f , the partition π and the evaluations set σ. So formally,
we have the definition

12
Integration Chapter 2:

Definition 2.1.1. Riemann Sum

The Riemann sum for the bounded function f , the partition π and the evaluation set σ =
{s0 , . . . , sn−1 } from π{x0 , x1 , , . . . , xn−1 , xn } is defined by

n−1
X
S(f, π, σ) = f (si ) (xi+1 − xi )
i=0

It is pretty misleading to write the Riemann sum this way as it can make us think that the n
is always the same when in fact it can change value each time we select a different partition
π. So many of us write the definition this way instead
X X
S(f, π, σ) = f (si ) (xi+1 − xi ) = f (si ) (xi+1 − xi )
i∈π π

and we just remember that the choice of π will determine the size of n.

2.1.1 A Riemann Sum Example

Let’s look at an example of all this. In Figure 2.1, we see the graph of a typical function which is always
positive on some finite interval [a, b]

A generic curve f on the interval

[a, b] which is always positive. Note
the area under this curve is the
shaded region.
(a, f (a))
(b, f (b))

a b

Figure 2.1: The Area Under The Curve f

Next, let’s set the interval to be [1, 6] and compute the Riemann Sum for a particular choice of
Partition π and evaluation set π. This is shown in Figure 2.2.
We can also interpret the Riemann sum as an approximation to the area under the curve as shown
in Figure 2.1. This is shown in Figure 2.3.

13
Integration Chapter 2:

The partition is π =
{1.0, 1.5, 2.6, 3.8, 4.3, 5.6, 6.0}. Hence,
we have subinterval lengths of
x1 − x0 = 0.5, x2 − x1 = 1.1,
x3 − x2 = 1.2, x4 − x3 = 0.5,
x5 − x4 = 1.3 and x6 − x5 = 0.4,
giving || P || = 1.3. Thus,
(1, f (1)) (6, f (6))
5
X
S(f, π, σ) = f (si ) (xi+1 − xi )
i=0

1 6
For the evaluation set σ = {1.1, 1.8, 3.0, 4.1, 5.3, 5.8} shown in red in Figure 2.2,
we would find the Riemann sum is

S(f, π, σ) = f (1.1) × 0.5

+ f (1.8) × 1.1
+ f (3.0) × 1.2
+ f (4.1) × 0.5
+ f (5.3) × 1.3
+ f (5.8) × 0.4

Of course, since our picture shows a generic f , we can’t actually put in the
function values f (si )!

Figure 2.2: A Simple Riemann Sum

2.1.2 The Riemann Integral As A Limit

We can construct many different Riemann Sums for a given function f . To define the Riemann integral
of f , we only need a few more things:

1. Each partition π has a maximum subinterval length – let’s use the symbol || π || to denote this
length. We read the symbol || π || as the norm or gauge of π.

2. Each partition π and evaluation set σ determines the number S(f, π, σ) by a simple calculation.

3. So if we took a collection of partitions π1 , π2 and so on with associated evaluation sets σ1 , σ2 etc.,

we would construct a sequence of real numbers {S(f, π1 , σ1 ), S(f, π2 , σ2 ), . . . , , S(f, πn , σn ), . . . , }.
Let’s assume the norm of the partition πn gets smaller all the time; i.e. limn → ∞ || πn || = 0.
We could then ask if this sequence of numbers converges to something.

14
Integration Chapter 2:

The partition is π =
{1.0, 1.5, 2.6, 3.8, 4.3, 5.6, 6.0}.
(1, f (1)) (6, f (6))

1 6

Figure 2.3: The Riemann Sum As An Approximate Area

What if the sequence of Riemann sums we construct above converged to the same number I no
matter what sequence of partitions whose norm goes to zero and associated evaluation sets we chose?
Then, we would have that the value of this limit is independent of the choices above. This is indeed
what we mean by the Riemann Integral of f on the interval [a, b].

Definition 2.1.2. Riemann Integrability Of A Bounded Function

Let f be a bounded function on the finite interval [a, b]. if there is a number I so that

lim S(f, πn , σn ) = I
n→∞

no matter what sequence of partitions {πn } with associated sequence of evaluation sets {σn }
we choose as long as limn → ∞ || πn || = 0, we will say that the Riemann Integral of f on
[a, b] exists and equals the value I.

The value I is dependent on the choice of f and interval [a, b]. So we often denote this value by I(f, [a, b])
or more simply as, I(f, a, b). Historically, the idea of the Riemann integral was developed using area
approximation as an application, so the summing nature of the Riemann Sum was denoted by the 16th
century letter S which resembled an elongated or stretched letter S which looked like what we call the
R
integral sign . Hence, the common notation for the Riemann Integral of f on [a, b], when this value
Rb
exists, is a f . We usually want to remember what the independent variable of f is also and we want to
remind ourselves that this value is obtained as we let the norm of the partitions go to zero. The symbol
dx for the independent variable x is used as a reminder that xi+1 − xi is going to zero as the norm of
Rb
the partitions goes to zero. So it has been very convenient to add to the symbol a f this information
Rb
and use the augmented symbol a f (x) dx instead. Hence, if the independent variable was t instead of

15
Integration Chapter 2:

Rb
x, we would use a f (t) dt. Since for a function f , the name we give to the independent variable is a
Rb
matter of personal choice, we see that the choice of variable name we use in the symbol a f (t) dt is
Rb
very arbitrary. Hence, it is common to refer to the independent variable we use in the symbol a f (t) dt
as the dummy variable of integration.
We need a few more facts. We shall prove later the following things are true about the Riemann
Integral of a bounded function. First, we know when a bounded function actually has a Riemann integral
from Theorem 2.1.1.

Theorem 2.1.1. Existence Of The Riemann Integral

Let f be a bounded function on the finite interval [a, b]. Then the Riemann integral of f on
Rb
[a, b], a f (t)dt exists if

1. f is continuous on [a, b]

2. f is continuous except at a finite number of points on [a, b].

Further, if f and g are both Riemann integrable on [a, b] and they match at all but a finite
Rb Rb
number of points, then their Riemann integrals match; i.e. a f (t)dt equals a g(t)dt.

The function given by Equation 2.1 is bounded but continuous nowhere on [−1, 1] and it is indeed
possible to prove it does not have a Riemann integral on that interval.
(
1 if t is a rational number
f (t) = (2.1)
−1 if t is an irrational number

However, most of the functions we want to work with do have a lot of smoothness, i.e. continuity and
even differentiability on the intervals we are interested in. Hence, Theorem 2.1.1 will apply. Here are
some examples:
R4
1. If f (t) is t2 on the interval [−2, 4], then −2
f (t)dt does exist as f is continuous on this interval.

2. If g was defined by
(
t2 −2 ≤ t < 1 and 1 < t ≤ 4
g(t) =
5 t = 1

we see g is not continuous at only one point and so it is Riemann integrable on [−2, 4]. Moreover,
since f and g are both integrable and match at all but one point, their Riemann integrals are
equal.

However, with that said, in this course, we want to relax the smoothness requirements on the
functions f we work with and define a more general type of integral for this less restricted class of
functions.

2.1.3 The Fundamental Theorem Of Calculus

There is a big connection between the idea of the antiderivative of a function f and its Riemann integral.
For a positive function f on the finite interval [a, b], we can construct the area under the curve function

16
Integration Chapter 2:

Rx
F (x) = a f (t) dt where for convenience we choose an x in the open interval (a, b). We show F (x) and
F (x + h) for a small positive h in Figure 2.4. Let’s look at the difference in these areas:

Z x+h Z x
F (x + h) − F (x) = f (t) dt − f (t) dt
a a
Z x Z x+h Z x
= f (t) dt + f (t) dt − f (t) dt
a x a
Z x+h
= f (t) dt
x

where we have used standard properties of the Riemann integral to write the first integral as two pieces
and then do a subtraction. Now divide this difference by the change in x which is h. We find
x+h
F (x + h) − F (x)
Z
1
= f (t) dt (2.2)
h h x

R x+h
The difference in area, x
f (t) dt, is the second shaded area in Figure 2.4. Clearly, we have

Z x+h
F (x + h) − F (x) = f (t) dt (2.3)
x

We know that f is bounded on [a, b]; hence, there is a number B so that f (t) ≤ B for all t in [a, b].
Thus, using Equation 2.3, we see

Z x+h
F (x + h) − F (x) ≤ B dt = B h (2.4)
x

From this we can see that

lim (F (x + h) − F (x)) ≤ lim B h

h→0 h→0
= 0

We conclude that F is continuous at each x in [a, b] as

lim (F (x + h) − F (x)) = 0
h→0

It seems that the new function F we construct by integrating the function f in this manner, always
builds a new function that is continuous. Is F differentiable at x? If f is continuous at x, then given a
positive , there is a positive δ so that

f (x) −  < f (t) < f (x) +  if x − δ < t < x + δ

17
Integration Chapter 2:

and t is in [a, b]. So, if h is less than δ, we have

x+h x+h x+h

F (x + h) − F (x)
Z Z Z
1 1 1
(f (x) − ) < = f (t) dt < (f (x) + )
h x h h x h x

This is easily evaluated to give

x+h
F (x + h) − F (x)
Z
f (x) −  < = f (t) dt < f (x) + 
h x

if h is less than δ. This shows that

F (x + h) − F (x)
lim = f (x)
h → 0+ h

You should be able to believe that a similar argument would work for negative values of h: i.e.,

F (x + h) − F (x)
lim = f (x)
h → 0− h

This tells us that F 0 (x) exists and equals f (x) as long as f is continuous at x as

F (x + h) − F (x)
F 0 (x+ ) = lim = f (x)
h → 0+ h
F (x + h) − F (x)
F 0 (x− ) = lim = f (x)
h → 0− h

This relationship is called The Fundamental Theorem of Calculus. The same sort of argument
works for x equals a or b but we only need to look at the derivative from one side. We will prove this sort
of theorem using fairly relaxed assumptions on f for the interval [a, b] in the later Chapters. Even if we
just consider the world of Riemann Integration, we only need to assume that f is Riemann Integrable
on [a, b] which allows for jumps in the function.

Theorem 2.1.2. Fundamental Theorem Of Calculus

Rx
Let f be Riemann Integrable on [a, b]. Then the function F defined on [a, b] by F (x) = a
f (t)dt
satisfies

1. F is continuous on all of [a, b]

2. F is differentiable at each point x in [a, b] where f is continuous and F 0 (x) = f (x).

18
Integration Chapter 2:

A generic curve f on
the interval [a, b] which
is always positive. We
let F (x) be the area
under this curve from a
(b, f (b))
to x. This is indicated
(a, f (a)) by the shaded region.

F (x) F (x + h)

x x + h
a b

Figure 2.4: The Function F (x)

2.1.4 The Cauchy Fundamental Theorem Of Calculus

We can use the Fundamental Theorem of Calculus to learn how to evaluate many Riemann integrals.
Let G be an antiderivative of the function f on [a, b]. Then, by definition, G0 (x) = f (x) and so we know
G is continuous at each x. But we still don’t know that f itself is continuous. However, if we assume f
is continuous, then if we define F on [a, b] by

Z x
F (x) = f (a) + f (t) dt,
a

the Fundamental Theorem of Calculus, Theorem 2.1.2, is applicable. Thus, F 0 (x) = f (x) at each point.
But that means F 0 = G0 = f at each point. Functions whose derivatives are the same must differ by
a constant. Call this constant C. We thus have F (x) = G(x) + C. So, we have

19
Integration Chapter 2:

Z b
F (b) = f (a) + f (t)dt = G(b) + C
Zaa
F (a) = f (a) + f (t)dt = G(a) + C
a
Ra
But a
f (t) dt is zero, so we conclude after some rewriting

Z b
G(b) = f (a) + f (t)dt + C
a
G(a) = f (a) + C

And after subtracting, we find the important result

Z b
G(b) − G(a) = f (t)dt
a

This is huge! This is what tells us how to integrate many functions. For example, if f (t) = t3 , we can
guess the antiderivatives have the form t4 /4 + C for an arbitrary constant C. Thus, since f (t) = t3 is
continuous, the result above applies. We can therefore calculate Riemann integrals like these:

1.
3 3
t4 
Z
3
t dt =
1 4 1
34 14
= −
4 4
80
=
4

2.
4 4
t4 
Z
3
t dt =
−2 4 −2
44 (−2)4
= −
4 4
256 16
= −
4 4
240
=
4

Let’s formalize this as a theorem. All we really need to prove this result is that f is Riemann inte-
grable on [a, b], which is true if our function f is continuous.

Theorem 2.1.3. Cauchy Fundamental Theorem Of Calculus

Let G be any antiderivative of the Riemann integrable function f on the interval [a, b]. Then
Rb
G(b) − G(a) = a f (t) dt.

20
Integration Chapter 2:

2.1.5 Applications
With the Cauchy Fundamental Theorem of Calculus under our belt, we can guess a lot of antiderivatives
and from that know how to evaluate many Riemann integrals. Let’s get started.

1. It is easy to guess the antiderivative of a power of t as we have already mentioned. We know the
antiderivative of the following are easy to figure out:

(a) If f (t) = t5 , then the antiderivative of f is any function of the form F (t) = t6 /6 + C where
C can be any constant.

(b) If f (t) = t−5 , it is still easy to guess the antiderivative which is F (t) = t−4 /(−4) + C,
where C is an arbitrary constant.

R
The common symbol for the antiderivative of f has evolved to be f because of the close connec-
tion between the antiderivative of f and the Riemann integral of f which is given in the Cauchy
Rb
Fundamental Theorem of Calculus, Theorem 2.1.3. The usual Riemann integral, a f (t) dt of f on
Rb
[a, b] computes a definite value – hence, the symbol a f (t) dt is usually referred to as the definite
integral of f on [a, b] to contrast it with the family of functions represented by the antiderivative
R
f . Since the antiderivatives are arbitrary up to a constant, most of us refer to the antiderivative
as the indefinite integral of f . Also, we hardly ever say “let’s find the antiderivative of f ” –
instead, we just say, “let’s integrate f ”. We will begin using this shorthand now! We can state
these results as Theorem 2.1.4.

Theorem 2.1.4. Antiderivatives Of Simple Powers

If p is any power other than −1, then the antiderivative of f (t) = tp is F (t) = tp+1 /(p+1)+C.
This is also expressed as tp dt = tp+1 /(p + 1) + C
R

2. The Riemann integral of the function f on [a, b] can also be easily computed. We state this
Theorem 2.1.5

Theorem 2.1.5. Definite Integrals Of Simple Powers

Rb
If p is any power other than −1, then the definite integral of f (t) = tp on [a, b] is a
tp dt =
b

tp+1 /(p + 1)
a

3. The simple trigonometric functions sin(t) and cos(t) also have straightforward antiderivatives as
shown in Theorem 2.1.6.

Theorem 2.1.6. Antiderivatives of Simple Trigonometric Functions

(a) The antiderivative of sin(t) equals − cos(t) + C

(b) The antiderivative of cos(t) equals sin(t) + C

4. The definite integrals of the sin and cos functions are then:

21
Integration Chapter 2:

Theorem 2.1.7. Definite Integrals Of Simple Trigonometric Functions

b
Rb 
(a) a
sin(t) dt is − cos(t)
a
b
Rb 
(b) a cos(t) is sin(t)
a

2.1.6 Simple Substitution Techniques

We can use the tools above to figure out how to integrate many functions that seem complicated but
instead are just disguised versions of simple power function integrations. Let’s go through some in great
detail.

(t2 + 1) 2t dt
R
Exercise 2.1.1. Compute

Solution 2.1.1. When you look at this integral, you should train yourself to see the simpler integral
u du where u(t) = t2 + 1. Here are the steps:
R

1. We make the change of variable u(t) = t2 + 1. Now differentiate both sides to see u0 (t) = 2t.
Thus, we have
Z Z
(t2 + 1) 2t dt = u(t) u0 (t) dt

2. Now recall the chain rule for powers of functions, we know

0
(u(t))2 (t) = 2 u(t) u0 (t)

Thus,

1
0
u(t) u0 (t) = (u(t))2 (t)
2
This then tells us that
Z Z
2
(t + 1) 2t dt = u(t) u0 (t) dt
Z
1
0
= (u(t))2 (t)dt
2

0
(u(t))2 (t)dt is just our way of asking for the antiderivative of the function
R
Now, the notation
behind the integral sign. Here, that function is (u2 )0 . This antiderivative is, of course, just u2 !

22
Integration Chapter 2:

Plugging that into the original problem, we find

Z Z
(t2 + 1) 2t dt = u(t) u0 (t) dt
Z
1
0
= (u(t))2 (t)dt
2
1 2
= u (t) + C
2
1 2
= (t + 1)2 + C
2

Whew!! That was awfully complicated looking. Let’s do it again in a bit more streamlined fashion.
Note all of the steps we go through below are the same as the longer version above, but since we write
less detail down, it is much more compact. You need to get very good at understanding and doing all
these steps!! Here is the second version:

Solution 2.1.2. 1. We make the change of variable u(t) = t2 + 1. But we write this more simply
as u = t2 + 1 so that the dependence of u on t is implied rather than explicitly stated. This
simplifies our notation already! Now differentiate both sides to see u0 (t) = 2t. We will write
this as du = 2t dt, again hiding the t variable, using the fact that du
dt = 2t can be written in its
differential form (you should have seen this idea in your first Calculus course). Thus, we have
Z Z
2
(t + 1) 2t dt = u du

2. The antiderivative of u is u2 /2 + C and so we have

Z Z
(t2 + 1) 2t dt = u du
1 2
= u + C
2
1 2
= (t + 1)2 + C
2

Now let’s try one a bit harder:

(t2 + 1)3 4dt

R
Exercise 2.1.2. Compute

Solution 2.1.3. When you look at this integral, again you should train yourself to see the simpler
integral 2 u3 du where u(t) = t2 + 1. Here are the steps: first, the detailed version
R

1. We make the change of variable u(t) = t2 + 1. Now differentiate both sides to see u0 (t) = 2t.
Thus, we have
Z Z
2
(t + 1) 4dt3
= 2 u3 (t) u0 (t) dt

23
Integration Chapter 2:

2. Now recall the chain rule for powers of functions, we know

0
(u(t))4 (t) = 4 u3 (t) u0 (t)

Thus,

1
0
2 u3 (t) u0 (t) = 2 (u(t))4 (t)
4
This then tells us that
Z Z
(t2 + 1)3 4dt = 2 u3 (t) u0 (t) dt
Z
1
0
= (u(t))4 (t)dt
2

0
(u(t))4 (t)dt is just our way of asking for the antiderivative of the function
R
Now, the notation
behind the integral sign. Here, that function is (u4 )0 . This antiderivative is, of course, just u4 !
Plugging that into the original problem, we find
Z Z
2
(t + 1) 4dt3
= 2 u3 (t) u0 (t) dt
1 4
= u (t) + C
2
1 2
= (t + 1)4 + C
2

Again, this was awfully complicated looking. the streamlined version is as follows:

1. We make the change of variable u(t) = t2 + 1. Now differentiate both sides to see u0 (t) = 2t
and write this as du = 2t dt. Thus, we have
Z Z
(t2 + 1)3 4dt = 2 u3 du

2. The antiderivative of u3 is u4 /4 + C and so we have

Z Z
(t2 + 1)3 4dt = 2 u3 du
1 4
= u + C
2
1 2
= (t + 1)4 + C
2

Now let’s do one the short way only.

R √
Exercise 2.1.3. Compute t2 + 1 3t dt.

24
The Riemann Integral of Functions With Jumps Chapter 2:

Solution 2.1.4. When you look at this integral, again you should train yourself to see the simpler
integral 3/2 u1/2 du where u(t) = t2 + 1. Here are the steps: we know du = 2t dt. Thus
R

Z p Z
3 1
t2 + 1 3t dt = u 2 du
2
3 1 3
= u2 + C
2 32
3 2 2 3
= (t + 1) 2 + C
2 3

sin(t2 + 1) 5t dt.
R
Exercise 2.1.4. Compute

Solution 2.1.5. When you look at this integral, again you should train yourself to see the simpler
integral 5/2 sin(u) du where u(t) = t2 + 1. Here are the steps: we know du = 2t dt. Thus
R

Z Z
2 5
sin(t + 1) 5t dt = sin(u) du
2
5
= (− cos(u)) + C
2
5
= − cos(t2 + 1) + C
2
Now let’s do a definite integral:
R5
Exercise 2.1.5. Compute 1
(t2 + 2t + 1)2 (t + 1) dt.

Solution 2.1.6. When you look at this integral, again you should train yourself to see the simpler
integral 1/2 u2 du where u(t) = t2 + 2t + 1. Here are the steps: we know du = (2t + 2)dt. Thus
R

Z 5 Z t=5
1
(t2 + 2t + 1)2 (t + 1) dt = u2 du
1 2 t=1

where we label the bottom and top limit of the integral in terms of the t variable to remind ourselves that
the original integration was respect to t. Then,

t=5
1 u3 t=5
Z
1
u2 du = |
2 t=1 2 3 t=1
5
1 1 2
(t + 1)3 

=
2 3 1
1 3 3


= (26) − 2
6
We will prove general substitution theorems for Riemann Integrable functions later. But it is really
just an application of the chain rule!

2.2 The Riemann Integral of Functions With Jumps

Now let’s look at the Riemann integral of functions which have points of discontinuity.

25
The Riemann Integral of Functions With Jumps Chapter 2:

2.2.1 Removable Discontinuity

Consider the function f defined on [−2, 5] by


 2t
 −2 ≤ t < 0
f (t) = 1 t = 0

(1/5)t2 0 < t ≤ 5


Rt
Let’s calculate F (t) = −2
f (s) ds. This will have to be done in several parts because of the way f
is defined.

1. On the interval [−2, 0], note that f is continuous except at one point, t = 0. Hence, f is Riemann
integrable by Theorem 2.1.1. Also, the function 2t is continuous on this interval and so is also
Riemann integrable. Then since f on [−2, 0] and 2t match at all but one point on [−2, 0], their
Riemann integrals must match. Hence, if t is in [−2, 0], we compute F as follows:
Z t
F (t) = f (s) ds
−2
Z t
= 2s ds
−2
t
2

= s 
−2
= t2 − (−2)2 = t2 − 4

2. On the interval [0, 5], note that f is continuous except at one point, t = 0. Hence, f is Riemann
integrable by Theorem 2.1.1. Also, the function (1/5)t2 is continuous on this interval and is
therefore also Riemann integrable. Then since f on [0, 5] and (1/5)t2 match at all but one point
on [0, 5], their Riemann integrals must match. Hence, if t is in [0, 5], we compute F as follows:
Z t
F (t) = f (s) ds
−2
Z 0 Z t
= f (s) ds + f (s) ds
−2 0
Z 0 Z t
= 2s ds + (1/5)s2 ds
−2 0
0 t
2 3
 
= s  + (1/15)s 
−2 0
3
= −4 + t /15

Thus, we have found that

(
t2 − 4 −2 ≤ t < 0
F (t) =
t3 /15 − 4 0 < t ≤ 5

26
The Riemann Integral of Functions With Jumps Chapter 2:

Note, we didn’t define F at t = 0 yet. Since f is Riemann Integrable on [−2, 5], we know from the
Fundamental Theorem of Calculus, Theorem 2.1.2, that F must be continuous. Let’s check. F is clearly
continuous on either side of 0 and we note that limt → 0− F (t) which is F (0− ) is −4 which is exactly the
value of F (0+ ). Hence, F is indeed continuous at 0 and we can write

(
t2 − 4 −2 ≤ t ≤ 0
F (t) =
t3 /15 − 4 0 ≤ t ≤ 5

What about the differentiability of F ? The Fundamental Theorem of Calculus guarantees that F has a
derivative at each point where f is continuous and at those points F 0 (t) = f (t). Hence, we know this
is true at all t except 0. Note at those t, we find

(
0 2t −2 ≤ t < 0
F (t) =
(1/5)t2 0 < t ≤ 5

which is exactly what we expect. Also, note F 0 (0− ) = 0 and F 0 (0+ ) = 0 as well. Hence, since the right
and left hand derivatives match, we see F 0 (0) does exist and has the value 0. But this is not the same
as f (0) = 1. Note, F is not the antiderivative of f on [−2, 5] because of this mismatch.

2.2.2 Jump Discontinuity

Now consider the function f defined on [−2, 5] by

 2t
 −2 ≤ t < 0
f (t) = 1 t = 0

2 + (1/5)t2 0 < t ≤ 5


Rt
Let’s calculate F (t) = −2
f (s) ds. Again, this will have to be done in several parts because of the
way f is defined.

1. On the interval [−2, 0], note that f is continuous except at one point, t = 0. Hence, f is Riemann
integrable by Theorem 2.1.1. Also, the function 2t is continuous on this interval and hence is also
Riemann integrable. Then since f on [−2, 0] and 2t match at all but one point on [−2, 0], their
Riemann integrals must match. Hence, if t is in [−2, 0], we compute F as follows:
Z t
F (t) = f (s) ds
−2
Z t
= 2s ds
−2
t
2

= s 
−2
= t2 − (−2)2 = t2 − 4

2. On the interval [0, 5], note that f is continuous except at one point, t = 0. Hence, f is Riemann
integrable by Theorem 2.1.1. Also, the function 2 + (1/5)t2 is continuous on this interval and so

27
The Riemann Integral of Functions With Jumps Chapter 2:

is also Riemann integrable. Then since f on [0, 5] and 2 + (1/5)t2 match at all but one point on
[0, 5], their Riemann integrals must match. Hence, if t is in [0, 5], we compute F as follows:
Z t
F (t) = f (s) ds
−2
Z 0 Z t
= f (s) ds + f (s) ds
−2 0
Z 0 Z t
= 2s ds + (2 + (1/5)s2 ) ds
−2 0
0 t
2 3
 
= s  + (2s + (1/15)s )
−2 0
= −4 + 2t + t3 /15

Thus, we have found that

(
t2 − 4 −2 ≤ t < 0
F (t) =
−4 + 2t + t3 /15 0 < t ≤ 5

As before, we didn’t define F at t = 0 yet. Since f is Riemann Integrable on [−2, 5], we know from the
Fundamental Theorem of Calculus, Theorem 2.1.2, that F must be continuous. F is clearly continuous
on either side of 0 and we note that limt → 0− F (t) which is F (0− ) is −4 which is exactly the value of
F (0+ ). Hence, F is indeed continuous at 0 and we can write

(
t2 − 4 −2 ≤ t ≤ 0
F (t) =
−4 + 2t + t3 /15 0 ≤ t ≤ 5

What about the differentiability of F ? The Fundamental Theorem of Calculus guarantees that F has a
derivative at each point where f is continuous and at those points F 0 (t) = f (t). Hence, we know this
is true at all t except 0. Note at those t, we find

(
0 2t −2 ≤ t < 0
F (t) =
2 + (1/5)t2 0 < t ≤ 5

which is exactly what we expect. However, when we look at the one sided derivatives, we find F 0 (0− ) = 0
and F 0 (0+ ) = 2. Hence, since the right and left hand derivatives do not match, we see F 0 (0) does not
exist. Finally, note F is not the antiderivative of f on [−2, 5] because of this mismatch.

28
The Riemann Integral of Functions With Jumps Chapter 2:

2.2.3 Homework
Rt
Exercise 2.2.1. Compute −3
f (s) ds for

 3t
 −3 ≤ t < 0
f (t) = 6 t = 0

(1/6)t2 0 < t ≤ 6


1. Graph f and F carefully labeling all interesting points.

2. Verify that F is continuous and differentiable at all points but F 0 (0) does not match f (0) and so
F is not the antiderivative of f on [−3, 6]
Rt
Exercise 2.2.2. Compute 0
f (s) ds for

 −2t
 2 ≤ t < 5
f (t) = 12 t = 5

3t − 25 5 < t ≤ 10


1. Graph f and F carefully labeling all interesting points.

2. Verify that F is continuous and differentiable at all points but F 0 (5) does not match f (5) and so
F is not the antiderivative of f on [2, 10]
Rt
Exercise 2.2.3. Compute −3
f (s) ds for

 3t
 −3 ≤ t < 0
f (t) = 6 t = 0

(1/6)t2 + 2 0 < t ≤ 6


1. Graph f and F carefully labeling all interesting points.

2. Verify that F is continuous and differentiable at all points except 0 and so F is not the antideriva-
tive of f on [−3, 6]
Rt
Exercise 2.2.4. Compute 0
f (s) ds for

 −2t
 2 ≤ t < 5
f (t) = 12 t = 5

3t 5 < t ≤ 10


1. Graph f and F carefully labeling all interesting points.

2. Verify that F is continuous and differentiable at all points except 5 and so F is not the antideriva-
tive of f on [2, 10]

29
The Riemann Integral of Functions With Jumps Chapter 2:

30
Chapter 3
Functions Of Bounded Variation

Now that we have seen a quick overview of what Riemann Integration entails, let’s go back and look at
it very carefully. This will enable us to extend it to a more general form of integration called Riemann
- Stieljes. From what we already know about Riemann integrals, the Riemann integral is a mapping
φ which is linear and whose domain is some subspace of the vector space of all bounded functions. Let
B[a, b] denote this vector space which is a normed linear space using the usual infinity norm. The set of
all Riemann Integrable Functions can be denoted by the symbol RI[a, b] and we know it is a subspace of
B[a, b]. We also know that the subspace C[a, b] of all continuous functions on [a, ] is contained in RI[a, b].
In fact, if P C[a, b] is the set of all functions on [a, b] that are piecewise continuous, then P C[a, b] is also a
vector subspace contained in RI[a, b]. Hence, we know φ : RI[a, b] ⊆ B[a, b] → < is a linear functional
on the subspace RI[a, b]. Also, if f is not zero, then
Rb Rb
| a
f (t) dt | a
| f (t) | dt
≤
|| f ||∞ || f ||∞
Rb
|| f ||∞ dt
a
≤
|| f ||∞
= b−a

Thus, we see that || φ ||op is finite and φ is a bounded linear functional on a subspace of B[a, b] if we
use the infinity norm on RI[a, b]. But of course, we can choose other norms. There are clearly many
functions in B[a, b] that do not fit nicely into the development process for the Riemann Integral. So let
N I[a, b] denote a new subspace of functions which contains RI[a, b]. We know that the Riemann integral
satisfies an important idea in analysis called limit interchange. That is, if a sequence of functions
{fn } from RI[a, b] converges in infinity norm to f that the following facts hold:

1. f is also in RI[a, b]

31
Partitions Chapter 3:

2. the classic limit interchange holds:

Z b Z b  
lim fn (t) dt = lim fn (t) dt
n→∞ a a n→∞

We can say this more abstractly as this: if fn → f in || · ||∞ in RI[a, b], then f remains in RI[a, b]
and
 
lim φ (fn ) = φ lim fn
n→∞ n→∞

But if we wanted to extend φ to the larger subspace N I[a, b] in such a way that it remained a bounded
linear functional, we would also want to know what kind of sequence convergence we should use in order
for the interchange ideas to work. There are lots of questions:

1. Do we need to impose a norm on our larger subspace N I[a, b]?

2. Can we characterize the subspace N I[a, b] in some fashion?

3. If the extension is called φ̂, we want to make sure that φ̂ is exactly φ when we restrict our attention
to functions in RI[a, b]

Also, do we have to develop integration only on finite intervals [a, b] of <? How do we even extend
traditional Riemann integration to unbounded intervals of <? All of these questions will be answered in
the upcoming chapters, but first we will see how far we can go with the traditional Riemann approach.
We will also see where the Riemann integral approach breaks down and makes us start to think of more
general tools so that we can get our work done.

3.1 Partitions
Definition 3.1.1. Partition
A partition of the finite interval [a, b] is a finite collection of points, {x0 , . . . , xn }, ordered
so that a = x0 < x1 < · · · < xn = b. We denote the partition by π and call each point xi a
partition point.

For each j = 1, . . . , n−1, we let ∆xj = xj+1 −xj . The collection of all finite partitions of [a, b] is denoted
Π[a, b].

Definition 3.1.2. Partition Refinements

The partition π1 = {y0 , . . . , ym } is said to be a refinement of the partition π2 = {x0 , . . . , xn }
if every partition point xj ∈ π2 is also in π1 . If this is the case, then we write π2  π1 , and
we say that π1 is finer than π2 or π2 is coarser than π1 .

Definition 3.1.3. Common Refinement

Given π1 , π2 ∈ Π[a, b], there is a partition π3 ∈ Π[a, b] which is formed by taking the union of
π1 and π2 and using common points only once. We call this partition the common refinement
of π1 and π2 and denote it by π3 = π1 ∨ π2 .

32
Monotone Functions Chapter 3:

Comment 3.1.1. The relation  is a partial ordering of Π[a, b]. It is not a total ordering, since
not all partitions are comparable. There is a coarsest partition, also called the trivial partition. It is
given by π0 = {a, b}. We may also consider uniform partitions of order k. Let h = (b − a)/k. Then
π = {x0 = a, x0 + h, x0 + 2h, . . . , xk−1 = x0 + (k − 1)h, xk = b}.

Proposition 3.1.1. Refinements and Common Refinements

If π1 , π2 ∈ Π[a, b], then π1  π2 if and only if π1 ∨ π2 = π2 .

Proof. If π1  π2 , then π1 = {x0 , . . . , xp } ⊂ {y0 , . . . , yq } = π2 . Thus, π1 ∪ π2 = π2 , and we have

π1 ∨ π2 = π2 . Conversely, suppose π1 ∨ π2 = π2 . By definition, every point of π1 is also a point of
π1 ∨ π2 = π2 . So, π1  π2 . 

Definition 3.1.4. The Gauge or Norm of a Partition

For π ∈ Π[a, b], we define the gauge of π, denoted kπk, by kπk = max{∆xj : 1 ≤ j ≤ p}.

3.1.1 Homework
Exercise 3.1.1. Prove that the relation  is a partial ordering of Π[a, b].

Exercise 3.1.2. Fix π1 ∈ Π[a, b]. The set C(π1 ) = {π ∈ Π[a, b] : π1  π} is called the core determined
by π1 . It is the set of all partitions of [a, b] that contain (or are finer than) π1 .

1. Prove that if π1  π2 , then C(π2 ) ⊂ C(π1 ).

2. Prove that if kπ1 k < , then kπk <  for all π ∈ C(π1 ).
3. Prove that if kπ1 k <  and π2 ∈ Π[a, b], then kπ1 ∨ π2 k < .

3.2 Monotone Functions

In our investigations of how monotone functions behave, we will need two fundamental facts about
infimum and supremum of a set of numbers which are given in Lemma 3.2.1 and Lemma 3.2.2.

Lemma 3.2.1. The Infimum Tolerance Lemma

Let S be a nonempty set of numbers that is bounded below. Then given any tolerance , there
is at least one element s in S so that

inf(S) ≤ s < inf(S) + 

Proof. This is an easy proof by contradiction. Assume there is some  so that no matter what s from
S we choose, we have

s ≥ inf(S) + 

This says that inf(S) +  is a lower bound for S and so by definition, inf(S) must be bigger than or equal
to this lower bound. But this is clearly not possible. So the assumption that such a tolerance  exists is
wrong and the conclusion follows. 

33
Monotone Functions Chapter 3:

and

Lemma 3.2.2. The Supremum Tolerance Lemma

Let T be a nonempty set of numbers that is bounded above. Then given any tolerance , there
is at least one element t in T so that

sup(T ) −  < t ≤ sup(T )

Proof. This again is an easy proof by contradiction and we include it for completeness. Assume there
is some  so that no matter what t from T we choose, we have

t ≤ sup(T ) − 

This says that sup(T ) −  is an upper bound for T and so by definition, sup(T ) must be less than or
equal to this upper bound. But this is clearly not possible. So the assumption that such a tolerance 
exists is wrong and the conclusion must follow. 

We are now in a position to discuss carefully monotone functions and other functions built from
them. We follow discussions in (Douglas (2) 1996) at various places.

Definition 3.2.1. Monotone Functions

A real-valued function f : [a, b] → R is said to be increasing (respectively, strictly increasing)
if x1 , x2 ∈ [a, b], x1 < x2 ⇒ f (x1 ) ≤ f (x2 ) (respectively, f (x1 ) < f (x2 )). Similar definitions
hold for decreasing and strictly decreasing functions.

Theorem 3.2.3. A Monotone Function Estimate

Let f be increasing on [a, b], and let π = {x0 , . . . , xp } be in Π[a, b]. For any c ∈ [a, b], define

f (c+ ) = lim+ f (x) and f (c− ) = lim− f (x),

x→c x→c
− +
where we define f (a ) = f (a) and f (b ) = f (b). Then
p
X
−
[f (x+
j ) − f (xj )] ≤ f (b) − f (a).
j=0

Proof. First, we note that f (x+ ) and f (x− ) always exist. The proof of this is straightforward. For
x ∈ (a, b], let Tx = {f (y) : a ≤ y < x}. Then Tx is bounded above by f (x), since f is monotone
increasing. Hence, Tx has a well-defined supremum. Let  > 0 be given. Then, using the Supremum
Tolerance Lemma, Lemma 3.2.2, there is a y ∗ ∈ [a, x) such that sup Tx −  < f (y ∗ ) ≤ sup Tx . For any
y ∈ (y ∗ , x), we have f (y ∗ ) ≤ f (y) since f is increasing. Thus, 0 ≤ (sup Tx −f (y)) ≤ (sup Tx −f (y ∗ )) < 
for y ∈ (y ∗ , x). Let δ = (x − y ∗ )/2. Then, if 0 < x − y < δ, sup Tx − f (y) < . Since  was arbitrary,
this shows that limy→x− f (y) = supTx . The proof for f (x+ ) is similar, using the Infimum Tolerance
Lemma, Lemma 3.2.1. You should be able to see that f (x− ) is less than or equal to f (x+ ) for all x. We
will define f (a− ) = f (a) and f (b+ ) = f (b) since f is not defined prior to a or after b.

34
Monotone Functions Chapter 3:

To prove the stated result holds, first choose an arbitrary yj ∈ (xj , xj+1 ) for each j = 0, . . . , p − 1.
Then, since f is increasing, for each j = 1, . . . , p, we have f (yj−1 ) ≤ f (x− +
j ) ≤ f (xj ) ≤ f (yj ). Thus,

−
f (x+
j ) − f (xj ) ≤ f (yj ) − f (yj−1 ). (3.1)

We also have f (a) ≤ f (a+ ) ≤ f (y0 ) and f (yp−1 ) ≤ f (b− ) ≤ f (b). Thus, it follows that

p
X p−1
X
− − − −
f (x+ = f (x+ [f (x+ +


j ) − f (xj ) 0 ) − f (x0 ) + j − f (xj )] + f (xp ) − f (xp )
j=0 j=1
p−1
X
≤ f (a+ ) − f (a− ) + [f (yj − f (yj−1 )] + f (b+ ) − f (b− )
j=1

using Equation 3.1 and replacing x0 by a and xp with b. We then note the sum on the right hand side
collapses to f (yp−1 ) − f (y0 ). Finally, since f (a− ) = f (a) and f (b+ ) = f (b), we obtain

p
X
−
f (x+ ≤ f (a+ ) − f (a) + f (yp−1 ) − f (y0 ) + f (b) − f (b− )


j ) − f (xj )
j=0

≤ f (y0 ) − f (a) + f (yp−1 ) − f (b− ) + f (b) − f (y0 )

≤ f (b) − f (a) + f (yp−1 ) − f (b− ).

But f (yp−1 ) − f (b− ) ≤ 0, so

p
X
−
f (x+


j ) − f (xj ) ≤ f (b) − f (a).
j=0

Theorem 3.2.4. A Monotone Function Has A Countable Number of Discontinuities

If f is monotone on [a, b], the set of discontinuities of f is countable.

Proof. For concreteness, we assume f is monotone increasing. The decreasing case is shown similarly.
Since f is monotone increasing, the only types of discontinuities it can have are jump discontinuities.
If x ∈ [a, b] is a point of discontinuity, then the size of the jump is given by f (x+ ) − f (x− ). Define
Dk = {x ∈ (a, b) : f (x+ ) − f (x− ) > 1/k}, for each integer k ≥ 1. We want to show that Dk is finite.
Select any finite subset S of Dk and label the points in S by x1 , . . . , xp with x1 < x2 < · · · < xp . If
we add the point x0 = a and xp+1 = b, these points determine a partition π. Hence, by Theorem 3.2.3,
we know that

p
X X
− −
[f (x+
j ) − f (xj )] ≤ [f (x+
j ) − f (xj )] ≤ f (b) − f (a).
j=1 π

35
Monotone Functions Chapter 3:

−
But each jump satisfies f (x+
j ) − f (xj ) > 1/k and there are a total of p such points in S. Thus, we must
have

p
X
−
p/k < [f (x+
j ) − f (xj )] ≤ f (b) − f (a).
j=1

Hence, p/k < f (b)−f (a), implying that p < k[f (b)−f (a)]. Thus, the cardinality of S is bounded above by
the fixed constant k[f (b) − f (a)]. Let N̂ be the first positive integer bigger than or equal to k[f (b) − f (a)].
If the cardinality of Dk were infinite, then there would be a subset T of Dk with cardinality N̂ + 1. The
argument above would then tell us that N̂ + 1 ≤ k[f (b) − f (a)] ≤ N̂ giving a contradiction. Thus, Dk
must be a finite set. This means that D = ∪∞ k=1 Dk is countable also.
Finally, if x is a point where f is not continuous, then f (x+ ) − f (x− ) > 0. Hence, there is a positive
integer k0 so that f (x+ ) − f (x− ) > 1/k0 . This means x is in Dk0 and so is in D. 

Definition 3.2.2. The Discontinuity Set Of A Monotone Function

Let f be monotone increasing on [a, b]. We will let S denote the set of discontinuities of f on
[a, b]. We know this set is countable by Theorem 3.2.4 so we can label it as S = {xj }. Define
functions u and v on [a, b] by
(
0, x=a
u(x) = −
f (x) − f (x ), x ∈ (a, b]
(
f (x+ ) − f (x), x ∈ [a, b)
v(x) =
0, x=b

In Figure 3.1, we show a monotone increasing function with several jumps. You should be able to
compute u and v easily at these jumps.
There are several very important points to make about these functions u and v which are listed
below.

Comment 3.2.1.

1. Note that u(x) is the left-hand jump of f at x ∈ (a, b] and v(x) is the right-hand jump of f at
x ∈ [a, b) .

2. Both u and v are nonnegative functions and u(x) + v(x) = f (x+ ) − f (x− ) is the total jump in f
at x, for x ∈ (a, b) .

3. Moreover, f is continuous at x from the left if and only if u(x) = 0, and f is continuous from the
right at x if and only if v(x) = 0 .

4. Finally, f is continuous on [a, b] if and only if u(x) = v(x) = 0 on [a, b] .

Now, let S0 be any finite subset of S. From Theorem 3.2.3, we have

36
Monotone Functions Chapter 3:

16 (b, f (b))
15

12

11

10
A generic curve f
on the interval [a, b]
which is always pos-
8 itive. We show four
7.5 points of discontinu-
7
ity x1 , x2 , x3 and x4 .
Note u(x1 ) = 0.5,
u(x2 ) = 0.5, u(x3 ) = 1
and u(x4 ) = 1. Also,
we see v(x1 ) = 0.5,
4
3.5 v(x2 ) = 0.5, v(x3 ) = 1
3 and v(x4 ) = 0.

(a, f (a))
x1 x2 x43 x4 = b
a

Figure 3.1: The Function F (x)

X
f (x+ ) − f (x− ) ≤ f (b) − f (a)
x∈S0

This implies
X
u(x) + v(x) ≤ f (b) − f (a)
x∈S0
X X
u(x) + v(x) ≤ f (b) − f (a).
x∈S0 x∈S0

The above tells us that the set of numbers we get by evaluating this sum over finite subsets of S is

37
Monotone Functions Chapter 3:

Pn Pn
bounded above by the number f (b) − f (a). Hence, j=1 u(xj ) and j=1 v(xj ) are bounded above by
f (b) − f (a) for all n. Thus, these sets of numbers have a finite supremum. But u and v are nonnegative
functions, so these sums form monotonically increasing sequences. Hence, these sequences converge to
P∞ P∞
their supremum which we label as j=1 u(xj ) and j=1 v(xj ).
Now, consider a nonempty subset, T , of [a, b], and suppose F ⊂ S ∩ T is finite. Then, by the
arguments already presented, we know that

X X
u(xj ) + v(xj ) ≤ f (b) − f (a). (3.2)
xj ∈F xj ∈F

This implies

X X
u(xj ) ≤ f (b) − f (a) and v(xj ) ≤ f (b) − f (a).
xj ∈F xj ∈F

From this, it follows that

X X
u(xj ) = sup{ u(xj ) : F ⊂ S ∩ T, F finite}.
xj ∈S∩T xj ∈F

Likewise, we also have

X X
v(xj ) = sup{ v(xj ) : F ⊂ S ∩ T, F finite}.
xj ∈S∩T xj ∈F

Definition 3.2.3. The Saltus Function Associated With A Monotone Function

For x, y ∈ [a, b] with x < y, define

S[x, y] = S ∩ [x, y], S[x, y) = S ∩ [x, y), S(x, y] = S ∩ (x, y] and S(x, y) = S ∩ (x, y)

Then, define the function Sf : [a, b] → R by

(
f (a), x=a
Sf (x) = P P
f (a) + xj ∈S(a,x] u(xj ) + xj ∈S[a,x) v(xj ), a < x≤b

We call Sf the Saltus Function associated with the monotone increasing function f .

Intuitively, Sf (x) is the sum of all of the jumps (i.e. discontinuities) up to and including the left-hand
jump at x. In essence, it is a generalization of the idea of a step function.

38
Monotone Functions Chapter 3:

Theorem 3.2.5. Properties of The Saltus Function

Let f : [a, b] → R be monotone increasing. Then

1. Sf is monotone increasing on [a, b];

2. if x < y, with x, y ∈ [a, b], then 0 ≤ Sf (y) − Sf (x) ≤ f (y) − f (x);

3. Sf is continuous on S c ∩ [a, b] where S c is the complement of the set S.

Proof. Suppose x < y. Then

X X X X
Sf (y) − Sf (x) = u(xj ) − u(xj ) + v(xj ) − v(xj )
xj ∈S(a,y] xj ∈S(a,x] xj ∈S[a,y) xj ∈S[a,x)
X X
= u(xj ) + v(xj )
xj ∈S(x,y] xj ∈S[x,y)
≥ 0.

This proves the first statement. Now, suppose x, y ∈ [a, b] with x < y. Let F be a subset of [a, b] that
consists of a finite number of points of the form F = {x0 = x, x1 , . . . , xp = y}, such that x = x0 < x1 <
· · · < xp = y. In other words, F is a partition of [x, y]. Then, by Equation 3.2 we know
X X
u(xj ) + v(xj ) ≤ f (y) − f (x).
xj ∈F ∩S(x,y] xj ∈F ∩S[x,y)

Taking the supremum of the left-hand side over all such sets, F , we obtain
X X
u(xj ) + v(xj ) ≤ f (y) − f (x).
xj ∈S(x,y] xj ∈S[x,y)

But by the remarks made in the first part of this proof, this sum is exactly Sf (y) − Sf (x). We conclude
that Sf (y) − Sf (x) ≤ f (y) − f (x) as desired.
Finally, let x be a point in S c ∩ [a, b]. Then f is continuous at x, so, given  > 0, there is a δ > 0
such that y ∈ [a, b] and |x − y| < δ ⇒ |f (x) − f (y)| < . But by the second part of this proof, we have
|Sf (x) − Sf (y)| ≤ |f (y) − f (x)| < . Thus, Sf is continuous at x. 

So, why do we care about Sf ? The function Sf measures, in a sense, the degree to which f fails
to be continuous. If we subtract Sf from f , we would be subtracting its discontinuities, resulting in a
continuous function that behaves similarly to f .

Definition 3.2.4. The Continuous Part of A Monotone Function

Define fc : [a, b] → R by fc (x) = f (x) − Sf (x).

Theorem 3.2.6. Properties of fc

1. fc is monotone on [a, b].

2. fc is continuous also.

39
Monotone Functions Chapter 3:

Proof. The proof that fc is monotone is left to you as an exercise with this generous hint:

Hint. Note if x < y in [a, b], then

fc (y) − fc (x) = (f (y) − f (x)) − (Sf (y) − Sf (x)) .

The right hand side is non negative by Theorem 3.2.5. 

To prove fc is continuous is a bit tricky. We will do most of the proof but leave a few parts for you
to fill in.
Pick any x in [a, b) and any positive . Since the f (x+ ) exists, there is a positive δ so that 0 ≤
f (y) − f (x+ ) <  if x < y < x + δ. Thus, for such y,

fc (y) − fc (x) = [f (y) − Sf (y)] − [f (x) − Sf (x)]

 
 X X 
= f (y) − u(xj ) + v(xj )
 
xj ∈S(a,y] xj ∈S[a,y)
 
 X X 
− f (x) + u(xj ) + v(xj ).
 
xj ∈S(a,x] xj ∈S[a,x)

Recall, S(a, y] = S(a, x] ∪ S(x, y] and S[a, y) = S[a, x) ∪ S[x, y). So,
 
 X X 
fc (y) − fc (x) = f (y) − u(xj ) + v(xj ) − f (x)
 
xj ∈S(x,y] xj ∈S[x,y)

Now, the argument reduces to two cases:

1. if y and x are points of discontinuity, we get

 
 X X 
fc (y) − fc (x) = f (y) − u(y) − u(xj ) + v(xj ) − f (x) − v(x)
 
xj ∈S(x,y) xj ∈S(x,y)
 
 X X 
= f (y) − (f (y) − f (y − )) − u(xj ) + v(xj ) − f (x) − (f (x+ ) − f (x))
 
xj ∈S(x,y) xj ∈S(x,y)
− +
≤ f (y ) − f (x )
≤ f (y) − f (x+ ) < 

2. if either x and/ or y are not a point of discontinuity, a similar argument holds

Thus, we see fc is continuous from the right at this x. Now use a similar argument to show continuity
from the left at x. Together, these arguments show fc is continuous at x. 

40
Monotone Functions Chapter 3:

3.2.1 Worked Out Example

Let’s define f on [0, 2] by



 −2 x = 0

3
x 0 < x < 1




f (x) = 9/8 x = 1
 4
x /4 + 1 1 < x < 2





7 x = 2


1. Find u and v

2. Find Sf

3. Find fc

4. Following the discussion in Section 2.2 explain how to compute the Riemann Integral of f and
find its value (yes, this is in the careful rigorous section and so this problem is a bit out of place,
but we will be dotting all of our i’s and crossing all of our t’s soon enough!)

Solution 3.2.1. First, note f (0− ) = −2, f (0) = −2 and f (0+ ) = 0 and so 0 is a point of discontinuity.
Further, f (1− ) = 1, f (1) = 2 and f (1+ ) = 5/4 giving another point of discontinuity at 1. Finally,
since f (2− ) = 5, f (2) = 7 and f (2+ ) = 7, there is a third point of discontinuity at 2. So, the set of
discontinuities of f is S = {0, 1, 2}. Thus,


 ∅ 0 < x < 1
 (
{0} 0 < x ≤ 1
S(0, x] = {1} 1 ≤ x < 2 and S[0, x) =
 {0, 1} 1 < x ≤ 2
{1, 2} 2 = x


Also,

 

 0 x=0 
 0 − (−2) = 2 x=0
 
 0 0 < x < 1  0 0 < x < 1

 

 
u(x) = 9/8 − 1 = 1/8 x = 1 and v(x) = 5/4 − 9/8 = 1/8 x = 1
 
 0

 1 < x < 2  0

 1 < x < 2

 

7−5=2 2 = x 0 2 = x
 

Now, here

(
f (0) = −2, x=0
Sf (x) = P P
f (0) + xj ∈S(0,x] u(xj ) + xj ∈S[0,x) v(xj ) 0 < x≤2

41
Monotone Functions Chapter 3:

Thus,


 −2, x=0

−2 + v(0) = −2 + 2 = 0 0 < x < 1




Sf (x) = −2 + u(1) + v(0) = −2 + 1/8 + 2 = 1/8 x = 1

−2 + u(1) + v(0) + v(1) = −2 + 1/8 + 2 + 1/8 = 1/4 1 < x < 2





−2 + u(1) + u(2) + v(0) + v(1) = −2 + 1/8 + 2 + 2 + 1/8 = 9/4 x = 2


So, Sf is the nice step function and fc = f − Sf gives

 

 −2, x = 0 
 −2 − (−2) = 0 x = 0
 
3
 0 0 < x < 1 x − 0 = x/3 0 < x < 1

 

 

Sf (x) = 1/8 x = 1 and fc (x) = 9/8 − 1/8 = 1 x = 1
  4 4
1/4 1 < x < 2 x /4 + 1 − 1/4 = x /4 + 3/4 1 < x < 2

 


 

 
9/4 x = 2 7 − 9/4 = 19/4 x = 2
 

We see fc is continuous on [0, 2]. Finally, we can compute the Riemann integral of f on [0, 2].

Rt
Let’s calculate F (t) = 0
f (x) dx. This will have to be done in several parts because of the way f
is defined.

1. On the interval [0, 1], note that f is continuous except at two points, x = 0 and x = 1. Hence, f
is Riemann integrable by Theorem 2.1.1. Also, the function x3 is continuous on this interval and
so is also Riemann integrable. Then since f on [0, 1] and x3 match at all but two points on [0, 2],
their Riemann integrals must match. Hence, if t is in [−2, 0], we compute F as follows:
Z t
F (t) = f (x) dx
0
Z t
= x3 dx
0
t
4

= x /4
0
= t4 /4

2. On the interval [1, 2], note that f is continuous except at the two points, x = 1 and x = 2.
Hence, f is Riemann integrable by Theorem 2.1.1. Also, the function 1 + x4 /4 is continuous on
this interval and so is also Riemann integrable. Then since f on [1, 2] and 1 + x4 /4 match at all
but two points on [1, 2], their Riemann integrals must match. Hence, if t is in [1, 2], we compute

42
Monotone Functions Chapter 3:

F as follows:
Z t
F (t) = f (x) dx
0
Z 1 Z t
= f (x) dx + f (s) ds
0 1
Z 1 Z t
= x3 dx + (1 + x4 /4) dx
0 1
= x4 /4 |10 + (x + x5 /5) |t1
= 1/4 + (t + t5 /5) − (1 + 1/5)
= t5 /5 + t − 19/20

Thus, we have found that

(
t4 /4 0 ≤ t ≤ 1
F (t) = 5
t /5 + t − 19/20 1 ≤ t ≤ 2

Note, we know from the Fundamental Theorem of Calculus, Theorem 2.1.2, that F must be continuous.
To check this at an interesting point such as t = 1, note F is clearly continuous on either side of 1
and we note that limt → 1− F (t) which is F (1− ) is 1/4 which is exactly the value of F (1+ ). Hence, F is
indeed continuous at 1!

What about the differentiability of F ? The Fundamental Theorem of Calculus guarantees that F has a
derivative at each point where f is continuous and at those points F 0 (t) = f (t). Hence, we know this
is true at all t except 0, 1 and 2 because these are points of discontinuity of f . F 0 is nicely defined at 0
and 1 as a one sided derivative and at all other t save 1 by

(
0 t3 0 ≤ t < 1
F (t) =
t4 + 1 0 < t ≤ 2

However, when we look at the one sided derivatives, we find F 0 (0+ ) = 0 6= f (0) = −2, F 0 (2− ) = 17 6=
f (2) = 7 and F 0 (1− ) = 1 and F 0 (1+ ) = 2 giving F 0 (1) does not even exist. Thus, note F is not the
antiderivative of f on [0, 2] because of this mismatch.

3.2.2 Homework

Exercise 3.2.1. Prove fc is monotone.

43
Functions of Bounded Variation Chapter 3:

Exercise 3.2.2. Let’s define f on [0, 2] by



 −1 x = 0

2
 x 0 < x < 1



f (x) = 7/4 x = 1
 √
x+3 1 < x < 2





3 x = 2


1. Find u and v

2. Find Sf

3. Find fc

4. Do a nice graph of u, v, f , fc and Sf

5. Following the discussion in Section 2.2 explain how to compute the Riemann Integral of f and find
its value (yes, this is in the careful rigorous section and so this problem is a bit out of place, but
we will be dotting all of our i’s and crossing all of our t’s soon enough!)

3.3 Functions of Bounded Variation

The next important topic for us is to consider the class of functions of bounded variation. We will develop
this classically here, but in later chapters, we will define similar concepts using abstract measures. We
are going to find out that functions of bounded variation can also be represented as the difference of two
increasing functions and that there classical derivative exists everywhere except a set of measure zero
(yes, that idea is not defined yet, but I believe in teasers!). Let’s get on with it.

Definition 3.3.1. Functions Of Bounded Variation

Let f : [a, b] → R and let π ∈ Π[a, b] be given by π = {x0 = a, x1 , . . . , xp = b}. Define
∆fj = f (xj ) − f (xj−1 ) for 1 ≤ j ≤ p. If there exists a positive real number, M , such that
X
|∆fj | ≤ M
π

for all π ∈ Π[a, b], then we say that f is of bounded variation on [a, b]. The set of all
functions of bounded variation on the interval [a, b] is denoted by the symbol BV [a, b].

Comment 3.3.1.

P
1. Note saying a function f is of bounded variation is equivalent to saying the set { π |∆fj | : π ∈
Π[a, b]} is bounded, and, therefore, has a supremum.

2. Also, if f is of bounded variation on [a, b], then, for any x ∈ (a, b), the set {a, x, b} is a partition
of [a, b]. Hence, there exists M > 0 such that | f (x) − f (a) | + | f (b) − f (x) |≤ M . But this
implies

| f (x) | − | f (a) | ≤ | f (x) − f (a) | + | f (b) − f (x) | ≤ M

44
Functions of Bounded Variation Chapter 3:

This tells us that | f (x) | ≤ | f (a) | + M . Since our choice of x in [a, b] was arbitrary, this shows
that f is bounded, i.e. || f ||∞ < ∞.

We can state the comments above formally as Theorem 3.3.1.

Theorem 3.3.1. Functions Of Bounded Variation Are Bounded

If f is of bounded variation on [a, b], then f is bounded on [a, b].

Theorem 3.3.2. Monotone Functions Are Of Bounded Variation

If f is monotone on [a, b], then f ∈ BV [a, b].

Proof. As usual, we assume, for concreteness, that f is monotone increasing. Let π ∈ Π[a, b]. Hence,
we can write π = {x0 = a, x1 , . . . , xp−1 , xp = b}. Then
X X
| ∆fj |= | f (xj ) − f (xj−1 ) | .
π π

Since f is monotone increasing, the absolute value signs are unnecessary, so that
X X X

| ∆fj |= ∆fj = f (xj ) − f (xj−1 ) .
π π π

But this is a telescoping sum, so

X
∆fj = f (xp ) − f (x0 ) = f (b) − f (a).
π
P
Since the partition π was arbitrary, it follows that π ∆fj ≤ f (b) − f (a) for all π ∈ Π[a, b]. This implies
that f ∈ BV [a, b], for if f (b) > f (a), then we can simply let M = f (b) − f (a). If f (b) = f (a), then f
must be constant, and we can let M = f (b) − f (a) + 1 = 1. In either case, f ∈ BV [a, b]. 

Theorem 3.3.3. Bounded Differentiable Implies Bounded Variation

Suppose f ∈ C[a, b], f is differentiable on (a, b), and || f 0 ||∞ < ∞. Then f ∈ BV [a, b].

Proof. Let π ∈ Π[a, b] so that π = {x0 = a, x1 , . . . , xp = b}. On each subinterval [xj−1 , xj ], for 1 ≤ j ≤
p, the hypotheses of the Mean Value Theorem are satisfied. Hence, there is a point, yj ∈ (xj−1 , xj ), with
∆fj = f (xj ) − f (xj−1 ) = f 0 (yj )∆xj . So, we have

| ∆fj |=| f 0 (yj ) | ∆xj ≤ B∆xj ,

where B is the bound on f 0 that we assume exists by hypothesis. Thus, for any π ∈ Π[a, b], we have
X X
| ∆fj |≤ B ∆xj = B(b − a) < ∞.
π π

Therefore, f ∈ BV [a, b]. 

45
Functions of Bounded Variation Chapter 3:

Definition 3.3.2. The Total Variation Of A Function Of Bounded Variation

Let f ∈ BV [a, b]. The real number
( )
X
V (f ; a, b) = sup | ∆fj | : π ∈ Π[a, b]
π

is called the Total Variation of f on [a, b].

Note that this number always exists if f ∈ BV [a, b].

Comment 3.3.2. For any f ∈ BV [a, b], we clearly have V (f ; a, b) = V (−f ; a, b) and V (f ; a, b) ≥ 0.
Moreover, we also see that V (f ; a, b) = 0 if and only if f is constant on [a, b].

Theorem 3.3.4. Functions Of Bounded Variation Are Closed Under Addition

If f and g are in BV [a, b], then so are f ± g, and V (f ± g; a, b) ≤ V (f ; a, b) + V (g; a, b).

Proof. Let π ∈ Π[a, b], so that π = {x0 = a, x1 , . . . , xp = b}. Consider f + g first. We have, for each
1 ≤ j ≤ p,

| ∆(f + g)j | = | (f + g)(xj ) − (f + g)(xj−1 ) |

≤ | f (xj ) − f (xj−1 ) | + | g(xj ) − g(xj−1 ) |
≤ | ∆fj | + | ∆gj | .

This implies that, for any π ∈ Π[a, b],

X X X
| ∆(f + g)j |≤ | ∆fj | + | ∆gj | .
π π π

Both quantities on the right-hand side are bounded by V (f ; a, b) and V (g; a, b), respectively. Since π ∈
Π[a, b] was arbitrary, we have

V (f + g; a, b) ≤ V (f ; a, b) + V (g; a, b).

This shows that f + g ∈ BV [a, b] and proves the desired inequality for that case. Since V (−g; a, b) =
V (g; a, b), we also have

V (f − g; a, b) ≤ V (f ; a, b) + V (−g; a, b) = V (f ; a, b) + V (g; a, b),

which proves that f − g ∈ BV [a, b]. 

Theorem 3.3.5. Products Of Functions Of Bounded Variation Are Of Bounded Variation

If f, g ∈ BV [a, b], then f g ∈ BV [a, b] and V (f g; a, b) ≤ || g ||∞ V (f ; a, b)+ || f ||∞
V (g; a, b).

46
Functions of Bounded Variation Chapter 3:

Proof. By Theorem 3.3.1, we know that f and g are bounded. Hence, the numbers || f ||∞ and || g ||∞
exist and are finite. Let h = f g, and let π = {x0 = a, x1 , . . . , xp = b} be any partition. Then

| ∆hj | = | f (xj )g(xj ) − f (xj−1 )g(xj−1 ) |

= | f (xj )g(xj ) − g(xj )f (xj−1 ) + g(xj )f (xj−1 ) − f (xj−1 )g(xj−1 ) |
≤ | g(xj ) || ∆fj | + | f (xj−1 ) || ∆gj |
≤ || g ||∞ | ∆fj | + || f ||∞ | ∆gj |

Thus,
X X X
| ∆hj | ≤ || g ||∞ | ∆fj | + || f ||∞ | ∆gj |
π π π
≤ || g ||∞ V (f ; a, b) + || f ||∞ V (g; a, b)

Since π was arbitrary, we see the right hand side is an upper bound for all the partition sums and hence,
the supremum of all these sums must also be less than or equal to the right hand side. Thus,

V (f g; a, b) ≤ || g ||∞ V (f ; a, b) + || f ||∞ V (g; a, b)

Comment 3.3.3. Note that we have verified that BV [a, b] is a commutative algebra (i.e. a ring) of
functions with an identity, since the constant function f = 1 is of bounded variation.

It is natural to ask, then, what the units are in this algebra. That is, what functions have multiplicative
inverses?

Theorem 3.3.6. Inverses Of Functions Of Bounded Variation

Let f be in BV [a, b], and assume that there is a positive m such that | f (x) | ≥ m > 0 for all
x ∈ [a, b]. Then 1/f ∈ BV [a, b] and V (1/f ; a, b) ≤ (1/m2 )V (f ; a, b).

Proof. Let π = {x0 = a, x1 , . . . , xp } be any partition. Then

     
∆ 1 
   1 1 
=  − 
 f j f (xj ) f (xj−1 ) 
 
 f (xj−1 ) − f (xj ) 
=  
f (xj )f (xj−1 ) 
| ∆fj |
=
| f (xj ) || f (xj−1 ) |
∆fj
≤ .
m2

Thus, we have

47
Functions of Bounded Variation Chapter 3:

X 1 1 X
|∆ | ≤ | ∆fj |
π
f j m2 π

implying that V (1/f ; a, b) ≤ (1/m2 )V (f ; a, b). 

Comment 3.3.4.

1. Any polynomial, p, is in BV [a, b], and p is a unit if none of its zeros occur in the interval.
2. Any rational function p/q where p and q are of bounded variation on [a, b], is in BV [a, b] as long
as none of the zeros of q occur in the interval.
3. ex ∈ BV [a, b]. In fact, eu(x) ∈ BV [a, b] if u(x) is monotone or has a bounded derivative.
4. sin x and cos x are in BV [a, b] by Theorem 3.3.3.
5. tan x ∈ BV [a, b] if [a, b] does not contain any point of the form (2k + 1)π/2 for k ∈ Z, by Theorem
3.3.6.
6. The function
(
sin x1 , 0 < x ≤ 1
f (x) =
0, x=0

is not in BV [0, 1]. To see this, choose partition points {x0 , . . . , xp } by x0 = 0, xp = 1, and

2
xj = , 1 ≤ j ≤ p − 1.
π(2p − 2j + 1)

Then

 π(2p − 1) 
∆f1 = sin = ±1,
2

 π(2p − 3)   π(2p − 1) 
∆f2 = sin − sin = ±2,
2 2
and continuing, we find

 π(2p − 2(p − 1) + 1)   π(2p − 2(p − 2) + 1) 

∆fp−1 = sin − sin = ±2,
2 2

∆fp = sin 1 − sin(3π/2) = sin 1 + 1.

Thus,

X p−1
X
= | ∆f1 | + | ∆fj | + sin 1 + 1
π j=2
= 2(p − 1) + sin 1.

48
The Total Variation Function Chapter 3:

Hence, we can make the value of this sum as large as we desire and so this function is not of
bounded variation.

3.3.1 Homework
Exercise 3.3.1. Prove that if f is of bounded variation on the finite interval [a, b], then α f is also of
bounded variation for any scalar α. Do this proof using the partition approach.

Exercise 3.3.2. Prove that if f and g are of bounded variation on the finite interval [a, b], then αf + β g
is also of bounded variation for any scalars α and β. Do this proof using the partition approach. Note,
these two exercises essentially show BV [a, b] is a vector space.

Exercise 3.3.3. Prove BV [a, b] is a complete normed linear space with norm || · || defined by

|| f || = | f (a) | + V (f, a, b)

Exercise 3.3.4. Define f on [0, 1] by

(
x2 cos(x−2 ) x 6= 0 ∈ [0, 1]
f (x) =
0 x=0

Prove that f is differentiable on [0, 1] but is not of bounded variation. This is a nice example of something
we will see later. This f is a function which is continuous but not absolutely continuous.

3.4 The Total Variation Function

Theorem 3.4.1. The Total Variation Is Additive On Intervals
If f ∈ BV [a, b] and c ∈ [a, b], then f ∈ BV [a, c], f ∈ BV [c, b], and V (f ; a, b) = V (f ; a, c) +
V (f ; c, b). That is, the total variation, V , is additive on intervals.

Proof. The case c = a or c = b is easy, so we assume c ∈ (a, b). Let π1 ∈ Π[a, c] and π2 ∈ Π[c, b] with
π1 = {x0 = a, x1 , . . . , xp = c} and π2 = {y0 = c, y1 , . . . , yq = b}. Then π1 ∨ π2 is a partition of [a, b] and
we know
X X X
| ∆fj |= | ∆fj | + | ∆fj |≤ V (f ; a, b).
π1 ∨π2 π1 π2

Dropping the π2 term, and noting that π1 ∈ Π[a, c] was arbitrary, we see that
X
sup | ∆fj |≤ V (f ; a, b),
π1 ∈Π[a,c] π
1

which implies that V (f ; a, c) ≤ V (f ; a, b) < ∞. Thus, f ∈ BV [a, c]. A similar argument shows that
V (f ; c, b) ≤ V (f ; a, b), so f ∈ BV [c, b].
Finally, since both π1 and π2 were arbitrary and we know that
X X
| ∆fj | + | ∆fj |≤ V (f ; a, b),
π1 π2

49
The Total Variation Function Chapter 3:

we see that V (f ; a, c) + V (f ; c, b) ≤ V (f ; a, b).

Now we will establish the reverse inequality. Let π ∈ Π[a, b], so that π = {x0 = a, x1 , . . . , xp = b}.
First, assume that c is a partition point of π, so that c = xk0 for some k0 . Thus, π = {x0 , . . . , xk0 } ∪
{xk0 , . . . , xp }. Let π1 = {x0 , . . . , xk0 } ∈ Π[a, c] and let π2 = {xk0 , . . . , xp } ∈ Π[c, b]. From the first part
of our proof, we know that f ∈ BV [a, c] and f ∈ BV [c, b], so

X X X
| ∆fj | = | ∆fj | + | ∆fj |
π π1 π2
≤ V (f ; a, c) + V (f ; c, b).

Since π ∈ Π[a, b] was arbitrary, it follows that V (f ; a, b) ≤ V (f ; a, c) + V (f ; c, b). For the other case,
suppose c is not a partition point of π. Then c must lie inside one of the subintervals. That is, c ∈
(xk0 −1 , xk0 ) for some k0 . Let π 0 = {x0 , . . . , xk0 −1 , c, xk0 , . . . , xp } be a new partition of [a, b]. Then π 0
refines π. Apply our previous argument to conclude that

X
| ∆fj |≤ V (f ; a, c) + V (f ; c, b).
π0

Finally, we note that

X X
| ∆fj |≤ | ∆fj |,
π π0

since
| f (xk0 ) − f (xk0 −1 ) |≤| f (xk0 ) − f (c) | + | f (c) − f (xk0 −1 ) | .

Thus, we have

X
| ∆fj |≤ V (f ; a, c) + V (f ; c, b).
π

Since π was arbitrary, it follows that V (f ; a, b) ≤ V (f ; a, c)+V (f ; c, b). Combining these two inequalities,
we see the result is established. 

Definition 3.4.1. The Variation Function Of a Function f Of Bounded Variation

Let f ∈ BV [a, b]. The Variation Function of f , or simply the Variation of f , is the
function Vf : [a, b] → < defined by
(
0, x=a
Vf (x) =
V (f ; a, x), a < x ≤ b

Theorem 3.4.2. Vf and Vf − f Are Monotone For a Function f of Bounded Variation

If f ∈ BV [a, b], then the functions Vf and Vf − f are monotone increasing on [a, b].

Proof. Pick x1 , x2 ∈ [a, b] with x1 < x2 . By Theorem 3.4.1, f ∈ BV [a, x1 ] and f ∈ BV [a, x2 ]. Apply
this same theorem to the interval [a, x1 ] ∪ [x1 , x2 ] to conclude that f ∈ BV [x1 , x2 ]. Thus

50
The Total Variation Function Chapter 3:

Vf (x2 ) = V (f ; a, x2 ) = V (f ; a, x1 ) + V (f ; x1 , x2 ) = Vf (x1 ) + V (f ; x1 , x2 ).

It follows that Vf (x2 ) − Vf (x1 ) = V (f ; x1 , x2 ) ≥ 0, so Vf is monotone increasing. Now, consider

(Vf − f )(x2 ) − (Vf − f )(x1 ). We have

(Vf − f )(x2 ) − (Vf − f )(x1 ) = Vf (x2 ) − Vf (x1 ) − (f (x2 ) − f (x1 ))

= V (f ; a, x2 ) − V (f ; a, x1 ) − (f (x2 ) − f (x1 ))
= V (f ; x1 , x2 ) − (f (x2 ) − f (x1 )).

But {x1 , x2 } is the trivial partition of [x1 , x2 ], so

X X
| ∆fj | ≤ sup | ∆fj |= V (f ; x1 , x2 ).
π∈Π[x1 ,x2 ] π
{x1 ,x2 }

Thus, V (f ; x1 , x2 ) − (f (x2 ) − f (x1 )) ≥ 0, implying that Vf − f is monotone increasing. 

Theorem 3.4.3. A Function Of Bounded Variation Is The Difference of Two Increasing

Functions
Every f ∈ BV [a, b] can be written as the difference of two monotone increasing functions on
[a, b]. In other words,

BV [a, b] = {f : [a, b] → < | ∃u, v : [a, b] → <, u, v monotone increasing, f = u − v}.

Proof. If f = u − v, where u and v are monotone increasing, then u and v are of bounded variation.
Since BV [a, b] is an algebra, it follows that f ∈ BV [a, b].
Conversely, suppose f ∈ BV [a, b], and let u = Vf and v = Vf − f . Then u and v are monotone
increasing and u − v = f . 

Comment 3.4.1. Theorem 3.4.3 tells us if g is of bounded variation on [a, b], then g = u − v where u
and v are monotone increasing. Thus, we can also use the Saltus decomposition of u and v to conclude

f = (uc + Su ) − (vc + Sv )
= (uc − vc ) + (Su − Sv )

The first term is the difference of two continuous functions of bounded variation and the second term
is the difference of Saltus functions. This is essentially another form of decomposition theorem for a
function of bounded variation.

51
Continuous Functions of Bounded Variation Chapter 3:

3.5 Continuous Functions of Bounded Variation

Theorem 3.5.1. Functions Of Bounded Variation Always Possess Right and Left Hand
Limits
Let f ∈ BV [a, b]. Then the limit f (x+ ) exists for all x ∈ [a, b) and the limit f (x− ) exists for
all x ∈ (a, b].

Proof. By Theorem 3.4.2, Vf and Vf − f are monotone increasing. So Vf (x+ ) and (Vf − f )(x+ ) both
exist. Hence,

f (x+ ) = lim f (x)

x→x+
= lim [Vf (x) − (Vf − f )(x)]
x→x+
= lim Vf (x) + lim (Vf − f )(x)
x→x+ x→x+
= Vf (x ) + (Vf − f )(x+ ).
+

So, f (x+ ) exists. A similar argument shows that f (x− ) exists. 

Theorem 3.5.2. Functions Of Bounded Variation Have Countable Discontinuity Sets

If f ∈ BV [a, b], then the set of discontinuities of f is countable.

Proof. f = u−v where u and v are monotone increasing. By Theorem 3.4.3, S1 = {x ∈ [a, b]|uis not continuous atx}
and S2 = {x ∈ [a, b] | vis not continuous atx} are countable. The union of these sets is the set of all the
points of possible discontinuity of f , so the set of discontinuities of f is countable. 

Theorem 3.5.3. f ∈ BV [a, b] Is Continuous If and Only If Vf Is Continuous

Let f ∈ BV [a, b]. Then f is continuous at c ∈ [a, b] if and only if Vf is continuous at c.

Proof. The case where c = a and c = b are easier, so we will only prove the case where c ∈ (a, b). First,
suppose f is continuous at c. We will prove separately that Vf is continuous from the right at c and
from the left at c.
Let  > 0 be given. Since f is continuous at c, there is a positive δ such that if x is in (c − δ, c + δ) ⊂
[a, b], then | f (x) − f (c) |< /2. Now,
X
V (f ; c, b) = sup | ∆fj | .
π∈Π[c,b] π

So, there is a partition π0 such that

 X
V (f ; c, b) − < | ∆fj |≤ V (f ; c, b). (∗)
2 π0

52
Continuous Functions of Bounded Variation Chapter 3:

If π0 0 is any refinement of π0 , we see that

X X
| ∆fj |≤ | ∆fj |,
π0 π0 0

since adding points to π0 simply increases the sum. Thus,

 X X
V (f ; c, b) − < | ∆fj | ≤ | ∆fj | ≤ V (f ; c, b)
2 π0 π0 0

for any refinement π0 0 of π0 . Now, choose a partition, π1 which refines π0 and satisfies || π1 ||< δ. Then

 X
V (f ; c, b) − < | ∆fj |≤ V (f ; c, b). (∗∗)
2 π1

So, if π1 = {x0 = c, x1 , . . . , xp }, then | x1 − x0 |< δ. Thus, we have | x1 − c |< δ. It follows that

| f (x1 ) − f (c) |< /2. From Equation ∗∗, we then have

 X
V (f ; c, b) − < | ∆fj |
2 π1
X
= | f (x1 ) − f (c) | + | ∆fj |
rest of π1
 X
< + | ∆fj |
2
rest of π1

< + V (f ; x1 , b).
2

So, we see that

 
V (f ; c, b) − < + V (f ; x1 , b),
2 2
which implies that

 
V (f ; c, b) − V (f ; x1 , b) < + = .
2 2
But V (f ; c, b) − V (f ; x1 , b) = V (f ; c, x1 ) which is the same as Vf (x1 ) − Vf (c). Thus, we have

Vf (x1 ) − Vf (c) < .

Now Vf is monotone and hence we have shown that if x ∈ (c, x1 ),

Vf (x) − Vf (c) ≤ Vf (x1 ) − Vf (c) < .

Since  > 0 was arbitrary, this verifies the right continuity of Vf at c.

53
Continuous Functions of Bounded Variation Chapter 3:

The argument for left continuity is similar. We can find a partition π1 of [a, c] with partition points
{x0 = a, x1 , . . . , xp−1 , xp = c} such that || π1 ||< δ and

 X
V (f ; a, c) − < | f (c) − f (xp−1 ) | + | ∆fj |
2
rest of π1
≤ | f (c) − f (xp−1 ) | +V (f ; a, xp−1 ).

Since || π1 ||< δ, we see as before that | f (c) − f (xp−1 ) |< /2. Thus,

 
V (f ; a, c) − < + V (f ; a, xp−1 ),
2 2
and it follows that

V (f ; a, c) − V (f ; a, xp−1 ) < ,

or

Vf (c) − Vf (xp−1 ) < .

Since Vf is monotone, we then have for any x in (xp−1 , c) that

Vf (c) − Vf (x) < Vf (c) − Vf (xp−1 ) < 

which shows the left continuity of Vf at c. Hence, Vf is continuous at c.

Conversely, suppose Vf is continuous at c ∈ (a, b). Given  > 0, there is a positive δ such that
(c − δ, c + δ) ⊂ [a, b] and | Vf (x) − Vf (c) |<  for all x ∈ (c − δ, c + δ). Pick any x ∈ (c, c + δ). Then
{c, x} is a trivial partition of [c, x]. Hence

0 ≤| f (x) − f (c) |≤ V (f ; c, x) = V (f ; a, x) − V (f ; a, c)

or

0 ≤| f (x) − f (c) |≤ Vf (x) − Vf (c) < .

Hence, it follows that f is continuous from the right. A similar argument shows that f is continuous
from the left. 

We immediately have this corollary.

Theorem 3.5.4. f ∈ BV [a, b] ∩ C[a, b] If and Only If Vf and Vf − f Are Continuous and
Increasing
f ∈ C[a, b] ∩ BV [a, b] if and only if Vf and Vf − f are monotone increasing and continuous.

54
Chapter 4
The Theory Of Riemann Integration

We will now develop the theory of the Riemann Integral for a bounded function f on the interval [a, b].
We followed the development of this material in (Fulks (3) 1978) closely at times, although Fulks does
not cover some of the sections very well.

4.1 Defining The Riemann Integral

Definition 4.1.1. The Riemann Sum
Let f ∈ B[a, b], and let π ∈ Π[a, b] be given by π = {x0 = a, x1 , . . . , xp = b}. Define
σ = {s1 , . . . , sp }, where sj ∈ [xj−1 , xj ] for 1 ≤ j ≤ p. We call σ an evaluation set, and we
denote this by σ ⊂ π. The Riemann Sum determined by the partition π and the evaluation
set σ is defined by
X
S(f, π, σ) = f (sj )∆xj
π

Definition 4.1.2. Riemann Integrability Of a Bounded f

We say f ∈ B[a, b] is Riemann Integrable on [a, b] if there exists a real number, I, such
that for every  > 0 there is a partition, π0 ∈ Π[a, b] such that

| S(f, π, σ) − I |< 

for any refinement, π, of π 0 and any evaluation set, σ ⊂ π. We denote this value, I, by

I ≡ RI(f ; a, b)

We denote the set of Riemann integrable functions on [a, b] by RI[a, b]. Also, it is readily seen that
the number RI(f ; a, b) in the definition above, when it exists, is unique. So we can speak of Riemann
Integral of a function, f . We also have the following conventions.

55
Defining The Riemann Integral Chapter 4:

1. RI(f ; a, b) = −RI(f ; b, a)

2. RI(f ; a, a) = 0

3. f is called the integrand.

Theorem 4.1.1. RI[a, b] Is A Vector Space and RI(f ; a, b) Is A Linear Mapping

RI[a, b] is a vector space over < and the mapping IR : RI[a, b] → < defined by

IR (f ) = RI(f ; a, b)

is a linear mapping.

Proof. Let f1 , f2 ∈ RI[a, b], and let α, β ∈ <. For any π ∈ Π[a, b] and σ ⊂ π, we have

X
S(αf1 + βf2 , π, σ) = (αf1 + βf2 )(sj )∆xj
π
X X
= α f1 (sj )∆xj + β f2 (sj )∆xj
π π
= αS(f1 , π, σ) + βS(f2 , π, σ).

Since f1 is Riemann integrable, given  > 0, there is a real number I1 = RI(f1 , a, b) and a partition
π 1 ∈ Π[a, b] such that


| S(f1 , π, σ) − I1 | < (∗)
2(| α | +1)

for all refinements, π, of π 1 , and all σ ⊂ π.

Likewise, since f2 is Riemann integrable, there is a real number I2 = RE(f2 ; a, b) and a partition
π 2 ∈ Π[a, b] such that


| S(f2 , π, σ) − I2 | < (∗∗)
2(| β | +1)

for all refinements, π, of π 2 , and all σ ⊂ π.

Let π 0 = π 1 ∨ π 2 . Then π 0 is a refinement of both π 1 and π 2 . So, for any refinement, π, of π 0 , and
any σ ⊂ π, we have Equation ∗ and Equation ∗∗ are valid. Hence,


| S(f1 , π, σ) − I1 | <
2(| α | +1)

| S(f2 , π, σ) − I2 | < .
2(| β | +1)

Thus, for any refinement π of π 0 and any σ ⊂ π, it follows that

56
Defining The Riemann Integral Chapter 4:

| S(αf1 + βf2 , π, σ) − (αI1 + βI2 ) | = | αS(f1 , π, σ) + βS(f2 , π, σ) − αI1 − βI2 |

≤ | α || S(f1 , π, σ) − I1 | + | β || S(f2 , π, σ) − I2 |
 
< |α| +|β|
2(| α | +1) 2(| β | +1)
< .

This shows that αf1 + βf2 is Riemann integrable and that the value of the integral RI(αf1 + βf2 ; a, b) is
given by αRI(f1 ; a, b) + βRI(f2 ; a, b). It then follows immediately that IR is a linear mapping.


Theorem 4.1.2. Fundamental Riemann Integral Estimates

Let f ∈ RI[a, b]. Let m = inf x f (x) and let M = supx f (x). Then

m(b − a) ≤ RI(f ; a, b) ≤ M (b − a).

Proof. If π ∈ Π[a, b], then for all σ ⊂ π, we see that

X X X
m∆xj ≤ f (sj )∆xj ≤ M ∆xj .
π π π
P
But π ∆xj = b − a, so
X
m(b − a) ≤ f (sj )∆xj ≤ M (b − a),
π
or

m(b − a) ≤ S(f, π, σ) ≤ M (b − a),

for any partition π and any σ ⊂ π.

Now, let  > 0 be given. Then there exist π 0 ∈ Π[a, b] such that for any refinement, π, of π 0 and
any σ ⊂ π,

RI(f ; a, b) −  < S(f, π, σ) < RI(f ; a, b) + .

Hence, for any such refinement, π, and any σ ⊂ π, we have

m(b − a) ≤ S(f, π, σ) < RI(f ; a, b) + 

and

M (b − a) ≥ S(f, π, σ) > RI(f ; a, b) − .

Since  > 0 is arbitrary, it follows that

m(b − a) ≤ RI(f ; a, b) ≤ M (b − a).

57
The Existence of the Riemann Integral: Darboux Integration Chapter 4:

Theorem 4.1.3. The Riemann Integral Is Order Preserving

The Riemann integral is order preserving. That is, if f, f1 , f2 ∈ RI[a, b], then

(i)
f ≥ 0 ⇒ RI(f ; a, b) ≥ 0;

(ii)
f1 ≤ f2 ⇒ RI(f1 ; a, b) ≤ RI(f2 ; a, b).

Proof. If f ≥ 0 on [a, b], then inf x f (x) = m ≥ 0. Hence, by Theorem 4.1.2

Z b
f (x)dx ≥ m(b − a) ≥ 0.
a

This proves the first assertion. To prove (ii), let f = f2 − f1 . Then f ≥ 0, and the second result follows
from the first. 

4.2 The Existence of the Riemann Integral: Darboux Integration

Although we have a definition for what it means for a bounded function to be Riemann integrable, we
still do not actually know that RI[a, b] is nonempty! In this section, we will show how we prove that the
set of Riemann integrable functions is quite rich and varied.

Definition 4.2.1. Darboux Upper and Lower Sums

Let f ∈ B[a, b]. Let π ∈ Π[a, b] be given by π = {x0 = a, x1 , . . . , xp = b}. Define

mj = inf f (x) 1 ≤ j ≤ p,
xj−1 ≤x≤xj

and
Mj = sup f (x) 1 ≤ j ≤ p.
xj−1 ≤x≤xj

We define the Lower Darboux Sum by

X
L(f, π) = mj ∆xj
π

and the Upper Darboux Sum by

X
U (f, π) = Mj ∆xj .
π

Comment 4.2.1.

58
The Existence of the Riemann Integral: Darboux Integration Chapter 4:

1. It is straightforward to see that

L(f, π) ≤ S(f, π, σ) ≤ U (f, π)

for all π ∈ Π[a, b].

2. We also have
X
U (f, π) − L(f, π) = (Mj − mj )∆xj .
π

Theorem 4.2.1. π  π 0 Implies L(f, π) ≤ L(f, π 0 ) and U (f, π) ≥ U (f, π 0 )

If π  π 0 , that is, if π 0 refines π, then L(f, π) ≤ L(f, π 0 ) and U (f, π) ≥ U (f, π 0 ).

Proof. The general result is established by induction on the number of points added. It is actually quite
an involved induction. Here are some of the details:

Step 1 We prove the proposition for inserting points {z1 , . . . , zq } into one subinterval of π. The argu-
ment consists of

1. The Basis Step where we prove the proposition for the insertion of a single point into one
subinterval.
2. The Induction Step where we assume the proposition holds for the insertion of q points into
one subinterval and then we show the proposition still holds if an additional point is inserted.
3. With the Induction Step verified, the Principle of Mathematical Induction then tells us that
the proposition is true for any refinement of π which places points into one subinterval of π.

Basis:

Subproof. Let π ∈ Π[a, b] be given by {x0 = a, x1 , . . . , xp = b}. Suppose we form the refinement,
π 0 , by adding a single point x0 to π. into the interior of the subinterval [xk0 −1 , xk0 ]. Let

m0 = inf f (x)
[xk0 −1 ,x0 ]

m00 = inf f (x).

[x0 ,xk0 ]

Note that mk0 = min{m0 , m00 } and

mk0 ∆xk0 = mk0 (xk0 − xk0 −1 )

= mk0 (xk0 − x0 ) + mk0 (x0 − xk0 −1 )
≤ m00 (xk0 − x0 ) + m0 (x0 − xk0 −1 )
≤ m00 ∆x00 + m0 ∆x0 ,

where ∆x00 = xk0 − x0 and ∆x0 = x0 − xk0 −1 . It follows that

59
The Existence of the Riemann Integral: Darboux Integration Chapter 4:

X
L(f, π 0 ) = mj ∆xj + m0 ∆x0 + m00 ∆x00
j6=k0
X
≥ mj ∆xj + mk0 ∆xk0
j6=k0
≥ L(f, π).

Induction:

Subproof. We assume that q points {z1 , . . . , zq } have been inserted into the subinterval [xk0 −1 , xk0 ].
Let π 0 denote the resulting refinement of π. We assume that

L(f, π) ≤ L(f, π 0 )

let the additional point added to this subinterval be called x0 and call π 00 the resulting refinement
of π 0 . We know that π 0 has broken [xk0 −1 , xk0 ] into q + 1 pieces. For convenience of notation,
let’s label these q + 1 subintervals as [yj−1 , yj ] where y0 is xk0 −1 and yq+1 is xk0 and the yj values
in between are the original zi points for appropriate indices. The new point x0 is thus added to
one of these q + 1 pieces, call it [yj0 −1 , yj0 ] for some index j0 . This interval plays the role of the
original subinterval in the proof of the em Basis Step. An argument similar to that in the proof of
the Basis Step then shows us that

L(f, π 0 ) ≤ L(f, π 00 )

Combining with the first inequality from the Induction hypothesis, we establish the result. Thus,
the Induction Step is proved. 

Step 2 Next, we allow the insertion of a finite number of points into a finite number of subintervals of
π. The induction is now on the number of subintervals.

1. The Basis Step where we prove the proposition for the insertion of points into one subinterval.
2. The Induction Step where we assume the proposition holds for the insertion of points into
q subintervals and then we show the proposition still holds if an additional subinterval has
points inserted.
3. With the Induction Step verified, the Principle of Mathematical Induction then tells us that
the proposition is true for any refinement of π which places points into any number of
subintervals of π.

Basis

Subproof. Step 1 above gives us the Basis Step for this proposition. 

60
The Existence of the Riemann Integral: Darboux Integration Chapter 4:

Induction
Subproof. We assume the results holds for p subintervals and show it also holds when one more
subinterval is added. Specifically, let π 0 be the refinement that results from adding points to p
subintervals of π. Then the Induction hypothesis tells us that

L(f, π) ≤ L(f, π 0 )

Let π 00 denote the new refinement of π which results from adding more points into one more
subinterval of π. Then π 00 is also a refinement of π 0 where all the new points are added to one
subinterval of π 0 . Thus, Step 1 holds for the pair (π 0 ,π 00 ). We see

L(f, π 0 ) ≤ L(f, π 00 )

and the desired result follows immediately. 

A similar argument establishes the result for upper sums. 

Theorem 4.2.2. L(f, π 1 ) ≤ U (f, π 2 )

Let π 1 and π 2 be any two partitions in Π[a, b]. Then L(f, π 1 ) ≤ U (f, π 2 ).

Proof. Let π = π 1 ∨ π 2 be the common refinement of π 1 and π 2 . Then, by the previous result, we have

L(f, π 1 ) ≤ L(f, π) ≤ U (f, π) ≤ U (f, π 2 ).

Theorem 4.2.2 then allows us to define a new type of integrability for the bounded function f . We
begin by looking at the infimum of the upper sums and the supremum of the lower sums for a given
bounded function f .

Theorem 4.2.3. The Upper And Lower Darboux Integral Are Finite
Let f ∈ B[a, b]. Let L = {L(f, π) | π ∈ Π[a, b]} and U = {U (f, π) | π ∈ Π[a, b]}. Define
L(f ) = sup L , and U (f ) = inf U . Then L(f ) and U (f ) are both finite. Moreover, L(f ) ≤
U (f ).

Proof. By Theorem 4.2.2, the set L is bounded above by any upper sum for f . Hence, it has a finite
supremum and so sup L is finite. Also, again by Theorem 4.2.2, the set U is bounded below by any
lower sum for f . Hence, inf U is finite. Finally, since L(f ) ≤ U (f, π) and U (f ) ≥ L(f, π) for all π, by
definition of the infimum and supremum of a set of numbers, we must have L(f ) ≤ U (f ). 

Definition 4.2.2. Darboux Lower And Upper Integrals

Let f be in B[a, b]. The Lower Darboux Integral of f is defined to be the finite number
L(f ) = sup L , and the Upper Darboux Integral of f is the finite number U (f ) = inf U .

61
The Existence of the Riemann Integral: Darboux Integration Chapter 4:

We can then define what is meant by a bounded function being Darboux Integrable on [a, b].

Definition 4.2.3. Darboux Integrability

Let f be in B[a, b]. We say f is Darboux Integrable on [a, b] if L(f ) = U (f ). The common
value is then called the Darboux Integral of f on [a, b] and is denoted by the symbol DI(f ; a, b).

Comment 4.2.2. Not all bounded functions are Darboux Integrable. Consider the function f : [0, 1] → <
defined by
(
1 t ∈ [0, 1] and is rational
f (t) =
−1 t ∈ [0, 1] and is irrational

You should be able to see that for any partition of [0, 1], the infimum of f on any subinterval is always
−1 as any subinterval contains irrational numbers. Similarly, any subinterval contains rational numbers
and so the supremum of f on a subinterval is 1. Thus U (f, π) = 1 and L(f, π) = −1 for any partition
π of [0, 1]. It follows that L(f ) = −1 and U (f ) = 1. Thus, f is bounded but not Darboux Integrable.

Definition 4.2.4. Riemann’s Criterion for Integrability

Let f ∈ B[a, b]. We say that Riemann’s Criteria holds for f if for every positive  there
exists a π 0 ∈ Π[a, b] such that U (f, π) − L(f, π) <  for any refinement, π, of π 0 .

Theorem 4.2.4. The Riemann Integral Equivalence Theorem

Let f ∈ B[a, b]. Then the following are equivalent.

(i) f ∈ RI[a, b].

(ii) f satisfies Riemann’s Criteria.

(iii) f is Darboux Integrable, i.e, L(f ) = U (f ), and RI(f ; a, b) = DI(f ; a, b).

Proof.
(i) ⇒ (ii)

Subproof. Assume f ∈ RI[a, b], and let  > 0 be given. Let IR be the Riemann integral of f over [a, b].
Choose π 0 ∈ Π[a, b] such that | S(f, π, σ) − IR |< /3 for any refinement, π, of π 0 and any σ ⊂ π. Let
π be any such refinement, denoted by π = {x0 = a, x1 , . . . , xp = b}, and let mj , Mj be defined as usual.
Using the Infimum and Supremum Tolerance Lemmas, we can conclude that, for each j = 1, . . . , p, there
exist sj , tj ∈ [xj−1 , xj ] such that


Mj − < f (sj ) ≤ Mj
6(b − a)


mj ≤ f (tj ) < mj + .
6(b − a)
It follows that

 
f (sj ) − f (tj ) > Mj − − mj − .
6(b − a) 6(b − a)

62
The Existence of the Riemann Integral: Darboux Integration Chapter 4:

Thus, we have


M j − mj − < f (sj ) − f (tj ).
3(b − a)
Multiply this inequality by ∆xj to obtain



(Mj − mj )∆xj − ∆xj < f (sj ) − f (tj ) ∆xj .
3(b − a)

Now, sum over π to obtain

X
U (f, π) − L(f, π) = (Mj − mj )∆xj
π
 X X

< ∆xj + f (sj ) − f (tj ) ∆xj .
3(b − a) π π

This simplifies to

X  X

(Mj − mj )∆xj − < f (sj ) − f (tj ) ∆xj . (∗)
π
3 π

Now, we have

X
X X
| f (sj ) − f (tj ) ∆xj | = | f (sj )∆xj − f (tj )∆xj |
π π π
X X
= | f (sj )∆xj − IR + IR − f (tj )∆xj |
π π
X X
≤ | f (sj )∆xj − IR | + | f (tj )∆xj − IR |
π π
= | S(f, π, σ s ) − IR | + | S(f, π, σ t ) − IR |,

where σ s = {s1 , . . . , sp } and σ t = {t1 , . . . , tp } are evaluation sets of π. Now, by our choice of partition
π, we know


| S(f, π, σ s ) − IR | <
3

| S(f, π, σ t ) − IR | < .
3

Thus, we can conclude that

X
2
| f (sj ) − f (tj ) ∆xj |< .
π
3

Applying this to the inequality in Equation ∗, we obtain

63
The Existence of the Riemann Integral: Darboux Integration Chapter 4:

X
(Mj − mj )∆xj < .
π

Now, π was an arbitrary refinement of π 0 , and  > 0 was also arbitrary. So this shows that f satisfies
Riemann’s condition. 

(ii) ⇒ (iii)

Subproof. Now, assume that f satisfies Riemann’s criteria, and let  > 0 be given. Then there is a
partition, π 0 ∈ Π[a, b] such that U (f, π) − L(f, π) <  for any refinement, π, of π 0 . Thus, by the
definition of the upper and lower Darboux integrals, we have

U (f ) ≤ U (f, π) < L(f, π) +  ≤ L(f ) + .

Since  is arbitrary, this shows that U (f ) ≤ L(f ). The reverse inequality has already been established.
Thus, we see that U (f ) = L(f ). 

(iii) ⇒ (i)

Subproof. Finally, assume f is Darboux integral which means L(f ) = U (f ). Let ID denote the value
of the Darboux integral. We will show that f is also Riemann integrable according to the definition and
that the value of the integral is ID.
Let  > 0 be given. Now, recall that

ID = L(f ) = sup L(f, π)

π
= U (f ) = inf U (f, π)
π

Hence, by the Supremum Tolerance Lemma, there exists π 1 ∈ Π[a, b] such that

ID −  = L(f ) −  < L(f, π 1 ) ≤ L(f ) = ID

and by the Infimum Tolerance Lemma, there exists π 2 ∈ Π[a, b] such that

ID = U (f ) ≤ U (f, π 2 ) < U (f ) +  = ID + .

Let π 0 = π 1 ∨ π 2 be the common refinement of π 1 and π 2 . Now, let π be any refinement of π 0 , and let
σ ⊂ π be any evaluation set. Then we have

ID −  < L(f, π 1 ) ≤ L(f, π 0 ) ≤ L(f, π) ≤ S(f, π, σ) ≤ U (f, π) ≤ U (f, π 0 ) ≤ U (f, π 2 ) < ID + .

Thus, it follows that

ID −  < S(f, π, σ) < ID + .

Since the refinement, π, of π 0 was arbitrary, as were the evaluation set, σ, and the tolerance , it follows
that for any refinement, π, of π 0 and any  > 0, we have

64
Properties Of The Riemann Integral Chapter 4:

| S(f, π, σ) − ID |< .

This shows that f is Riemann Integrable and the value of the integral is ID. 

Comment 4.2.3. By Theorem 4.2.4, we now know that the Darboux and Riemann integral are equiva-
lent. Hence, it is now longer necessary to use a different notation for these two different approaches to
what we call integration. From now on, we will use this notation
Z
RI(f ; a, b) ≡ DI(f ; a, b) ≡ f (t) dt

where the (t) in the new integration symbol refers to the name we wish to use for the independent variable
and dt is a mnemonic to remind us that the || π || is approaching zero as we choose progressively finer
partitions of [a, b]. This is, of course, not very rigorous notation. A better notation would be

RI(f ; a, b) ≡ DI(f ; a, b) ≡ I(f ; a, b)

where the symbol I denotes that we are interested in computing the integral of f using the equivalent
approach of Riemann or Darboux. Indeed, the notation I(f ; a, b) does not require the uncomfortable lack
R
of rigor that the symbol dt implies. However, for historical reasons, the symbol f (t) dt will be used.
R
Also, the use of the f (t) dt allows us to very efficiently apply the integration techniques of substi-
tution and so forth as we have shown in Chapter 2.

4.3 Properties Of The Riemann Integral

We can now prove a series of properties of the Riemann integral.

65
Properties Of The Riemann Integral Chapter 4:

Theorem 4.3.1. Properties Of The Riemann Integral

Let f, g ∈ RI[a, b]. Then

(i) | f |∈ RI[a, b];

(ii) Z  Z
 b  b
f (x)dx ≤ | f | dx;
 

 a  a

(iii) f + = max{f, 0} ∈ RI[a, b];

(iv) f − = max{−f, 0} ∈ RI[a, b];

(v)
Z b Z b Z b Z b
f (x)dx = [f + (x) − f − (x)]dx = f + (x)dx − f − (x)dx
a a a a
Z b Z b Z b Z b
| f (x) | dx = [f + (x) + f − (x)]dx = f + (x)dx + f − (x)dx;
a a a a

(vi) f 2 ∈ RI[a, b];

(vii) f g ∈ RI[a, b];

(viii) If there exists m, M such that 0 < m ≤| f |≤ M , then 1/f ∈ RI[a, b].

Proof.
(i)

Subproof. Note given a partition π = {x0 = a, x1 , . . . , xp = b}, for each j = 1, . . . , p we can easily
show that the supremum over order pairs can be computed in either order.

sup (f (x) − f (y)) = sup sup (f (x) − f (y))

x,y∈[xj−1 ,xj ] y∈[xj−1 ,xj ] y∈[xj−1 ,xj ]

= sup sup (f (x) − f (y))

x∈[xj−1 ,xj ] y∈[xj−1 ,xj ]

Thus,

sup (f (x) − f (y)) = sup sup (f (x) − f (y))

x,y∈[xj−1 ,xj ] y∈[xj−1 ,xj ] x∈[xj−1 ,xj ]

= sup (Mj − f (y))

y∈[xj−1 ,xj ]

= Mj + sup (−f (y))

y∈[xj−1 ,xj ]

= Mj − inf (f (y))
y∈[xj−1 ,xj ]
= M j − mj

Now, let m0j and Mj0 be defined by

66
Properties Of The Riemann Integral Chapter 4:

m0j = inf | f (x) |

[xj−1 ,xj ]

Mj0 = sup | f (x) | .

[xj−1 ,xj ]

Then, arguing as we did earlier, we find

Mj0 − m0j = sup | f (x) | − | f (y) | .

x,y∈[xj−1 ,xj ]

Claim: supx,y | f (x) − f (y) |= Mj − mj

To see this is true, note
(
f (x) − f (y), f (x) ≥ f (y)
| f (x) − f (y) |=
f (y) − f (x), f (x) < f (y)

In either case, we have | f (x)−f (y) |≤ Mj −mj for all x, y, implying that supx,y | f (x)−f (y) |≤ Mj −mj .
To see the reverse inequality holds, we first note that if Mj = mj , we see the reverse inequality holds
trivially as supx,y | f (x) − f (y) | ≥ 0 = Mj − mj . Hence, we may assume without loss of generality that
the gap Mj − mj is positive.
Then, given 0 <  < (1/2(Mj − m − j), there exist, s, t ∈ [xj−1 , xj ] such that Mj − /2 < f (s) and
mj + /2 > f (t), so that f (s) − f (t) > Mj − mj − . by our choice of , these terms are positive and so
we also have | f (s) − f (t) |> Mj − mj − . It follows that

sup | f (x) − f (y) |≥| f (sj ) − f (tj ) |> Mj − mj −  | .

x,y∈[xj−1 ,xj ]

Since we can make  arbitrarily small, this implies that

sup | f (x) − f (y) |≥ Mj − mj .

x,y∈[xj−1 ,xj ]

This establishes the reverse inequality and proves the claim ♦.

Thus, for each j = 1, . . . , p, we have

M j − mj = sup | f (x) − f (y) | .

x,y∈[xj−1 ,xj ]

So, since | f (x) | − | f (y) |≤| f (x) − f (y) | for all x, y, it follows that Mj0 − m0j ≤ Mj − mj , implying
that π (Mj0 − m0j )∆xj ≤ π (Mj − mj )∆xj . Since f is integrable by hypothesis, by Theorem 4.2.4, we
P P

know the Riemann criterion must also hold for | f |. Hence, | f | is Riemann integrable. 

The other results now follow easily. (ii)

Subproof. We have f ≤| f | and f ≥ − | f |, so that

67
Properties Of The Riemann Integral Chapter 4:

Z b Z b
f (x)dx ≤ | f (x) | dx
a a
Z b Z b
f (x)dx ≥ − | f (x) | dx,
a a

from which it follows that

Z b Z b Z b
− | f (x) | dx ≤ f (x)dx ≤ | f (x) | dx
a a a

and so Z 
 b  Z b
f ≤ | f |,
 

 a  a

(iii) and (iv)

Subproof. This follows from the facts that f + = 12 (| f | +f ) and f − = 12 (| f | −f ) and the Riemann
integral is a linear mapping. 

(v)

Subproof. This follows from the facts that f = f + − f − and | f |= f + + f − and the linearity of the
integral. 

(vi)

Subproof. Note that, since f is bounded, there exists K > 0 such that | f (x) |≤ K for all x ∈ [a, b].
Consequently, for all x, y ∈ [a, b], we have | (f (x))2 −(f (y))2 |≤ 2K | f (x)−f (y) |. Thus, the integrability
of f and the Riemann criterion imply that f 2 is integrable. 

(vii)

Subproof. To prove that f g is integrable when f and g are, simply note that
!
2 2 2
f g = (1/2) (f + g) − f − g .

Property (vi) and the linearity of the integral then imply f g is integrable. 

(viii)

Subproof. Suppose f ∈ RI[a, b] and there exist M, m > 0 such that m ≤| f (x) |≤ M for all x ∈ [a, b].
Note that

1 1 f (y) − f (x)
− = .
f (x) f (y) f (x)f (y)
Let π = {x0 = a, x1 , . . . , xp = b} be a partition of [a, b], and define

68
What Functions Are Riemann Integrable? Chapter 4:

1
Mj0 = sup
[xj−1 ,xj ] f (x)
1
m0j = inf .
[xj−1 ,xj ] f (x)

Then we have

f (y) − f (x)
Mj0 − m0j = sup
x,y∈[xj−1 ,xj ] f (x)f (y)

| f (y) − f (x) |
≤ sup
x,y∈[xj−1 ,xj ] | f (x) || f (y) |
1
≤ sup | f (y) − f (x) |
m2 x,y∈[xj−1 ,xj ]
M j − mj
≤ .
m2

Since f ∈ RI[a, b], given  > 0 there is a partition π 0 such that U (f, π) − L(f, π) < m2  for any
refinement, pi, of π 0 . Hence, the previous inequality implies that, for any such refinement, we have

1  1  X
U ,π − L ,π = (Mj0 − m0j )∆xj
f f π
1 X
≤ (Mj − mj )∆xj
m2 π
1  
≤ U (f, π) − L(f, π)
m2
m2 
< = .
m2
Thus 1/f satisfies the Riemann Criterion and hence it is integrable. 

4.4 What Functions Are Riemann Integrable?

Now we need to show that the set RI[a, b] is nonempty. We begin by showing that all continuous
functions on [a, b] will be Riemann Integrable.

Theorem 4.4.1. Continuous Implies Riemann Integrable

If f ∈ C[a, b], then f ∈ RI[a, b].

Proof. Since f is continuous on a compact set, it is uniformly continuous. Hence, given  > 0, there is
a δ > 0 such that x, y ∈ [a, b], | x − y |< δ ⇒| f (x) − f (y) |< /(b − a). Let π 0 be a partition such that
|| π 0 ||< δ, and let π = {x0 = a, x1 , . . . , xp = b} be any refinement of π 0 . Then π also satisfies || π ||< δ.

69
What Functions Are Riemann Integrable? Chapter 4:

Since f is continuous on each subinterval [xj−1 , xj ], f attains its supremum, Mj , and infimum, mj , at
points sj and tj , respectively. That is, f (sj ) = Mj and f (tj ) = mj for each j = 1, . . . , p. Thus, the
uniform continuity of f on each subinterval implies that, for each j,


Mj − mj =| f (sj ) − f (tj ) |< .
b−a
Thus, we have
X  X
U (f, π) − L(f, π) = (Mj − mj )∆xj < ∆xj = .
π
b−a π

Since π was an arbitrary refinement of π 0 , it follows that f satisfies Riemann’s criterion. Hence,
f ∈ RI[a, b]. 

Theorem 4.4.2. Constant Functions Are Riemann Integrable

If f : [a, b] → < is a constant function, f (t) = c for all t in [a, b], then f is Riemann Integrable
Rb
on [a, b] and a f (t)dt = c(b − a).

Proof. For any partition π of [a, b], since f is a constant, all the individual mj ’s and Mj ’s associated
with π take on the value c. Hence, U (f, π) − U (f, π) = 0 always. It follows immediately that f satisfies
the Riemann Criterion and hence is Riemann Integrable. Finally, since f is integrable, by Theorem
4.1.2, we have
c(b − a) ≤ RI(f ; a, b) ≤ c(b − a).
Rb
Thus, a f (t)dt = c(b − a). 

Theorem 4.4.3. Monotone Implies Riemann Integrable

If f is monotone on [a, b], then f ∈ RI[a, b].

Proof. As usual, for concreteness, we assume that f is monotone increasing. We also assume f (b) >
f (a), for if not, then f is constant and must be integrable by Theorem 4.4.2. Let  > 0 be given, and let
π 0 be a partition of [a, b] such that || π 0 ||< /(f (b) − f (a)). Let π = {x0 = a, x1 , . . . , xp = b} be any
refinement of π 0 . Then π also satisfies || π ||< /(f (b) − f (a)). Thus, for each j = 1, . . . , p, we have


∆xj < .
f (b) − f (a)
Since f is increasing, we also know that Mj = f (xj ) and mj = f (xj−1 ) for each j. Hence,

X
U (f, π) − L(f, π) = (Mj − mj )∆xj
π
X
= [f (xj ) − f (xj−1 )]∆xj
π
 X
< [f (xj ) − f (xj−1 )].
f (b) − f (a) π

70
Further Properties of the Riemann Integral Chapter 4:

But this last sum is telescoping and sums to f (b) − f (a). So, we have


U (f, π) − L(f, π) < (f (b) − f (a)) = .
f (b) − f (a)
Thus, f satisfies Riemann’s criterion. 

Theorem 4.4.4. Bounded Variation Implies Riemann Integrable

If f ∈ BV [a, b], then f ∈ RI[a, b].

Proof. Since f is of bounded variation, there are functions u and v, defined on [a, b] and both monotone
increasing, such that f = u − v. Hence, by the linearity of the integral and the previous theorem,
f ∈ RI[a, b]. 

4.5 Further Properties of the Riemann Integral

We first want to establish the familiar summation property of the Riemann integral over an interval
[a, b] = [a, c] ∪ [c, b]. Most of the technical work for this result is done in the following Lemma.

Lemma 4.5.1. The Upper And Lower Darboux Integral Is Additive On Intervals
Let f ∈ B[a, b] and let c ∈ (a, b). Let
Z b Z b
f (x) dx = L(f ) and f (x) dx = U (f )
a a

denote the lower and upper Darboux integrals of f on [a, b], respectively. Then we have
Z b Z c Z b
f (x)dx = f (x)dx + f (x)dx
a a c

Z b Z c Z b
f (x)dx = f (x)dx + f (x)dx.
a a c

Proof. We prove the result for the upper integrals as the lower integral case is similar. Let π ∈ Π[a, b]
be given by π = {x0 = a, x1 , . . . , xp = b}. We first assume that c is a partition point of π. Thus, there is
some index 1 ≤ k0 ≤ p−1 such that xk0 = c. For any interval [α, β], let Uαβ (f, π) denote the upper sum of
f for the partition π over [α, β]. Now, we can rewrite π as π = {x0 , x1 , . . . , xk0 } ∪ {xk0 , xk0 +1 , . . . , xp }.
Let π 1 = {x0 , . . . , xk0 } and π 2 = {xk0 , . . . , xp }. Then π 1 ∈ Π[a, c], π 2 ∈ Π[c, b], and

Uab (f, π) = Uac (f, π 1 ) + Ucb (f, π 2 )

Z c Z b
≥ f (x)dx + f (x)dx,
a c

by the definition of the upper sum. Now, if c is not in π, then we can refine π by adding c, obtaining
the partition π 0 = {x0 , x1 , . . . , xk0 , c, xk0 +1 , . . . , xp }. Splitting up π 0 at c as we did before into π 1 and

71
Further Properties of the Riemann Integral Chapter 4:

π 2 , we see that π 0 = π 1 ∨ π 2 where π 1 = {x0 , . . . , xk0 , c} and π 2 = {c, xk0 +1 , . . . , xp }. Thus, by our
properties of upper sums, we see that

Z c Z b
Uab (f, π) ≥ Uab (f, π 0 ) = Uac (f, π 1 ) + Ucb (f, π 2 ) ≥ f (x)dx + f (x)dx.
a c

Combining both cases, we can conclude that for any partition π ∈ Π[a, b], we have

Z c Z b
Uab (f, π) ≥ f (x)dx + f (x)dx,
a c

which implies that

Z b Z c Z b
f (x)dx ≥ f (x)dx + f (x)dx.
a a c

Now we want to show the reverse inequality. Let  > 0 be given. By the definition of the upper integral,
there exists π 1 ∈ Π[a, c] and π 2 ∈ [c, b] such that

Z c

Uac (f, π 1 ) < f (x)dx +
a 2
Z b

Ucb (f, π 2 ) < f (x)dx + .
c 2

Let π = π 1 ∪ π 2 ∈ Π[a, b]. It follows that

Z c Z b
Uab (f, π) = Uac (f, π 1 ) + Ucb (f, π 2 ) < f (x)dx + f (x)dx + .
a c

But, by definition, we have

Z b
f (x)dx ≤ Uab (f, π)
a

for all π. Hence, we see that

Z b Z c Z b
f (x)dx < f (x)dx + f (x)dx + .
a a c

Since  was arbitrary, this proves the reverse inequality we wanted. We can conclude, then, that

Z b Z c Z b
f (x)dx = f (x)dx + f (x)dx.
a a c

Theorem 4.5.2. The Riemann Integral Exists On Subintervals

If f ∈ RI[a, b] and c ∈ (a, b), then f ∈ RI[a, c] and f ∈ RI[c, b].

72
Further Properties of the Riemann Integral Chapter 4:

Proof. Let  > 0 be given. Then there is a partition π 0 ∈ Π[a, b] such that Uab (f, π) − Lba (f, π) <  for
any refinement, π, of π 0 . Let π 0 be given by π 0 = {x0 = a, x1 , . . . , xp = b}. Define π 00 = π 0 ∪ {c}, so
there is some index k0 such that xk0 ≤ c ≤ xk0 +1 . Let π 1 = {x0 , . . . , xk0 , c} and π 2 = {c, xk0 +1 , . . . , xp }.
Then π 1 ∈ Π[a, c] and π 2 ∈ Π[c, b]. Let π 01 be a refinement of π 1 . Then π 01 ∪ π 2 is a refinement of π 0 ,
and it follows that

X
Uac (f, π 01 ) − Lca (f, π 01 ) = (Mj − mj )∆xj
π 01
X
≤ (Mj − mj )∆xj
π 01 ∪π 2

≤ Uab (f, π 01 ∪ π 2 ) − Lba (f, π 01 ∪ π 2 ).

But, since π 01 ∪ π 2 refines π 0 , we have

Uab (f, π 01 ∪ π 2 ) − Lba (f, π 01 ∪ π 2 ) < ,

implying that

Uac (f, π 01 ) − Lca (f, π 01 ) < 

for all refinements, π 01 , of π 1 . Thus, f satisfies Riemann’s criterion on [a, c], and f ∈ RI[a, c]. The
proof on [c, b] is done in exactly the same way. 

Theorem 4.5.3. The Riemann Integral Is Additive On Subintervals

If f ∈ RI[a, b] and c ∈ (a, b), then
Z b Z c Z b
f (x)dx = f (x)dx + f (x)dx.
a a c

Proof. Since f ∈ RI[a, b], we know that

Z b Z b
f (x)dx = f (x)dx.
a a

Further, we also know that f ∈ RI[a, c] and f ∈ RI[c, b] for any c ∈ (a, b). Thus,

Z c Z c
f (x)dx = f (x)dx
a a
Z b Z b
f (x)dx = f (x)dx.
c c

So, applying Lemma 4.5.1, we conclude that, for any c ∈ (a, b),
Z b Z b Z c Z b Z c Z b
f (x)dx = f (x) dx = f (x) dx + f (x) dx = f (x) dx + f (x) dx.
a a a c a c

73
The Fundamental Theorem Of Calculus Chapter 4:

4.6 The Fundamental Theorem Of Calculus

The next result is the well-known Fundamental of Theorem of Calculus.

Theorem 4.6.1. The Fundamental Theorem Of Calculus

Let f ∈ RI[a, b]. Define F : [a, b] → < by
Z x
F (x) = f (t)dt.
a

Then

(i) F ∈ BV [a, b];

(ii) F ∈ C[a, b];

(iii) if f is continuous at c ∈ [a, b], then F is differentiable at c and F 0 (c) = f (c).

Proof. First, note that f ∈ RI[a, b] ⇒ f ∈ R[a, x] for all x ∈ [a, b], by our previous results. Hence, F
is well-defined. We will prove the results in order. (i)

Subproof. Let π ∈ Π[a, b] be given by π = {x0 = a, x1 , . . . , xp = b}. Then the fact that f ∈ R[a, xj ]
implies that f ∈ R[xj−1 , xj ] for each j = 1, . . . , p. Thus, we have
Z xj
mj ∆xj ≤ f (t)dt ≤ Mj ∆xj .
xj−1

This implies that, for each j, we have

Z 
 xj 
f (t)dt ≤|| f ||∞ ∆xj .
 

 xj−1 

Thus,

| ∆Fj | = | F (xj ) − F (xj−1 ) |

Z 
 xj Z xj−1 
=  f (t)dt − f (t)dt
 
 a a 
Z 
 xj 
=  f (t)dt
 
 xj−1 
≤ || f ||∞ ∆xj .

Summing over π, we obtain

X X
| ∆Fj |≤|| f ||∞ ∆xj = (b − a) || f ||∞ < ∞.
π π

Since the partition π was arbitrary, we conclude that F ∈ BV [a, b]. 

74
The Fundamental Theorem Of Calculus Chapter 4:

(ii)

Subproof. Now, let x, y ∈ [a, b] be such that x < y. Then

Z y
inf f (t) (y − x) ≤ f (t)dt ≤ sup f (t) (y − x),
[x,y] x [x,y]

which implies that

Z 
 y 
| F (y) − F (x) |=  f (t)dt ≤|| f ||∞ (y − x).
 
 x 

A similar argument shows that if y, x ∈ [a, b] satisfy y < x, then

Z 
 y 
| F (y) − F (x) |=  f (t)dt ≤|| f ||∞ (x − y).
 
 x 

Let  > 0 be given. Then if


| x − y |< ,
|| f ||∞ +1
we have

|| f ||∞
| F (y) − F (x) |≤|| f ||∞ | y − x |<  < .
|| f ||∞ +1
Thus, F is continuous at x and, consequently, on [a, b]. 

(iii)

Subproof. Finally, assume f is continuous at c ∈ [a, b], and let  > 0 be given. Then there exists δ > 0
such that x ∈ (c − δ, c + δ) ∩ [a, b] implies | f (x) − f (c) |< /2. Pick h ∈ < such that 0 <| h |< δ and
c + h ∈ [a, b]. Let’s assume, for concreteness, that h > 0. Define

m = inf f (t) and M = sup f (t).

[c,c+h] [c,c+h]

If c < x < c + h, then we have x ∈ (c − δ, c + δ) ∩ [a, b] and −/2 < f (x) − f (c) < /2. That is,

 
f (c) −
< f (x) < f (c) + ∀x ∈ [c, c + h].
2 2
Hence, m ≥ f (c) − /2 and M ≤ f (c) + /2. Now, we also know that
Z c+h
mh ≤ f (t)dt ≤ M h.
c

Thus, we have
R c+h Rc R c+h
F (c + h) − F (c) a
f (t)dt − a
f (t)dt c
f (t)dt
= = .
h h h
Combining inequalities, we find

 F (c + h) − F (c) 
f (c) − ≤m≤ ≤ M ≤ f (c) +
2 h 2

75
The Fundamental Theorem Of Calculus Chapter 4:

yielding  
 F (c + h) − F (c)  
⇒ − f (c) ≤ < 
 
 h  2

if x ∈ [c, c + h].
The case where h < 0 is handled in exactly the same way. Thus, since  was arbitrary, this shows that F
is differentiable at c and F 0 (c) = f (c). Note that if c = a or c = b, we need only consider the definition
of the derivative from one side. 

Comment 4.6.1. We call F (x) the indefinite integral of f . F is always better behaved than f , since
integration is a smoothing operation. We can see that f need not be continuous, but, as long as it is
integrable, F is always continuous.

The next result is one of the many mean value theorems in the theory of integration. It is a more
general form of the standard mean value theorem given in beginning calculus classes.

Theorem 4.6.2. The Mean Value Theorem For Riemann Integrals

Let f ∈ C[a, b], and let g ≥ 0 be integrable on [a, b]. Then there is a point, c ∈ [a, b], such that
Z b Z b
f (x)g(x)dx = f (c) g(x)dx.
a a

Proof. Since f is continuous, it is also integrable. Hence, f g is integrable. Let m and M denote the
lower and upper bounds of f on [a, b], respectively. Then mg(x) ≤ f (x)g(x) ≤ M g(x) for all x ∈ [a, b].
Since the integral preserves order, we have
Z b Z b Z b
m g(x)dx ≤ f (x)g(x)dx ≤ M g(x)dx.
a a a

If the integral of g on [a, b] is 0, then this shows that the integral of f g will also be 0. Hence, in this
case, we can choose any c ∈ [a, b] and the desired result will follow. If the integral of g is not 0, then it
must be positive, since g ≥ 0. Hence, we have, in this case,
Rb
a
f (x)g(x)dx
m≤ Rb ≤ M.
a
g(x)dx
Now, f must be uniformly continuous, implying that it attains the values M and m at some points.
Hence, by the intermediate value theorem, there must be some c ∈ [a, b] such that
Rb
a
f (x)g(x)dx
f (c) = Rb .
a
g(x)dx
This implies the desired result. 

The next result is another standard mean value theorem from basic calculus. It is a direct con-
sequence of the previous theorem, by simply letting g(x) = 1 for all x ∈ [a, b]. This result can be
interpreted as stating that integration is an averaging process.

76
The Fundamental Theorem Of Calculus Chapter 4:

Theorem 4.6.3. Average Value For Riemann Integrals

If f ∈ C[a, b], then there is a point c ∈ [a, b] such that
Z b
1
f (x)dx = f (c).
b−a a

The next result is the standard means for calculating definite integrals in basic calculus. We start
with a definition.

Definition 4.6.1. The Antiderivative of f

Let f : [a, b] → < be a bounded function. Let G : [a, b] → < be such that G0 exists on [a, b] and
G0 (x) = f (x) for all x ∈ [a, b]. Such a function is called an antiderivative or a primitive
of f .

Comment 4.6.2. The idea of an antiderivative is intellectually distinct from the Riemann integral of
a bounded function f . Consider the following function f defined on [−1, 1].
(
x2 sin(1/x2 ), x 6= 0, x ∈ [−1, 1]
f (x) =
0, x=0

It is easy to see that this function has a removable discontinuity at 0. Moreover, f is even differentiable
on [−1, 1] with derivative
(
2x sin(1/x2 ) − (2/x) cos(1/x2 ), x 6= 0, x ∈ [−1, 1]
f 0 (x) =
0, x=0

Note f 0 is not bounded on [−1, 1] and hence it can not be Riemann Integrable. Now to connect this to
the idea of antiderivatives, just relabel the functions. Let g be defined by
(
2x sin(1/x2 ) − (2/x) cos(1/x2 ), x 6= 0, x ∈ [−1, 1]
g(x) =
0, x=0

then define G by
(
x2 sin(1/x2 ), x 6= 0, x ∈ [−1, 1]
G(x) =
0, x=0

We see that G is the antiderivative of g even though g itself does not have a Riemann integral. Again,
the point is that the idea of the antiderivative of a function is intellectually distinct from that of being
Riemann integrable.

Theorem 4.6.4. Cauchy’s Fundamental Theorem

Let f : [a, b] → < be integrable. Let G : [a, b] → < be any antiderivative of f . Then
Z b b
f (t)dt = G(t) = G(b) − G(a).

a a

77
The Fundamental Theorem Of Calculus Chapter 4:

Proof. Since G0 exists on [a, b], G must be continuous on [a, b]. Let  > 0 be given. Since f is integrable,
there is a partition π 0 ∈ Π[a, b] such that for any refinement, π, of π 0 and any σ ⊂ π, we have
 Z b 
 
S(f, π, σ) − f (x)dx < .
 
 a 

Let π be any refinement of π 0 , given by π = {x0 = a, x1 , . . . , xp = b}. The Mean Value Theorem
for differentiable functions then tells us that there is an sj ∈ (xj−1 , xj ) such that G(xj ) − G(xj−1 ) =
G0 (sj )∆xj . Since G0 = f , we have G(xj ) − G(xj−1 ) = f (sj )∆xj for each j = 1, . . . , p. The set of points,
{s1 , . . . , sp }, is thus an evaluation set associated with π. Hence,
X X X
[G(xj ) − G(xj−1 )] = G0 (sj )∆xj = f (sj )∆xj
π π π

The first sum on the left is a collapsing sum, hence we have

⇒ G(b) − G(a) = S(f, π, {s1 , . . . , sp }).

We conclude
 Z b 
 
G(b) − G(a) − f (x)dx < .
 
 a 

Since  was arbitrary, this implies the desired result. 

Comment 4.6.3. Not all functions (in fact, most functions) will have closed form, or analytically
obtainable, antiderivatives. So, the previous theorem will not work in such cases.

Theorem 4.6.5. The Recapture Theorem

If f is differentiable on [a, b], and if f 0 ∈ RI[a, b], then
Z x
f 0 (t)dt = f (x) − f (a).
a

Proof. f is an antiderivative of f . Now apply Cauchy’s Fundamental Theorem 4.6.4. 

Another way to evaluate Riemann integrals is to directly approximate them using an appropriate
sequence of partitions. Theorem 4.6.6 is a fundamental tool that tells us when and why such approxi-
mations will work.

Theorem 4.6.6. Approximation Of The Riemann Integral

If f ∈ RI[a, b], then given any sequence of partitions {πn } with any associated sequence of
evaluation sets {σn } that satisfies || πn ||→ 0, we have
Z b
lim S(f, πn , σn ) = f (x) dx
n→∞ a

78
The Fundamental Theorem Of Calculus Chapter 4:

Proof. Since f is integrable, given a positive , there is a partition π0 so that

Z b
| S(f, π, σ) − f (x)dx | < /2, π0  π, σ ⊆ π. (∗)
a

Let the partition π0 be {x0 , x1 , . . . , xP } and let ξ be defined to be the smallest ∆xj from π0 . Then since
the norm of the partitions πn goes to zero, there is a positive integer N so that

|| πn || < min (ξ, /(4P || f ||)∞)) (∗)

Now pick any n > N and label the points of πn as {y0 , y1 , . . . , yQ }. We see that the points in πn are
close enough together so that at most one point of π0 lies in any subinterval yj−1 , yj ] from πn . This
follows from our choice of ξ. So the intervals of πn split into two pieces: those containing a point
of π0 and those that do not have a π0 inside. Let A be the first collection of intervals and B, the
second. Note there are P points in π0 and so there are P subintervals in B. Now consider the common
refinement πn ∨ π0 . The points in the common refinement match πn except on the subintervals from
B. Let [yj−1 , yj ] be such a subinterval and let γj denote the point from π0 which is in this subinterval.
Let’s define an evaluation set σ for this refinement πn ∨ π0 as follows.

1. if we are in the subintervals labeled A , we choose as our evaluation point, the evaluation point
sj that is already in this subinterval since σn ⊆ πn . Here, the length of the subinterval will be
denoted by δj (A ) which equals yj − yj−1 for appropriate indices.

2. if we are in the the subintervals labeled B, we have two intervals to consider as [yj−1 , yj ] =
[yj−1 , γj ] ∪ [γj , yj ]. Choose the evaluation point γj for both [yj−1 , γ] and [γ, yj ]. Here, the length
of the subintervals will be denoted by δj (B). Note that δj (B) = γj − yj−1 or yj − γj .

Then we have
X X
S(f, πn ∨ π0 , σ) = f (sj )δj (A ) + f (γj )δj (A )
A B
X X
= f (sj )(yj − yj−1 ) + (f (γj )(yj − γj ) + f (γj )(γj − yj−1 ))
A B
X X
= f (sj )(yj − yj−1 ) + (f (γj )(yj − yj−1 ))
A B

Thus, since the Riemann sums over πn and πn ∨ π0 with these choices of evaluation sets match on A ,
we have using Equation ∗ that
X
| S(f, πn , σn ) − S(f, πn ∨ π0 , σ) | = | (f (sj ) − f (γj )(yj − yj−1 ) |
A
X
≤ (| f (sj ) | + | f (γj ) |) (yj − yj−1 ) |
A
≤ P 2 || f ||∞ || πn ||

< P 2 || f ||∞
4P || f ||∞
= /2

79
Substitution Type Results Chapter 4:

We conclude that for our special evaluation set σ for the refinement πn ∨ π0 that
Z b Z b
|| S(f, πn , σn ) − f (x)dx | = | S(f, πn , σn ) − S(f, πn ∨ π0 , σ) + S(f, πn ∨ π0 , σ) − f (x)dx |
a a
Z b
≤ | S(f, πn , σn ) − S(f, πn ∨ π0 , σ) | + | S(f, πn ∨ π0 , σ) − f (x)dx |
a
< /2 + /2 = 

using Equation ∗ as πn ∨ π0 refines π0 . Since we can do this analysis for any n > N , we see we have
shown the desired result. 

4.6.1 Homework
R3
Exercise 4.6.1. Let f (x) = x2 on the interval [−1, 3]. Use Theorem 4.6.6 to prove that −1
f (x)dx =
28/3.

Hint. We know f is Riemann integrable because it is continuous and so this theorem can be applied.
Use the uniform approximations xi = −1 + 4i/n for i = 0 to i = n to define partitions πn . Then using
left or right hand endpoints on each subinterval to define the evaluation set σn , you can prove directly
R3
that −1 x2 dx = lim S(f, πn , σn ) = 28/3. Make sure you tell me all the reasoning involved. 

Exercise 4.6.2. If f is continuous, evaluate

Z x
x
lim f (t)dt
x→a x − a a

Rb
Exercise 4.6.3. Prove if f is continuous on [a, b] and a
f (x)g(x)dx = 0 for all choices of integrable g,
then f is identically 0.

4.7 Substitution Type Results

Using the Fundamental Theorem of Calculus, we can derive many useful tools.

Theorem 4.7.1. Integration By Parts

Assume u : [a, b] → < and v : [a, b] → < are differentiable on [a, b] and u0 and v 0 are integrable.
Then
Z x x Z
 x
0
u(t)v (t) dt = u(t)v(t) − v(t)u0 (t) dt

a  a
a

Proof. Since u and v are differentiable on [a, b], they are also continuous and hence, integrable. Now
apply the product rule for differentiation to obtain

0
(u(t)v(t)) = u0 (t)v(t) + u(t)v 0 (t)

80
Substitution Type Results Chapter 4:

By Theorem 4.3.1, we know products of integrable functions are integrable. Also, the integral is linear.
Hence, the integral of both sides of the equation above is defined. We obtain

Z x Z x Z x
0 0
(u(t)v(t)) dt = u (t)v(t) dt + u(t)v 0 (t) dt
a a a

Since (uv)0 is integrable, we can apply the Recapture Theorem to see

x
 Z x Z x
u(t)v(t) = u0 (t)v(t) dt + u(t)v 0 (t) dt

 a a
a

This is the desired result. 

Theorem 4.7.2. Substitution In Riemann Integration

Let f be continuous on [c, d] and u be continuously differentiable on [a, b] with u(a) = c and
u(b) = d. Then
Z d Z b
f (u) du = f (u(t)) u0 (t) dt
c a

Ru
Proof. Let F be defined on [c, d] by F (u) = c f (t)dt. Then since f is continuous, F is continuous and
differentiable on [c, d] by the Fundamental Theorem of Calculus. We know F 0 (u) = f (u) and so

F 0 (u(t)) = f (u(t)), a ≤ t ≤ b

implying
F 0 (u(t)) u0 (t) = f (u(t))u0 (t) , a ≤ t ≤ b

By the Chain Rule for differentiation, we also know

(F ◦ u)0 (t) = F (u(t))u0 (t) , a ≤ t ≤ b.

and hence (F ◦ u)0 (t) = f (u(t))u0 (t) on [a, b].

Now define g on [a, b] by

g(t) = (f ◦ u)(t) u0 (t) = f (u(t)) u0 (t)

= (F ◦ u)0 (t).

Since g is continuous, g is integrable on [a, b]. Now define G on [a, b] by G(t) = (F ◦ u)(t). Then
G0 (t) = f (u(t))u0 (t) = g(t) on [a, b] and G0 is integrable. Now, apply the Cauchy Fundamental Theorem
of Calculus to G to find
Z b
g(t) dt = G(b) − G(a)
a

81
Substitution Type Results Chapter 4:

or
Z b
f (u(t)) u0 (t) dt = F (u(b)) − F (u(a))
a
Z u(b)=d Z u(a)=c
= f (t)dt − f (t)dt
c c
Z d
= f (t)dt.
c

Theorem 4.7.3. Leibnitz’s Rule

Let f be continuous on [a, b], u : [c, d] → [a, b] be differentiable on [c, d] and v : [c, d] → [a, b]
be differentiable on [c, d]. Then
!0
Z v(x)
f (t) dt = f (v(x))v 0 (x) − f (u(x)u0 (x)
u(x)

Ry
Proof. Let F be defined on [a, b] by F (y) = a f (t)dt. Since f is continuous, F is also continuous and
moreover, F is differentiable with F 0 (y)) = f (y). Since v is differentiable on [c, d], we can use the Chain
Rule to find

(F ◦ v)0 (x) = F 0 (v(x)) v 0 (x)

= f (v(x)) v 0 (x)

This says
!0
Z v(x)
f (t) dt = f (v(x))v 0 (x)
a

Rb Rb Ry
Next, define G on [a, b] by G(y) = y
f (t)dt = a
f (t) − a
f (t)dt. Apply the Fundamental Theorem of
Calculus to conclude
Z y 
G0 (y) = − f (t)dt = −f (y)
a

Again, apply the Chain Rule to see

0
(G ◦ u) (x) = G0 (u(x)) u0 (x)
= −f (u(x)) u0 (x).

We conclude
!0
Z b
f (t) dt = −f (u(x))u0 (x)
u(x)

82
When Do Two Functions Have The Same Integral? Chapter 4:

Now combine these results as follows:

Z b Z v(x) Z u(x) Z b
f (t)dt = f (t)dt + f (t)dt + f (t)dt
a a v(x) u(x)

or
Z b Z u(x)
(F ◦ v)(x) + (G ◦ u)(x) − f (t)dt = − f (t)dt
a v(x)
Z v(x)
= f (t)dt
u(x)

Then, differentiate both sides to obtain

(F ◦ v)0 (x) + (G ◦ u)0 (x) = f (v(x))v 0 (x) − f (u(x))u0 (x)

Z v(x) !0
= f (t)dt
u(x)

which is the desired result. 

4.8 When Do Two Functions Have The Same Integral?

The last results in this chapter seek to find conditions under which the integrals of two functions, f and
g, are equal.

Lemma 4.8.1. f Zero On (a, b) Implies Zero Riemann Integral

Let f ∈ B[a, b], with f (x) = 0 on (a, b). Then f is integrable on [a, b] and
Z b
f (x)dx = 0.
a

Proof. If f is identically 0, then the result is follows easily. Now, assume f (a) 6= 0 and f (x) on (a, b].
Let  > 0 be given, and let δ > 0 satisfy


δ< .
| f (a) |
Let π 0 ∈ Π[a, b] be any partition such that || π 0 ||< δ. Let π = {x0 = a, x1 , . . . , xp } be any refinement
of π 0 . Then U (f, π) = max(f (a), 0)∆x1 and L(f, π) = min(f (a), 0)∆x1 . Hence, we have

U (f, π) − L(f, π) = [max(f (a), 0) − min(f (a), 0)]∆x1 =| f (a) | ∆x1 .

But


| f (a) | ∆x1 <| f (a) | δ <| f (a) | = .
| f (a) |
Hence, if π is any refinement of π 0 , we have U (f, π) − L(f, π) < . This shows that f ∈ RI[a, b].
Further, we have

83
When Do Two Functions Have The Same Integral? Chapter 4:

U (f, π) = max(f (a), 0)∆x1 ⇒ U (f ) = inf U (f, π) = 0,

π

since we can make ∆x1 as small as we wish. Likewise, we also see that L(f ) = supπ L(f, π) = 0,
implying that
Z b
U (f ) = L(f ) = f (x)dx = 0.
a

The case where f (b) 6= 0 and f (x) = 0 on [a, b) is handled in the same way. So, assume that f (a), f (b) 6=
0 and f (x) = 0 for x ∈ (a, b). Let  > 0 be given, and choose δ > 0 such that


δ< .
2 max{| f (a) |, | f (b) |}

Let π 0 be a partition of [a, b] such that | π 0 |< δ, and let π be any refinement of π 0 . Then

U (f, π) = max(f (a), 0)∆x1 + max(f (b), 0)∆xp

L(f, π) = min(f (a), 0)∆x1 + min(f (b), 0)∆xp .

It follows that

U (f, π) − L(f, pi) = [max(f (a), 0) − min(f (a), 0)]∆x1 + [max(f (b), 0) − min(f (a), 0)]∆xp
= | f (a) | ∆x1 + | f (b) | ∆xp
< | f (a) | δ+ | f (b) | δ
< .

Since we can make ∆x1 and ∆xp as small as we wish, we see

Z b
f (x)dx = 0.
a

Lemma 4.8.2. f = g on (a, b) Implies Riemann Integrals Match

Let f, g ∈ RI[a, b] with f (x) = g(x) on (a, b). Then
Z b Z b
f (x)dx = g(x)dx.
a a

Proof. Let h = f − g, and apply the previous lemma. 

84
When Do Two Functions Have The Same Integral? Chapter 4:

Theorem 4.8.3. Two Riemann Integrable Functions Match At All But Finitely Many Points
Implies Integrals Match
Let f, g ∈ RI[a, b], and assume that f = g except at finitely many points c1 , . . . , ck . Then
Z b Z b
f (x)dx = g(x)dx.
a a

Proof. We may re-index the points {c1 , . . . , ck }, if necessary, so that c1 < c2 < · · · < ck . Then apply
Lemma 4.8.2 on the intervals (cj−1 , cj ) for all allowable j. This shows
Z cj Z cj
f (t)dt = g(t)dt.
cj−1 cj−1

Then, since
Z b k Z
X cj
f (t)dt = f (t)dt
a j=1 cj−1

the results follows. 

Theorem 4.8.4. f Bounded and Continuous At All But One Point Implies f is Riemann
Integrable
if f is bounded on [a, b] and continuous except at one point c in [a, b], then f is Riemann
integrable.

Proof. For convenience, we will assume that c is an interior point, i.e. c is in (a, b). We will show that
f satisfies the Riemann Criterion and so it is Riemann integrable. Let  > 0 be given. Since f is bounded
on [a, b], there is a real number M so that f (x) < M for all x in [a, b]. We know f is continuous on
[a, c−/(6M )] and f is continuous on [c+/(6M ), b]. Thus, f is integrable on both of these intervals and
f satisfies the Riemann Criterion on both intervals. For this  there is a partition π0 of [a, c − /(6M )]
so that

U (f, P ) − L(f, P ) < /3, ifπ0  P

and there is a partition π1 of [c + /(6M ), b] so that

U (f, Q) − L(f, Q) < /3, ifπ0  Q.

Let π2 be the partition we get by combining π)0 with the points {c − /(6M ), c + /(6M )} and π)1 .
Then, we see
!
U (f, π2 ) − L(f, π2 ) = U (f, π0 ) − L(f, π0 ) + sup f (x) /3 + U (f, π1 ) − L(f, π1 )
x∈[c−/(6M ),c+/(6M )]

< /3 + M /(3M ) + /3 = 

Then if π2  π on [a, b], we have

U (f, π) − L(f, π) < 

85
When Do Two Functions Have The Same Integral? Chapter 4:

This shows f satisfies the Riemann criterion and hence is integrable if the discontinuity c is interior to
[a, b]. The argument at c = a and c = b is similar but a bit simpler as it only needs to be done from one
side. Hence, we conclude f is integrable on [a, b] in all cases.. 

It is then easy to extend this result to a function f which is bounded and continuous on [a, b] except
at a finite number of points {x1 , x2 , . . . , xk } for some positive integer k. We state this as Theorem 4.8.5.

Theorem 4.8.5. f Bounded and Continuous At All But Finitely Many Points Implies f is
Riemann Integrable
if f is bounded on [a, b] and continuous except at finitely many points {x1 , x2 , . . . , xk } in [a, b],
then f is Riemann integrable.

Proof. We may assume without loss of generality that the points of discontinuity are ordered as a <
x1 < x2 < . . . < xk < b. Then f is continuous except at x1 on [a, x1 ] and hence by Theorem 4.8.4 f is
integrable on [a, x1 ]. Now apply this argument on each of the subintervals xk−1 , xk ] in turn. 

86
Chapter 5
Further Riemann Integration Results

In this chapter, we will explore certain aspects of Riemann Integration that are more subtle. We begin
with a limit interchange theorem. A good reference for this is (Fulks (3) 1978) .

5.1 The Limit Interchange Theorem for Riemann Integration

Suppose you knew that the sequence of functions {xn } contained in RI[a, b] converged uniformly to the
Rb
function x on [a, b]. Is it true that a x(t)dt = limn→∞ xn (t)dt? The answer to this question is Yes!
and it is our Theorem 5.1.1.

Theorem 5.1.1. The Riemann Integral Limit Interchange Theorem

Let {xn } be a sequence of Riemann Integrable functions on [a, b] which converge uniformly to
the function x on [a, b]. Then x is also Riemann Integrable on [a, b] and
Z b
x(t)dt = lim xn (t)dt
a n→∞

Proof. First, we show that x is Riemann integrable on [a, b]. Let  be given. Then since xn converges
uniformly to x on [a, b],

∃ δ > 0 3 | xn (t) − x(t) | < ∀ n > N, t ∈ [a, b] (α)
5(b − a)

Fix any n1 > N . Then since xn1 is integrable,

∃ π0 ∈ Π[a, b] 3 U (xn1 , π) − L((xn1 , π) < f rac5 ∀ π0  π (β)

87
The Limit Interchange Theorem for Riemann Integration Chapter 5:

Since xn converges uniformly to x on [a, b], you should be able to show that x is bounded on [a, b].
Hence, we can define

Mj = sup x(t), Mj1 = sup xn1 (t)

[xj−1 ,xj ] [xj−1 ,xj ]

mj = inf x(t), m1j = inf xn1 (t)

[xj−1 ,xj ] [xj−1 ,xj ]

Using the Infimum and Supremum Tolerance Lemma, there are points sj and tj in [xj−1 , xj ] so that

Mj − < x(sj ) ≤ Mj (γ)
5(b − a)

and

mj ≤ x(tj ) < mj + (ξ)
5(b − a)

Thus,
X
U (x, π) − L(x, π) = (Mj − mj )∆xj
π

The term on the right hand side can be rewritten using the standard add and subtract trick as
!
X
Mj − x(sj ) + x(sj ) − xn1 (sj ) + xn1 (sj ) − xn1 (tj ) + xn1 (tj ) − x(tj ) + x(tj ) − mj ∆xj
π

We can then overestimate this term using the triangle inequality to find
X X X
U (x, π) − L(x, π) ≤ (Mj − x(sj ))∆xj + (x(sj ) − xn1 (sj ))∆xj + (xn1 (sj ) − xn1 (tj ))∆xj
π π π
X X
+ (xn1 (tj ) − x(tj ))∆xj + (x(tj ) − mj )∆xj
π π

The first term can be estimated by Equation γ and the fifth term by Equation ξ to give
 X X X
U (x, π) − L(x, π) < ∆xj + (x(sj ) − xn1 (sj ))∆xj + (xn1 (sj ) − xn1 (tj ))∆xj
5(b − a) π π π
X  X
+ (xn1 (tj ) − x(tj ))∆xj + ∆xj
π
5(b − a) π

Thus,
 X
U (x, π) − L(x, π) < 2 + (x(sj ) − xn1 (sj ))∆xj
5 π
X X
+ (xn1 (sj ) − xn1 (tj ))∆xj + (xn1 (tj ) − x(tj ))∆xj
π π

88
The Limit Interchange Theorem for Riemann Integration Chapter 5:

Now apply the estimate from Equation α to the first and third terms of the equation above to conclude
 X
U (x, π) − L(x, π) < 4 + (xn1 (sj ) − xn1 (tj ))∆xj
5 π

Finally, note

| xn1 (sj ) − xn1 (tj ) | ≤ Mj1 − m1j

and so
X X
(xn1 (sj ) − xn1 (tj ))∆xj ≤ (Mj1 − m1j )∆xj
π π
< /5

by Equation β. Thus, U (x, π) − L(x, π) < . Since the partition π refining π0 was arbitrary, we see x
satisfies the Riemann Criterion and hence, is Riemann integrable on [a, b].

It remains to show the limit interchange portion of the theorem. Since xn converges uniformly to x,
given a positive , there is an integer N so that

sup | xn (t) − x(t) | < /(b − a), if n > N. (ζ)

a≤t≤b

Now for any n > N , we have

!
Z b Z b Z b
| x(t)dt − xn (t)dt | = | x(t) − xn (t) dt |
a a a
Z b  

≤ x(t) − xn (t)dt
 
a  
Z b
≤ sup | xn (t) − x(t) | dt
a a≤t≤b
Z b
< /(b − a)dt
a
= 
Rb Rb
using Equation ζ. This says lim a
xn (t)dt = a
x(t)dt. 

The next result is indispensable in modern analysis. Fundamentally, it states that a continuous real-
valued function defined on a compact set can be uniformly approximated by a smooth function. This is
used throughout analysis to prove results about various functions. We can often verify a property of a
continuous function, f , by proving an analogous property of a smooth function that is uniformly close
to f . We will only prove the result for a closed finite interval in <. The general result for a compact
subset of a more general set called a Topological Space is a modification of this proof which is actually
not that more difficult, but that is another story. We follow the development of (Simmons (5) 1963) for
this proof.

89
The Limit Interchange Theorem for Riemann Integration Chapter 5:

Theorem 5.1.2. Weierstrass Approximation Theorem

Let f be a continuous real-valued function defined on [0, 1]. For any  > 0, there is a polyno-
mial, p, such that |f (t) − p(t)| <  for all t ∈ [0, 1], that is || p − f ||∞ < 

Proof. We first derive some equalities. We will denote the interval [0, 1] by I. By the binomial theorem,
for any x ∈ I, we have

n  
X n
xk (1 − x)n−k = (x + 1 − x)n = 1. (α)
k
k=0

Differentiating both sides of Equation α, we get

n  
!
X n k−1 n−k k n−k−1
0 = kx (1 − x) − x (n − k)(1 − x)
k
k=0
n  !
X n k−1 n−k−1
= x (1 − x) k(1 − x) − x(n − k)
k
k=0
n  
!
X n k−1
= x (1 − x)n−k−1 k − nx)
k
k=0

Now, multiply through by x(1 − x), to find

n  
X n
0 = xk (1 − x)n−k (k − nx).
k
k=0

Differentiating again, we obtain

n  
!
X n d k n−k
0 = x (1 − x) (k − nx) .
k dx
k=0

This leads to a series of simplifications. It is pretty messy and many texts do not show the details, but
we think it is instructive.

n  h
X n  i
0 = −nxk (1 − x)n−k + (k − nx) (k − n)xk (1 − x)n−k−1 + kxk−1 (1 − x)n−k
k
k=0
n  
X n h  i
= −nxk (1 − x)n−k + (k − nx)(1 − x)n−k−1 xk−1 (k − n)x + k(1 − x)
k
k=0
n  
X n  
= − nxk (1 − x)n−k + (k − nx)2 (1 − x)n−k−1 xk−1
k
k=0
n   n  
X n k X n
= −n x (1 − x)n−k + (k − nx)2 xk−1 (1 − x)n−k−1
k k
k=0 k=0

90
The Limit Interchange Theorem for Riemann Integration Chapter 5:

Thus, since the first sum is 1, we have

n  
X n
n = (k − nx)2 xk−1 (1 − x)n−k−1
k
k=0

and multiplying through by x(1 − x), we have

n  
X n
nx(1 − x) = (k − nx)2 xk (1 − x)n−k
k
k=0
n 
n  k − nx 2 k

x(1 − x) X
= x (1 − x)n−k
n k n
k=0

This last equality then leads to the

n  
X n k 2 k x(1 − x)
x− x (1 − x)n−k = (β)
k n n
k=0

We now define the nth order Bernstein Polynomial associated with f by

n  
X n k
Bn (x) = xk (1 − x)n−k f .
k n
k=0

Note that

n  
X n h  k i
f (x) − Bn (x) = xk (1 − x)n−k f (x) − f .
k n
k=0

Also note that f (0) − Bn (0) = f (1) − Bn (1) = 0, so f and Bn match at the endpoints. It follows that

n  
X n   k 
| f (x) − Bn (x) | ≤ xk (1 − x)n−k f (x) − f (γ)
 
k n
.
k=0

Now, f is uniformly continuous on I since it is continuous. So, given  > 0, there is a δ > 0 such that
|x − nk | < δ ⇒ |f (x) − f ( nk )| < 2 . Consider x to be fixed in [0, 1]. The sum in Equation γ has only n + 1
terms, so we can split this sum up as follows. Let {K1 , K2 } be a partition of the index set {0, 1, ..., n}
such that k ∈ K1 ⇒ |x − nk | < δ and k ∈ K2 ⇒ |x − nk | ≥ δ. Then

X n    k  X n    k 
k n−k 
| f (x) − Bn (x) |≤ x (1 − x) f (x) − f + xk (1 − x)n−k f (x) − f
  
k n k n
.
k∈K1 k∈K2

91
Showing Functions Are Riemann Integrable Chapter 5:

which implies
  X n 
 X n k n−k
  k 
|f (x) − Bn (x)| ≤ x (1 − x) + xk (1 − x)n−k f (x) − f
 
2 k k n

k∈K1 k∈K2
 X n    k 
= + xk (1 − x)n−k f (x) − f
 
2 k n
.
k∈K2

Now, f is bounded on I, so there is a real number M > 0 such that |f (x)| ≤ M for all x ∈ I. Hence
X n    k  X n 
k n−k 
x (1 − x) f (x) − f  ≤ 2M xk (1 − x)n−k .

k n k
k∈K2 k∈K2

k
Since k ∈ K2 ⇒ |x − n| ≥ δ, using Equation β, we have

X n  X n  k 2 k x(1 − x)
δ2 xk (1 − x)n−k ≤ x− x (1 − x)n−k ≤ .
k k n n
k∈K2 k∈K2

This implies that

X n  x(1 − x)
xk (1 − x)n−k ≤ .
k δ2 n
k∈K2

and so combining inequalities

X n  2M x(1 − x)
2M xk (1 − x)n−k ≤
k δ2 n
k∈K2

We conclude then that

X n    k  2M x(1 − x)
xk (1 − x)n−k f (x) − f ≤ .
 
k n δ2 n
k∈K2

Now, the maximum value of x(1 − x) on I is 14 , so

X n    k  M
xk (1 − x)n−k f (x) − f ≤ 2 .
 
k n 2δ n
k∈K2

M M M
Finally, choose n so that n > δ2  . Then nδ 2 <  implies 2nδ 2 < 2 . So, Equation γ becomes

 
| f (x) − Bn (x) |≤
+ = .
2 2
Note that the polynomial Bn does not depend on x ∈ I, since n only depends on M , δ, and , all of
which, in turn, are independent of x ∈ I. So, Bn is the desired polynomial, as it is uniformly within 
of f . 

Comment 5.1.1. A change of variable translates this result to any closed interval [a, b].

5.2 Showing Functions Are Riemann Integrable

We already know that continuous functions, monotone functions and functions of bounded variation are
classes of functions which are Riemann Integrable on the interval [a, b]. A good reference for some of

92
Showing Functions Are Riemann Integrable Chapter 5:

the material in this section is (Douglas (2) 1996) although it is mostly in problems and not in the text!
√
Hence, since f (x) = x is continuous on [0, M ] for any positive M , we know f is Riemann integrable on
√
this interval. What about the composition g where g is just known to be non negative and Riemann
integrable on [a, b]? If g were continuous, since compositions of continuous functions are also continuous,
√
we would have immediately that g is Riemann Integrable. However, it is not so easy to handle this
case. Let’s try this approach. Using Theorem 5.1.2, we know given a finite interval [c, d], there is a
√
sequence of polynomials {pn (x)} which converge uniformly to x on [c, d]. Of course, the polynomials
in this sequence will change if we change the interval [c, d], but you get the idea. To apply this here,
note that since g is Riemann Integrable on [a, b], g must be bounded. Since we assume g is non negative,
we know that there is a positive number M so that g(x) is in [0, M ] for all x in [a, b]. Thus, there is a
√
sequence of polynomials {pn } which converge uniformly to · on [0, M ].
Next, using Theorem 4.3.1, we know a polynomial in g is also Riemann integrable on [a, b] (f 2 = f · f
so it is integrable and so on). Hence, pn (f ) is Riemann integrable on [a, b]. Then given  > 0, we know
there is a positive N so that

√
| pn (u) − u| < , if n > N and u ∈ [0, M ].

Thus, in particular, since g(x) ∈ [0, M ], we have

p
| pn (g(x)) − g(x) | < , if n > N and u ∈ [0, M ].

√
We have therefore proved that pn ◦ g converges uniformly to g on [0, M ]. Then by Theorem 5.1.1, we
√
see g is Riemann integrable on [0, M ].
If you think about it a bit, you should be able to see that this type of argument would work for any
f which is continuous and g that is Riemann integrable. We state this as Theorem 5.2.1.

Theorem 5.2.1. f Continuous and g Riemann Integrable Implies f ◦g is Riemann Integrable

If f is continuous on g([a, b]) where g is Riemann Integrable on [a, b], then f ◦ g is Riemann
Integrable on [a, b].

Proof.

Exercise 5.2.1. This proof is for you.



In general, the composition of Riemann Integrable functions is not Riemann integrable. Here is the
standard counterexample. This great example comes from (Douglas (2) 1996) . Define f on [0, 1] by

(
1 if y = 0
f (y) =
0 if 0 < y ≤ 1

93
Sets Of Content Zero Chapter 5:

and g on [0, 1] by

 1
 if x = 0
g(x) = 1/p if x = p/q, (p, q) = 1, x ∈ (0, 1] and x is rational

0 if x ∈ (0, 1] and x is irrational


We see immediately that f is integrable on [0, 1] by Theorem 4.8.4. We can show that g is also Riemann
integrable on [0, 1], but we will leave this as an exercise.

Exercise 5.2.2.

1. Show g is continuous at each irrational points in [01, ] and discontinuous at all rational points in
[0, 1].

R1
2. Show g is Riemann integrable on [0, 1] with value 0
g(x)dx = 0.

Now f ◦ g becomes
 
 f (1)
 if x = 0  1
 if x = 0
f (g(x)) = f (1/p) if x = p/q, (p, q) = 1, x ∈ (0, 1] and x rational = 0 if if x rational ∈ (0, 1]
 
f (0) if 0 < x ≤ 1 and x irrational 1 if if x irrational ∈ (0, 1]
 

The function f ◦ g above is not Riemann integrable as U (f ◦ g) = 1 and L(f ◦ g) = 0. Thus, we have
found two Riemann integrable functions whose composition is not Riemann integrable!

5.3 Sets Of Content Zero

We already know the length of the finite interval [a, b] is b−a and we exploit this to develop the Riemann
integral when we compute lower, upper and Riemann sums for a given partition. We also know that
the set of discontinuities of a monotone function is countable. We have seen that continuous functions
with a finite number of discontinuities are integrable and in the last section, we saw a function which
was discontinuous on a countably infinite set and still was integrable! Hence, we know that a function
is integrable should imply something about its discontinuity set. However, the concept of length doesn’t
seem to apply as there are no intervals in these discontinuity sets. With that in mind, let’s introduce a
new notion: the content of a set. We will follow the development of a set of content zero as it is done in
(Sagan (4) 1974) .

94
Sets Of Content Zero Chapter 5:

Definition 5.3.1. Sets Of Content Zero

A subset S of < is said to have content zero if and only if given any positive  we can find a
sequence of bounded open intervals {Jn = (an , bn )} either finite in number or infinite so that

S ⊆ ∪ Jn ,

with the total length

X
(bn − an ) < 

If the sequence only has a finite number of intervals, the union and sum are written from 1 to
N where N is the number of intervals and if there are infinitely many intervals, the sum and
union are written from 1 to ∞.

Comment 5.3.1.

1. A single point c in < has content zero because c ∈ (c − /2, c + /2) for all positive .
2. A finite number of points S = {c1 , . . . , ck } in < has content zero because Bi = ci ∈ (ci −/(2k), ci +
/(2k)) for all positive . Thus, S ⊆ ∪ki=1 Bi and the total length of these intervals is smaller than
.
3. The rational numbers have content zero also. Let {ci } be any enumeration of the rationals. Let
Bi = (ci − /(2i ), ci + /(2i )) for any positive . The Q is contained in the union of these intervals
P∞
and the length is smaller than  i=1 1/2i = .
4. Finite unions of sets of content zero also have content zero.
5. Subsets of sets of content zero also have content zero.

Hence, the function g above is continuous on [0, 1] except on a set of content zero. We make this
more formal with a definition.

Definition 5.3.2. Continuous Almost Everywhere

The function f defined on the interval [a, b] is said to be continuous almost everywhere if the
set of discontinuities of f has content zero. We abbreviate the phrase almost everywhere by
writing a.e.

We are now ready to prove an important theorem which is known as the Riemann - Lebesgue
Lemma. This is also called Lebesgue’s Criterion For the Riemann Integrability of Bounded
Functions . We follow the proof given in (Sagan (4) 1974) .

Theorem 5.3.1. Riemann - Lebesgue Lemma

(i) f ∈ B[a, b] and continuous a.e. implies f ∈ RI[a, b].

(ii) f ∈ RI[a, b] implies f is continuous a.e.

Proof. The proof of this result is fairly complicated. So grab a cup of coffee, a pencil and prepare for a
long battle!
(i):

95
Sets Of Content Zero Chapter 5:

Subproof. We will prove this by showing that for any positive , we can find a partition π0 so that
the Riemann Criterion is satisfied. First, since f is bounded, there is are numbers m and M so that
m ≤ f (x) ≤ M for all x in [a, b]. If m and M we the same, then f would be constant and it would
therefore be continuous. If this case, we know f is integrable. So we can assume without loss of generality
that M − m > 0. Let D denote the set of points in [a, b] where f is not continuous. By assumption, the
content of D is zero. Hence, given a positive  there is a sequence of bounded open intervals Jn = (an , bn )
(we will assume without loss of generality that there are infinitely many such intervals) so that
X
D ⊆ ∪Jn , (bn − an ) < /(2(M − m)).

Now if x is from [a, b], x is either in D or in the complement of D, DC . Of course, if x ∈ DC , then f

is continuous at x. The set !C
E = [a, b] ∩ ∪Jn

is compact and so f must be uniformly continuous on E. Hence, for the  chosen, there is a δ > 0 so
that

| f (y) − f (x) |< /(8(b − a)), (∗)

if y ∈ (x − δ, x + δ) ∩ E. Next, note that

O = {Jn , Bδ/2 (x) | x ∈ E}

is an open cover of [a, b] and hence must have a finite sub cover. Call this finite sub cover O 0 and label
its members as follows:
O 0 = {Jn1 , . . . , Jnr , Bδ/2 (x1 ), . . . , Bδ/2 (xs )}

Then it is also true that we know that

[a, b] ⊆ O 00 = {Jn1 , . . . , Jnr , Bδ/2 (x1 ) ∩ E, . . . , Bδ/2 (xs ) ∩ E}

All of the intervals in O 00 have endpoints. Throw out any duplicates and arrange these endpoints in
increasing order in [a, b] and label them as y1 , . . . , yp−1 . Then, let

π0 = {y0 = a, y1 , y2 , . . . , yp−1 , yp = b}

be the partition formed by these points. Recall where the points yj come from. The endpoints of the
Bδ/2 (xi ) ∩ E sets are not in any of the intervals Jnk . So suppose two successive points yj−1 and yj
satisfied yj−1 is in an interval Jnk and the next point yj was an endpoint of a Bδ/2 (xi ) ∩ E set which
is also inside Jnk . By our construction, this can not happen as all of the Bδ/2 (xi ) ∩ E are disjoint
from the Jnk sets. Hence, the next point yj either must be in the set Jnk also or it must be outside. If
yj−1 is inside and yj is outside, this is also a contradiction as this would give us a third point, call it z
temporarily, so that
yj−1 < z < yj

96
Sets Of Content Zero Chapter 5:

with z a new distinct endpoint of the finite cover O 00 . Since we have already ordered these points, this
third point is not a possibility. Thus, we see (yj−1 , yj ) is in some Jnk or neither of the points is in any
Jnk . Hence, we have shown that given the way the points yj were chosen, either (yj−1 , yj ) is inside some
interval Jnq or it’s closure [yj−1 , yj ] lies in none of the Jnq for any 1 ≤ q ≤ r. But that means (yj−1 , yj )
lies in some B̂δ/2 (xi ). Note this set uses the radius δ/2 and so we can say the closed interval [yj−1 , yj ]
must be contained in some B̂δ (xi ).

Now we separate the index set {1, 2, . . . , p} into two disjoint sets. We define A1 to be the set of all
indices j so that (yj−1 , yj ) is contained in some Jnk . Then we set A2 to be the complement of A1 in the
entire index set, i.e. A2 = {1, 2, . . . , p − A1 . Note, by our earlier remarks, if j is in A2 , [yj−1 , yj ] is
contained in some Bδ (xi ) ∩ E. Thus,

n
!
X
U (f, π0 ) − L(f, π0 ) = Mj − mj ∆yj
j=1
! !
X X
= Mj − mj ∆yj + Mj − mj ∆yj
j∈A1 j∈A2

Let’s work with the first sum: we have

! !
X X
Mj − mj ∆yj ≤ M −m ∆yj
j∈A1 j∈A1
< (M − m) /(2(M − m)) = /2

Now if j is in A2 , then [yj−1 , yj ] is contained in some Bδ (xi ) ∩ E. So any two points u and v in [yj−1 , yj ]
satisfy | u − xi |< δ and | v − xi |< δ. Since these points are this close, the uniform continuity condition,
Equation ∗, holds. Therefore

| f (u) − f (v) | ≤ | f (u) − f (xi ) | + | f (v) − f (xi ) | < /(4(b − a)).

This holds for any u and v in [yj−1 , yj ]. In particular, we can use the Supremum and Infimum Tolerance
Lemma to choose uj and vj so that

Mj − /(8(b − a)) < f (uj ), mj + /(8(b − a)) > f (vj ).

It then follows that

Mj − mj < f (uj ) − f (vj ) + /(4(b − a)).

97
Sets Of Content Zero Chapter 5:

Now, we can finally estimate the second summation term. We have

! !
X X
Mj − mj ∆yj < | f (uj ) − f (vj ) | +/(4(b − a)) ∆yj
j∈A2 j∈A2
!
X X
< | f (uj ) − f (vj ) | ∆yj + /(4(b − a)) ∆yj
j∈A2 j∈A2
X X
< /(4(b − a)) ∆yj + /(4(b − a)) ∆yj
j∈A2 j∈A2
< /2

Combining our estimates, we have

! !
X X
U (f, π0 ) − L(f, π0 ) = Mj − mj ∆yj + Mj − mj ∆yj
j∈A1 j∈A2
< /2 + /2 = .

Any partition π that refines π0 will also satisfy U (f, π) − L(f, π) < . Hence, f satisfies the Riemann
Criterion and so f is integrable. 

(ii):

Subproof. We begin by noting that if f is discontinuous at a point x in [a, b], if and only if there is a
positive integer m so that

∀δ > 0, ∃y ∈ (x − δ, x + δ) ∩ [a, b] 3 | f (y) − f (x) |≥ 1/m.

This allows us to define some interesting sets. Define the set Em by

Em = {x ∈ [a, b] | ∀δ > 0 ∃y ∈ (x − δ, x + δ) ∩ [a, b] 3 | f (y) − f (x) |≥ 1/m, }

Then, the set of discontinuities of f , D can be expressed as D = ∪∞

j=1 Em .
Now let π = {x0 , x1 , . . . , xn } be any partition of [a, b]. Then, given any positive integer m, the open
subinterval [xk−1 , xk ] either intersects Em or it does not. Define
( )
A1 = k ∈ {1, . . . , n} | (xk−1 , xk ) ∩ Em 6= ∅ ,
( )
A2 = k ∈ {1, . . . , n} | (xk−1 , xk ) ∩ Em = ∅

By construction, we have A1 ∩ A2 = ∅ and A1 ∪ A2 = {1, . . . , n}.

We assume f is integrable on [a, b]. So, by the Riemann Criterion, given  > 0, and a positive integer
m, there is a partition π0 such that

U (f, π) − L(f, π) < /(2m), ∀π0  π. (∗∗)

98
Sets Of Content Zero Chapter 5:

It follows that if π0 = {y0 , y1 , . . . , yn }, then

n
X
U (f, π0 ) − L(f, π0 ) = (Mk − mk )∆yk
k=1
X X
= (Mk − mk )∆yk + (Mk − mk )∆yk
k∈A1 k∈A2

If k is in A1 , then by definition, there is a point uk in Em and a point vk in (yk−1 , yk ) so that |

f (uk ) − f (vk ) |≥ 1/m. Also, since uk and vk are both in (yk−1 , yk ),

Mk − mk ≥| f (uk ) − f (vk ) | .

Thus,
X X X
(Mk − mk )∆yk ≥ | f (uk ) − f (vk ) | ∆yk ≥ (1/m) ∆yk .
k∈A1 k∈A1 k∈A1

P
Also, the second term, k∈A2 (Mk − mk )∆yk is non-negative and so using Equation ∗∗, we find
X
/(2m) > U (f, π0 − L(f, π0 ≥ (1/m) ∆yk .
k∈A1

P
which implies k∈A1 ∆yk < /2.
The partition π0 divides [a, b] as follows:
! !  !
[a, b] = ∪k∈A1 (yk−1 , yk ) ∪ ∪k∈A2 (yk−1 , yk ) ∪ {y0 , . . . , yn }

= C1 ∪ C2 ∪ π0

By the way we constructed the sets Em , we know Em does not intersect C2 . Hence, we can say
! !
Em = C1 ∩ Em ∪ Em ∩ π 0

P
Therefore, we have C1 ∩ Em ⊆ ∪k∈A1 (yk−1 , yk ) with k∈A1 ∆yk < /2. Since  is arbitrary, we see
C1 ∩ Em has content zero. The other set Em ∩ π0 consists of finitely many points and so it also has
content zero by the comments at the end of Definition 5.3.1. This shows that Em has content zero since
it is the union of two sets of content zero. We finish by noting D = ∪Em also has content zero. The
proof of this we leave as an exercise.

Exercise 5.3.1. Prove that if Fn ⊆ [a, b] has content zero for all n, then F = ∪Fn also has content
zero.

99
Sets Of Content Zero Chapter 5:

100
Chapter 6
Cantor Set Experiments

We now begin a series of personal investigations into the construction of an important subset of [0, 1]
called the Cantor Set. We follow a great series of homework exercise outlined, without solutions, in a
really hard but extraordinarily useful classical analysis text by Stromberg, (Stromberg (6) 1981) .

6.1 The Generalized Cantor Set

Let (an ) for n ≥ 0 be a fixed sequence of real numbers which satisfy

a0 = 1, 0 < 2an < an−1 (6.1)

Define the sequence (dn ) by

dn = an−1 − 2an

Note each dn > 0. We can use the sequence (an ) to define a collection of intervals Jn,k and In,k as
follows.

(0) J0,1 = [0, 1] which has length a0 .

(1) J1,1 = [0, a1 ] and J1,2 = [1 − a1 , 1]. You can see each of these intervals has length a1 . We
let W1,1 = J1,1 ∪ J1,2 and I1,1 = J0,1 − W1,1 where the minus symbol used here represents set
difference. This step creates an open interval of [0, 1] which has length d1 > 0. Let P1 = J1,1 ∪J1,2 .
This is a closed set.

(2) Set J2,1 = [0, a2 ], J2,2 = [a1 − a2 , a1 ], J2,3 = [1 − a1 , 1 + a2 − a1 ], and J2,4 = [1 − a2 , 1]. These
4 closed subintervals have length a2 . It is not so mysterious how we set up the J2,k intervals.
Step (1) created a closed interval [0, a1 ], an open interval (a1 , 1 − a1 ) and another closed interval
[1 − a1 , 1]. The first closed subinterval is what we have called J1,1 . Divide it into three parts; the

101
The Generalized Cantor Set Chapter 6:

first part will be a closed interval that starts at the beginning of J1,1 and has length a2 and the
third part will be closed interval of length a2 that ends at the last point of J1,1 . When these two
closed intervals are subtracted from J1,1 , an open interval will remain. The length of J1,1 is a1 . So
the open interval must have length a1 − 2a2 = d2 . A little thought tells us that the first interval
must be [0, a2 ] (which we have named J2,1 ) and the third interval must be [a1 − a2 , a1 ] (which we
have named J2,2 ). To get the intervals J2,3 and J2,4 , we divide J1,2 into the same type of three
subintervals as we did for J1,1 . The first and third must have length a2 which will give an open
interval in the inside of length d2 . This will give J2,3 = [1 − a1 , 1 − a1 + a2 ] and j2,4 = [1 − a2 , 1].
Then let W2,1 = J2,1 ∪ J2,2 , and W2,2 = J2,3 ∪ J2,4 . Then create new intervals by letting I2, 1 =
J1,1 − W2,1 and I2, 2 = J1,2 − W2,2 . We have now created 4 open subintervals of length d2 . Let
P2 = J2,1 ∪ J2,2 ∪ J2,3 ∪ J2,4 . We can write this more succinctly as P2 = ∪{J2,k |1 <= k <= 22 }.
Again, notice that P2 is a closed set that consists of 4 closed subintervals of length a2 .
Let’s look even more closely at the details. A careful examination of the process above with pen
and paper in hand gives the following table that characterizes the left hand endpoint of each of
the intervals J2,k .

J2,1 0
J2,2 a2 + d2
J2,3 2a2 + d2 + d1
J2,4 3a2 + 2d2 + d1
Since we know the left hand endpoint and the length is always a2 , this fully characterizes the
subintervals J2,k . Also, as a check, the last endpoint 3a2 + 2d2 + d1 plus one more a2 should add
up to 1. We find

4a2 + 2d2 + d1 = 4a2 + 2(a1 − 2a2 ) + (a0 − 2a1 )

= a0 = 1.

(3) Step (2) has created 4 closed subintervals J2,k of length a2 and 2 new open intervals I2,i of length
d2 . There is also the first open interval I1,1 of length d1 which was abstracted from [0, 1]. Now
we repeat the process described in Step (2) on each closed subinterval J2,k . We do not need to
use the auxiliary sets W3,i now as we can go straight into the subdivision algorithm. We divide
each of these intervals into 3 pieces. The first and third will be of length a3 . This leaves an open
interval of length d3 between them. We label the new closed subintervals so created by J3,k where
k now ranges from 1 to 8. The new intervals have left hand endpoints

J3,1 0
J3,2 a3 + d3
J3,3 2a3 + d3 + d2
J3,4 3a3 + 2d3 + d2
J3,5 4a3 + 2d3 + d2 + d1
J3,6 5a3 + 3d3 + d2 + d1
J3,7 6a3 + 3d3 + 2d2 + d1
J3,8 7a3 + 4d3 + 2d2 + d1

102
The Generalized Cantor Set Chapter 6:

Each of these subintervals have length a3 and a simple calculation shows (7a3 +4d3 +2d2 +d1 )+a3 =
1 as desired. There are now 4 more open intervals I3,i giving a total of 6 open subintervals ar-
ranged as follows:

Parent Length
I1,1 J0,1 d1
I2,1 J1,1 d2
I2,2 J1,2 d2
I3,1 J2,1 d3
I3,2 J2,2 d3
I3,3 J2,3 d3
I3,4 J2,4 d4

We define P3 = ∪{J3,k |1 <= k <= 23 } and note that P1 ∩ P2 ∩ P3 = P3 .

We can, of course, continue this process recursively. Thus, after Step n, we have constructed 2n closed
subintervals Jn,k each of length an . The union of these subintervals is labeled Pn and is therefore defined
by Pn = ∪{Jn,k |1 <= k <= 2n }. The left hand endpoints of Jn,k can be written in a compact and
illuminating form, but we will delay working that out until later. Now, we can easily see the form of the
left hand endpoints for the first few intervals:

Jn,1 0
Jn,2 an + dn
Jn,3 2an + dn + dn−1
Jn,4 3an + 2dn + dn−1

Definition 6.1.1. The Generalized Cantor Set

Let (an ), N ≥ 0 satisfy Equation 6.1. We call such a sequence a Cantor Set Generating
Sequence and we define the Cantor Set generated by (an ) to be the set P = ∩∞ n=1 Pn , where the
sets Pn are defined recursively via the discussion in this section. We will denote the generalized
Cantor Set generated by the Cantor Sequence (an ) by Ca .

Comment 6.1.1. The Cantor Set generated by the sequence (1/3n ), n ≥ 0 is very famous and is called
the Middle Thirds set because we are always removing the middle third of each interval in the construction
process. We will denote the Middle Third Cantor set by C.

Exercise 6.1.1. Write out the explicit endpoints of all these intervals up to and including Step 4.
Illustrate this process with clearly drawn tables and graphs.

Exercise 6.1.2. Write out explicitly P1 , P2 , P3 and P4 . Illustrate this process with clearly drawn tables
and graphs.

Exercise 6.1.3. Do the above two steps for the choice an = 3−n for n >= 0. Illustrate this process with
clearly drawn tables and graphs.

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Representing The Generalized Cantor Set Chapter 6:

Exercise 6.1.4. Do the above two steps for the choice an = 5−n for n >= 0. Illustrate this process with
clearly drawn tables and graphs.

Exercise 6.1.5. As mentioned, the above construction process above can clearly be handled via induction.
Prove the following:

(a) Pn−1 − Pn = ∪{In,k | 1 <= k <= 2n−1 }

!
(b) Let P = ∩∞ ∞
n=0 Pn . Then P0 − P = ∪n=1 Pn−1 − Pn

6.2 Representing The Generalized Cantor Set

We are now in a position to prove additional properties about the Cantor Set Ca for a Cantor generating
sequence (an ). Associate with (an ) the sequence (rn ) whose entries are defined by rn = an−1 − an . Let
S denote the set of all sequences of real numbers whose values are either 0 or 1; i.e. S = {x = (xn ) | xn =
0 or xn = 1}. Now define the mapping f : S → Ca by

∞
X
f (x) = xn rn (6.2)
n=1

Theorem 6.2.1. Representing The Cantor Set

1. f is well - defined.

2. f (x) is an element of Ca .

3. f is 1 − 1 from S to Ca .

4. f is onto Ca .

Proof. You will prove this Theorem by establishing a series of results.

Exercise 6.2.1. For any Cantor generating sequence (an ), we have limn an = 0.

Exercise 6.2.2. Show

∞
X m
X
rj = lim rj = lim(an − am ) = an
m m
j=n+1 j=n+1

P∞
Exercise 6.2.3. rn > j=n+1 rj .

Exercise 6.2.4. For n >= 1 and any finite sequence (x1 , x2 , ..., xn ) of 0’s and 1’s, define the closed
interval

Xn n
X
J(x1 , ..., xn ) = [ xj rj , an + xj rj ]
j=1 j=1

Show

104
Representing The Generalized Cantor Set Chapter 6:

1. Show J(0) = [0, a1 ] = J1,1 .

2. Show J(1) = [r1 , a1 + r1 ] = [1 − a1 , 1] = J1,2 .

3. Now use induction on n to show that the intervals J(x1 , ..., xn ) are exactly the 2n intervals Jn,k
for 1 <= k <= 2n that we described in the previous section.

Hint. i.e. assume true for n − 1. Then we can assume that there is a unique (x1 , ..., xn−1 ) choice
so that Jn−1,k = J(x1 , ..., xn−1 ).
Recall how the J’s are constructed. At Step n − 1, the interval Jn−1,k is used to create 2 more
intervals on level n by removing a piece. The 2 intervals left both have length an and we would
denote them by Jn,2k−1 and Jn,2k . Now use the definition of the closed intervals J(x1 , ..., xn ) to
show that (remember our x1 , ..., xn−1 are fixed)

J(x1 , ..., xn−1 , 0) = Jn,2k−1

J(x1 , ..., xn−1 , 1) = Jn,2k

This will complete the induction. 

Exercise 6.2.5. Let x be in S. Show that f (x) is in J(x1 , ..., xn ) for each n.
Sketch Of Argument: We know that each J(x1 , ..., xn ) = Jn,k for some k. Let this k be written k(x, n)
to help us remember that it depends on the x and the n. Also remember that 1 <= k(x, n) <= 2n . So
f (x) is in Jn,k(x,n) which is contained in Pn Hence, f (x) is in Pn for all n which shows f(x) is in Ca .
This shows f maps S into Ca .

Exercise 6.2.6. Now let x and y be distinct in S. Choose an index j so that xj is different from yj .
Show this implies that f (x) and f (y) then belong to different closed intervals on the j th level. This
implies f (x) is not the same as f (y) and so f is 1 − 1 on S.

Exercise 6.2.7. Show f is surjective. To do this, let z be in Ca . Since z is in P1 , either z is in J(0)

or z is in J(1). Choose x1 for that z is in J(x1 ). Then assuming x1 , ..., xn−1 have been chosen, we have
z is in J(x1 , ..., xn−1 ). Now z is in

Pn ∩ J(x1 , ..., xn−1 ) = J(x1 , ..., xn−1 , 0) ∪ J(x1 , ..., xn−1 , 1).

This tells us how to choose xn .

Hence, by induction, we can find a sequence (xn ) in S so that z is in intersection over n of
J(x1 , ..., xn ). But by our earlier arguments, f (x) is in the same intersection!
Finally, each of these closed intervals has length an which we know goes to 0 in the limit on n. So z
and f (x) are both in a decreasing sequence of sets whose lengths go to 0. Hence z and f (x) must be the
same. (This uses what is called the Cantor Intersection Theorem).

We can also prove a result about the internal structure of the generalized Cantor set: it can not
contain any open intervals.

Exercise 6.2.8. Prove Ca contains no open intervals.

105
The Cantor Function Chapter 6:

In addition, we have the following result:

Exercise 6.2.9. The limit of 2n an always exists and is in [0, 1].

6.3 The Cantor Function

We now prove additional interesting results that arise from the use of generalized Cantor sets via a
series of exercises that you complete. As usual, let (an ) be a Cantor Set generating sequence. Using the
function f defined in the previous section, let’s define the mapping φ by

∞
X
φ((xn )) = xj (1/2j )
j=1

Hence, φ : S → [0, 1]. and φ ◦ f : S → [0, 1]. Let the mapping Ψ = φ ◦ f −1 . Note Ψ : Ca → [0, 1].

Exercise 6.3.1. φ maps S one to one and onto [0, 1] with a suitable restriction on the base 2 represen-
tation of a number in [0, 1].

Exercise 6.3.2. x < y in Ca implies Ψ(x) ≤ Ψ(y).

Exercise 6.3.3. Ψ(x) = Ψ(y) if and only if (x, y) is one of the intervals removed in the Cantor set
construction process, i.e.

n−1 n−1
!
X X
(x, y) = xj rj + an , xj rj + rn
j=1 j=1

Exercise 6.3.4. In the case where Ψ(x) = Ψ(y) extend the mapping Ψ to [0, 1] − Ca by

Ψ(t) = Ψ(x) = Ψ(y), x < t < y.

Finally, define Ψ(0) = 0 and Ψ(1) = 1. Prove Ψ : [0, 1] → [0, 1] is a non increasing continuous map
of [0, 1] onto [0, 1] and is constant on each component interval of [0, 1] − Ca where component interval
means the In,k sets we constructed in the Cantor set construction process.

Comment 6.3.1. If Ca is the Cantor set constructed from the sequence (1/3n ), we call Ψ the Lebesgue
Singular Function.

Now, let C be a Cantor set constructed from the generating sequence (an ) where lim 2n an = 0. Let Ψ
be the mapping discussed above for this C. Define the mapping g : [0, 1] → [0, 1] by g(x) = (Ψ(x)+x)/2.

Exercise 6.3.5. Prove g is strictly increasing and continuous from [0, 1] onto [0, 1].

Exercise 6.3.6. Prove that

X∞ ∞
X
g( xj rj ) = xj rj0
j=1 j=1

j
where rj 0 = (1/2 + rj )/2.

Exercise 6.3.7. Prove C 0 = g(C) is also a generalized Cantor set.

106
The Cantor Function Chapter 6:

Comment 6.3.2. Note that the sequence a0j = (1/2)(1/2j + aj ) is also a Cantor generating sequence
that gives the desired rj 0 for the previous exercise.

Exercise 6.3.8. Compute the content of the Cantor set generated by an when lim 2n an = 0 and also
the content of the Cantor set C 0 = g(C).

In later chapters, this function g will be of great importance!

107
The Cantor Function Chapter 6:

108
Chapter 7
The Riemann-Stieltjes Integral

In classical analysis, the Riemann-Stieltjes integral was the first attempt to generalize the idea of the
size, or measure, of a subset of the real numbers. Instead of simply using the length of an interval as a
measure, we can use any function that satisfies the same properties as the length function.

Let f and g be any bounded functions on the finite interval [a, b]. If π is any partition of [a, b] and
σ is any evaluation set, we can extend the notion of the Riemann sum S(f, π, σ to the more general
Riemann - Stieljes sum as follows:

Definition 7.0.1. The Riemann - Stieljes Sum

Let f, g ∈ B[a, b], π ∈ Π[a, b] and σ ⊆ π. Let the partition points in π be {x0 , x1 , . . . , xp } and
the evaluation points be {s1 , s2 , . . . , sp } as usual. Define

∆gj = g(xj ) − g(xj − i), 1 ≤ j ≤ p.

and the Riemann - Stieljes sum for integrand f and integrator g for partition π and eval-
uation set π by
X
S(f, g, π, σ) = f (sj ) ∆gj
j∈π

This is also called the Riemann - Stieljes sum for the function f with respect to the
function g for partition π and evaluation set σ.

Of course, you should compare this definition to Definition 4.1.1 to see the differences! We can then
define the Riemann - Stieljes integral of f with respect to g using language very similar to that of
Definition 4.1.2.

109
Standard Properties Of The Riemann - Stieljes Integral Chapter 7:

Definition 7.0.2. The Riemann - Stieljes Integral

Let f, g ∈ B[a, b]. If there is a real number I so that for all positive , there is a partition
π0 ∈ Π[a, b] so that  
 
S(f, g, π, σ) − I  < 
 
 

for all partitions π that refine π0 and evaluation sets σ from π, then we say f is Riemann -
Stieljes integrable with respect to g on [a, b]. We call the value I the Riemann - Stieljes integral
of f with respect to g on [a, b]. We use the symbol

I = RS(f, g; a, b)

to denote this value. We call f the integrand and g the integrator.

As usual, there is the question of what pairs of functions (f, g) will turn out to have a finite Riemann
- Stieljes integral. The collection of the functions f from B[a, b] that are Riemann - Stieljes integrable
with respect to a given integrator g from B[a, b] is denoted by RS[g, a, b].
Rb
Comment 7.0.3. If g(x) = x on [a, b], then RS[g, a, b] = RI[a, b] and RS(f, g; a, b) = a f (x)dx.

Comment 7.0.4. We will use the standard conventions: RS(f, g; a, b) = −RS(f, g; b, a) and RS(f, g; a; a) =
0.

7.1 Standard Properties Of The Riemann - Stieljes Integral

We can easily prove the usual properties that we expect an integration type mapping to have.

Theorem 7.1.1. The Linearity of the Riemann - Stieljes Integral

If f1 and f2 are in RS[g, a, b], then

(i)
c1 f1 + c2 f2 ∈ RS[g, a, b], ∀c1 , c2 ∈ <

(ii)
RS(c1 f1 + c2 f2 , g; a, b) = c1 RS(f1 , g; a, b) + c2 RS(f2 , g; a, b)

If f ∈ RS[g1 , a, b] and f ∈ RS[g2 , a, b] then

(i)
f ∈ RS[c1 g1 + c2 g2 , a, b], ∀c1 , c2 ∈ <

(ii)
RS(f, c1 g1 + c2 g2 ; a, b) = c1 RS(f, g1 ; a, b) + c2 RS(f, g2 ; a, b)

Proof.

Exercise 7.1.1. We leave these proofs to you as an exercise.

The proof of these statements is quite similar in spirit to those of Theorem 4.1.1. You should compare
the techniques! 

110
Standard Properties Of The Riemann - Stieljes Integral Chapter 7:

To give you a feel for the kind of partition arguments we use for Riemann - Stieljes proofs (you will
no doubt enjoy working out these details for yourselves in various exercises), we will go through the
proof of the standard Integration By Parts formula in this context.

Theorem 7.1.2. Riemann Stieljes Integration By Parts

If f ∈ RS[g, a, b], then g ∈ RS[f, a, b] and
b

RS(g, f ; a, b) = f (x)g(s) − RS(f, g; a, b)


a

Proof. Since f ∈ RS[g, a, b], there is a number If = RS(f, g; a, b) so that given a positive , there is a
partition π0 such that
 
 
S(f, g, π, σ − If  < , π0  π, σ ⊆ π. (α)
 
 

For such a partition π and evaluation set σ ⊆ π, we have

π = {x0 , x1 , . . . , xp },
σ = {s1 , . . . , sp }

and
X
S(g, f, π, σ) = g(sj )∆fj .
π

We can rewrite this as

X X
S(g, f, π, σ = g(sj )f (xj ) − g(sj )f (xj−1 ) (β)
π π

Also, we have the identity (it is a collapsing sum)

!
X
f (xj )g(xj ) − f (xj−1 )g(xj−1 ) = f (b)g(b) − f (a)g(a). (γ)
π

Thus, using Equation β and Equation γ, we have

!
X
f (b)g(b) − f (a)g(a) − S(g, f, π, σ) = f (xj ) g(xj ) − g(sj ) (ξ)
π
!
X
+ f (xj−1 ) g(sj ) − g(xj−1 )
π

Since σ ⊆ π, we have the ordering

a = x0 ≤ s1 ≤ x1 ≤ s2 ≤ x2 ≤ . . . ≤ xp−1 ≤ sp ≤ xp = b.

111
Step Functions As Integrators Chapter 7:

Hence, the points above are a refinement of π we will call π 0 . Relabel the points of π 0 as

π 0 = {y0 , y1 , . . . , yq }

and note that the original points of π now form an evaluation set σ 0 of π 0 . We can therefore rewrite
Equation ξ as
X
f (b)g(b) − f (a)g(a) − S(g, f, π, σ) = f (yj )∆gj = S(f, g, π 0 , σ 0 )
π

Let Ig = f (b)g(b) − f (a)g(a) − If . Then since π0  π  π 0 , we can apply Equation α to conclude

 
 
0 0
 > S(f, g, π , σ − If 
 
 
 
 
= f (b)g(b) − f (a)g(a) − S(g, f, π, σ) − If 
 
 
 
 
= S(g, f, π, σ) − Ig 
 
 

Since our choice of refinement π of π0 and evaluation set σ was arbitrary, we have shown that g ∈
RS[f, a, b] with value
b

RS(g, f, a, b) = f (x)g(x) − RS(f, g, a, b).


a

7.2 Step Functions As Integrators

We now turn our attention to the question of what pairs of functions might have a Riemann - Stieljes
integral. All we know so far is that if g(x) = x on [a, b] is labeled as g = id, then RS[f, id, a, b] =
RI[f, a, b].
First, we need to define what we mean by a Step Function.

Definition 7.2.1. Step Function

We say g ∈ B[a, b] is a Step Function if g only has finitely many jump discontinuities on [a, b]
and g is continuous on the intervals between the jump discontinuities. Thus, we may assume
there is a non negative integer p so that the jump discontinuities are ordered and labeled as

c0 < c1 < c2 < . . . < cp

and g is continuous on each subinterval (ck−1 , ck ) for 1 ≤ k ≤ p.

Comment 7.2.1. We can see g(c− + −

k ) and g(ck ) both exist and are finite with g(ck ) the value g has on
+
(ck−1 , ck ) and g(ck ) the value g has on (ck , ck+1 ). At the endpoints, g(a ) and g(b− ) are also defined.
+

The actual finite values g takes on at the points cj are completely arbitrary.

112
Step Functions As Integrators Chapter 7:

Lemma 7.2.1. One Jump Step Functions As Integrators

Let g ∈ B[a, b] be a step function having only one jump at some c in [a, b]. Let f ∈ B[a, b].
Then

(i) f ∈ C[a, b] implies f ∈ RS[g, a, b] and

• If c ∈ (a, b), then RS(f, g; a, b) = f (c)[g(c+ ) − g(c− )].

• If c = a, then RS(f, g; a, b) = f (a)[g(a+ ) − g(a)].
• If c = b, then RS(f, g; a, b) = f (b)[g(b) − g(b− )].

(ii) If c ∈ (a, b), f (c− ) = f (c) and g(c+ ) = g(c), then f ∈ RS[g, a, b]. We can rephrase this
as: if c is an interior point, f is continuous from the left at c and g is continuous from
the right at c, then f ∈ RS[g, a, b] and

• If c ∈ (a, b), then RS(f, g; a, b) = f (c)[g(c) − g(c− )].

• If c = a, then RS(f, g; a, b) = f (a)[g(a) − g(a)] = 0.
• If c = b, then RS(f, g; a, b) = f (b)[g(b) − g(b− )].

(iii) If c ∈ (a, b), f (c+ ) = f (c) and g(c− ) = g(c), then f ∈ RS[g, a, b]. We can rephrase this
as: if c is an interior point, f is continuous from the right at c and g is continuous
from the left at c, then f ∈ RS[g, a, b] and

• If c ∈ (a, b), then RS(f, g; a, b) = f (c)[g(c+ ) − g(c)].

• If c = a, then RS(f, g; a, b) = f (a)[g(a+ ) − g(a)].
• If c = b, then RS(f, g; a, b) = f (b)[g(b) − g(b)] = 0.

Proof. Let π be any partition of [a, b]. We will assume that c is a partition point of π because if not, we
can use the argument we have used before to construct an appropriate refinement as done, for example,
in the proof of Lemma 4.5.1. Letting the partition points be

π = {x0 , x1 , . . . , xp },

we see there is a partition point xk0 = c with k0 6= 0 or p. Hence, on [xk0 −1 , xk0 ] = [xk0 −1 , c], ∆gk0 =
g(c) − g(xk0 −1 ). However, since g has a single jump at c, we see that the value g(xk0 −1 ) must be g(c− ).
Thus, ∆gk0 = g(c) − g(c− ). A similar argument shows that ∆gk0 = g(c+ ) − g(c). Further, since g
has only one jump, all the other terms ∆gk are zero. Hence, for any evaluation set σ in π, we have

113
Step Functions As Integrators Chapter 7:

σ = {s1 , . . . , sp } and

S(f, g, π, σ) = f (sk0 )∆gk0 + f (sk0 +1 ∆gk0 +1

! !
− +
= f (sk0 ) g(c) − g(c ) + f (sk0 +1 g(c ) − g(c)
! !
−
= f (sk0 ) − f (c) + f (c) g(c) − g(c )
! !
+
+ f (sk0 +1 − f (c) + f (c) g(c ) − g(c)

Thus, we obtain
! !
−
S(f, g, π, σ) = f (sk0 ) − f (c) g(c) − g(c )
! !
+ f (sk0 +1 − f (c) g(c+ ) − g(c) (α)
!
+ −
+ f (c) g(c ) − g(c )

(i)

 
Subproof. In this case, f is continuous at c. Let A = max | g(c) − g(c− ) |, | g(c+ ) − g(c) | . Then
A > 0 because g has a jump at c. Since f is continuous at c, given  > 0, there is a δ > 0, so that

| f (x) − f (c) | < /(2A), x ∈ (c − δ, c + δ) ∩ [a, b]. (β)

In fact, since c is an interior point of [a, b], we can choose δ so small that (c − δ, c + δ) ⊆ [a, b]. Now,
if π0 is any partition with || π0 ||< δ containing c as a partition point, we can argue as we did in the
prefatory remarks to this proof. Thus, there is an index k0 so that

[xk0 −1 , xk0 = c] ⊆ (c − δ, c], [c = xk0 , xk0 +1 ] ⊆ [c, c + δ).

This implies that

[xk0 −1 , xk0 +1 ] ⊆ (c − δ, c + δ)

and so the evaluation points, labeled as usual, sk0 and sk0 +1 are also in (c − δ, c + δ). Applying Equation
β, we have
| f (sk0 ) − f (c)| < /(2A), | f (sk0 +1 ) − f (c)| < /(2A.

114
Step Functions As Integrators Chapter 7:

From Equation α, we then have

     
 
+ − −
S(f, g, π, σ) − f (c) g(c ) − g(c )  ≤  f (sk0 ) − f (c) g(c) − g(c ) 
   
   
    
 
+
+  f (sk0 +1 − f (c) g(c ) − g(c) 
 
 
   
− 
   + 
< /(2A)g(c) − g(c ) + /(2A)g(c ) − g(c)
 

< 

Finally, if π0  π, then || π ||< δ also and the same argument shows that for any evaluation set σ ⊆ π,
we have
 !
 
+ −
S(f, g, π, σ) − f (c) g(c ) − g(c )  < 
 
 
!
+ −
This proves that f ∈ RS[g, a, b] and RS(f, g; a, b) = f (c) g(c ) − g(c ) . Now, if c = a or c = b,
!
the arguments are quite similar, except one sided and we find RS(f, g; a, b) = f (a) g(a+ ) − g(a) or
!
RS(f, g; a, b) = f (b) g(b) − g(b− ) . 

(ii)

Subproof. In this case, f is continuous from the left at c so f (c− ) = f (c) and g is continuous from the
right g(c) = g(c+ ). Thus, Equation α reduces to
! ! !
− −
S(f, g, π, σ) = f (sk0 ) − f (c) g(c) − g(c ) + f (c) g(c) − g(c ) (α0 )

Let L =| g(c) − g(c− ) |. Then, given  > 0, since f is continuous from the left, there is a δ > 0 so that

| f (x) − f (c) |< /L, x ∈ (c − δ, c] ⊆ [a, b].

As usual, we can restrict our attention to partitions that contain the point c. We continue to use xi ’s
and sj ’s to represent points in these partitions and associated evaluation sets. Let π be such a partition
with xk0 = c and || π ||< δ. Let σ be any evaluation set of π. Then, we have

[xk0 −1 , xk0 ] ⊆ (c − δ, c]

and thus
| f (sk0 ) − f (c) |< /L.

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Step Functions As Integrators Chapter 7:

Hence,
     

+
= f (sk0 − f (c) g(c) − g(c− )
  
S(f, g, π, σ) − f (c) g(c − g(c) 
 
 
< .

Finally, just as in the previous proof, if π0  π, then || π ||< δ also and the same argument shows that
for any evaluation set σ ⊆ π, we have
 !
 
−
S(f, g, π, σ) − f (c) g(c) − g(c )  < 
 
 
!
−
This proves that f ∈ RS[g, a, b] and RS(f, g; a, b) = f (c) g(c) − g(c ) . Now, if c = a or c = b, the
!
arguments are again similar, except one sided and we find RS(f, g; a, b) = f (a) g(a) − g(a) = 0 or
!
RS(f, g; a, b) = f (b) g(b) − g(b− ) . 

(iii)

! argument presented for Part (ii) above. We find f ∈ RS[g, a, b]

Subproof. This is quite similar to the

and RS(f, g; a, b) = f (c) g(c+ ) − g(c) . Now, if c = a or c = b, the arguments are again similar, except
! !
one sided and we find RS(f, g; a, b) = f (a) g(a+ )−g(a) = 0 or RS(f, g; a, b) = f (b) g(b)−g(b) = 0.

We can then generalize to a finite number of jumps.

Lemma 7.2.2. Finite Jump Step Functions As Integrators

Let g be a step function on [a, b] with jump discontinuities at

{a ≤ c0 , c1 , . . . , ck−1 , ck ≤ b}.

Assume f ∈ B[a, b]. Then, if

(i) f is continuous at cj , or

(ii) f is left continuous at cj and g is right continuous at cj , or

(iii) f is right continuous at cj and g is left continuous at cj ,

then, f ∈ RS[f, g, a, b] and

  k
X    
+ + − −
RS(f, g, a, b) = f (a) g(a ) − g(a) + f (cj ) g(cj ) − g(cj ) + f (b) g(b) − g(b ) .
j=0

116
Monotone Integrators Chapter 7:

Proof. Use Lemma 7.2.1 repeatedly. 

7.3 Monotone Integrators

The next step is to learn how to deal with integrators that are monotone functions. To do this, we
extend the notion of Darboux Upper and Lower Sums in the obvious way.

Definition 7.3.1. Upper and Lower Riemann - Stieljes Darboux Sums

Let f ∈ B[a, b] and g ∈ B[a, b] be monotone increasing. Let π be any partition of [a, b] with
partition points
π = {x0 , x1 , . . . , xp }

as usual. Define
Mj = sup f (x), mj = inf f (x).
x∈[xj−1 ,xj ] x∈[xj−1 ,xj ]

The Lower Riemann - Stieljes Darboux Sum for f with respect to g on [a, b] for the partition
π is
X
L(f, g, π = mj ∆gj
π

and the Upper Riemann - Stieljes Darboux Sum for f with respect to g on [a, b] for the partition
π is
X
U (f, g, π = Mj ∆gj
π

Comment 7.3.1. It is clear that for any partition π and associated evaluation set σ, that we have the
usual inequality chain:
L(f, g, π) ≤ S(f, g, π, σ ≤ U (f, g, π)

The following theorems have proofs very similar to the ones we did for Theorem 4.2.1 and Theorem
4.2.2.

Theorem 7.3.1. π  π 0 Implies L(f, g, π) ≤ L(f, g, π 0 ) and U (f, g, π) ≥ U (f, g, π 0 )

Assume g is a bounded monotone increasing function on [a, b] and f ∈ B[a, b]. Then if π  π 0 ,
then L(f, g, π) ≤ L(f, g, π 0 ) and U (f, g, π) ≥ U (f, g, π 0 ).

Theorem 7.3.2. L(f, g, π 1 ) ≤ U (f, g, π 2 )

Let π 1 and π 2 be any two partitions in Π[a, b]. Then L(f, g, π 1 ) ≤ U (f, g, π 2 ).

These two theorems allow us to prove the following

Theorem 7.3.3. The Upper And Lower Riemann - Stieljes Darboux Integral Are Finite
Let f ∈ B[a, b] and let g be a bounded monotone increasing function on [a, b]. Let U =
{L(f, g, π) | π ∈ Π[a, b]} and V = {U (f, g, π) | π ∈ Π[a, b]}. Define L(f, g) = sup U , and
U (f, g) = inf V . Then L(f, g) and U (f, g) are both finite. Moreover, L(f, g) ≤ U (f, g).

We can then define upper and lower Riemann - Stieljes integrals analogous to the way we defined
the upper and lower Riemann integrals.

117
The Riemann - Stieljes Equivalence Theorem Chapter 7:

Definition 7.3.2. Upper and Lower Riemann - Stieljes Integrals

Let f ∈ B[a, b] and g be a bounded, monotone increasing function on [a, b]. The Upper and
Lower Riemann - Stieljes integrals of f with respect to g are U (f, g) and L(f, g), respectively.

Thus, we can define the Riemann - Stieljes Darboux integral of f ∈ B[a, b] with respect to the
bounded monotone increasing integrator g.

Definition 7.3.3. The Riemann - Stieljes Darboux Integral

Let f ∈ B[a, b] and g be a bounded, monotone increasing function on [a, b]. We say f is
Riemann - Stieljes Darboux integrable with respect to the integrator g if U (f, g) = L(f, g). We
denote this common value by RSD(f, g, a, b).

7.4 The Riemann - Stieljes Equivalence Theorem

The connection between the Riemann - Stieljes and Riemann - Stieljes Darboux integrals is obtained
using an analog of the familiar Riemann Condition we have seen before in Definition 4.2.4.

Definition 7.4.1. The Riemann - Stieljes Criterion For Integrability

Let f ∈ B[a, b] and g be a bounded monotone increasing function on [a, b]. We say the Riemann
Condition or Criterion holds for f with respect to g if there is a partition of [a, b], π0 so that

U (f, g, π) − L(f, g, π) < , π0  π.

We can then prove an equivalence theorem for Riemann - Stieljes and Riemann - Stieljes Darboux
integrability.

Theorem 7.4.1. The Riemann Stieljes Integral Equivalence Theorem

Let f ∈ B[a, b] and g be a bounded monotone increasing function on [a, b]. Then the following
are equivalent.

(i) f ∈ RS[g, a, b].

(ii) Riemann’s Criterion holds for f with respect to g.

(iii) f is Riemann - Stieljes Darboux Integrable, i.e, L(f, g) = U (f, g), and RS(f, g; a, b) =
RSD(f, g; a, b).

Proof. The arguments are essentially the same as presented in the proof of Theorem 4.2.4 and hence,
you will be asked to go through the original proof and replace occurrences of ∆xj with ∆gj and b − a
with g(b) − g(a). 

Comment 7.4.1. We have been very careful to distinguish between Riemann - Stieljes and Riemann -
Stieljes Darboux integrability. Since we now know they are equivalent, we can begin to use a common
Rb
notation. Recall, the common notation for the Riemann integral is a f (x)dx. We will now begin using
Rb
the notation a f (x)dg(x) to denote the common value RS(f, g; a, b) = RSD(f, g; a, b). We thus know
intba f (x)dx is equivalent to the Riemann - Stieljes integral of f with respect to the integrator g(x) = x.

118
Properties Of The Riemann Integral Chapter 7:

Hence, in this case, we could write g(x) = id(x) = x, where id is the identity function. We could then
Rb Rb
use the notation a f (x)dx = a f (x)did. However, that is cumbersome. We can easily remember that
Rb
the identity mapping is simply x itself. So replace did by dx to obtain a f (x)dx. The use of the (x) in
these notations has always been helpful to allow us to handle substitution type rules, but it is certainly
somewhat awkward. A reasonable change of notation would be to go to using boldface for the f and g in
Rb Rb
these integrals and write a f dg giving a f dx for the simpler Riemann integral.
You can see no matter what we do the symbolism becomes awkward. For example, suppose f (x) =
Rπ
sin(x2 ) on [0, π] and g(x) = x2 . Then, how do we write 0 f dg? We will usually abuse our integral
Rπ
notation and write 0 sin(x2 )d(x2 ).

7.5 Properties Of The Riemann Integral

We can prove the following useful collection of facts about Riemann - Stieljes integrals.

Theorem 7.5.1. Properties Of The Riemann Stieljes Integral

Let the integrator g be bounded and monotone increasing on [a, b]. Assume f1 , f2 and f3 are
in RS[f, g, a, b]. Then

(i) | f |∈ RS[g, a, b];

(ii) Z  Z
 b  b
f (x)dg(x) ≤ | f | dg(x);
 

 a  a

(iii) f + = max{f, 0} ∈ RS[g, a, b];

(iv) f − = max{−f, 0} ∈ RS[g, a, b];

(v)
Z b Z b Z b Z b
−
f (x)dg(x) = +
[f (x) − f (x)]dg(x) = +
f (x)dg(x) − f − (x)dg(x)
a a a a
Z b Z b Z b Z b
| f (x) | dg(x) = [f + (x) + f − (x)]dg(x) = f + (x)dg(x) + f − (x)dg(x);
a a a a

(vi) f 2 ∈ RS[g, a, b];

(vii) f1 f2 ∈ RS[g, a, b];

(viii) If there exists m such that 0 < m ≤ f (x) for all x in [a, b], then 1/f ∈ RS[g, a, b].

Proof. The arguments are straightforward modifications of the proof of Theorem 4.3.1 using b − a =
g(b) − g(a) and ∆xj = ∆gj . 

We can also easily prove the following fundamental estimate.

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Properties Of The Riemann Integral Chapter 7:

Theorem 7.5.2. Fundamental Riemann Stieljes Integral Estimates

Let g be bounded and monotone increasing on [a, b] and let f ∈ RS[g, a, b]. Let m = inf x f (x)
and let M = supx f (x). Then
Z b
m(g(b) − g(a)) ≤ f (x)dg(x) ≤ M (g(b) − g()a).
a

In addition, Riemann - Stieljes integrals are also order preserving as we can modify the proof of
Theorem 4.1.3 quite easily.

Theorem 7.5.3. The Riemann Stieljes Integral Is Order Preserving

Let g be bounded and monotone increasing on [a, b] and f, f1 , f2 ∈ RS[g, a, b] with f1 ≤ f2 on
[a, b]. Then the Riemann Stieljes integral is order preserving in the sense that

(i)
Z b
f ≥0⇒ f (x)dg(x) ≥ 0;
a

(ii)
Z b Z b
f1 ≤ f2 ⇒ f1 (x)dg(x) ≤ f2 (x)dg(x).
a a

We also want to establish the familiar summation property of the Riemann Stieljes integral over an
interval [a, b] = [a, c] ∪ [c, b]. We can modify the proof of the corresponding result in Lemma 4.5.1 as
usual to obtain Lemma 7.5.4.

Lemma 7.5.4. The Upper And Lower Riemann - Stieljes Darboux Integral Is Additive On
Intervals
Let g be bounded and monotone increasing on [a, b] and f ∈ B[a, b]. Let c ∈ (a, b). Define
Z b Z b
f (x) dg(x) = L(f, g) and f (x) dg(x) = U (f, g)
a a

denote the lower and upper Riemann - Stieljes Darboux integrals of f on with respect to g on
[a, b], respectively. Then we have
Z b Z c Z b
f (x)dg(x) = f (x)dg(x) + f (x)dg(x)
a a c

Z b Z c Z b
f (x)dg(x) = f (x)dg(x) + f (x)dg(x).
a a c

Lemma 7.5.4 allows us to prove existence of the Riemann - Stieljes on [a, b] implies it also exists on
subintervals of [a, b] and the Riemann - Stieljes value is additive. The proofs are obvious modifications
of the proofs of Theorem 4.5.2 and Theorem 4.5.3, respectively.

Theorem 7.5.5. The Riemann Stieljes Integral Exists On Subintervals

Let g be bounded and monotone increasing on [a, b]. If f ∈ RS[g, a, b] and c ∈ (a, b), then
f ∈ RS[g, a, c] and f ∈ RS[g, c, b].

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Bounded Variation Integrators Chapter 7:

Theorem 7.5.6. The Riemann Integral Is Additive On Subintervals

If f ∈ RS[g, a, b] and c ∈ (a, b), then
Z b Z c Z b
f (x)dg(x) = f (x)dg(x) + f (x)dg(x).
a a c

7.6 Bounded Variation Integrators

We now turn our attention to integrators which are of bounded variation. By Theorem 3.4.3, we know
that if g ∈ BV [a, b], then we can write g = u − v where u and v are monotone increasing on [a, b]. Note
if h is any other monotone increasing function on [a, b], we could also use the decomposition

g = (u + h) − (v + h)

as well, so this representation is certainly not unique. We must be very careful when we extend the
Riemann - Stieljes integral to bounded variation integrators. For example, even if f ∈ RS[g, a, b] it
does not always follow that f ∈ RS[u, a, b] and /or f ∈ RS[v, a, b]! However, we can prove that this
statement is true if we use a particular decomposition of f . Let u(x) = Vg (x) and v(x) = Vg (x) − g(x)
be our decomposition of g. Then, we will be able to show f ∈ RS[g, a, b] implies f ∈ RS[Vg , a, b] and
f ∈ RS[Vg − g, a, b].
Theorem 7.6.1. f Riemann Stieljes Integrable With Respect To g Of Bounded Variation
Implies Integrable With Respect To Vg and Vg − g.
Let g ∈ BV [a, b] and f ∈ RS[g, a, b]. Then f ∈ RS[Vg , a, b] and f ∈ RS[Vg − g, a, b].

Proof. For convenience of notation, let u = Vg and v = Vg − g. First, we show that f ∈ RS[u, a, b] by
showing the Riemann - Stieljes Criterion holds for f with respect to u on [a, b]. Fix a positive . Then
there is a partition π0 so that
Z b
| S(f, g, π, σ) − f (x)dg(x) |< 
a

for all refinements π of π0 and evaluation sets σ of π. Thus, given two such evaluation sets σ1 and σ2
of a refinement π, we have
Z b
| S(f, g, π, σ1 ) − S(f, g, π, σ2 ) | ≤ | S(f, g, π, σ1 ) − f (x)dg(x) |
a
Z b
+ | S(f, g, π, σ2 ) − f (x)dg(x) |
a
< 2.

Hence, we know for σ1 = {s1 , . . . , sp } and σ2 = {s01 , . . . , s0p }, that

| S(f, g, π, σ1 − S(f, g, π, σ2 | < 2 (α)

P
Now, u(b) = Vg (b) = supπ π | ∆gj |. Thus, by the Supremum Tolerance Lemma, there is a partition
π1 so that
X
u(b) −  < | ∆gj |≤ u(b).
π1

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Bounded Variation Integrators Chapter 7:

Then if π refines π1 , we have

X X
u(b) −  < | ∆gj |≤ | ∆gj |≤ u(b).
π1 π

and so for all π1  π,

X
u(b) −  < | ∆gj |≤ u(b). (β)
π

Now let π2 = π0 ∨ π1 and choose any partition π that refines π2 . Then,

X  X 
M j − mj | ∆uj | − | ∆gj | ≤ Mj + mj ∆uj − | ∆gj |
π π
X
≤ 2M | ∆uj | − | ∆gj |
π

P
where M =|| f ||∞ . But the term π ∆uj is a collapsing sum which becomes u(b) − u(a) = u(b) as
u(a) = 0. We conclude
 
X   X 
M j − mj | ∆uj | − | ∆gj | ≤ 2M u(b) − ∆gj 
 
π π

Now by Equation α, for all refinements of π2 , we have

X
u(b) − | ∆gj |< .
π

Hence,

X 
M j − mj | ∆uj | − | ∆gj | ≤ 2M . (γ)
π

Next, for any refinement of π of π2 , let the partition points be {x0 , . . . , xn } as usual and define

J + (π) = {j ∈ π|∆gj ≥ 0}, J − (π) = {j ∈ π|∆gj < 0}.

By the Infimum and Supremum Tolerance Lemma, if j ∈ J + (π),

∃s0j ∈ [xj−1 , xj ] 3 mj ≤ f (s0j ) < mj + /2, ∃sj ∈ [xj−1 , xj ] 3 Mj − /2 < f (sj ) ≤ Mj .

It follows

f (sj ) − f (s0j ) > Mj − mj − , j ∈ J + (π). (ξ)

On the other hand, if j ∈ J − (π), we can find sj and s0j in [xj−1 , xj ] so that

∃s0j ∈ [xj−1 , xj ] 3 mj ≤ f (sj ) < mj + /2, ∃sj ∈ [xj−1 , xj ] 3 Mj − /2 < f (s0j ) ≤ Mj .

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Bounded Variation Integrators Chapter 7:

This leads to

f (s0j ) − f (sj ) > Mj − mj − , j ∈ J − (π). (ζ)

Thus,

X  X   X   
M j − mj | ∆gj | = Mj − mj ∆gj + M j − mj −∆gj
π j∈J + (π) j∈J − (π)
X   X
< f (sj ) − f (s0j ) ∆gj +  ∆gj
j∈J + (π) j∈J + (π)
X    X  
+ f (s0j ) − f (sj ) −∆gj +  −∆gj
j∈J − (π) j∈J + (π)
X  X
= f (sj ) − f (s0j ) ∆gj +  | ∆gj | .
j∈π j∈π

Also, by the definition of the variation function of g, we have

X
| ∆gj |≤ u(b) = Vg (b).
j∈π

Since the points {s1 , . . . , sn } and {s01 , . . . , s0n } are evaluation sets of π, we can apply Equation α to
conclude
X 
| S(f, g, π, σ1 − S(f, g, π, σ2 | = f (sj ) − f (s0j ) ∆gj
j∈π
< 2.

Hence,

X 
M j − mj | ∆gj | < 2 + u(b) = (2 + u(b)). (θ)
π

Then, using Equation γ and Equation θ, we find

X  X   X  
Mj − mj ∆uj = M j − mj ∆uj − | ∆gj | + M j − mj | ∆gj |
π π π
< 2M  + (2 + u(b)) = (2M + 2 + u(b)).

Letting A = 2M + 2 + u(b), and recalling that u = Vg , we have

U (f, Vg , π) − L(f, Vg , π) < A

for any refinement π of π2 . Hence, f satisfies the Riemann - Stieljes Criterion with respect to Vg on
[a, b]. We conclude f ∈ RS[Vg , a, b].
Thus, f ∈ RS[g, a, b] and f ∈ RS[Vg , a, b] and by Theorem 7.1.1, we have f ∈ RS[Vg − g, a, b] also.


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Bounded Variation Integrators Chapter 7:

Theorem 7.6.2. Products And Reciprocals Of Functions Riemann Stieljes Integrable With
Respect To g Of Bounded Variation Are Also Integrable
Let g ∈ BV [a, b] and f, f1 , f2 ∈ RS[g, a, b]. Then

(i) f 2 ∈ RS[g, a, b]

(ii) f1 f2 ∈ RS[g, a, b]

(iii) If there is a positive constant m, so that |f (x)| > m for all x in [a, b], then 1/f ∈
Rs[g, a, b].

Proof. (i)

Subproof. Since f ∈ RS[g, a, b], f ∈ RS[Vg , a, b] and f ∈ RS[Vg − g, a, b] by Theorem 7.6.1. Hence,
by Theorem 7.5.1, f 2 ∈ RS[Vg , a, b] and f 2 ∈ RS[Vg − g, a, b]. Then, by the linearity of the Riemann
Stieljes integral for monotone integrators, Theorem 7.1.1, we have f 2 ∈ RS[Vg − (Vg − g) = g, a, b]. 

(ii)

Subproof. f1 , f2 ∈ RS[g, a, b] implies f1 , f2 ∈ RS[Vg , a, b] and f1 , f2 ∈ RS[Vg − g, a, b]. Thus, using

reasoning just like that in Part (i), we have f1 f2 ∈ RS[g, a, b]. 

(iii)

Subproof. By our assumptions, we know 1/f ∈ RS[Vg , a, b] and 1/f ∈ RS[Vg − g, a, b]. Thus, by the
linearity of the Riemann Stieljes integral with respect to monotone integrators, 1/f ∈ RS[g, a, b]. 

Theorem 7.6.3. The Riemann Stieljes Integral Is Additive On Subintervals

Let g ∈ BV [a, b] and f ∈ RS[g, a, b]. Then, if a ≤ c ≤ b,
Z b Z c Z b
f (x)dg(x) = f (x)dg(x) + f (x)dg(x).
a a c

Proof. From Theorem 7.5.6, we know

Z b Z c Z b
f (x)dVg (x) = f (x)dVg (x) + f (x)dVg (x)
a a c
Z b Z c Z b
f (x)d(Vg − g)(x) = f (x)d(Vg − g)(x) + f (x)d(Vg − g)(x).
a a c

Also, we know
Z b Z b Z b
f (x)dg(x) = f (x)dVg (x) − f (x)d(Vg − g)(x)
a a c

and so the result follows. 

124
Chapter 8
Further Riemann Stieljes Results

We know quite a bit about the Riemann Stieljes integral in theory. However, we do not know how to
compute a Riemann Stieljes integral and we only know that Riemann Stieljes integrals exist for a few
type of integrators: those that are bounded with a finite number of jumps and the identity integrator
g(x) = x. It is time to learn more.

8.1 The Riemann - Stieljes Fundamental Theorem Of Calculus

As you might expect, we can prove a Riemann - Stieljes variant of the Fundamental Theorem Of Calculus.

Theorem 8.1.1. Riemann Stieljes Fundamental Theorem Of Calculus

Let g ∈ BV [a, b]m f ∈ RS[g, a, b]. Define F : [a, b] → < by
Z x
F (x) = f (t)dg(t).
a

Then

(i) F ∈ BV [a, b],

(ii) If g is continuous at c in [a, b], then F is continuous at c.

(iii) If g is monotone and if at c is in [a, b], g 0 (c) exists and f is continuous at c, then F 0 (c)
exists with
F 0 (c) = f (c) g 0 (c).

Proof. First, assume g is monotone increasing and g(a) < g(b). Let π be a partition of [a, b]. Then,
we immediately have the fundamental estimates

m(g(b) − g(a)) ≤ L(f, g) ≤ U (f, g) ≤ M (g(b) − g(a)),

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The Riemann - Stieljes Fundamental Theorem Of Calculus Chapter 8:

where m and M are the infimum and supremum of f on [a, b] respectively. Since f ∈ RS[g, a, b], we then
have Z b
m(g(b) − g(a)) ≤ f dg ≤ M (g(b) − g(a)).
a
or Rb
a
f dg
m≤ ≤ M.
g(b) − g(a)
Rb Rb
Let K(a, b) = a f dg/(g(b) − g(a)). Then, m ≤ K(a, b) ≤ M and a f dg = K(a, b)(g(b) − g(a)).
Now assume x < y in [a, b]. Since f ∈ RS[g, a, b], by Theorem 7.5.5, f ∈ RS[g, x, y]. By the
argument just presented, we can show there is a number K(x, y) so that

Z y
K(x, y) = f dg/(g(y) − g(x)),
x
m ≤ inf f (t) ≤ K(x, y) ≤ sup f (t) ≤ M (α)
t∈[x,y] t∈[x,y]
Z y
f dg = K(x, y)(g(y) − g(x))
x

(i)

Subproof. We show f ∈ BV [a, b]. Let π be a partition of [a, b]. Then, labeling the partition points in
the usual way,

X X
| ∆Fj | = | ∆F (xj ) − F (xj−1 |
π π
X Z xj
= | f dg |
π xj−1
X X
= | K(xj−1 , xj ) || g(xj ) − g(xj−1 ) | = | K(xj−1 , xj ) || ∆gj |
π π

using Equation α on each subinterval [xj−1 , xj ]. However, we know each m ≤ K(xj−1 , xj ) ≤ M and so
X X
| ∆Fj | ≤ k f k∞ | ∆gj |
π π
= k f k∞ (g(b) − g(a)),

as g is monotone increasing. Since this inequality holds for all partitions of [a, b], we see

V (F ; a, b) ≤k f k∞ (g(b) − g(a))

implying F ∈ BV [a, b]. 

(ii)

Subproof. Let g be continuous at c. Then given a positive , there is a δ > 0, so that

| g(c) − g(y) | < /(1+ k f k∞ ), | y − c |< δ, y ∈ [a, b].

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The Riemann - Stieljes Fundamental Theorem Of Calculus Chapter 8:

For any such y, apply Equation α to the interval [c, y] or [y, c] depending on whether y > c or vice -
versa. For concreteness, let’s look at the case y > c. Then, there is a K(c, y) so that m ≤ K(c, y) ≤ M
Ry
and c f (t)dg(t) = K(c, y)(g(y) − g(c)). Thus, since y is within δ of c, we have
Z
 y 


 f (t)dg(t) =| K(c, y) | | g(y) − g(c) |≤k f k∞ /(1+ k f k∞ ) < .
c
 
R y 
We conclude that if y ∈ [c, c + δ), then  c f (t)dg(t) < . A similar argument holds for y ∈ (c − δ, c].


Combining, we see y ∈ (c − δ, c + δ) and in [a, b] implies



 Z
  y 

F (y) − F (c) =  f (t)dg(t) < .
  
c

So F is continuous at c. 

(iii)

Subproof. If c ∈ [a, b], g 0 (c) exists and f is continuous at c, we must show that F 0 (c) = f (c)g 0 (c). Let
a positive  be given. Then,
 
 g(y) − g(c) 
0
∃δ1 3  − g (c) < , 0 <| y − c |< δ1 , y ∈ [a, b]. (β)
 
 y−c 

and


∃δ2 3 f (y) − f (c) | < , | y − c |< δ2 , y ∈ [a, b]. (γ)

 
Choose any δ < min(δ1 , δ2 ). Let y be in (c − δ, c) ∪ (c, c + δ) ∩ [a, b]. We are interested in the
interval I with endpoints c and y which is either of the form [c, y] or vice - versa. Apply Equation α to
this interval. We find there is a K(I) that satisfies

inf f (t) ≤ K(I) ≤ sup f (t)

t∈I t∈I

and Z y
f (t)dg(t) = K([c, y])(g(y) − g(c)), y > c
c
or
Z c
f (t)dg(t) = K([y, c])(g(c) − g(y)), y < c
y

or
Z y
− f (t)dg(t) = K([y, c])(g(c) − g(y)), y < c
c

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Existence Results Chapter 8:

which gives Z y
f (t)dg(t) = K([y, c])(g(y) − g(c)), y < c.
c

So we conclude we can write Z y

f (t)dg(t) = K(I)(g(y) − g(c)).
c

where K(I) denotes K([c, y]) or K([y, c]) depending on where y is relative to c. Next, since δ <
min(δ1 , δ2 ), both Equation α and Equation β holds. Thus,
 
f (c) −  < f (t) < f (c) + , y ∈ (c − δ, c) ∪ (c, c + δ) ∩ [a, b].

This tells us that supt∈I f (t) ≤ f (c) +  and inf t∈I f (t) ≥ f (c) − . Thus,

f (c) −  ≤ K([c, y]), K([y, c]) ≤ f (c) + 

or | K([c, y]) − f (c) |<  and | K([y, c]) − f (c) |< . Finally, consider
   
 F (y) − F (c)   K(I)(g(y) − g(c) 
− f (c)g 0 (c) =  − f (c)g 0 (c)
   
y−c y−c

   
 
 K(I)(g(y) − g(c) 
0 0 0
=  − f (c)g (c) + K(I)g (c) − K(I)g (c)
 
 y−c 
   
 (g(y) − g(c)  
− g 0 (c) + K(I) − f (c) | g 0 (c) |

≤ | K(I) | 
 
 y−c 
< k f k∞ + | g 0 (c) | .

Since  is arbitrary, this shows F is differentiable at c with value f (c)g 0 (c). 

This proves the proposition for the case that g is monotone. To finish the proof, we note if g ∈
BV [a, b], then g = Vg − (Vg − g) is the standard decomposition of g into the difference of two monotone
Rx Rx
increasing functions. Let F1 (x) = a f (t)d(Vg )(t) and F2 (x) = a f (t)d(Vg − g)(t). From Part (i), we
see F = F1 − F2 is of bounded variation. Next, if g is continuous at c, so is Vg and Vg − g by Theorem
3.5.3. So by Part (ii), F1 and F2 are continuous at c. This implies F is continuous at c. 

8.2 Existence Results

We begin by looking at continuous integrands.

Theorem 8.2.1. Integrand Continuous and Integrator Of Bounded Variation Implies Rie-
mann - Stieljes Integral Exists
If f ∈ C[a, b] and g ∈ BV [a, b], then f ∈ RS[g, a, b].

Proof. Let’s begin by assuming g is monotone increasing. We may assume without loss of generality
that g(a) < g(b). Let K = g(b) − g(a) > 0. Since f is continuous on [a, b], f is uniformly continuous on

128
Existence Results Chapter 8:

[a, b]. Hence, given a positive , there is a positive δ so that

| f (s) − f (t) |< /K, | t − s |< δ, t, s ∈ [a, b].

Now, repeat the proof of Theorem 4.4.1 which shows that if f is continuous on [a, b], then f ∈ RI[a, b], but
replace all the ∆xj by ∆gj . This shows that f satisfies the Riemann - Stieljes Criterion for integrability.
Thus, by the equivalence theorem, f ∈ RS[g, a, b].
Next, let g ∈ BV [a, b]. Then g = Vg − (Vg − g) as usual. Since Vg and Vg − g are monotone
increasing, we can apply our first argument to conclude f ∈ RS[Vg , a, b] and f ∈ RS[Vg − g, a, b]. Then,
by the linearity of the Riemann - Stieljes integral with respect to the integrator, Theorem 7.1.1, we have
f ∈ RS[g, a, b] with
Z b Z b Z b
f dg = f dvg − f d(Vg − g).
a a a

Next, we let the integrand be of bounded variation.

Theorem 8.2.2. Integrand Bounded Variation and Integrator Continuous Implies Riemann
- Stieljes Integral Exists
If f ∈ BV [a, b] and g ∈ C[a, b], then f ∈ RS[g, a, b].

Proof. If f ∈ BV [a, b] and g ∈ C[a, b]], then by the previous theorem, Theorem 8.2.1, g ∈ RS[f, a, b].
Now apply integration by parts, Theorem 7.1.2, to conclude f ∈ RS[g, a, b]. 

What if the integrator is differentiable?

Theorem 8.2.3. Integrand Continuous and Integrator Continuously Differentiable Implies

Riemann - Stieljes Integrable
Let f ∈ C[a, b] and g ∈ C 1 [a, b]. Then f ∈ RS[g, a, b], f g 0 ∈ RI[a, b] and
Z b Z b
f (x)dg(x) = f (x)g 0 (x)dx
a a

where the integral on the left side is a traditional Riemann integral.

Proof. Pick an arbitrary positive . Since g 0 is continuous on [a, b], g 0 is uniformly continuous on [a, b].
Thus, there is a positive δ so that

| g 0 (s) − g 0 (t) | < , | s − t |< δ, s, t ∈ [a, b]. (α)

Since g 0 is continuous on [a, b], there is a number M so that | g(x) |≤ M for all x in [a, b]. We
conclude that g ∈ BV [a, b] by Theorem 3.3.3. Now apply Theorem 8.2.1, to conclude f ∈ RS[g, a, b].
Thus, there is a partition π0 of [a, b], so that


Z b 

S(f, g, π, σ) − f dg  < , π0  π, σ ⊆ π. (β)

a

129
Existence Results Chapter 8:

Rb
Further, since f g 0 is continuous on [a, b], f g 0 ∈ RI[a, b] and so a
f g 0 exists also.
Now let π1 be a refinement of π0 with || π1 ||< δ. Then we can apply Equation β to conclude


Z b 

S(f, g, π, σ) − f dg  < , π1  π, σ ⊆ π. (γ)

a

Next, apply the Mean Value Theorem to g on the subintervals [xj−1 , xj ] from partition π for which
Equation γ holds. Then, ∆gj = g 0 (tj )(xj − xj−1 ) for some tj in (xj−1 , xj ). Hence,
X X
S(f, g, π, σ) = f (sj )∆gj = f (sj )g 0 (tj )∆xj .
π π

Also, we see
X
S(f g 0 , π, σ) = f (sj )g 0 (sj )∆xj .
π

Thus, we can compute

    
X
S(f, g, π, σ) − S(f g 0 , π, σ) f (sj ) g 0 (tj ) − g 0 (sj )∆xj
 
  = 
π
 
X
g 0 (tj ) − g 0 (sj )∆xj .

≤ || f ||∞  
π

By Equation α, since || π ||< δ, |tj − sj | < δ and so |g 0 (tj ) − g 0 (sj )| < . We conclude
  X
S(f, g, π, σ) − S(f g 0 , π, σ)
 
  <  || f ||∞ ∆xj =  || f ||∞ (b − a). (ξ)
π

Thus,
 Z b     Z b 
S(f g 0 , π, σ) − 0
     
 f dg  ≤ S(f, g, π, σ) − S(f g , π, σ) + S(f, g, π, σ) −
  f dg 
a a
<  || f ||∞ (b − a) + 

by Equation γ and Equation ξ. This proves the desired result. 

It should be easy to see that the assumptions of Theorem 8.2.3 can be relaxed. Consider

Theorem 8.2.4. Integrand Riemann Integrable and Integrator Continuously Differentiable

Implies Riemann - Stieljes Integrable
Let f ∈ C[a, b] and g ∈ C 1 [a, b]. Then f ∈ RS[g, a, b], f g 0 ∈ RI[a, b] and
Z b Z b
f (x)dg(x) = f (x)g 0 (x)dx
a a

where the integral on the left side is a traditional Riemann integral.

130
Worked Out Examples Of Riemann Stieljes Computations Chapter 8:

Proof. We never use the continuity of f in the proof given for Theorem 8.2.3. All we use is the fact
that f is Riemann integrable. Hence, we can use the proof of Theorem 8.2.3 without change to find
 Z b 
S(f g 0 , π, σ) −
 
 f dg  <  || f ||∞ (b − a) + .
a

Rb
This tells us that f g 0 is Riemann integrable on [a, b] with value a
f dg. 

8.3 Worked Out Examples Of Riemann Stieljes Computations

How do we compute a Riemann Stieljes integral? Let’s look at some example.

Example 8.3.1. Let f and g be defined on [0, 2] by

( (
x, x ∈ Q ∩ [0, 2] 1, 0 ≤ x < 1
f (x) = g(x) =
2 − x, x ∈ Ir ∩ [0, 2], 3, 1 ≤ x ≤ 2.
R
Does f dg exist?

Solution 8.3.1. We can answer this two ways so far. Method 1: We note f is continuous at 1 (you
should be able to do a traditional  − δ proof of this fact!) and since g has a jump at 1, we can look at
Lemma 7.2.1 to see that f is indeed Riemann - Stieljes with respect to g. The value is given by
Z 2
f dg = f (1)(g(1+ ) − g(1− ) = 1(3 − 1) = 2.
0

Method 2: We can compute the integral using a partition approach. Let π be a partition of [0, 2].
We may assume without loss of generality that 1 ∈ π (recall all of our earlier arguments that allow us
to make this statement!). Hence, there is an index k0 such that xk0 = 1. We have
     
L(f, g, π) = inf f (x) g(1) − g(xk0 −1 ) + inf f (x) g(xk0 +1 ) − g(1)) .
x∈[xk0 −1 ,1] x∈[1,xk0 +1 ]

Now use how g is defined to see,

     
L(f, g, π) = inf f (x) 3 − 1) + inf f (x) 3 − 3) .
x∈[xk0 −1 ,1] x∈[1,xk0 +1 ]

Hence,  
L(f, g, π) = 2 inf f (x) .
x∈[xk0 −1 ,1]

If you graphed x and 2 − x simultaneously on [0, 2], you would see that they cross at 1 and x is below
2 − x before 1. This graph works well for f even though we can only use the graph of x when x is rational
and the graph of 2 − x when x is irrational. We can see in our mind how to do the visualization. For this
mental picture, you should be able to see that the infimum of f on [xk0 −1 , 1] will be the value xk0 −1 . We
have thus found that L(f, g, π) = 2xk0 −1 . A similar argument will show that U (f, g, π) = 2(2 − xk0 −1 ).
This immediately implies that L(f, g) = U (f, g) = 2.

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Worked Out Examples Of Riemann Stieljes Computations Chapter 8:

Example 8.3.2. Let f be any bounded function which is discontinuous from the left at 1 on [0, 2]. Again,
let g be defined on [0, 2] by
(
1, 0 ≤ x < 1
g(x) =
3, 1 ≤ x ≤ 2.
R
Does f dg exist?

Solution 8.3.2. First, since we know f is not continuous from the left at 1 and g is continuous from the
right at 1, the conditions of Lemma 7.2.1 do not hold. So it is possible this integral does not exist. We
will in fact show this using arguments that are similar to the previous example. Again, π is a partition
which has xk0 = 1. We find
     
L(f, g, π) = inf f (x) 3 − 1) , U (f, g, π) = sup f (x) 3 − 1) .
x∈[xk0 −1 ,1] x∈[xk0 −1 ,1]

Since we can choose xk0 − 1 as close to 1 as we wish, we see

inf f (x) → min(f (1− ), f (1))

x∈[xk0 −1 ,1]

sup f (x) → max(f (1− ), f (1))

x∈[xk0 −1 ,1]

But f is discontinuous from the left at 1 and so f (1− ) 6= f (1). For concreteness, let’s assume f (1− ) <
f (1) (the argument the other way is very similar). We see L(f, g) = 2f (1− ) and U (f, g) = 2f (1). Since
these values are not the same, f is not Riemann Stieljes integrable with respect to g by the Riemann -
Stieljes equivalence theorem, Theorem 7.4.1.

Example 8.3.3. Let f be any bounded function which is continuous from the left at 1 on [0, 2]. Again,
let g be defined on [0, 2] by
(
1, 0 ≤ x < 1
g(x) =
3, 1 ≤ x ≤ 2.
R
Does f dg exist?

Solution 8.3.3. First, since we know f is continuous from the left at 1 and g is continuous from the
right at 1, the conditions of Lemma 7.2.1 do hold. So this integral does exist. Using Lemma 7.2.1, we
see Z 2
f dg = f (1)(g(1+ ) − g(1− )) = 2f (1).
0

We can also show this using partition arguments as we have done before. Again, π is a partition which
has xk0 = 1. Again, we have
     
L(f, g, π) = inf f (x) 3 − 1) , U (f, g, π) = sup f (x) 3 − 1) .
x∈[xk0 −1 ,1] x∈[xk0 −1 ,1]

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Worked Out Examples Of Riemann Stieljes Computations Chapter 8:

Since we can choose xk0 − 1 as close to 1 as we wish, we see

inf f (x) → min(f (1− ), f (1))

x∈[xk0 −1 ,1]

sup f (x) → max(f (1− ), f (1))

x∈[xk0 −1 ,1]

But f is continuous from the left at 1, f (1− ) = f (1). We see L(f, g) = 2f (1) and U (f, g) = 2f (1). Since
these values are the same, f is Riemann Stieljes integrable with respect to g by the Riemann - Stieljes
equivalence theorem, Theorem 7.4.1.

Example 8.3.4. Define a step function g on [0, 12] by


 0,
 P 0≤x<2
bxc
g(x) = j=2 (j − 1)/36, 2≤x<8
 Pbxc
21/36 + j=8 (13 − j)/36, 8 ≤ x ≤ 12


where bxc is the greatest integer which is less than or equal to x. The function g is everywhere continuous
from the right and represents the probability of rolling a number j ≤ x. It is called the cumulative
R 12
probability distribution function of a fair pair of dice. The Riemann - Stieljes integral µ = 0 xdg(x)
is called the mean of this distribution. The variance of this distribution is denoted by σ 2 (unfortunate
choice, isn’t it as that is the letter we use to denote evaluation sets of partitions!) and defined to be
Z 12
σ2 = (x − µ)2 dg(x).
0

Compute µ and σ 2 .

Solution 8.3.4. Since f (x) = x is continuous on [0, 12], Lemma 7.2.2 applies and we have

Z 12 12
X  
−
xdg(x) = j g(j+) − g(j ) .
0 j=2

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Worked Out Examples Of Riemann Stieljes Computations Chapter 8:

The evaluations are a bit messy.

36(g(2+) − g(2− )) = 36(g(2) − g(2− )) = 1 − 0 = 1

36(g(3+) − g(3− )) = 36(g(3) − g(3− )) = 3 − 1 = 2
36(g(4+) − g(4− )) = 36(g(4) − g(4− )) = 6 − 3 = 3
36(g(5+) − g(5− )) = 36(g(5) − g(5− )) = 10 − 6 = 4
36(g(6+) − g(6− )) = 36(g(6) − g(6− )) = 15 − 10 = 5
36(g(7+) − g(7− )) = 36(g(7) − g(7− )) = 21 − 15 = 6
36(g(8+) − g(8− )) = 36(g(8) − g(8− )) = 26 − 21 = 5
36(g(9+) − g(9− )) = 36(g(9) − g(9− )) = 30 − 26 = 4
36(g(10+) − g(10− )) = 36(g(10) − g(10− )) = 33 − 30 = 3
36(g(11+) − g(11− )) = 36(g(11) − g(11− )) = 35 − 33 = 2
36(g(12+) − g(12− )) = 36(g(12) − g(12− )) = 36 − 35 = 1

Thus,
Z 12 
xdg(x) = 2(1) + 3(2) + 4(3) + 5(4) + 6(5) + 7(6)
0

+8(5) + 9(4) + 10(3) + 11(2) + 12(1) /36
 
= 2 + 6 + 12 + 20 + 30 + 42 + 40 + 36 + 30 + 22 + 12 /36

= 252/36 = 7.

So, the mean or expected value of a single roll of a fair pair of dice is 7. To find the variance, we
calculate
Z 12
σ2 = (x − 7)dg(x)
0
12
X  
2 −
= (j − 7) g(j+) − g(j )
j=2
 
= 25(1) + 16(2) + 9(3) + 4(4) + 1(5) + 0(6) + 1(5) + 4(4) + 9(3) + 16(2) + 25(1) /36
 
= 25 + 32 + 27 + 16 + 5 + 5 + 16 + 27 + 32 + 25 /36

= 210/36 = 35/6.

Example 8.3.5. Let f (x) = ex and let g be defined on [0, 2] by

(
x2 , 0≤x≤1
g(x) = 2
x + 1, 1 < x ≤ 2.

134
Worked Out Examples Of Riemann Stieljes Computations Chapter 8:

R
Show f dg exists and evaluate it.
R2
Solution 8.3.5. Since g is monotone, 0
f dg exists. We can thus decompose g into its continuous and
saltus part. We find
(
2 0, 0 ≤ x ≤ 1
gc (x) = x , sg (x) =
1, 1 < x ≤ 2.

The saltus integral is evaluated using Lemma 7.2.1. The integrand is continuous and the jump is at 1,
so we have
Z 2 Z 2
f dsg = ex dsg (x)
0 0
= e (sg (1+ ) − sg (1− )) = e(1 − 0) = e.
1

and for the continuous part, we can use the fact the integrator is continuously differentiable on [0, 2] to
apply Theorem 8.2.3 to obtain
Z 2 Z 2 Z 2
f dgc = ex d(x2 ) = ex 2xdx = 2(e2 + 1)
0 0 0

Thus,
Z 2 Z 2 Z 2
f dg = f dgc + f dsg
0 0 0
= 2(e2 + 1) + e.

We can also do this by integration by parts, Theorem 7.1.2. Since f ∈ RS[g, 0, 2], it follows that
g ∈ RS[f, 0, 2] and
Z 2 2 Z 2
= ex g(x) −

f (x)dg(x) g(x)df (x)
0 0 0
Z 2
2
= e g(2) − g(0) − g(x)d(ex )
0
Z 2
2
= e − g(x)ex dx.
0

Example 8.3.6. Let f (x) = ex and let g be defined on [0, 2] by

(
x2 , 0≤x<1
g(x) =
sin(x), 1 ≤ x ≤ 2.
R
Show f dg exists and evaluate it.

Solution 8.3.6. We know that g is of bounded variation on [1, 2] because it is continuously differentiable
with bounded derivative there. But what about on [0, 1]? We know that the function h(x) = x2 on [0, 1]
is of bounded variation on [0, 1] because it is also continuously differentiable with a bounded derivative.
If π is any partition of [0, 1] then we must have, using standard notation for the partition points of π,

135
Homework Chapter 8:

that

X p−1
X
| ∆gj | = | ∆gj | + | g(1) − g(xp−1 |
π j=0
≤ V (h, 0, 1) + 2 k g k∞ .

Since the choice of partition on [0, 1] is arbitrary, we see g ∈ BV [0, 1]. Thus, combining, we have that
g ∈ BV [0, 2]. It then follows that f ∈ RS[g, 0, 2]. Now note that on [0, 1], we can write g(x) = h(x)+u(x)
where
(
0, 0≤x<1
u(x) =
sin(1) − 1, x = 1.
R2
Then, to evaluate 0
f dg we write
Z 2 Z 1 Z 2
f dg = f dg + f dg
0 0 1
Z 1 Z 2
= f d(h + u) + f d(sin(x))
0 1
Z 1 Z 1 Z 2
= f d(h) + f d(u) + f cos(x)dx
0 0 1
Z 1 Z 2
x −
= e 2xdx + f (1)(u(1) − u(1 )) + ex cos(x)dx
0 1
Z 1 Z 2
x
= e 2xdx + e(sin(1) − 1) + ex cos(x)dx
0 1

and these integrals are standard Riemann integrals that can be evaluated by parts.

8.4 Homework
Exercise 8.4.1. Define g on [0, 2] by


 −2 x = 0

3
 x 0 < x < 1



g(x) = 9/8 x = 1

x4 /4 + 1 1 < x < 2





7 x = 2


This function is from a previous exercise.

1. Show that if f (x) = x4 on [0, 2], then f ∈ RS[g, 0, 2].

R2
2. Compute 0
f dg.

3. Explain why g ∈ RS[f, 0, 2].

R2
4. Compute 0
gdf .

136
Homework Chapter 8:

Exercise 8.4.2. Define g on [0, 2] by



 −1 x = 0

2
 x 0 < x < 1



g(x) = 7/4 x = 1
 √
x+3 1 < x < 2





3 x = 2


This function is also from a previous exercise.

1. Show that if f (x) = x2 + 5 on [0, 2], then f ∈ RS[g, 0, 2].

R2
2. Compute 0
f dg.

3. Explain why g ∈ RS[f, 0, 2].

R2
4. Compute 0
gdf .

Exercise 8.4.3. Let f and g be defined on [0, 4] by


( 
 1, 0 ≤ x < 1

x, x ∈ Q ∩ [0, 4]  2, 1 ≤ x < 2
f (x) = g(x) =
2x, x ∈ Ir ∩ [0, 4], 

 3, 2 ≤ x < 3
4, 3 ≤ x ≤ 4.


R
Does f dg exist and if so what is its value?

Exercise 8.4.4. Let f (x) = x3 and let g be defined on [0, 3] by

(
x2 , 0≤x≤2
g(x) = 2
x + 4, 2 < x ≤ 3.
R
Show f dg exists and evaluate it.

Exercise 8.4.5. Let f (x) = x2 + 3x + 10 and let g be defined on [−1, 5] by

(
x3 , −1 ≤ x ≤ 2
g(x) =
−10x2 , 2 < x ≤ 5.
R
Show f dg exists and evaluate it.

Exercise 8.4.6. The following are definitions of integrands f1 , f2 and f3 and integrators g1 , g2 and g3
R2
on [0, 2]. For each pair of indices i, j determine if 0 fi dgj exists. If the integral exists, compute the
value and if the integral does not exist, provide a proof of its failure to exist.


 2, x=0
( ( 
1, 0≤x<1 1, x = 0
f1 (x) = f2 (x) = f3 (x) = 1, 0<x<1
x − 1, 1 ≤ x ≤ 2, x, 0 < x ≤ 2 
x − 1, 1 ≤ x ≤ 2


137
Homework Chapter 8:


 −1, x=0
 x, 0≤x≤1
( 

 
x, 0≤x<1  x, 0<x≤1
g1 (x) = g2 (x) = x + 1, 1 < x < 2 g3 (x) =
x + 1, 1 ≤ x ≤ 2,   x + 1, 1<x<2
4, x = 2,
 


4, x = 2.

Exercise 8.4.7. Prove

Theorem 8.4.1. Limit Interchange Theorem For Riemann - Stieljes Integrals

Assume g ∈ BV [a, b] and {fn } ⊆ RS[g, a, b] converges uniformly to f0 on [a, b]. Then

(i) f0 ∈ RS[g, a, b],

Rx Rx
(ii) If Fn (x) = a fn (t)dg(t) and F0 (x) = a f0 (t)dg(t), then Fn converges uniformly to
F0 on [a, b].

(iii)
Z b Z b
lim fn (t)dg(t) = f0 (t)dg(t).
n a a

Exercise 8.4.8. Let g be strictly monotone on [a, b]. For f1 , f2 in C[a, b], define ω : C[a, b]×C[a, b] → <
Rb
by ω(f1 , f2 ) = a f1 (t)f2 (t)dg(t).

(i) Prove that ω is an inner product on C[a, b].

(ii) Prove if ω(f, h) = 0 for all h ∈ RS[g, a, b], then f = 0.

138
Chapter 9
Measurable Functions and Spaces

If you have been looking closely at how we prove the properties of Riemann and Riemann Stieljes
integration, you will have noted that these proofs are intimately tied to the way we use partitions to
divide the function domain into small pieces. We are now going to explore a new way to associate a
given bounded function with a real number which can be interpreted as the integral.

Let X be a nonempty set. In mathematics, we study sets such as X when various properties and
structures have been added. For example, we might want X to have a metric d to allow us to measure an
abstract version of distance between points in X. We could study sets X which have a linear or vector
space structure and if this resulting vector space possessed a norm k · k, we could determine an abstract
version of the magnitude of objects in X. Here, we want to look at collections of subsets of the set X
and impose some conditions on the structure of these collections.

Definition 9.0.1. Sigma Algebras

Let X be a nonempty set. A family of subsets S is called a σ - algebra if

(i) ∅, X ∈ S.

(ii) If A ∈ S, so is AC . We say S is closed under complementation or complements.

(iii) If {An }∞ ∞
n=1 ∈ S, then ∪n=1 An ∈ S. We say S is closed under countable unions.

The pair (X, S) will be called a measurable space and if A ∈ S, we will call A an S measurable
set. If the underlying σ - algebra is understood, we usually just say, A is a measurable subset
of X.

A common tool we use in working with countable collections of sets are De Morgan’s Laws.

139
Examples Chapter 9:

Lemma 9.0.2. De Morgan’s Laws

Let X be a nonempty set and {Aα |α ∈ Λ} be any collection of subsets of X. Hence, the index
set Λ may be finite, countably infinite or arbitrary cardinality. Then

(i)
!C
∪α Aα = ∩α AC
α

(ii)
!C
∩α Aα = ∪α AC
α

Proof. This is a standard proof and is left to you as an exercise. 

9.1 Examples
Let’s work through a series of examples of σ algebras.

Example 9.1.1. Let X be any not empty set and let S = {A|A ⊆ X}. This is the collection of all
subsets and is sometimes called the power set of X. It is often denoted by the symbol P(X). This
collection clearly is a σ algebra. Hence, (P(X), X) is a measurable space and all subsets of X are P(X)
measurable.

Example 9.1.2. Let X be any set and S = {∅, X}. Then this collection is also a σ algebra, albeit not
a very interesting one! With this σ algebra, X is a measurable space with only two measurable sets.

Example 9.1.3. Let X be the set of counting numbers and let S = {∅, O, E, X} where O is the odd
counting numbers and E, the odd. It is easy to see (S, X) is a measurable space.

Example 9.1.4. Let X be any uncountable set and let S = {A ⊆ X|A is countable or AC is countable}.
It is easy to see ∅ and X itself are in S. If A ∈ S, then there are two cases: A is countable and /or AC
is countable. In both cases, it is straightforward to reason that AC is also in S. It remains to show that
S is closed under countable unions. To do this, assume we have a sequence of sets An from S. Consider
A = ∪n An . There are several cases to consider.

1. If all the An are countable, then so is the countable union implying A ∈ S.

2. If all the An are not countable, then each AC C C

n is countable. Thus, ∩n An = (∪n An ) is countable.
Again, this tells us A ∈ S.

140
The Borel Sigma - Algebra of < Chapter 9:

3. If a countable number of An and a countable number of AC

n are uncountable, then we have, since
X is uncountable,
 C  
∪n An = ∩n AC
n
   
C C
= ∩(An countable) An ∩ ∩(Anuncountable) An
   
C C
= ∩(ACn uncountable) An ∩ ∩(ACn countable) An

Now, for any index n, we must have ∩n AC C C

n ⊆ An . Thus, since some An are countable, we
must have ∩n AC C
n is countable. By De Morgan’s Laws, it follows that (∪n An ) is countable. This
implies A ∈ S.

We conclude (X, S) is a measurable space.

Example 9.1.5. Let X be any nonempty set and let S1 and S2 be two sigma - algebras of X. Let

S3 = {A ⊆ X| A ∈ S1 and A ∈ S2 }
≡ S1 ∩ S2 .

It is straightforward to see that (X, S3 ) is a measurable space.

Example 9.1.6. Let X be any nonempty set. Let A be any nonempty collection of subsets of X. Note
that P(X), the collection of all subsets of X, is a sigma - algebra of X and hence, (X, P(X)) is a
measurable space that contains A. By Example 9.1.5, we know if S1 and S2 are two other sigma -
algebras that contain A, then S1 ∩ S2 is a new sigma - algebra that also contains A. This suggests we
search for the smallest sigma - algebra that contains A.

Definition 9.1.1. The Sigma - Algebra Generated By Collection A

The sigma - algebra generated by a collection of subsets A in a nonempty set X, is denoted
by σ(A) and is defined by

σ(A) = ∩{S | A ⊆ S }.

Since any sigma - algebra S that contains A by definition satisfies σ(A) ⊆ S, it is easy to see
why we interpret this generated sigma - algebra as the smallest sigma - algebra that contains
the collection A.

9.2 The Borel Sigma - Algebra of <

We now discuss a very important sigma algebra of subsets of the real line called the Borel sigma - algebra
which is denoted by B. Define four collections of subsets of < as follows:

1. A is the collection of finite open intervals of the form (a, b),

2. B is the collection of finite half open intervals of the form (a, b],

141
The Borel Sigma - Algebra of < Chapter 9:

3. C is the collection of finite half open intervals of the form [a, b) and
4. D is the collection of finite closed intervals of the form [a, b].
It is possible to show that

σ(A) = σ(B) = σ(C) = σ(A).

This common sigma - algebra is what we will call the Borel sigma - algebra of <. It should be evident to
you that a set can be very complicated and still be in B. Some of these equalities will be left to you as
homework exercises, but we will prove that σ(A) = σ(D). Let S be any sigma - algebra that contains
A. We know that

[a, b] = (−∞, b] ∩ [a, ∞)

= (b, ∞)C ∩ (−∞, a)C
 C
= (−∞, a) ∪ (b, ∞) .

In the representation of [a, b] above, note we can write

∞
[
(−∞, a) = (−n, a)
bac
∞
[
(b, ∞) = (b, n).
dbe

Since, S is a sigma - algebra containing A, the unions on the right hand sides in the equations above
must be in S. This immediately tells us that [a, b] is also in S. Hence, since [a, b] is arbitrary, we conclude
D is contained in S also. Further, since is true for any sigma - algebra that contains A, we have that
D ⊆ σ(A). Thus, by definition, we can say σ(D) ⊆ σ(A).
To show the reverse containment is quite similar. Let S be any sigma - algebra that contains D.
We know that

(a, b) = (−∞, b) ∩ (a, ∞)

= [b, ∞)C ∩ (−∞, a]C
 C
= (−∞, a] ∪ [b, ∞) .

In the representation of (a, b) above, note we can write

∞
[
(−∞, a] = [−n, a]
bac

and
∞
[
[b, ∞) = [b, n].
dbe

142
The Extended Borel Sigma Algebra Chapter 9:

Since, S is a sigma - algebra containing D, the unions on the right hand sides in the equations above
must be in S. This immediately tells us that (a, b) is also in S. Hence, since (a, b) is arbitrary, we
conclude A is contained in S also. Further, since is true for any sigma - algebra that contains A, we
have that A ⊆ σ(D). Thus, by definition, we can say σ(A) ⊆ σ(D). Combining, we have the equality
we seek.

9.2.1 Homework
Exercise 9.2.1. Prove σ(A) = σ(B).

Exercise 9.2.2. Prove σ(B) = σ(C).

Exercise 9.2.3. Prove any Cantor set is in B.

9.3 The Extended Borel Sigma Algebra

It is often very convenient to deal with a number system that explicitly adjoins the symbols ∞ and −∞
to the standard real line <. This is actually called the two - point compactification of <, but that is
another story!

Definition 9.3.1. The Extended Real Number System

The extended real number systems is denoted by < and is defined as the real numbers with two
additional elements:

< = < ∪ {+∞} ∪ {−∞}.

We want arithmetic involving the new symbols ±∞ to reflect our everyday experience with
limits of sequences of numbers which either grow without bound positively or negatively. Hence,
we use the conventions for all real numbers x:

(±∞) + (±∞) = x + (±∞) = (±∞) + x = ±∞,

(±∞) · (±∞) = ∞,
(±∞) · (∓∞) = = (∓∞) · (±∞) = −∞,
x · (±∞) = = (±∞) · x = ±∞ if x > 0,
x · (±∞) = = (±∞) · x = 0 if x = 0,
x · (±∞) = = (±∞) · x = ∓∞ if x < 0.

We can not define the arithmetic operations (∞) + (−∞), (−∞) + (∞) or any the four ratios
of the form (±∞)/(±∞).

We can now define the Borel sigma - algebra in <. Let E be any Borel set in <. Let

E1 = E ∪ {−∞}, E2 = E ∪ {+∞}, and E3 = E ∪ {+∞} ∪ {+∞}.

143
The Extended Borel Sigma Algebra Chapter 9:

Then, we define

B = {E, E1 , E2 , E3 | E ∈ B}.

We leave to you the exercise of showing that B is a sigma - algebra in <.

Exercise 9.3.1. Prove that B is a sigma - algebra in <.

It is that open intervals in < are in B, but is it true that B contains arbitrary open sets? To see that
it does, we must prove a characterization for the open sets of <.

Theorem 9.3.1. Open Set Characterization Lemma

If U is an open set in <, then there is a countable collection of disjoint open intervals C =
{(an , bn )} so that U = ∪n (an , bn ).

Proof. Since U is open, if p ∈ U, there is an r > 0 so that B(p; r) ⊆ U. Hence, (p − r, p + r) ⊆ U

implying both (p, p + r) ⊆ U and (p − r, p) ⊆ U. Let

Sp = {y | (p, y) ⊆ U} and Tp = {x | (x, p) ⊆ U}.

It is easy to see that both Sp and Tp are nonempty since U is open. Let bp = sup Sp and ap = inf Tp .
Clearly, bp could be +∞ and ap could be −∞.
Consider u ∈ (ap , bp ). From the Infimum and Supremum tolerance lemmas, we know there are points
x∗ and y ∗ so that

u < y ∗ ≤ bp ≤ ∞ and (p, y ∗ ) ⊆ U

, −∞ ≤ ap ≤ x∗ < u and (x∗ , p) ⊆ U.

Hence, u ∈ (x∗ , y ∗ ) ⊆ U which implies u ∈ U. Thus, since u in (ap , bp ) is arbitrary, we have (ap , bp ) ⊆ U.
if ap or bp were not finite, they can not be in < and can not be in U. However, what if either one was
finite? Is it possible for the point to be in U? We will show that in this case, the points ap and bp still
can not lie in U. For concreteness, let us assume that ap is finite and in U. Then, ap would be an
interior point of U. Hence, there would be a radius ρ > 0 so that (ap − ρ, ap ) ⊆ U implying ap − ρ ∈ Tp .
Thus, inf Tp = ap ≤ ap − ρ which is not possible. Hence, ap 6∈ U. A similar argument then shows that if
bp is finite, bp is not in U.
Thus, we know that ap and bp are never in U and that p is always in the open interval (ap , bp ) ⊆ U.
Let F = {(ap , bp ) | p ∈ U }. We see immediately that

U = ∪F (ap , bp ).

Let (a, b) and (c, d) be any two intervals from F which overlap. From the definition of F, we then know
that a, b, c and d are not in U. Then, if a ≥ d, the two intervals would be disjoint; hence, we must have
a < d. By the same sort of argument, it is also true that c < b. Hence, if c is in the intersection, we
have a chain of inequalities like this:

a < c < q < b < d.

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Measurable Functions Chapter 9:

Next, since a 6∈ U, we see a ≤ c since (c, d) ⊆ U. Further, since c 6∈ U and (a, b) ⊆ U, it follows that
c ≤ a. Combining, we have a = c. A similar argument shows that b = d. Hence, (a, b)∩(c, d) 6= ∅ implies
that (a, b) = (c, d). Thus, two interval Ip and Iq in F are either the same or disjoint. We conclude
[
U = Ip .
(disjoint Ip ∈F )

Let F0 be this collection of disjoint intervals from F. Each Ip in F0 contains a rational number rp . By
definition, it then follows that if Ip and Iq are in F0 , then rp 6= rq . The set of these rational numbers is
countable and so we can label them using an enumeration rn . Label the interval Ip which contains rn as
In . Then, we have
[∞
U = In ,
n=1

which is the desired result. 

9.4 Measurable Functions

Let f : < → < be a continuous function. let O be an open subset of <. By Theorem 9.3.1, we know
that we can write
[
O= (an , bn )
n

where the (an , bn ) are mutually disjoint finite open intervals of <. It follows immediately that O is in
the Borel sigma - algebra B. Now consider the inverse image of O under f , f −1 (O). If p ∈ f −1 (O),
then f (p) ∈ O. Since O is open, f (p) must be an interior point. Hence, there is a radius r > 0 so that
(f (p)−r, f (p)+r) ⊆ O. Since f is continuous at p, there then is a δ > 0 so that f (x) ∈ ((f (p)−r, f (p)+r)
if x ∈ (p − δ, p + δ). This tells us that (p − δ, p + δ) ⊆ f −1 (O). Since p was arbitrarily chosen, we conclude
that f −1 (O) is an open set.
We see that if f is continuous on <, then f −1 (O) is in the Borel sigma - algebra for any open set
O in <. We can then say that f −1 (α, ∞) is in B for all α > 0. This suggests that an interesting way
to generalize the notion of continuity might be to look for functions f on an arbitrary nonempty set X
with sigma - algebra S satisfying f −1 (O) ∈ S for all open sets O. Further, by our last remark, it should
be enough to ask that f −1 ((α, ∞)) ∈ S for all α ∈ <. This is exactly what we will do. It should be no
surprise to you that functions f satisfying this new definition will not have to be continuous!

Definition 9.4.1. The Measurability of a Function

Let X be a nonempty set and S be a sigma - algebra of subsets of X. We say that f : X → <
is a S - measurable function on X or simply S measurable if

∀ α > 0, {x ∈ X | f (x) >: α} ∈ S.

We can easily prove that there are equivalent ways of proving a function is measurable.

145
Measurable Functions Chapter 9:

Lemma 9.4.1. Equivalent Conditions For The Measurability of a Function

Let X be a nonempty set and S be a sigma - algebra of subsets of X. The following statements
are equivalent:

(i): ∀α > 0, Aα = {x ∈ X | f (x) > α} ∈ S,

(ii): ∀α > 0, Bα = {x ∈ X | f (x) ≤ α} ∈ S,

(iii): ∀α > 0, Cα = {x ∈ X | f (x) ≥ α} ∈ S,

(iv): ∀α > 0, Dα = {x ∈ X | f (x) < α} ∈ S.

Proof.
(i) ⇒ (ii):

Subproof. If Aα ∈ S, then its complement is in S also. Since Bα = AC

α , (ii) follows. 

(ii) ⇒ (i):

Subproof. If Bα ∈ S, then its complement is in S also. Since Aα = BαC , (i) follows. 

(iii) ⇔ (iv):

Subproof. Since Cα = DαC and Dα = CαC , arguments similar to those of the previous cases can be
applied. 

Hence, if we show (i) ⇔ (iii), we will be done. (i) ⇒ (iii):

Subproof. By (i), Aα−1/n ∈ S for all n. We know

\ \
Cα = Aα−1/n = {x|f (x) > α − 1/n}
n n

We also know AC C
α−1/n is measurable and so ∪n Aα−1/n is also measurable. Thus, the complement of
∪n AC
α−1/n is also measurable. Then, by De Morgan’s Laws, Cα = ∩n Aα−1/n is measurable. 

(iii) ⇒ (i):

Subproof. Note, Cα+1/n ∈ S for all n and so

[ [
Aα = Cα+1/n = {x|f (x) ≥ α + 1/n}
n n

is also measurable. 

We conclude all four statements are equivalent. 

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Measurable Functions Chapter 9:

9.4.1 Examples
Example 9.4.1. Any constant function f on a nonempty set X with given sigma - algebra S is mea-
surable as if f (x) = c for some c ∈ <, then

(
∅∈S α≥c
{x|f (x) > α} =
X∈S α<c

Example 9.4.2. Let X be a nonempty set X with given sigma - algebra S. Let E ∈ S be given. Define

(
1 if x ∈ E
IE (x) =
0 if x ∈
6 E

Then IE is measurable. Note


 ∅∈S
 α≥1
{x|IE (x) > α} = E∈S 0≤α<1

X∈S α<0


Example 9.4.3. Let X = < and S = B. Then, if f : < → < is continuous, f is measurable by the
arguments we made at the beginning of this section. More generally, let f : [a, b] → < be continuous on
[a, b]. Then, extend f to < as fˆ defined by


 f (a) x < a

ˆ
f = f (x) a ≤ x ≤ b

f (b) x > b


Then fˆ is continuous on < and measurable with fˆ−1 (α, ∞) ∈ B for all α. It is not hard to show that

B ∩ [a, b] = {E ⊆ [a, b] | E ∈ B}

is a sigma -algebra of the set [a, b]. Further, the standard arguments for f continuous on [a, b] show us
that f −1 (α, ∞) ∈ B ∩ [a, b] for all α. Hence, a continuous f on the interval [a, b] will be measurable with
respect to the sigma - algebra B ∩ [a, b].
We can argue is a similar fashion for functions continuous on intervals of the form (a, b], [a, b) and
(a, b) whether a and b is finite or not.

Example 9.4.4. If X = < and S = B, then any monotone function if Borel measurable. To see this,
note we can restrict our attention to monotone increasing functions as the argument is quite similar for
monotone decreasing.
(
∅∈S f (x) ≤ α ∀x
{x|f (x) > α} =
X∈S f (x) > α ∀x.

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Properties of Measurable Functions Chapter 9:

Hence, it is enough to consider the cases where f takes on the value α without a jump at the point
x0 or f has a jump across the value α at x0 . In the first case, since f is monotone increasing and
f (x0 ) = α, f −1 (α, ∞) = (x0 , ∞) ∈ B. On the other hand, if f has a jump at x0 across the value α, ,
then f (x− + − +
0 ) 6= f (x0 ) and α ∈ [f (x0 ), f (x0 )]. there are three possibilities:

(i): f (x− +
0 ) = f (x0 ) < f (x0 ): If α = f (x0 ), then since f is monotone, f
−1
(α, ∞) = (x0 , ∞). If
f (x0 ) < α < f (x0 ), we again have f (α, ∞) = (x0 , ∞). Finally, if α = f (x+
+ −1
0 ), we have
f −1 (α, ∞) = [x0 , ∞). In all cases, these inverse images are in B.

(ii): f (x− +
0 ) < f (x0 ) < f (x0 ): A similar analysis shows that all the possible inverse images are Borel
sets.

(iii): f (x− +
0 ) < f (x0 ) = f (x0 ): we handle the arguments is a similar way.

We conclude that in all cases, f −1 (α, ∞) ∈ B and hence f is measurable.

Note, the analysis of the previous example could be employed here also to show that a monotone
function defined on an interval such as [a, b], (a, b) and so forth is Borel measurable with respect to the
restricted sigma - algebra B ∩ [a, b] etc.

Exercise 9.4.1. Let f be piecewise continuous on [a, b]. Prove that f is measurable with respect to the
restricted Borel sigma - algebra B ∩ [a, b]. Recall, a function is piecewise continuous on [a, b] if there are
a finite number of points xi in [a, b] where f is not continuous.

Comment 9.4.1. For convenience, we will start using a more abbreviated notation for sets like {x ∈
X | f (x) > α}; we will shorten this to {f (x) > α} or (f (x) > α) in our future discussions.

9.5 Properties of Measurable Functions

We now want to see how we can build new measurable functions from old ones we know.

Lemma 9.5.1. Properties of Measurable Functions

Let X be a nonempty set and S a sigma - algebra on X. Then if f and g are S measurable,
so are

(i): cf for all c ∈ <.

(ii): f 2 .

(iii): f + g.

(iv): f g.

(v): | f |.

Proof.
(i):

Subproof. If c = 0, cf = 0 and the result is clear. If c > 0, then (cf (x) > α) = (f (x) > α/c) which is
measurable as f is measurable. If c < 0, a similar argument holds. 

(ii):

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Properties of Measurable Functions Chapter 9:

Subproof. If α < 0, then (f 2 (x) > α) = X which is in S. Otherwise, if α ≥ 0, then

√ √
(f 2 (x) > α) = (f (x) > α) ∪ (f (x) < − α),

and both of these sets are measurable since f is measurable. The conclusion follows. 

(iii):

Subproof. If r ∈ Q, let Sr = (f (x) > r) ∩ (g(x) > α − r) which is measurable since f and g are
measurable. We claim that
[
(f (x) + g(x) > α) = Sr .
r∈Q

To see this, let x satisfy f (x) + g(x) > α. Thus, f (x) > α − g(x). Since the rationals are dense in <,
we see there is a rational number r so that f (x) > r > g(x) − α. This clearly implies that f (x) > α and
g(x) > α − r and so x ∈ Sr . Since our choice of x was arbitrary, we have shown that
[
(f (x) + g(x) > α) ⊆ Sr .
r∈Q

The converse is easier as if x ∈ Sr , it follows immediately that f (x) + g(x) > α.

Since Sr is measurable for each r and the rationals are countable, we see (f (x) + g(x) > α) is
measurable. 

(iv):
 
2 2
Subproof. To prove this result, note that f g = (1/4) (f + g) − (f − g) and all the individual pieces
are measurable by (iii) and (i). 

(v):

Subproof. If α < 0, (f (x) > α) = X which is measurable. On the other hand, if α ≥ 0,

(f 2 (x) > α) = (f (x) > α) ∪ (f (x) < −α),

which implies the measurability of | f |. 

We can also prove another characterization of the measurability of f .

Lemma 9.5.2. A Function is Measurable If and Only If Its Positive and Negative Parts Are
Measurable
Let X be a nonempty set and S be a sigma - algebra on X. Then f : X → < is measurable if
and only if f + and f − are measurable, where

f + (x) = max {f (x), 0}, and f + (x) = − min {f (x), 0}.

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Extended Valued Measurable Functions Chapter 9:

   
Proof. We note f f + −f − and | f |= f + +f − . Thus, f + = (1/2) | f | +f and f − = (1/2) | f | −f .
Hence, if f is measurable, by Lemma 9.5.1 (i), (iii) and (v), f + and f − are also measurable. Conversely,
if f + and f − are measurable, f = f + − f − is measurable as well. 

9.6 Extended Valued Measurable Functions

We now extend these ideas to functions which are extended real valued.
Definition 9.6.1. The Measurability Of An Extended Real Valued Function
Let X be a nonempty set and S be a sigma - algebra on X. Let f : X → <. We say f is S
measurable if (f (x) > α) is in S for all α in <.

Comment 9.6.1. If the extended valued function f is measurable, then (f (x) = +∞) = ∩n (f (x) > n)
 C
is measurable. Also, since (f (x) = −∞) = ∪n (f (x) > −n) , it is measurable also.

We can then prove an equivalence theorem just like before.

Lemma 9.6.1. Equivalent Conditions For The Measurability of an Extended Real Valued
Function
Let X be a nonempty set and S be a sigma - algebra of subsets of X. The following statements
are equivalent:

(i): ∀α > 0, Aα = {x ∈ X | f (x) > α} ∈ S,

(ii): ∀α > 0, Bα = {x ∈ X | f (x) ≤ α} ∈ S,

(iii): ∀α > 0, Cα = {x ∈ X | f (x) ≥ α} ∈ S,

(iv): ∀α > 0, Dα = {x ∈ X | f (x) < α} ∈ S.

Proof. The proof follows that of Lemma 9.4.1 

The collection of all extended valued measurable functions is important to future work. We make
the following definition:
Definition 9.6.2. The Set of Extended Real Valued Measurable Functions
Let X be a nonempty set and S be a sigma - algebra of subsets of X. We denote by M (X, S)
the set of all extended real valued measurable functions on X. Thus,

M (X, S) = {f : X → < | f is S measurable}.

It is also easy to prove the following equivalent definition of measurability for extended valued
functions.
Lemma 9.6.2. Extended Valued Measurability In Terms Of The Finite Part Of The Function
Let X be a nonempty set and S be a sigma - algebra of subsets of X. Then f ∈ M (X, S) if
and only if (i): (f (x) = +∞) ∈ S, (ii): (f (x) = −∞) ∈ S and (iii): f1 is measurable where
(
f (x) x 6∈ (f (x) = +∞) ∪ (f (x) = −∞),
f1 (x) =
0 x ∈ (f (x) = +∞) ∪ (f (x) = −∞).

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Extended Valued Measurable Functions Chapter 9:

Proof. By Comment 9.6.1, if f is measurable, (i) and (ii) are true. Now, if α ≥ 0 is given, we see

(f1 (x) > α) = (f (x) > α) (f (x) = +∞) = (f (x) > α) ∩ (f (x) = +∞)C ,

which is a measurable set. On the other hand, if α < 0, then

(f1 (x) > α) = (f (x) > α) ∪ (f (x) = −∞),

which is measurable as well. We conclude f1 is measurable. Conversely, if (i), (ii) and (iii) hold, then
if α ≥ 0, we have

(f (x) > α) = (f1 (x) > α) ∩ (f (x) = +∞),

and if α < 0,

(f (x) > α) = (f1 (x) > α) (f (x) = −∞),

implying both sets are measurable. Thus, f is measurable. 

Example 9.6.1. Let X be a nonempty set X with given sigma - algebra S. Let E ∈ S be given. Define
the extended value characteristic function

(
∞ if x ∈ E
IE (x) =
0 if x ∈
6 E

Then IE is measurable. Note

(
E∈S α≥0
{x|IE (x) > α} =
X∈S α<0

Note also that if we define

(
∞ if x ∈ E
IE (x) =
−∞ if x ∈
6 E

Then IE is measurable. We have

(
E∈S α≥0
{x|IE (x) > α} =
E∈S α<0

Finally, (IE (x) = +∞) = E and (IE (x) = −∞) = E C are both measurable and the f1 type function
used in Lemma 9.6.2 here is (IE )1 (x) = 0 always.

It is straightforward to prove these properties:

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Extended Valued Measurable Functions Chapter 9:

Lemma 9.6.3. Properties of Extended Valued Measurable Functions

Let X be a nonempty set and S a sigma - algebra on X. Then if f and g are in M (X, S), so
are

(i): cf for all c ∈ <.

(ii): f 2 .

(iii): f + g, as long as we restrict the domain of f + g to be Ef g where

 C
EfCg = (f (x) = +∞) ∩ (g(x) = −∞) ∪ (f (x) = −∞) ∩ (g(x) = +∞) .

We usually define (f + g)(x) = 0 on Ef g . Note Ef g is measurable since f and g are

measurable functions.

(iv): | f |, f + and f − .

Proof. These proofs are similar to those shown in the proof of Lemma 9.5.1. However, let’s look at the
details of the proof of (ii). We see that our definition of addition of the extended real valued sum means
that
 
(f + g)(x) = f + g IEfCg .

Define h by
 
h(x) = f + g IEfCg (x).

Let α be a real number. Then

 T C
 (f (x) + g(x) > α)
 Ef g ! α≥0
(h(x) > α) = T C
 (f (x) + g(x) > α)
 Ef g ∪ Ef g α<0

Similar to what we did in Lemma 9.5.1, for r ∈ Q, let

Sr = (f (x) > r) ∩ (g(x) > α − r) ∩ EfCg

which is measurable since f and g are measurable. We claim that

[
(f (x) + g(x) > α) ∩ EfCg = Sr .
r∈Q

To see this, let x satisfy f (x) + g(x) > α. Thus, f (x) > α − g(x). Since the rationals are dense in <,
we see there is a rational number r so that f (x) > r > g(x) − α. This clearly implies that f (x) > α and
g(x) > α − r and so x ∈ Sr . Since our choice of x was arbitrary, we have shown that
[
(f (x) + g(x) > α) ⊆ Sr .
r∈Q

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Extended Valued Measurable Functions Chapter 9:

The converse is easier as if x ∈ Sr , it follows immediately that f (x)+g(x) is defined and f (x)+g(x) > α.
Since Sr is measurable for each r and the rationals are countable, we see (f (x) + g(x) > α) ∩ EfCg
is measurable. 

To prove that products of extended valued measurable functions are also measurable, we have to use
a pointwise limit approach.

Lemma 9.6.4. Pointwise Infimums, Supremums, Limit Inferiors and Limit Superiors are
Measurable
Let X be a nonempty set and S a sigma - algebra on X. Let (fn ) ⊆ M (X, S). Then

(i): If f (x) = inf n fn (x), then f ∈ M (X, S).

(ii): If F (x) = supn fn (x), then F ∈ M (X, S).

(iii): If f ∗ (x) = lim inf n fn (x), then f ∗ ∈ M (X, S).

(iv): If F ∗ (x) = lim supn fn (x), then F ∗ ∈ M (X, S).

Proof. It is straightforward to see that (f (x) ≥ α) ∩n (fn (x) ≥ α) and (F (x) ≥ α) ∪n (fn (x) > α) and
hence, are measurable for all α. It follows that f and F are in M (X, S) and so (i) and (ii) hold. Next,
recall from classical analysis that at each point x,

lim inf(fn (x)) = sup inf fk (x),

n k≥n
lim sup(fn (x)) = inf sup fk (x).
n k≥n

Now let zn (x) = inf k≥n fk (x) and wn (x) = supk≥n fk (x). Applying (i) to zn , we have zn ∈ M (X, S) and
applying (ii) to wn , we have wn ∈ M (X, S). Then apply (i) and (ii) to supn zn and inf wn , respectively,
to get the desired result. 

This leads to an important result.

Theorem 9.6.5. Pointwise Limits of Measurable Functions Are Measurable

Let X be a nonempty set and S a sigma - algebra on X. Let (fn ) ⊆ M (X, S) and let f : X → <
be a function such that fn → f pointwise on X. Then f ∈ M (X, S).

Proof. We know that lim inf n fn (x) = lim supn fn (x) = limn fn (x). Thus, by Lemma 9.6.4, we know
that f is measurable. 

Comment 9.6.2. This is a huge result. We know from classical analysis that the pointwise limit of
continuous functions need not be continuous (e.g. let fn (t) = tn on [0, 1]). Thus, the closure of a
class of functions which satisfy a certain property (like continuity) under a limit operation is not always
guaranteed. We see that although measurable functions are certainly not as smooth as we would like,
they are well behaved enough to be closed under pointwise limits!

We now show that M (X, S) is closed under multiplication.

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Extended Valued Measurable Functions Chapter 9:

Lemma 9.6.6. Products of Measurable Functions Are Measurable

Let X be a nonempty set and S a sigma - algebra on X. Let f, g ∈ M (X, S). Then f g ∈
M (X, S).

Proof. Let fn , the truncation of f , be defined by


 f (x)
 | f (x) |≤ n
fn (x) = n f (x) > n

−n f (x) < −n


We define the truncation of g, gn , is a similar way. We can easily show fn and gm are measurable for
any n and m. We only show the argument for fn as the argument for gm is identical. Let α be a given
real number. Then


 ∅ α ≥ n,

 (f (x) > n) ∪ (α < f (x) ≤ n) 0 ≤ α < n,
(fn (x) > α) =


 (f (x) > n) ∪ (α < f (x) ≤ n) −n < α < 0,
α ≤ −n.

X

It is easy to see all of these sets are in S since f is measurable. Thus, each real valued fn is measurable.
It then follows by Lemma 9.5.1 that fn gm is also measurable. Note we are using the definition of
measurability for real valued functions here. Next, an easy argument shows that at each x,

f (x) = lim fn (x) and g(x) = lim gm (x)

n m

It then follows that

 
f (x) gm (x) = lim fn (x)gm (x)
n

Using Theorem 9.6.5, we see f gm is measurable. Then, noting

 
f (x) g(x) = lim f (x)gm (x)
m

another application of Theorem 9.6.5 establishes the result. 

Lemma 9.6.7. Continuous Functions Of Finite Measurable Functions Are Measurable

Let X be nonempty and (X, S, µ) be a measure space. Let f ∈ M (X, S) be finite. Let φ : < → <
be continuous. Then φ ◦ f is measurable.

Proof. Let α be in <. We claim

 −1  
−1 −1
φ◦f (α, ∞) = f φ (α, ∞) .

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Extended Valued Measurable Functions Chapter 9:

First, let x be in the right hand side. Then,

 
−1
f (x) ∈ φ (α, ∞) ⇒ φ f (x) ∈ (α, ∞)
 −1
⇒ x ∈ φ◦f (α, ∞).

Conversely, if x is in the left hand side, then

 
φ ◦ f (x) ∈ (α, ∞) ⇒ f (x) ∈ φ−1 (α, ∞)
 
−1 −1
⇒ x ∈ f φ (α, ∞) .

Since φ is continuous, G = φ−1 (α, ∞) is an open set. Finally, since f is measurable, f −1 (G) is in S.
We conclude that φ ◦ f is measurable, since our choice of α is arbitrary. 

Our final results in this section are a standard approximation result and a consequence.

Theorem 9.6.8. The Approximation Of Non negative Measurable Functions By Monotone

Sequences
Let X be a nonempty set and S a sigma - algebra on X. Let f ∈ M (X, S) which is non
negative. Then there is a sequence (φn ) ⊆ M (X, S) so that

(i): 0 ≤ φn (x) ≤ φn+1 for all x and for all n ≥ 1.

(ii): φn (x) ≤ f (x) for all x and n and f (x) = limn φn (x).

(iii): Each φn has a finite range of values.

Proof. Pick a positive integer n. Let

(
{x ∈ X | 2kn ≤ f (x) < k+1
2n }, for 0 ≤ k ≤ n2n − 1
Ek,n =
{x ∈ X | n ≤ f (x)}, for k = n2n

You should draw some of these sets for a number of choices of non negative functions f to get a feel
for what they mean. Once you have done this, you will see that this definition slices the [0, n] range of
f into n2n slices each of height 2−n . The last set, En2n ,n is the set of all points where f (x) exceeds n.
This gives us a total of n2n + 1 sets. It is clear that X = ∪k Ek,n and that each of these sets are disjoint
from the others. Now define the functions φn by

k
φn (x) = , x ∈ Ek,n .
2n
It is evident that φn only takes on a finite number of values and so (iii) is established. Also, since f is
measurable, we know each Ek,n is measurable. Then, given any real numberα, the set (φn (x) > α) is
either empty or consists of a union of the finite number of sets Ek,n with the property that α > (k/2n ).
Thus, (φn (x) > α) is measurable for all α. We conclude each φn is measurable. If f (x) = +∞, then
by definition, φn (x) = n for all n and we have f (x) = limn φn (x). Note, the φn values are strictly
monotonically increasing which shows (i) and (ii) both hold in this case.

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Extended Valued Measurable Functions Chapter 9:

On the other hand, if f (x) is finite, let n0 be the first integer with n0 − 1 ≤ f (x) < n0 . Then, we
must have φ1 (x) = 1, φ2 (x) = 2 and so forth until we have φn0 −1 = n0 − 1. These first values are
monotone increasing. We also know from the definition of φn0 that there is a k0 so that

k0 k0 + 1
n
≤ f (x) < .
2 0 2n 0

Thus, 0 ≤ f (x) − φn0 (x) < 2−n0 . Now consider the function φn0 +1 . We know

k0 k0 + 1
f (x) ∈ [ , )
2n0 2n0
2k0 2k0 + 1 2k0 + 1 2k0 + 2
= [ n0 +1 , n0 +1 ) ∪ [ n0 +1 , n0 +1 )
2 2 2 2
If f (x) lands in the first interval above, we have

2k0 k0
φn0 +1 (x) = = n0 = φn0 (x)
2n0 +1 2
and if f (x) is in the second interval, we have

2k0 + 1 k0
φn0 +1 (x) = > n0 = φn0 (x).
2n0 +1 2

In both cases, we have φn0 (x) ≤ φn0 +1 (x). We also have immediately that 0 ≤ f (x)−φn0 +1 (x) < 2−n0 −1 .
The argument for n0 + 2 and so on in quite similar and is omitted. This establishes (i) for this case.
In general, we have 0 ≤ f (x) − φk (x) < 2−k for all k ≥ n0 . This implies that f (x) = limn φn (x) which
establishes (ii). 

Lemma 9.6.9. Continuous Functions Of Measurable Functions Are Measurable

Let X be nonempty and (X, S, µ) be a measure space. Let f ∈ M (X, S). Let φ : < → < be
continuous and assume that limn φ(n) and limn φ(−n) are well defined extended value numbers.
Then φ ◦ f is measurable.

Proof. Assume first that f is non negative. Then by Theorem 9.6.8, there is a sequence of finite non
negative increasing functions (fn ) which are measurable and satisfy fn ↑ f . Let E be the set of points
where f is finite. Then,
(
f (x) x ∈ EC
lim fn (x) =
n limn n x ∈ E.

Thus, since φ is continuous,

(
x ∈ EC
 
φ(f (x))
lim φ fn (x) =
n φ(limn n) x ∈ E.

We have assumed that limn φ(n) is a well defined number β in [∞, ∞]. Thus, if β is finite, we have
   
lim φ fn (x) = φ f IE C + β IE
n

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Homework Chapter 9:

which is measurable since the first part is measurable by Lemma 9.6.7 and the second part is measurable
since E is a measurable set by Lemma 9.6.2. If β = ∞, we have
(
φ(f (x)) x ∈ E C
 
lim φ fn (x) =
n ∞ x ∈ E.

Now apply Lemma 9.6.2. Since E is measurable and f1 defined by

(
φ(f (x)) x ∈ E C
f1 (x) =
0 x ∈ E,
 
is measurable, we see limn φ fn (x) is measurable. A similar argument holds if β = −∞. We conclude
that if f is non negative, φ ◦ f interpreted as above is a measurable function.
Thus, if f is arbitrary, the argument above shows that φ◦f + and φ◦f − are measurable. This implies
that φ ◦ f = φ ◦ (f + − f − ) is measurable when interpreted right. 

9.7 Homework
Exercise 9.7.1. If a, b and c are real numbers, define the value in the middle, mid(a, b, c) by

mid(a, b, c) = inf{ sup{a, b}, sup{a, c}, sup{b, c} }.

Let X be a nonempty set and S a sigma - algebra on X. Let f1 , f2 , f3 ∈ M (X, S). Prove the function h
defined pointwise by h(x) = mid(f1 (x), f2 (x), f3 (x)) is measurable.
Exercise 9.7.2. Let X be a nonempty set and S a sigma - algebra on X. Let f ∈ M (X, S) and A > 0.
Define fA by

 f (x), | f (x) |≤ A

fA (x) = A, f (x) > A

−A, f (x) < −A


Prove fA is measurable.
Exercise 9.7.3. Let X be a nonempty set and S a sigma - algebra on X. Let f ∈ M (X, S) and assume
there is a positive K so that 0 ≤ f (x) ≤ K for all x. Prove the sequence φn of functions given in
Theorem 9.6.8 converges uniformly to f on X.
Exercise 9.7.4. Let X and Y be nonempty sets and let f : X → Y be given. Prove that if T is a sigma
- algebra of subsets of Y , then {f −1 (E) | E ∈ T } is a sigma - algebra of subsets of X.
Exercise 9.7.5. Let (X, S) be a measurable space. Let (µn ) be a sequence of measures on S with
µn (X) ≤ 1 for all n. Define λ on S by
∞
X
λ(E) = 1/2n µn (E)
n=1

for all measurable E. Prove λ is a measure on S.

157
Homework Chapter 9:

158
Chapter 10
Measure And Integration

Once we have a nonempty set X with a given sigma - algebra S, we can develop an abstract version
of integration. To motivate this, consider the Borel sigma - algebra on <, B. We know how to develop
and use an integration theory that is based on finite intervals of the form [a, b] for bounded functions.
Rb
Hence, we have learned to understand and perform integrations of the form a f (t)dt for the standard
Riemann integral. We could also write this as
Z b Z
f (t)dt = f (t)dt
a [a,b]

and we have learned that

Z Z Z Z
f (t)dt = f (t)dt = f (t)dt = f (t)dt.
[a,b] (a,b) (a,b] [a,b)

R
Note that we can thus say that we can compute E f (t)dt for E ∈ B for sets E which are finite and have
the form [a, b], (a, b], [a, b) and (a, b). We can extend this easily to finite unions of disjoint intervals of
the form E as given above by taking advantage of Theorem 4.5.3 to see
Z XZ
f (t)dt = f (t)dt.
∪n En n En

However, the development of the Riemann integral is closely tied to the interval [a, b] and so it is difficult
to extend these integrals to arbitrary elements F of B. Still, we can see that the Riemann integral is
defined on some subset of the sigma - algebra B.
From our discussions of the Riemann - Stieljes integral, we know that the Riemann integral can be
interpreted as a Riemann - Stieljes integral with the integrator given by the identity function id(x) = x.
Let’s switch to a new notation. Define the function µ(x) = x. Then for our allowable E, we can write
R R R
E
f (t)dt = E f (t)dµ(t) which we can further simplify to E f dµ as usual. Note that µ is a function
which assigns a real value which we interpret as length to all of the allowable sets E we have been

159
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discussing. In fact, note µ is a mapping which satisfies

(i): If E is the empty set, then the length of E is 0; i.e. µ(∅) = 0.

(ii): If E is the finite interval [a, b], (a, b], [a, b) or (a, b), µ(E) = b − a.

(iii): If (En ) is a finite collection of disjoint intervals, then the length of the union is clearly the sum of
P
the individual lengths; i.e. µ(∪n En ) = n µ(En ).

However, µ is not defined on the entire sigma -algebra. Also, it seems that we would probably like to
extend (iii) above to countable disjoint unions as it is easy to see how that would arise in practice. If
we could find a way to extend the usual length calculation of an interval to the full sigma -algebra, we
could then try to extend the notion of integration as well.
It turns out we can do all of these things but we can not do it by reusing our development process
from Riemann integration. Instead, we must focus on developing a theory that can handle integrators
which are mappings µ defined on a full sigma - algebra. It is time to precisely define what we mean by
such a mapping.

Definition 10.0.1. Measures

Let X be a nonempty set and S a sigma - algebra of subsets in X. We say µ : S → < is a
measure on S if

(i): µ(∅) = 0,

(ii): µ(E) ≥ 0, for all E ∈ S,

(iii): µ is countably additive on S; i.e. if (En ) ⊆ S is a countable collection of disjoint sets,

P
then µ(∪n En ) = n µ(En ).

We also say (X, S, µ) is a measure space. If µ(X) is finite, we say µ is a finite measure. Also,
even if µ(X) = ∞,the measure µ is almost finite if we can find a collection of measurable sets
(Fn ) so that X = ∪n Fn with µ(Fn ) finite for all n. In this case, we say the measure µ is σ -
finite.

We can drop the requirement that the mapping µ be non negative. The resulting mapping is called
a charge instead of a measure. This will be important later.

Definition 10.0.2. Charges

Let X be a nonempty set and S a sigma - algebra of subsets in X. We say ν : S → < is a
charge on S if

(i): ν(∅) = 0,

(ii): ν is countably additive on S; i.e. if (En ) ⊆ S is a countable collection of disjoint sets,

P
then ν(∪n En ) = n ν(En ).

Note that we want the value of the charge to be finite on all members of S as otherwise we
could potentially have trouble with subsets having value ∞ and −∞ inside a given set. That
would then lead to undefined ∞ − ∞ operations.

Let’s look at some examples:

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Some Basic Properties Of Measures Chapter 10:

Example 10.0.1. Let X be any nonempty set and let the sigma - algebra be S = P(X), the power set of
X. Define µ1 on S by µ1 (E) = 0 for all E. Then µ1 is a measure, albeit not very interesting! Another
non interesting measure is defined by µ2 (E) = ∞ if E is not empty and 0 if E = ∅.

Example 10.0.2. Let X be any set and again let S = P(X). Pick any element p in X. Define µ by
µ(E) = 0 if p 6∈ E and 1 if p ∈ E. Then µ is a measure.

Example 10.0.3. Let X be the counting numbers, N , and S = P(N ). Define µ by µ(E) is the
cardinality of E if E is a finite set and ∞ otherwise. Then µ is a measure called the counting measure.
Note that N = ∪n {1, . . . , n} for all n and µ({1, . . . , n}) = n, which implies µ is a σ - finite measure.

Example 10.0.4. This example is just a look ahead to future material we will be covering. Let B be
the extended Borel sigma - algebra. We will show later there is a measure λ : B → < that extends the
usual idea of the length of an interval. That is, if E is a finite interval of the form (a, b), [a, b), (a, b] or
[a, b], then the length of E is b − a and λ(E) = b − a. Further, if the interval has infinite length, (for
example, E is (−∞, a)), then λ(E) = ∞ also. The measure λ will be called Borel measure and since
< = ∪n [−n, n], we see Borel measure is a σ - finite measure. The sets in B are called Borel measurable
sets.

Example 10.0.5. We will be able to show that there is a larger sigma - algebra M of subsets of < and
a measure µ defined on M which also returns the usual length of intervals. Hence, B ⊆ M strictly (i.e.
there are sets in M not in B) with µ = λ on B. This measure will be called Lebesgue measure and the
sets in M will be called Lebesgue measurable sets. The proof that there are Lebesgue measurable sets that
are not Borel sets will require a non constructive argument using the Axion of Choice. Further, we will
be able to show that the Lebesgue sigma - algebra is not the entire power set as there are non Lebesgue
measurable sets. The proof that such sets exist requires the use of the interesting functions built using
Cantor sets discussed in Chapter 6.

Example 10.0.6. In the setting of Borel measure on <, we will be able to show that if g is a continuous
and monotone increasing function of <, then there is a measure, λg defined on B which satisfies
Z
λg (E) = dg
E
R
for any finite interval E. Here, E
dg is the usual Riemann - Stieljes integral.

10.1 Some Basic Properties Of Measures

Lemma 10.1.1. Monotonicity
Let (X, S, µ) be a measure space. If E, F ∈ S with E ⊆ F , then µ(E) ≤ µ(F ). Moreover, if
µ(E) is finite, then µ(F \ E) = µ(F ) − µ(E).

Proof. We know F = E ∪ (F \ E) is a disjoint decomposition of F . By the countable additivity of

µ, it follows immediately that µ(F ) = µ(E) + µ(F \ E). Since µ is nonnegative, we see µ(F ) ≥ µ(E).
Finally, if µ(E) is finite, then subtraction is allowed in µ(F ) = µ(E) + µ(F \ E) which leads to
µ(F \ E) = µ(F ) − µ(E). 

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Some Basic Properties Of Measures Chapter 10:

Lemma 10.1.2. The Measure Of Monotonic Sequence Of Sets

Let (X, S, µ) be a measure space.

(i): If (En ) is an increasing sequence of sets in S (i.e. En ⊆ En+1 for all n), then
µ(∪n En ) = limn µ(En ).

(ii): If (Fn ) is an decreasing sequence of sets in S (i.e. Fn+1 ⊆ Fn for all n) and µ(F1 ) is
finite, then µ(∩n Fn ) = limn µ(Fn ).

Proof. To prove (i), if there is an index n0 where µ(En0 is infinite, then by the monotonicity of µ, we
must have ∞ = µ(En0 ≤ µ(∪n En ). Hence, µ(∪n En ) = ∞. However, since En0 ⊆ En for all n ≥ n0 ,
again by monotonicity, n ≥ n0 implies µ(En ) = ∞. Thus, limn µ(En ) = µ(∪n En ) = ∞. On the other
hand, if µ(En ) is finite for all n, define the disjoint sequence of set (An ) as follows:

A1 = E1
A2 = E2 \ E1
A3 = E 3 \ E 2
.. .. ..
. . .
An = En \ En−1
P
We see ∪n An = ∪n En and since µ is countably additive, we must have µ(∪n An ) = n µ(An ). Since
by assumption µ(En ) is finite in this case, we know µ(An ) = µ(En ) − µ(En−1 ). It follows that
n
X n 
X 
µ(Ak ) = µ(E1 ) + µ(Ek ) − µ(Ek−1 )
k=1 k=2
= µ(E1 ) + µ(En ) − µ(E1 )
= µ(En ).

We conclude

µ(∪n En ) = µ(∪n An )
n
X
= lim µ(Ak )
n
k=1
= lim µ(En )
n

this proves the validity of (i). Next, for (ii), construct the sequence of sets (En ) by

E1 = ∅
E2 = F1 \ F2
E 3 = F1 \ F3
.. .. ..
. . .
En = F1 \ Fn .

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Some Basic Properties Of Measures Chapter 10:

Then (En ) is an increasing sequence of sets which are disjoint and so by (i), µ(∪n En ) = limn µ(En ).
Since µ(F1 ) is finite, we then know that µ(En ) = µ(F1 ) − µ(Fn ). Hence, µ(∪n En ) = µ(F1 ) − limn µ(Fn ).
Next, note by De Morgan’s Laws,

µ(∪n En ) = µ(∪n F1 ∩ FnC )

= µ(F1 ∩ ∪n FnC )
 C
= µ(F1 ∩ ∩n Fn )
 
= µ(F1 \ ∩n Fn ).

Thus, since µ(F1 ) is finite and ∩n Fn ⊆ F1 , we have µ(∪n En ) = µ(F1 ) − µ(∩n Fn ). Combining these
results, we have

µ(F1 ) − lim µ(Fn ) = µ(F1 ) − µ(∩n Fn ).

n

The result then follows by canceling µ(F1 ) from both sides which is allowed as this is a finite number.


We will now develop a series of ideas involving sequences of sets.

Definition 10.1.1. Limit Inferior And Superior Of Sequences Of Sets

Let X be a nonempty set and (An ) be a sequence of subsets of X. The limit inferior of (An )
is defined to be the set
∞
[ ∞
\
lim inf = lim(An ) = An
m=1 n=m

while the limit superior of (An ) is defined by

∞
\ ∞
[
lim sup = lim(An ) = An
m=1 n=m

It is convenient to have a better characterization of these sets.

Lemma 10.1.3. Characterizing Limit Inferior And Superiors Of Sequences Of Sets

Let (An ) be a sequence of subsets of the nonempty set X. Then we have

lim inf(An ) = {x ∈ X | x ∈ Ak for all but finitely many indices k} = B

and

lim sup(An ) = {x ∈ X | x ∈ Ak for infinitely many indices k} = C

Proof. We will prove the statement about lim inf(An ) first. Let x ∈ B. If there are no indices k so that
x 6∈ Ak , then x ∈ ∩∞
n=1 telling us that x ∈ lim inf(An ). On the other hand, if there are a finite number of
indices k that satisfy x 6∈ Ak , we can label these indices as {k1 , . . . , kp } for some positive integer p. Let

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Some Basic Properties Of Measures Chapter 10:

k ∗ be the maximum index in this finite list. Then, if k > k ∗ , x ∈ ∩∞

n=k . This implies immediately that
x ∈ lim inf(An ). Conversely, if x ∈ lim inf(An ), there is an index k0 so that x ∈ ∩∞ n=k0 . This implies
that x can fail to be in at most a finite number of Ak where k < k0 . Hence, x ∈ B.
Next, we prove that lim sup(An ) = C. If x ∈ C, then if there were an index m0 so that x 6∈ ∪∞
n=m0 ,
then x would belong to only a finite number of sets Ak which contradicts the definition of the set C.
Hence, there is no such index m0 and so x ∈ ∪∞ n=m for all m. This implies x ∈ lim sup(An ). On the
other hand, if x ∈ lim sup(An ), then x ∈ ∪∞n=m for all m. So, if x was only in a finite number of sets
∗
An , there would be a largest index m satisfying x ∈ Am∗ but x 6∈ Am if m > m∗ . But this then says
x 6∈ lim sup(An ). This is a contradiction. Thus, our assumption that x was only in a finite number of
sets An is false. This implies x ∈ C. 

Lemma 10.1.4. Limit Inferiors And Superiors Of Monotone Sequences Of Sets

Let X be a nonempty set. Then

(i): If (An ) is an increasing sequence of subsets of X, then

∞
[
lim inf(An ) = lim sup(An ) = An .
n=1

(ii): If (An ) is a decreasing sequence of subsets of X, then

∞
\
lim inf(An ) = lim sup(An ) = An .
n=1

(iii): If (An ) is an arbitrary sequence of subsets of X, then

∅ ⊆ lim inf(An ) ⊆ lim sup(An )

Proof.
(i): If x ∈ lim sup(An ), then x ∈ ∪∞ ∞
n=1 An . Conversely, if x ∈ ∪n=1 An , there is an index n0 so that
x ∈ An0 . But since the sequence (An ) is increasing, this means x ∈ An for all n > n0 also. Hence,
x ∈ ∪∞ n=m An for all indices m ≥ n0 . However, it is also clear that x is in any union that starts at
n smaller than n0 . Thus, x must be in ∩∞ ∞
m=1 ∪n=m An . But this is the set lim sup(An ). We con-
clude lim sup(An ) = ∪∞n=1 . Now look at the definition of lim inf(An ). Since An is monotone increasing,
∩n=m An = Am . Hence, it is immediate that lim inf(An ) = ∪∞
∞
n=1 .

(ii): the argument for this case is similar to the argument for case (i) and is left to you.

(iii): it suffices to show that lim inf(An ) ⊆ lim sup(An ). If x ∈ lim inf(An ), by Lemma 10.1.3, x belongs
to all but finitely many An . Hence, x belongs to infinitely many An . Then, applying Lemma 10.1.3
again, we have the result. 

There will be times when it will be convenient to write an arbitrary union of sets as a countable
union of disjoint sets. In the next result, we show how this is done.

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Some Basic Properties Of Measures Chapter 10:

Lemma 10.1.5. Disjoint Decompositions Of Unions

Let X be a nonempty set and let (An ) be a sequence of subsets of X. Then there exists a
sequence of mutually disjoint set (Fn ) satisfying ∪n An = ∪n Fn .

Proof. Define sets En and Fn as follows:

E0 = ∅, F1 = A1 \ E0 = A1
E1 = A1 , F2 = A2 \ E1 = A2 \ A1
[  [ 
E2 = A1 A2 , F 3 = A3 \ E 2 = A3 \ A1 A2
3
[ 3
[ 
E3 = Ak , F 4 = A4 \ E 3 = A4 \ Ak
k=1 k=1
.. . .
. = .., ..
[n n
[ 
En = Ak , Fn+1 = An+1 \ En = A4 \ Ak
k=1 k=1

Note that (En ) forms a monotonically increasing sequence of sets with cupn An ∪n En . We claim the
sets Fn are mutually disjoint and ∪nj=1 fj = ∪nj=1 Aj . We do this by induction.
Subproof. Basis: It is clear that F1 and F2 are disjoint and F1 ∪ F2 = A1 ∪ A2 . Induction: We assume
that (Fk ) are mutually disjoint for 1 ≤ k ≤ n and ∪kj=1 fj = ∪kj=1 Aj for 1 ≤ k ≤ n as well. Then

Fn+1 = An+1 \ En
\ [ n C
= An+1 Aj
j=1
n 
\ \ 
= An+1 AC
j .
j=1

Now, by construction, Fj ⊆ Aj for all j. However, from the above expansion of Fn+1 , we see Fn+1 ⊆ AC j
for all 1 ≤ j ≤ n. This tells us Fn+1 ⊆ FjC for these indices also. We conclude Fn+1 is disjoint from all
the previous Fj . This shows (Fj ) is a collection of mutually disjoint sets for 1 ≤ j ≤ n + 1. This proves
the first part of the assertion. To prove the last part, note

n+1
[ n
[ [
Fj = Fj Fn+1
j=1 j=1
n
[ [ n
[ !
= Aj An+1 \ Aj
j=1 j=1
n+1
[
= Aj .
j=1

This completes the induction step. We conclude that this proposition holds for all n. 

Since the claim holds, it is then obvious that ∪nj=1 fj = ∪nj=1 Aj . 

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Integration Chapter 10:

To finish this section on measures, we want to discuss the idea that a property holds except on a set
of measure zero. Recall, this subject came up when we discussed the content of a subset of < earlier in
Section 5.3. However, we can extend this concept of an arbitrary measure space (X, S, µ) as follows.

Definition 10.1.2. Propositions Holding Almost Everywhere

Let (X, S, µ) be a measure space. We say a proposition P holds almost everywhere on X if
{x ∈ X | P does not hold } has µ measure zero. We usually say the proposition holds µ a.e.
rather than writing out the phrase µ almost everywhere. Also, if the measure µ is understood
from context, we usually just say the proposition hold a.e. to make it even easier to write
down.

Comment 10.1.1. Given the measure space (X, S, µ), if f and g are extended real valued functions on
X which are measurable, we would say f = g µ a.e. if µ({x ∈ X | f (x) 6= g(x)}) = 0.

Comment 10.1.2. Given the measure space (X, S, µ), If (fn ) is a sequence of measurable extended
real valued functions on the X, and f : X → < is another measurable function on X, we would say fn
converges pointwise a.e. to f if the set {x ∈ X | fn (x) 6→ f (x)} has measure 0. We would usually write
fn → f pointwise µ a.e.

10.2 Integration
In this section, we will introduce an abstract notion of integration on the measure space (X, S, µ). Recall
that M (X, S) denotes the class of extended real valued measurable functions f on X. First we introduce
a standard notation for some useful classes of functions. When we want to restrict our attention to the
non negative members of M (X, S), we will use the notation that f ∈ M + (X, S).
To construct an abstract integration process on the measure space (X, S, µ), we begin by defining
the integral of a class of functions which can be used to approximate any function f in M + (X, S).

Definition 10.2.1. Simple Functions

Let (X, S, µ) be a measure space and let f : X → < be a function. We say f is a simple
function if the range of f is a finite set and f is S measurable. This implies the following
standard unique representation of f . Since the range is finite, there is an positive integer N
and distinct numbers aj , 1 ≤ j ≤ N so that

(i): the sets Ej = f −1 (aj ) are measurable and mutually disjoint for 1 ≤ j ≤ N ,

(ii): X = ∪N
j=1 Ej ,

(iii): f has the characterization

N
X
f (x) = aj IEj (x).
j=1

We then define the integral of a simple function as follows.

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Integration Chapter 10:

Definition 10.2.2. The Integral Of A Simple Function

Let (X, S, µ) be a measure space and let φ : X → < be a simple function. Let

N
X
φ(x) = aj IEj (x),
j=1

be the standard representation of φ where the numbers aj are distinct and the sets Ej are
mutually disjoint, cover X, and are measurable for 1 ≤ j ≤ N for some positive integer N .
Then the integral of φ with respect to the measure µ is the extended real valued number
Z N
X
φ dµ = aj µ(Ej ).
j=1

R
Comment 10.2.1. We note that φdµ can be +∞. Recall, our convention that 0 · ∞ = 0. Hence,
if one of the values aj is 0, the contribution to the integral is 0µ(Ej ) which is 0 even if µ(Ej ) = ∞.
R
Further, note the 0 function on X can be defined as I∅ which is a simple function. Hence, 0 dµ = 0.

Using this, we can define the integral of any function in M + (X, S).

Definition 10.2.3. The Integral Of A Nonnegative Measurable Function

Let (X, S, µ) be a measure space and let f ∈ M + (X, S), µ). For convenience of notation, let
F + denote the collection of all non negative simple functions on X. Then, the integral of f
with respect to the measure µ is the extended value real number
Z Z
f dµ = sup{ φ dµ | φ ∈ F + , φ ≤ f }.

If E ∈ S, we define the integral of f over E with respect to µ to be

Z Z
f dµ = f IE dµ.
E

It is time to prove some results about this new abstract version of integration.

Lemma 10.2.1. Properties Of Simple Function Integrations

Let (X, S, µ) be a measure space and let φ, ψ ∈ M + (X, S)) be simple functions. Then,
R R
(i): If c ≥ 0 is a real number, then cφ is also a simple function and cφ dµ = c φ dµ.
R R R
(ii): φ + ψ is also a simple function and (φ + ψ) dµ = φ dµ + ψ dµ.
R
(iii): The mapping λ : S → < defined by λ(E) = E φ dµ for all E in S is a measure.

Proof. Let φ have the standard representation

N
X
φ(x) = aj IEj (x),
j=1

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Integration Chapter 10:

where the numbers aj are distinct, the sets Ej are mutually disjoint, cover X, and are measurable for
1 ≤ j ≤ N for some positive integer N . Similarly, let ψ have the standard representation

M
X
ψ(x) = bk IFk (x),
k=1

where the numbers bk are distinct, the sets Fk are mutually disjoint, cover X, and are measurable for
1 ≤ k ≤ M for some positive integer M . Now to the proofs of the assertions: (i):
R R
First, if c = 0, cφ = 0 and 0dµ = 0 φdµ. Next, if c > 0, then it is easy to see cφ is a simple function
with representation

N
X
cφ(x) = caj IEj (x),
j=1

and hence, by the definition of the integral of a simple function

Z N
X
cφ dµ = caj µ(Ej )
j=1
N
!
X
= c aj µ(Ej )
j=1
Z
= c φ dµ.

(ii):
This one is more interesting to prove. First, to prove φ + ψ is a simple function, all we have to do is find
its standard representation. From the standard representations of φ and ψ, it is clear the sets Fk ∩ Ej
are mutually disjoint and since X = ∪Ej = ∪Fk , we have the identities

N
[ M
[
Fk = Fk ∩ Ej , and Ej = Fk ∩ E j .
j=1 k=1

Now define h : X → < by

N X
X M
h(x) = (aj + bk ) IFk ∩Ej (x).
j=1 k=1

Next, since X = ∪j ∪k Fk ∩ Ej , given x ∈ X, there are indices k0 and j0 so that x ∈ Fk0 ∩ Ej0 . Thus,

φ(x) + ψ(x) = aj0 IEj0 + bk0 IFk0 = aj0 + bk0 .

From the above argument, we see h(x) = φ(x) + ψ(x) for all x in X. It follows that the range of h is
finite and hence it is a measurable simple function, but we still do not know its standard representation.

To find the standard representation, let ci , 1 ≤ i ≤ P be the set of distinct numbers formed by the
collection {aj + bk | 1 ≤ j ≤ N, 1 ≤ k ≤ M }. Then let Ui be the set of index pairs (j, k) that satisfy

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Integration Chapter 10:

ci = aj + bk . Finally, let
[
Gi = E j ∩ Fk .
(j,k)∈Ui

Since the sets Fk ∩ Ej are mutually disjoint, we have

X
µ(Gi ) = µ(Ej ∩ Fk ).
(j,k)∈Ui

It follows that

P
X
h(x) = ci IGi
i=1

is the standard representation of h = φ + ψ. Thus

Z Z P
X
h dµ = (φ + ψ) dµ = ci µ(Gi )
i=1
P
!
X X
= ci µ(Ej ∩ Fk )
i=1 (j,k)∈Ui
P
X X
= ci µ(Ej ∩ Fk ).
i=1 (j,k)∈Ui

But we know that

N X
X M P
X X
= .
j=1 k=1 i=1 (j,k)∈Ui

Hence, we can write

Z N X
X M
(φ + ψ) dµ = (aj + bk ) µ(Ej ∩ Fk )
j=1 k=1
N X
X M N X
X M
= aj µ(Ej ∩ Fk ) + bk µ(Ej ∩ Fk ).
j=1 k=1 j=1 k=1

This can be reorganized as

N
X M
X M
X N
X N
X M
[ M
X N
[
aj µ(Ej ∩ Fk ) + bk µ(Ej ∩ Fk ) = aj µ( E j ∩ Fk ) + bk µ( E j ∩ Fk )
j=1 k=1 k=1 j=1 j=1 k=1 k=1 j=1
N
X M
X
= aj µ(Ej ) + bk µ(Fk )
j=1 k=1
Z Z
= φ dµ + ψ dµ.

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Integration Chapter 10:

(iii):
Given
N
X
φ(x) = aj IEj (x),
j=1

it is easy to see that

N
X
φ IE (x) = aj IE∩Ej (x).
j=1

Further, it is straightforward to show that the mappings µj : (S) → < defined by µj (A) = µ(A ∩ Ej ) for
all A in S are measures on the sigma - algebras S ∩ Ej for each 1 ≤ j ≤ N . It is also easy to see that
PN
the finite linear combination of these measures given by ξ = j=1 aj µj is a measure on S itself. Thus,
applying part (ii) of this lemma, we see
Z Z
λ(E) = φIE dµ = φI∪N
j=1 E∩Ej
dµ
N
Z X  N Z
X
= φIE∩Ej dµ = aj IE∩Ej dµ
j=1 j=1
N
X N
X
= aj µ(E ∩ Ej ) = aj µj (E) = ξ(E).
j=1 j=1

We conclude λ = ξ and λ is a measure on S. 

Lemma 10.2.2. Monotonicity Of The Abstract Integral For Non Negative Functions
Let (X, S, µ) be a measure space and let f and g be in M + (X, S) with f ≤ g. Then, f dµ ≤
R
R R R
gdµ. Further, if E ⊆ F with E and F measurable sets, then E f dµ ≤ F f dµ.

Proof. Let φ be a positive simple function which is dominated by f ; i.e., φ ≤ f . Then φ is also
dominated by g and so by the definition of the integral of f , we have
Z Z
f dµ = sup { φdµ | 0 ≤ φ ≤ f }
Z
≤ sup { ψdµ | 0 ≤ ψ ≤ g}
Z
= gdµ.

Next, if E ⊆ F with E and F measurable sets, then f IE ≤ f IF and from the first result, we have
Z Z
f IE dµ ≤ f IF dµ,

which implies the result we seek. 

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Complete Measures And Equality a.e. Chapter 10:

10.3 Complete Measures And Equality a.e.

We know that is a sequence of extended real - valued measurable functions (fn ) converges pointwise to
a function f , then the limit function is also measurable. But what if the convergence was pointwise a.e?
Is it still true that the limit function is also measurable. In general, the answer is no. We have to add
an additional property to the measure. We will motivate this with an example that we are not really
fully prepared for, but it should make sense anyway.
Let B ∩ [0, 1] denote the Borel sigma - algebra of subsets of [0, 1]. We will be able to show in later
chapters, that there is a measure called Lebesgue measure, µL , defined on a sigma - algebra of subsets
L, the Lebesgue sigma - algebra, which extends the usual meaning of length in the following sense. If
[a, b] is a finite interval then the length of [a, b] is the finite number b − a. Denote this length by `([a, b]).
Then we can show that

µL ([a, b]) = `([a, b]) = b − a.

We can show also that every subset in B is also in L. The restriction of µL to B is called Borel measure
and we will denote it by µB .
We can argue that the Borel sigma - algebra is strictly contained in the Lebesgue sigma - algebra
by using the special functions we constructed in Chapter 6. Recall that if C is a Cantor set constructed
from the generating sequence (an ) where lim 2n an = 0, we could show the content of C was 0. Then
if we let Ψ be the mapping discussed above for this C in Section 6.3, we define the mapping mapping
g : [0, 1] → [0, 1] by g(x) = (Ψ(x) + x)/2. The mapping g is quite nice: it is 1 − 1, onto, strictly increasing
and continuous. We also showed in the exercises in Section 6.3 that g(C) is another Cantor set with
lim 2n a0n = 1/2, where (a0n ) is the generating sequence for g(C).
Now it turns out that the notion of content and Lebesgue measure coincide. Thus, we can say since
C is a Borel set,

µB (C) = µL (C) = 0.

Also, we can show that since lim 2n a0n = 1/2,

µB (g(C)) = µL (g(C)) = 1/2.

A nonconstructive argument we will present later using the Axiom of Choice allows us to show that
any Lebesgue measurable set with positive Lebesgue measure must contain a subset which is not in the
Lebesgue sigma - algebra. So since µL (g(C)) = 1/2, there is a set F ⊆ g(C) which is not is L. Thus,
g −1 (F ) ⊆ C which has Lebesgue measure 0. Lebesgue measure is a measure which has the property that
every subset of a set of measure 0 must be in the Lebesgue sigma - algebra. Then, using the monotonicity
of µL , we have µL (g −1 (F )) is also 0. From the above remarks, we can infer something remarkable.
Let the mapping h be defined to be g −1 . Then h is also continuous and hence it is measurable
with respect to the Borel sigma-algebra. Note since B ⊆ L, this tells us immediately that h is also
measurable with respect to the Lebesgue sigma - algebra. Thus, h−1 (U ) is in the Borel sigma - algebra
for all Borel sets U . But we know h−1 = g, so this tells us g(U ) is in the Borel sigma -algebra if U is a
Borel set. Hence, if we chose U = g −1 (F ), then g(U ) = F would have to be a Borel set if U is a Borel
set. However, we know that F is not in L and so it is also not a Borel set. We can only conclude that

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Complete Measures And Equality a.e. Chapter 10:

g −1 (F ) can not be a Borel set. However, g −1 (F ) is in the Lebesgue sigma - algebra. Thus, there are
Lebesgue measurable sets which are not Borel! Thus, the Borel sigma - algebra is strictly contained in
the Lebesgue sigma - algebra!
We can use this example to construct another remarkable thing.

Comment 10.3.1. Using all the notations from above, note the indicator function of C C , the comple-
ment of C, is defined by
(
1 x ∈ CC
IC C (x) =
0 x ∈ C.

We see f = IC C is Borel measurable. Next, define a new mapping like this:


 1
 x ∈ CC
φ(x) = 2 x ∈ C \ g −1 (F )
x ∈ g −1 (F ).

3


Note that φ = f a.e. with respect to Borel measure. However, φ is not Borel measurable because φ−1 (3)
is the set g −1 (F ) which is not a Borel set.
We conclude that in this case, even though the two functions were equal a.e. with respect to Borel
measure, only one was measurable! The reason this happens is that even though C has Borel measure 0,
there are subsets of C which are not Borel sets!

Hence, in some situations, we will have to stipulate that the measure we are working with has the
property that every subset of a set of measure zero is measurable. We make this formal with a definition.

Definition 10.3.1. Complete Measure

Let X be a nonempty set and (X, S, µ) be a measure space. If E ∈ S with µ(E) = 0 and
F ⊆ E implies F ∈ S, we say µ is a complete measure. Further, it follows immediately that
since µ(F ) ≤ µ(E) = 0, that µ(F ) = 0 also.

Comment 10.3.2. This example above can be used in another way. Consider the composition of the
measurable function IC and the function g defined above. For convenience, let W = g −1 (F ) which is
Lebesgue measurable. Then IW is a measurable function. Consider
( ( (
g −1 (x) ∈ W
 
−1 1 1 x ∈ g(W ) 1 x∈F
IW ◦ g (x) = = = = IF .
0 g −1 (x) ∈ W C 0 x ∈ g(W C ) 0 x ∈ FC

But IF is not a measurable function as F is not a measurable set! Hence, the composition of the
measurable function IW and the continuous function g −1 is not measurable. This is why we can only
prove measurability with the order of the composition reversed as we did in Lemma 9.6.7.

Theorem 10.3.1. Equality a.e. Implies Measurability If The Measure Is Complete

Let X be a nonempty set and (X, S, µ) be a measure space. Let f and g both be extended real
valued functions on X with f = g a.e. Then, if f is measurable, so is g.

172
Complete Measures And Equality a.e. Chapter 10:

Proof. Let G be open in < and let E = (f (x) 6= g(x)). Then, by assumption, E is measurable and
µ(E) = 0. Then, we claim
   
g −1 (G) = g −1 (G) ∩ E ∪ f −1 (G) \ E .

If x is in g −1 (G), then g(x) is in G ∩ E or it is in G ∩ E C . Now if g(x) ∈ E, g(x) 6= f (x), but if g(x)

is in the complement of E, g and f must match. Thus, we see x is in the right hand side. Conversely,
if x is in g −1 (G) ∩ E, x is clearly in g −1 (G). Finally, if x is in f −1 (G) \ E, then since x is not in
E, f (x) = g(x). Thus, x ∈ g −1 (G) also. We conclude x ∈ g −1 (G). This shows the right hand side is
contained in the left hand side. Combining these arguments, we conclude the two sets must be equal.
Since g −1 (G) ∩ E is a subset of E, the completeness of µ implies that g −1 (G) ∩ E is measurable and
has measure 0. The measurability of f tells us that f −1 (G) \ E is also measurable. Hence, g −1 (G) is
measurable implying g is measurable. 

If the measure µ is not complete, we can still prove the following.

Theorem 10.3.2. Equality a.e. Can Imply Measurability Even If The Measure Is Not
Complete
Let X be a nonempty set and (X, S, µ) be a measure space. Let f and g both be extended real
valued functions on X with f = g on the measurable set E C with µ(E) = 0. Then, if f is
measurable and g is constant on E, g is measurable.

Proof. We will repeat the notation of the previous theorem’s proof. As before, if G is open, we can write
   
g −1 (G) = g −1 (G) ∩ E ∪ f −1 (G) \ E .

Then, since g is constant on E with value say c, we have

  
 E ∪ f −1 (G) \ E c∈G
( ! ! 

E c∈G [
g −1 (G) = f −1 (G) \ E =  
∅ c 6∈ G  f −1 (G) \ E

 c 6∈ G.

In both cases, the resulting set is measurable. Hence, we conclude g is measurable. 

Comment 10.3.3. In Comment 10.3.1, we set


 1
 x ∈ CC
φ(x) = 2 x ∈ C \ g −1 (F )
x ∈ g −1 (F ).

3


and since φ was not constant on E = C, φ was not measurable. However, if we had defined
(
1 x ∈ CC
φ(x) =
c x ∈ C,

then φ would have been measurable!

173
Convergence Theorems Chapter 10:

10.4 Convergence Theorems

We are now ready to look at various types of interchange theorems for abstract integrals. We will be
able to generalize the results of Chapter 5 substantially. There are three basic results: (i) The Monotone
Convergence Theorem, (ii) Fatou’s Lemma and (iii) The Lebesgue Dominated Convergence Theorem.
We will examine each in turn.

Theorem 10.4.1. The Monotone Convergence Theorem

Let (X, S, µ) be a measure space and let (fn ) be an increasing sequence of functions in
M + (X, S). Let f : X → < be an extended real valued function such that fn → f point-
wise on X. Then f is also in M + (X, S) and
Z Z
lim fn dµ = f dµ.
n

Proof. Since fn converges to f pointwise, we know that f is measurable by Theorem 9.6.5. Further,
since fn ≥ 0 for all n on X, it is clear that f ≥ 0 also. Thus, f ∈ M + (X, S). Since fn ≤ fn+1 ≤ f , the
monotonicity of the integral tells us
Z Z Z
fn dµ ≤ fn+1 dµ ≤ f dµ.

R R
Hence, fn dµ is an increasing sequence of real numbers bounded above by f dµ. Of course, this limit
could be ∞. Thus, we have the inequality
Z Z
fn dµ ≤ f dµ.

R R
We no show the reverse inequality, f dµ ≤ fn dµ. Let α be in (0, 1) and choose any non negative
simple function φ which is dominated by f . Let

An = {x | fn (x) ≥ α φ(x)}.

We claim that X = ∪n An . If this was not true, then there would be an x which is not in any An . This
implies x is in ∩n AC
n . Thus, using the definition of An , fn (x) < α φ(x) for all n. Since fn is increasing
and converges pointwise to f , this tells us

f (x) ≤ α φ(x) ≤ α φ(x).

We can rewrite this as (1 − α) f (x) ≤ 0 and since 1 − α is positive by assumption, we can conclude
f (x) ≤ 0. But f is non negative, so combining, we see f (x) = 0. Since f dominates φ, we must have
φ(x) = 0 too. However, if this is true, fn (x) must be 0 also. Hence, fn (x) = 0 ≥ αφ(x) = 0 for all n.
This says x ∈ An for all n. This is a contradiction; thus, X = ∪n An .
Next, since f and αφ are measurable, so is f −αφ. This implies {x|f (x)−αφ(x) ≥ 0} is a measurable
set. Therefore, An is measurable for all n. Further, it is easy to An ⊆ An+1 for all n; hence, (An ) is an
increasing sequence of measurable sets. Then, we know by the monotonicity of the integral, that
Z Z Z
αφdµ ≤ fn dµ ≤ f dµ.
An An

174
Convergence Theorems Chapter 10:

R
Next, we know that λ(E) = E
φdµ defines a measure. Thus,

lim λ(An ) = λ(∪n An ) = λ(X).

n

Replacing λ by its meaning in terms of φ, we have

Z Z
φdµ = lim φdµ.
n An

Multiplying through by the positive number α, we have

Z Z Z
α φdµ = lim α φdµ ≤ lim α fn dµ.
n An n An

Thus, for all α ∈ (0, 1), we have Z Z

α φdµ ≤ lim α fn dµ.
n An

Letting α → 1, we obtain Z Z
φdµ ≤ lim α fn dµ.
n An

Since the above inequality is valid for all non negative simple functions dominated by f , we have imme-
diately Z Z
f dµ ≤ lim α fn dµ,
n An

which provides the other inequality we need to prove the result. 

This has an immediate extension to series of nonnegative functions.

Theorem 10.4.2. The Extended Monotone Convergence Theorem
Let (X, S, µ) be a measure space and let (gn ) be a sequence of functions in M + (X, S). Then,
the sequence of partial sums,
Xn
Sn = gn
k=1

converges pointwise on X to the extended real valued non negative valued function S =
P∞ +
k=1 gn . Further, S is also in M (X, S) and

Z  Z
lim Sn dµ = S dµ.
n

This can also be written in series notation as

∞ Z
X ∞ Z
Z X 
fk dµ = fk dµ.
k=1 k=1

Proof. To prove this result, just apply the Monotone Convergence Theorem to the sequence of partial
sums (Sn ). 

The Monotone Convergence Theorem allows us to prove that this notion of integration is additive
and linear for positive constants.

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Convergence Theorems Chapter 10:

Theorem 10.4.3. Abstract Integration Is Additive

Let (X, S, µ) be a measure space and let f and g be functions in M + (X, S). Further, let α be
a non negative real number. Then

(i): α f is in M + (X, S) and

Z Z
α f dµ = α f dµ.

(ii): Also, f + g is in M + (X, S) and

Z Z Z
(f + g)dµ = f dµ + gdµ.

Proof.
(i): The case α = 0 is clear, so we may assume without loss of generality that α > 0. We know from
Theorem 9.6.8 that there is a sequence of non negative simple functions (φn ) which are increasing and
converge up to f on X. Hence, since α > 0, we also know that α φn ↑ α f . Thus, by the Monotone
Convergence Theorem, αf is in M + (X, S) and
Z Z
lim α φn dµ = α f dµ.
n

R R
From Lemma 10.2.1, we know that αφn dµ = α φn dµ. Thus,
Z Z Z
α f dµ = α lim φn dµ = α f dµ.
n

(ii): If we apply Theorem 9.6.8 to f and g, we find two sequences of increasing simple functions (φn )
and ψn ) so that φn ↑ f and ψn ↑ g. Thus, (φn + ψn ) ↑ (f + g). Hence, by the Monotone Convergence
Theorem, f + g is in M + (X, S) and
Z Z Z Z
(f + g)dµ = lim (φn + ψn )dµ = lim φn dµ + lim ψn dµ
n n n
Z Z
= f dµ + gdµ.

Theorem 10.4.4. Fatou’s Lemma

Let (X, S, µ) be a measure space and let (fn ) be a sequence of functions in M + (X, S). Then
Z Z
lim inf fn dµ ≤ lim inf fn dµ.

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Convergence Theorems Chapter 10:

Proof. Recall

lim inf fn (x) = sup inf fn (x)

m n≥m
= lim inf fn (x),
m n≥m
lim sup fn (x) = inf sup fn (x)
m n≥m

= lim sup fn (x).

m n≥m

Further, if we define gm = inf n≥m fn (x), we know

gm ↑ lim inf fn (x).

It follows immediately that gm is measurable for all m and by the monotonicity of the integral
Z Z
gm dµ ≤ fn (x) dµ ∀ n ≥ m.

R R
This implies that gm dµ is a lower bound for the set of numbers { fn (x) dµ} and so by definition of
the infimum,
Z Z 
gm dµ ≤ inf fn (x) dµ .
n≥m

 
R R
Let αm denote the number inf n≥m fn (x) dµ . Then, αm ↑ lim inf fn dµ. We see

Z Z 
lim gm dµ ≤ lim inf fn (x) dµ
m m n≥m
Z
= lim αm = lim inf fn dµ.
m

But since gm ↑ lim inf fn (x), this implies

Z Z
lim inf fn (x) dµ ≤ lim inf fn dµ.

These results allow us to construct additional measures.

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Convergence Theorems Chapter 10:

Theorem 10.4.5. Constructing Measures From Non Negative Measurable Functions

Let (X, S, µ) be a measure space and let f be a function in M + (X, S). Then λ : S → < defined
by
Z
λ(E) = f dµ, E ∈ S
E

is a measure.

Proof. If is clear λ(∅) is 0 and that λ(E) is always non negative. To show that λ is countably additive,
let (En ) be a sequence of disjoint measurable sets in S and let E = ∪n En , be their union. Then E is
measurable. Define
n
X
fn = f IEk = f I∪nk=1 Ek .
k=1

We note that fn ↑ f IE and so by the Monotone Convergence Theorem,

Z Z Z
λ(E) = f dµ = f IE dµ = lim fn dµ.
E n

But,
Z Z  
fn dµ = f IEn dµ
n
X n
X
= int f IEk dµ = λ(Ek ).
k=1 k=1

Combining, we have
n
X ∞
X
λ(E) = lim λ(Ek ) = λ(Ek ),
n
k=1 k=1

which proves that λ is countably additive. 

Once we can construct another measure λ from a given measure µ , it is useful to think about their
relationship. One useful relationship is that of absolute continuity.

Definition 10.4.1. Absolute Continuity Of A Measure

Let (X, S, µ) be a measure space and let λ be another measure defined on S. We say λ is
absolutely continuous with respect to the measure µ if given E in S with µ(E) = 0, then
λ(E) = 0 also. This is written as λ  µ.

We can also now prove an important result set within the framework of functions which are equal
a.e.

Lemma 10.4.6. Function f Zero a.e. If and Only If Its Integral Is Zero
Let (X, S, µ) be a measure space and let f be a function in M + (X, S). Then f = 0 a.e. if
R
and only if f dµ = 0.

178
Convergence Theorems Chapter 10:

Proof.
R
(⇐): If f dµ = 0, then let En = (f (x) > 1/n). Note En ⊆ En+1 so that (En ) is an increasing sequence.
Since (En ) is an increasing sequence, we also know limn µ(En ) = µ(∪n En ). Further,

∪n En = {x | f (x) > 0}.

From the definition of En , we have

1
f (x) ≥ IE ,
n n
which implies Z Z
1 1
0 = f dµ ≥ IE = µ(En ).
n n n
We see µ(En ) ≤ 1/n for all n which implies

µ(f (x) > 0) = lim µ(En ) ≤ lim 1/n = 0.

n n

Hence, f is zero a.e.

(⇒): If f is zero a.e., let E be the set where f (x) > 0. Let fn = nIE . Note that
( ( (
n f (x) > 0 m f (x) > 0 ∞ f (x) > 0
lim inf fn (x) = sup inf = sup =
m n≥m 0 f (x) = 0 m 0 f (x) = 0 0 f (x) = 0.
R R
Clearly, f (x) ≤ lim inf fn (x) which implies f dµ ≤ lim inf fn dµ. Finally, by Fatou’s Lemma, we
find
Z Z
inf f dµ ≤ lim inf fn dµ ≤ lim inf fn dµ = lim inf nµ(E) = 0.

We conclude inf f dµ = 0. 

Comment 10.4.1. Given f in M + (X, S), Theorem 10.4.5 allows us to construct the new measure λ
R
by λ(E) = E f dµ. If E has µ measure 0, we can use Lemma 10.4.6 to conclude that λ(E) = 0. Hence,
a measure constructed in this way is absolutely continuous with respect to µ.

We can now extend the Monotone Convergence Theorem slightly. It is often difficult to know that
we have pointwise convergence up to a limit function on all of X. The next theorem allows us to relax
the assumption to almost everywhere convergence as long as the underlying measure is complete.

Theorem 10.4.7. The Extended Monotone Convergence Theorem

Let (X, S, µ) be a measure space with complete measure µ and let (fn ) be an increasing sequence
of functions in M + (X, S). Let f : X → < be an extended real valued function such that fn → f
pointwise a.e. on X. Then f is also in M + (X, S) and
Z Z
lim fn dµ = f dµ.
n

Proof. Let E be the set of points where fn does not converge to f . Then by assumption E has measure
0 and fn ↑ f on E C . Thus,
fn IE C ↑ f IE C

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Extending Integration To Extended Real Valued Functions Chapter 10:

and applying the Monotone Convergence Theorem, we have

Z Z
lim fn IE C = f IE C
n

and we can say f IE C is in M + (X, S). Now f is equal to f IE C a.e. and so although in general, f need
not be measurable, since µ is a complete measure, we can invoke Theorem 10.3.1 to conclude that f is
actually measurable. Hence, f IE is measurable too. Since µ(E) = 0, we thus know that
Z Z
f IE dµ = fn IE dµ = 0.

Therefore, we have
Z Z Z Z
f dµ = f dµ + f dµ = f dµ
E EC EC
Z Z Z  Z
= lim fn dµ = lim fn dµ + fn dµ = lim fn dµ.
n EC n EC E n

10.5 Extending Integration To Extended Real Valued Functions

The results of the previous sections can now be used to extend the notion of integration to general
extended real valued functions f in M (X, S).

Definition 10.5.1. Summable Functions

Let (X, S, µ) be a measure space and f be in M (X, S). We say f is summable or integrable
on X if f + dµ and f − dµ are both finite. In this case, we define the integral of f on X
R R

with respect to the measure µ to be

Z Z Z
f dµ = f + dµ − f + dµ.

Also, if E is a measurable set, we define

Z Z Z
+
f dµ = f dµ − f + dµ.
E E E

We let L1 (X, S, µ) be the collection of summable functions on X with respect to the measure
µ.

Comment 10.5.1. If f can be decomposed into two non negative measurable functions f1 and f2 as
f = f1 − f2 a.e. with f1 dµ and f2 dµ both finite, then note since f = f + − f − also, we have
R R

f1 + f − = f2 + f + .

Thus, since all functions involved are summable,

Z Z Z Z
f1 dµ + f − dµ = f2 dµ + f + dµ.

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Extending Integration To Extended Real Valued Functions Chapter 10:

This implies that Z Z Z

(f2 − f1 )dµ = (f + − f − )dµ = f dµ.

Hence, the value of the integral of f is independent of the decomposition.

There are a number of results that follow right away from this definition.

Theorem 10.5.1. Summable Implies Finite a.e.

Let (X, S, µ) be a measure space and f be in L1 (X, S). Then the set of points where f is not
finite has measure 0.

Proof. Let En = (f (x) > n). Then it is easy to see that (En ) is a decreasing sequence of sets and so
\ 
µ En = lim µ(En ).
n
n

It is also clear that

\
(f (x) = ∞) = En .
n

Next, note
Z Z Z
f + dµ = f + dµ + f + dµ
En C
En
Z
≥ f + dµ > n µ(En ).
En

Thus, µ(En ) < ( f + dµ)/n. Since, the integral is a finite number, this tells us that limn µ(En ) = 0.
R

This immediately implies that µ(E) = 0.

A similar argument shows that the set (f (x) = −∞) which is the same as the set (f − (x) = ∞) has
measure 0. 

Theorem 10.5.2. Summable Function Equal a.e. To Another Measurable Function Implies
The Other Function Is Also Summable
Let (X, S, µ) be a measure space and f be in L1 (X, S). Then if g ∈ M (X, S) with f = g a.e.,
g is also summable.

Proof. Let E be the set of points in X where f and g are not equal. Then E has measure zero. We then
have f IE C = gIE C and so gIE C must be summable. Further, f + IE C = g + IE C and f − IE C = g − IE C .
We then note that Z Z Z
g + IE C dµ = g + IE C dµ + g + IE dµ

g + IE dµ = 0 since E has measure zero. But then we see

R
because
Z Z Z Z Z Z
+ + + + +
g dµ = g IE C dµ + g IE dµ = f IE C dµ + f IE dµ = f + dµ.

g + dµ is finite. A similar argument shows g + dµ is finite and so g is summable.

R R
Thus, we can see that


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Extending Integration To Extended Real Valued Functions Chapter 10:

Theorem 10.5.3. Summable Function Equal a.e. To Another Function With Measure Com-
plete Implies The Other Function Is Also Summable
Let (X, S, µ) be a measure space with µ complete and f be in L1 (X, S). Then if g is a function
equal a.e. to f = g, g is also summable.

Proof. First, the completeness of µ implies that g is measurable. The argument to show g is summable
is then the same as in the previous theorem’s proof. 

We can extend the Monotone Convergence a bit more and actually construct a summable limit
function in certain instances. This is known as Levi’s Theorem.

Theorem 10.5.4. Levi’s Theorem

Let (X, S, µ) be a measure space and let (fn ) be a sequence of functions in L1 (X, S, µ) which
satisfy fn ≤ fn+1 a.e. Further, assume
Z
lim fn dµ < ∞.
n

R R
Then, there is a summable function f on X so that fn ↑ f a.e. and fn dµ ↑ f dµ.

Proof. Define the new sequence of functions (gn ) by gn = fn − f1 . Then, since (fn ) is increasing a.e.,
R
(gn ) is increasing and non negative a.e. By assumption, limn gn dµ is then finite. Call its value I for
convenience of exposition. Now define the function g pointwise on X by

g(x) = lim gn (x).

n

This limit always exists as an extended real number in [0, ∞] and since each gn is measurable, so is g.
Let E = (g(x) = ∞). Note that
\ [ !
E = gn (x) > i ,
i n

and so we know that E is measurable.

For each nonnegative measurable function gi , there is an increasing sequence of simple functions
(φn ) such that φin ↑ gi . For each n, define (recall the binary operator ∨ means a pointwise maximum)
i

Ψn = φ1n ∨ φ2n ∨ · · · ∨ φnn .

Then it is clear that Ψn is measurable. Given any x in X, we have that

n+1
Ψn+1 (x) = φ1n+1 ∨ φ2n+1 ∨ · · · ∨ φn+1
≥ φ1n+1 ∨ φ2n+1 ∨ · · · ∨ φn+1
n

≥ φ1n ∨ φ2n ∨ · · · ∨ φnn

= Ψn (x).

Hence, (Ψn ) is an increasing sequence. Moreover, it is straightforward to see that

Ψn (x) ≤ g1 (x) ∨ g2 (x) ∨ · · · ∨ gn (x) ≤ gn (x) = g(x).

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Extending Integration To Extended Real Valued Functions Chapter 10:

Hence, we know that limn Ψn (x) ≤ g(x). If this limit was strictly less than g(x), let r denote half of the
gap size; i.e., r = (1/2)(g(x) − limn Ψn (x). Then, since Ψn (x) ≥ φin where i is an index between 1 and
n, we would have
φin < g(x) − r, 1 ≤ i ≤ n.

This implies that φnn ≤ g(x) − r for all n. In particular, fixing the index i, we see that φin ≤ g(x) − r
for all n. But since φin ↑ gi , this says gi (x) ≤ g(x) − r. Since, we can do this for all indices i, we have
limi gi (x) ≤ g(x) − r or g(x) ≤ g(x) − r which is not possible. We conclude limn Ψn = g pointwise on
X.

Next, we claim Ψn dµ = limn gn dµ. To see this, first notice that Ψn dµ ≥ φin dµ for all
R R R R

1 ≤ i ≤ n. In fact, for any index j, there is an index n∗ so that n∗ > j. Hence, Ψn∗ dµ ≥ φjn dµ.
R R

This still holds for any n > n∗ as well. Thus, for any index j, we can say
Z Z Z
lim Ψn dµ ≥ lim φjn dµ = gj dµ.
n n

This implies that Z Z Z

lim Ψn dµ ≥ sup gj dµ = lim gj dµ = I.
n j j

Also, since Ψn ≤ gn (x), Z Z

lim Ψn dµ ≤ lim gn dµ = I.
n n
R R
This completes the proof that Ψn dµ = limn gn dµ.

We now show the measure of E is zero. To do that, we start with the functions Ψn ∧ kIE for any
positive integer k, where the wedge operation ∧ is simply taking the minimum. If g(x) is finite, then
IE (x) = 0 and since Ψn is non negative, Ψn ∧ kIE = 0. On the other hand, if g(x) = ∞, then x ∈ E
and so kIE (x) = k. Since Ψn ↑ g, eventually, Ψn (x) will exceed k and we will have Ψn ∧ kIE = k. These
two cases allow us to conclude
Ψn ∧ kIE ↑ kIE

for all x. Thus,

Z Z Z Z
kIE dµ = Ψn ∧ kIE dµ ≤ Ψn dµ ≤ lim gn dµ = I.
n

We conclude k µ(E) ≤ I for all k which implies that µ(E) = 0.

Finally, to construct the summable function f we need, define h = gIE C . Clearly, gn ↑ h on E C ,

that is, a.e. Also, since Ψn ↑ g on E C , the Monotone Convergence Theorem tells us that
Z Z
lim Ψn dµ ↑ g dµ.
n EC EC

But, Z Z
g dµ = h dµ.
EC

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Properties Of Summable Functions Chapter 10:

Hence, h is summable and so f1 + h is also summable. Define f = f1 + h on X and we have f is

summable and

fn ↑ f1 + h
Z Z Z
fn dµ = f1 dµ + h dµ
Z
= f dµ.

Each summable function can also be used to construct a charge.

Theorem 10.5.5. Integrals Of Summable Functions Create Charges

Let (X, S, µ) be a measure space and let f be a functions in L1 (X, S, µ). Then the mapping
λ : S → < defined by
Z
λ(E) = f dµ
E
R
for all E in S defines a charge on S. The integral E
f dµ is also called the indefinite integral
of f with respect to the measure µ.

Proof. Since f is summable, note that the mappings λ+ and λ− defined by

Z Z
λ+ (E) = f + dµ, λ− (E) = f − dµ
E E

both define measures. It then follows immediately that λ is countably additive and hence is a charge. 

R
Comment 10.5.2. Since E f dµ defines a charge and is countably additive, we see that if (En ) is a
collection of mutually disjoint measurable subsets, then
Z XZ
f dµ = f dµ.
∪n En n En

10.6 Properties Of Summable Functions

We need to know if L1 (X, S, µ) is a linear space under the right interpretation of scalar multiplication
and addition. To do this, we need some fundamental inequalities and conditions that force summability.

Theorem 10.6.1. Fundamental Abstract Integration Inequalities

Let (X, S, µ) be a measure space.

(i): f ∈ L1 (X, S, µ) if and only if | f |∈ L1 (X, S, µ).

R R
(ii): f ∈ L1 (X, S, µ) implies | f dµ | ≤ | f | dµ.

(iii): f measurable and g ∈ L1 (X, S, µ) with | f |≤| g | implies f is also summable and
R R
| f | dµ ≤ | g | dµ.

184
Properties Of Summable Functions Chapter 10:

Proof.
(i): If f is summable, f + and f − are in M + (X, S, µ) with finite integrals. Since | f |= f + + f − ,
we see | f |+ =| f | and | f |− = 0. Thus, | f |+ dµ = (f + + f − )dµ which is finite. Also, since
R R

| f |− dµ = 0, we see that | f | is summable.

R

Conversely, if | f | is summable, then | f |+ dµ = (f + + f − )dµ is finite. This, in turn, tells us

R R

each piece is finite and hence f is summable too.

(ii): If f is summable, then
Z Z Z
| f dµ | = | f + dµ − f − dµ |
Z Z
≤ f + dµ + f − dµ
Z Z
= (f + + f − ) dµ = | f | dµ.

(iii): Since g is summable, so it | g | by (i). Also, because | f |≤| g |, each function is in M + (X, S) and
so | f |+ dµ ≤ | g |+ dµ which is finite. Hence, | f | is summable. Then, also by (i), f is summable.
R R

We can now tackle the question of the linear structure of L1 (X, S, µ).

Theorem 10.6.2. The Summable Function Form A Linear Space

Let (X, S, µ) be a measure space. We define operations on L1 (X, S, µ) as follows:

• scalar multiplication: for all α in <, αf is the function defined pointwise by (αf )(x) =
αf (x).

• addition of functions: for any two functions f and g the sum of f and g is the new
function defined pointwise on EfCg by (f + g)(x) = f (x) + g(x), where, recall,
!
[
Ef g = (f = ∞) ∩ (g = −∞) (f = −∞) ∩ (g = ∞) .

This is equivalent to defining f + g to be the function h where

h = (f + g)IEfCg

This is a measurable function as we discussed in the proof of Lemma 9.6.3.

Then, we have
R R
(i): αf is summable for all real α if f is summable and αf dµ = α f dµ.
R R R
(ii): f + g is summable for all f and g which are summable and (f + g)dµ = f dµ + gdµ.

Hence, L1 (X, S, µ) is a vector space over <.

Proof.
(i): If α is 0, this is easy. Next, assume α > 0. Then, (αf )+ = αf + and (αf )− = αf − and these two

185
The Dominated Convergence Theorem Chapter 10:

functions are clearly summable since f + and f − are. Thus, αf is summable. Then, we have
Z Z Z
αf dµ = (αf )+ dµ − (αf )− dµ
Z Z
= α f + dµ − f − dµ
Z
= α f dµ.

Finally, if α < 0, we have (αf )+ = −αf − and (αf )− = −αf + . Now simply repeat the previous
arguments making a few obvious changes.
(ii): Since f and g are summable, we know that µ(Ef g = 0. Further, we know | f | and | g | are
summable. Since  
| f + g | IEfCg ≤ | f | + | g | IEfCg ≤ | f | + | g |,

we see | f + g | IEfCg is summable by Theorem 10.6.1, part (iii). Hence, (f + g) IEfCg is summable also.
Now decompose f + g on EfCg as

f + g = (f + + g + ) − (f − + g − ).

Then, note
Z Z Z
(f + g) dµ = (f + + g + ) dµ − (f − + g − ) dµ
EfCg EfCg
Z Z
−
= +
(f − f ) dµ + (g + − g − ) dµ,
EfCg

where we are permitted to manipulate the terms in the integrals above because all are finite in value.
However, we can rewrite this as
Z Z Z
(f + g) dµ = f dµ + g dµ.
EfCg EfCg

Since we define the sum of f and g to be the function (f + g) IEfCg , we see f + g is in L1 (X, S, µ). 

10.7 The Dominated Convergence Theorem

We can now complete this chapter by proving the important limit interchange called the Lebesgue
Dominated Convergence Theorem.

Theorem 10.7.1. Lebesgue’s Dominated Convergence Theorem

Let (X, S, µ) be a measure space, (fn ) be a sequence of functions in L1 (X, S, µ) and f : X → <
so that fn → f a.e. Further, assume there is a summable g so that | fn |≤ g for all n. Then,
R R
suitably defined, f is also measurable and summable with limn fn dµ = f dµ.

186
The Dominated Convergence Theorem Chapter 10:

Proof. Let E be the set of points in X where the sequence does not converge. Then, by assumption,
µ(E) = 0 and

fn IE C → f IE C , and | fn IE C | ≤ gIE C .

Hence, | f IE C is measurable and satisfies | f IE C |≤ gIE C . Therefore, since g is summable, we have that
f IE C is summable too.

We can write out our fundamental inequality as follows

− gIE C ≤ fn IE C ≤ gIE C . (α)

This implies that hn = fn IE C + gIE C is non negative and hence, we can apply Fatou’s lemma to find
Z Z
lim inf hn dµ ≤ lim inf hn dµ.

However, we know
 
lim inf hn = lim inf fn IE C + gIE C

= gIE C + lim inf fn IE C

= gIE C + f IE C ,

because fn converges pointwise to f on E C . It then follows that

Z   Z  
gIE C + f IE C dµ ≤ lim inf fn IE C + gIE C dµ
Z Z
= gIE C dµ + lim inf fn IE C dµ.

Since g is summable, we also know

Z Z Z
(g IE C + f IE C ) dµ = (g IE C dµ + f IE C ) dµ.

Using this identity, we have

Z Z Z Z
(g IE C dµ + f IE C ) dµ. ≤ g IE C dµ + lim inf fn IE C dµ.

The finiteness of the integral of the g term then allows cancellation so that we obtain the inequality
Z Z
f IE C dµ. ≤ lim inf fn IE C dµ.

Since the integrals of f and fn are all zero on E, we have shown

Z Z
f dµ. ≤ lim inf fn dµ.

187
The Dominated Convergence Theorem Chapter 10:

We now show the reverse inequality holds. Using Equation α, we see zn = gIE C − fn IE C is also non
negative for all n. Applying Fatou’s Lemma, we find
Z Z
lim inf zn dµ ≤ lim inf zn dµ.

Then, we note
 
lim inf zn = lim inf −fn IE C + gIE C
 
= gIE C + lim inf −fn IE C

= gIE C − f IE C ,

because fn converges pointwise to f on E C . It then follows that

Z   Z  
gIE C − f IE C dµ ≤ lim inf −fn IE C + gIE C dµ
Z Z  
= gIE C dµ + lim inf −fn IE C dµ.

Now,
Z   Z  
lim inf −fn IE C dµ = sup inf −fn IE C dµ
m m≥n
 X Z 
= sup − fn IE C dµ
m
m≥n
Z
= − inf sup fn IE C dµ
m m≥n
Z
= − lim sup fn IE C dµ.

Thus, we can conclude

Z   Z Z
gIE C − f IE C dµ ≤ gIE C dµ − lim sup fn IE C dµ.

Again, since g is summable, we can write

Z Z Z Z
gIE C dµ − f IE C dµ ≤ gIE C dµ − lim sup fn IE C dµ.

R
After canceling the finite value gIE C dµ, we have
Z Z
f IE C dµ ≥ lim sup fn IE C dµ.

This then implies, using arguments similar to the ones used in the first case, that
Z Z
f dµ ≥ lim sup fn dµ.

188
Homework Chapter 10:

However, limit inferiors are always less than limit superiors and so we have
Z Z Z Z
lim sup fn dµ ≤ f dµ ≤ lim inf fn dµ ≤ lim sup fn dµ.

R R
It follows immediately that limn fn dµ = f dµ.
Finally, we can now see how to define f in a suitable fashion. The function f IE C is measurable and
is 0 on E. Hence, the limit function f can has the form
(
limn fn (x) when the limit exists, i.e. when x ∈ E C
f (x) =
0 when the limit does not exist, i.e. when x ∈ E.

10.8 Homework
Exercise 10.8.1. Assume f ∈ L1 (X, S, µ) with f (x) > 0 on X. Further, assume there is a positive
number α so that α < µ(X) < ∞. Prove that
Z
inf { f dµ | µ(E) ≥ α} > 0.
E

Exercise 10.8.2. Assume f ∈ L1 (X, S, µ). Let α > 0. Prove that

µ({x | | f (x) |≥ α})

is finite.

Exercise 10.8.3. Assume (fn ) ⊆ L1 (X, S, µ). Let f : X → < be a function. Assume fn → f [ptws ae].
Prove Z Z Z
| fn − f | dµ → 0 ⇒ | fn | dµ → | f | dµ

Exercise 10.8.4. Let (X, S) be a measurable space. Let C be the collection of all charges on S. Prove
that C is a Banach Space under the operations
 
c µ (E) = c µ(E), ∀ c ∈ <, ∀ µ
 
µ + ν (E) = µ(E) + ν(E), ∀ µ, ν,

with norm k µ k = |µ|(X)

189
Homework Chapter 10:

190
Chapter 11
The Lp Spaces

In mathematics and other fields, we often group objects of interest into sets and study the properties of
these sets. In this book, we have been studying a set X with a sigma - algebra of subsets contained within
it, the collection of functions which are measurable with respect to the sigma - algebra and recently,
the set of functions which are summable. In addition, we have noted that the sets of measurable and
summable functions are closed under scalar multiplication and addition as long as we interpret addition
in the right way when the functions are extended real - valued.

We can do more along these lines. We will now study the sets of summable functions as vector spaces
with a suitable norm. We begin with a review.

Definition 11.0.1. The Norm On A Vector Space

Let X be a non empty vector space over <. We say ρ : X → < is a norm on X if

(N1): ρ(x) is non negative for all x in X,

(N2): ρ(x) = 0 ⇔ x = 0,

(N3): ρ(αx) = |α|ρ(x), for all α in < and for all x in X,

(N4): ρ(x + y) ≤ ρ(x) + ρ(y), for all x and y in X.

If ρ satisfies only N1, N3 and N4, we say ρ is a semi-norm or pseudo-norm. We will usually
denote a norm of x by the symbol k x k.
The pair (X, k k) is called a Normed Linear Space or NLS.

If a set X has no linear structure, we can still have a notion of the distance between objects in the
set, if the set is endowed with a metric. This is defined below.

191
 Chapter 11:

Definition 11.0.2. The Metric On A Set

Let X be a non empty set. We say d : X × X → < is a metric if

(M1): d(x, y) is non negative for all x and y in X,

(M2): d(x, y) = 0 ⇔ x = y,

(M3): d(x, y) = d(y, x), for all for all x and y in X,

(M4): d(x, y) ≤ d(x, z) + d(y, z), for all x, y and z in X.

If d satisfies only M1, M2 and M4, we say d is a semi-metric or pseudo-metric. The pair
(X, d) is called a metric space. Note that in a metric space, there is no notion of scaling or
adding objects because there is no linear structure.
Comment 11.0.1. It is a standard result from a linear analysis course, that the norm in a NLS (X, k k)
induces a metric on X by defining

d(x, y) = k x − y k, ∀ x, y ∈ X.

Given a sequence (xn ) in a NLS (X, k k), we can define what we mean by the convergence of this
sequence to another object x in X.
Definition 11.0.3. Norm Convergence
Let (X, k k) be a non empty NLS. Let (xn ) be a sequence in X. We say the sequence (xn )
converges to x in X if

∀  > 0, ∃ N 3 n > N ⇒ k xn − x k < .

Now let (X, S, µ) be a nonempty measurable space. We are now ready to discuss the space L1 (X, S, µ).
By Theorem 10.6.2, we know that this space is a vector space with suitably defined addition. We can
now define a semi-norm for this space.
Theorem 11.0.1. The L1 Semi-norm
Let (X, S, µ) be a nonempty measurable space. Define k x k1 on L1 (X, S, µ) by
Z
k f k1 |f | dµ, ∀ f ∈ L1 (X, S, µ).

Then, k x k1 is a semi-norm. Moreover, property N3 is almost satisfied: instead of N3, we

have
k f k1 = 0 ⇔ f = a.e.

Proof.
(N1): k f k1 is clearly non negative.
(N2): This proof is an easy calculation.
Z Z
k αf k1 = |α f | dµ = |α| |f | dµ
Z
= |α| |f | dµ = |α| k f k1 .

192
 Chapter 11:

(N4): To prove this, we start with the triangle inequality for real numbers. We know that if f and g are
summable, then the sum of f + g is defined to be h = (f + g)IEfCg . Let A be the set of points where this
sum is ∞ and B be the set where the sum if −∞. Then on µ(Ef g ∪ A ∪ B) = 0 and on (Ef g ∪ A ∪ B)C ,
h is finite. For convenience of exposition, we will simply write h as f + g from now on. So f + g is finite
off a set of measure 0. At the points where f + g is finite, we can apply the standard triangle inequality
to f (x) + g(x). We have
|f (x) + g(x)| ≤ |f (x)| + |g(x)|, a.e.

This implies Z Z Z
|f + g| dµ ≤ |f | dµ + |g| dµ.

At the risk of repeating ourselves too much, let’s go through the integral on the left hand side again. We
actually have
Z Z
|f + g| IEfCg ∩ AC ∩ B C dµ = h IAC ∩ B C dµ
Z
= h dµ

since µ(AC ∩ B C ) = 0. Now the above inequality estimates clearly tell us

k f + g k1 ≤ k f k1 + k g k1 .

Finally, we look at what is happening in condition N2. Since |f | is in M + (X, S, µ), by Lemma 10.4.6,
we know Z
|f | = 0a.e. ⇔ |f | dµ = 0.

Hence, k f k1 = 0 if and only if f = 0 a.e. 

Although k x k1 is only a semi-norm, there is a way to think of this class of functions as a normed
linear space. Let’s define two functions f and g in L1 (X, S, µ) to be equivalent or to be precise, µ
- equivalent if f = g except of a set of µ measure 0. We use the notation f ∼ g to indicate this
equivalence. It is easy to see that ∼ defines an equivalence relation on L1 (X, S, µ). We will let [f ]
denote the equivalence class defined by f :

[f ] = {g ∈ L1 (X, S, µ) | g ∼ f }.

Any g in [f ] is called a representative of the equivalence class [f ]. A straightforward argument shows

that two equivalence classes [f1 ] and [f2 ] are either equal as sets or disjoint. The collection of all distinct
equivalence classes of L1 (X, S, µ) under a.e. equivalence will be denoted by L1 (X, S, µ).

193
 Chapter 11:

Theorem 11.0.2. L1 Is A Normed Linear Space

L1 (X, S, µ) is a vector space over < with scalar multiplication and object addition defined as

α [f ] = [α f ] ∀ [f ]
[f ] + [g] = [f + g], ∀[f ] and [g].

Further, k [f ] k1 defined by
Z
k [f ] k1 = |g| dµ,

for any representative g of [f ] is a norm on L1 (X, S, µ).

Proof. The definition of scalar multiplication is clear. However, as usual, we can spend some time
with addition. We know f + g is defined on EfCg and that Ef g has measure 0. Hence, if u ∈ [f ] and
v ∈ eclassg, then u = f and v = g except on sets A and B of measure 0. Also, as usual, the sum u + v
C
is defined on Euv . Hence,

C
u + v = f + g, x ∈ Euv ∩ EfCg ∩ AC ∩ B C .

which is the complement of a set of measure 0. Hence, u + v ∈ [f + g]. Thus, [f ] + [f ] ⊆ [f + g].

Conversely, let h ∈ [f + g]. Now

(f + g) IEf gC = f IEf gC + g IEf gC .

Hence, if we let
u = f IEf gC and v = g IEf gC ,

we see h ∼ (u + v), with u ∈ [f ] and v ∈ [g]. We conclude [f + g] ⊆ [f ] + [g]. Hence, the addition of
equivalence classes makes sense.
We now turn our attention to the possible norm k [f ] k1 . First, we must show that our definition of
norm is independent of the choice of representative chosen from [f ]. If g ∼ f , then g = f except on a set
A of measure 0. Thus, we know the integral of f and g match by Lemma 10.4.6. Here are the details:
Z Z Z
|g| dµ = |g| dµ + |g| dµ
A AC
Z
= 0 + |f | dµ
AC
Z Z
= |f | dµ + |f | dµ
A AC
Z
= |f | dµ.

We conclude the value of k [f ] k1 is independent of the choice of representative from [f ]. Now we prove
this is a norm.
R
(N1): k [f ] k1 = |g|dµ ≥ 0.
R
(N2): If k [f ] k1 = 0, then for any representative g of [f ], we have |g|dµ = 0. By Lemma 10.4.6, this
implies that g = 0 a.e. and hence, g ∈ [0] (we abuse notation here by simply writing the zero function

194
The General Lp spaces Chapter 11:

h(x) = 0, ∀x as 0 ). But since g ∈ [f ] also, this means [f ] ∩ [0] is nonempty. This immediately implies
that [f ] = [0]. Conversely, if [f ] = [0], the result is clear. (N3): Let α be a real number. Then, if g is
any representative of [f ], we have α g is a representative of [α f ]. We find
Z Z
k [α f ] k1 = |α g| dµ = |α| |g| dµ

= |α| k [f ] k .

(N4): The triangle inequality follows from the triangle inequality that holds for the representatives. 

11.1 The General Lp spaces

We can construct additional spaces of summable functions. Let p be a real number satisfying 1 ≤ p < ∞.
Then the function φ(u) = up is a continuous function on [0, ∞) that satisfies limn φ(n) = ∞. Thus, by
Lemma 9.6.9, if f is an extended real - valued function on X, then the composition φ ◦ |f | or |f |p is also
measurable. Hence, we know the integral |f |p dµ exists as an extended real - valued number. The
R

class of measurable functions that satisfy |f |p dµ < ∞ is another interesting class of functions.
R

We begin with some definitions.

Definition 11.1.1. The Space Of p Summable Functions

(X, S, µ) be a nonempty measurable space. Let p be a real number satisfying 1 ≤ p < ∞.
Then, |f |p is a measurable function. We let
Z
Lp (X, S, µ) = { f ∈ M (X, S, µ) | |f |p dµ < ∞.

For later use, we will also define what are called conjugate index pairs.

Definition 11.1.2. Conjugate Index Pairs

Let p be a real number satisfying 1 ≤ p ≤ ∞. If 1 < p is finite, the index conjugate to p is
the real number q satisfying
1 1
+ = 1,
p q
while if p = 1, the index conjugate to p is q = ∞.

We will be able to show that Lp (X, S, µ) is a vector space under the usual scalar multiplication
and addition operations once we prove some auxiliary results. These are the Hölder’s and Minkowski’s
Inequality. First, there is a standard lemma we will call the Real Number Conjugate Indices Inequality.

Lemma 11.1.1. Real Number Conjugate Indices Inequality

Let 1 < p < ∞ and q be the corresponding conjugate index. Then if α and β are positive
numbers,
Ap Bq
AB ≤ + .
p q

Proof. This proof is standard in any Linear Analysis book and so we will not repeat it here. 

195
The General Lp spaces Chapter 11:

Theorem 11.1.2. Hölder’s Inequality

Let 1 < p < ∞ and q be the index conjugate to p. Let f ∈ Lp (X, S, µ) and g ∈ Lq (X, S, µ).
Then f g ∈ L1 (X, S, µ) and
Z Z 1/p Z 1/q
p q
|f g| dµ ≤ |f | dµ |g| dµ .

Proof. The result is clearly true if f = g = 0 a.e. Also, if |f |p dµ = 0, then |f |p = 0 a.e. which tells
R

us f = 0 a.e. and the result follows again. We handle the case where |g|q dµ = 0 in a similar fashion.
R

Thus, we will assume both I p = |f |p dµ > 0 and J q = |g|q dµ > 0.

R R

Let Ef and Eg be the sets where f and g are not finite. By our assumption, we know the measure
of these sets is 0. Hence, for all x in EfC ∩ EgC , the values f (x) and g(x) are finite. We apply Lemma
11.1.1 to conclude
|f (x)| |g(x)| |f (x)|p |g(x)|q
≤ (1/p) + (1/q) .
I J Ip Jq
holds on EfC ∩ EgC . Off of this set, we have that the left hand side is ∞ and so is the left hand side.
Hence, even on Ef ∪ Eg , the inequality is satisfied. Thus, since the function on the right hand side
is summable, we must have the left hand side is a summable function too by Theorem 10.6.1. Hence,
f g ∈ L1 (X, S, µ). We then have

|f (x)| |g(x)| |f (x)|p |g(x)|q

Z Z Z
dµ ≤ (1/p) dµ + (1/q) dµ
I J Ip Jq
Z Z
1 1
= |f (x)|p dµ + |g(x)|q dµ
pI p qJ q
1 1
= + = 1.
p q

Thus,
Z Z 1/p Z 1/p
|f g| dµ ≤ I J = |f |p dµ |g|q dµ .

The special case of p = q = 2 is of great interest. The resulting Hölder’s Inequality is often called
the Cauchy - Schwartz Inequality. We see

Theorem 11.1.3. Cauchy - Bunyakovskiĭ - Schwartz Inequality

Let f, g ∈ L2 (X, S, µ). Then f g ∈ L1 (X, S, µ) and
Z Z 1/2 Z 1/2
2 2
|f g| dµ ≤ |f | dµ |g| dµ .

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Theorem 11.1.4. Minkowski’s Inequality

Let 1 ≤ p < ∞ and let f, g ∈ Lp (X, S, µ). Then f + g is in Lp (X, S, µ) and
Z 1/p Z 1/p Z 1/p
|f + g|p dµ ≤ |f |p dµ + |g|p dµ .

Proof. If p = 1, this is property N4 of the semi-norm k · k1 . Thus, we can assume 1 < p < ∞. Since
f and g are measurable, we define the sum of f + g as h = (f + g) IA where A = EfCg with µ(Ef g = 0.
Then as discussed h is measurable. We see on A,

|f (x) + g(x)| ≤ |f (x)| + |g(x)| ≤ 2 max{|f (x)|, |g(x)|}

even when function values are ∞. Hence,

 p  
|f (x) + g(x)|p ≤ 2p max{|f (x)|, |g(x)|} ≤ 2p |f (x)|p + |g(x)|p .

Then, since the right hand side is summable, so is the left hand side. We conclude f +g is in Lp (X, S, µ).
Note this also tells us |f + g| is in L1 (X, S, µ). Further,

|f (x) + g(x)|p = |f + g| |f + g|p−1 ≤ |f | |f + g|p−1 + |g| |f + g|p−1 .

We have the identity

|f (x) + g(x)|p ≤ |f | |f + g|p−1 + |g| |f + g|p−1 . (∗)

Now since p and q are conjugate indices, we know

(1/p) + (1/q) = 1 ⇒ p + q = pq
⇒ p = q(p − 1).

Thus, the function

 p−1 !q
= |f + g|p ,
 
f + g 
 

and so this function is summable implying |f + g|p−1 ∈ Lq (X, S, µ). Now apply Hölder’s Inequality to
the two parts of the right hand side of Equation ∗. We find

Z Z !1/p Z  q !1/q
|f | |f + g|p−1 dµ ≤ |f |p dµ |f + g|p−1 dµ .

and !1/p !1/q

Z Z Z  q
p−1 p p−1
|g| |f + g| dµ ≤ |g| dµ |f + g| dµ .

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But we have learned we can rewrite the second terms of the above inequalities to get

Z Z !1/p Z  !1/q
p−1 p p
|f | |f + g| dµ ≤ |f | dµ |f + g| dµ .

and !1/p !1/q

Z Z Z 
|g| |f + g|p−1 dµ ≤ |g|p dµ |f + g|p dµ .

Thus, combining, we have

Z Z 1/p Z 1/p ! Z  !1/q

p p p p
|f + g| dµ ≤ |f | dµ + |g| dµ |f + g| dµ .

We can rewrite this as

Z !1−1/q Z 1/p Z 1/p
p p p
|f + g| dµ ≤ |f | dµ + |g| dµ .

Since 1 − 1/q = 1/p, we have established the desired result. 

Hölder’s and Minkowski’s Inequalities allow us to prove that the Lp spaces are normed linear spaces.

Theorem 11.1.5. Lp Is A Vector Space

Let (X, S, µ) be a measure space and let 1 ≤ p < ∞. Then, if scalar multiplication and object
addition are defined pointwise as usual, Lp (X, S, µ) is a vector space.

Proof. The only thing we must check is that if f and g are in Lp (X, S, µ), then so is f + g. This follows
from Minkowski’s inequality. 

Since Lp (X, S, µ) is a vector space, the next step is to find a norm for the space.

Theorem 11.1.6. The Lp Semi-Norm

Let (X, S, µ) be a measure space and let 1 ≤ p < ∞. Define k · kp on Lp (X, S, µ) by
Z 1/p
p
k f kp = |f | dµ .

Then, k · kp is a semi-norm.

Proof. Properties N1 and N3 of a norm are straightforward to prove. To see that the triangle inequality
holds, simply note that Minkowski’s Inequality can be rewritten as

k f + g kp ≤ k f kp + k g kp ,

for arbitrary f and g in Lp (X, S, µ). 

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If we use the same notion of equivalence a.e. as did earlier, we can define the the collection of all
distinct equivalence classes of Lp (X, S, µ) under a.e. equivalence. This will be denoted by Lp (X, S, µ).
We can prove that this space is a normed linear space using the norm k [·] kp .

Theorem 11.1.7. Lp Is A Normed Linear Space

Let 1 ≤ p < ∞. Then Lp (X, S, µ) is a vector space over < with scalar multiplication and
object addition defined as

α [f ] = [α f ] ∀ [f ]
[f ] + [g] = [f + g], ∀[f ] and [g].

Further, k [f ] kp defined by
Z 1/p
k [f ] kp = |g|p dµ ,

for any representative g of [f ] is a norm on Lp (X, S, µ).

Proof. The proof of this is quite similar to that of Theorem 11.0.2 and so we will not repeat most of it.


We will now show that Lp (X, S, µ) is a complete NLS. First, recall what a Cauchy Sequence means.

Definition 11.1.3. Cauchy Sequence In Norm

Let (X, k · k) be a NLS. We say the sequence (fn ) of X is a Cauchy Sequence, if given  > 0,
there is a positive integer N so that

k fn − fm k < , ∀ n, m > N.

This leads to the definition of a complete NLS or Banach space.

Definition 11.1.4. Complete NLS

Let (X, k · k) be a NLS. We say the X is a complete NLS if every Cauchy sequence in X
converges to some object in X.

It is a standard proof to show that any sequence in a NLS that converges must be a Cauchy sequence.
Let’s prove that in the context of the Lp (X, S, µ) space to get some practice.

Theorem 11.1.8. Sequences That Converge in Lp Are Cauchy

Let ([fn ]) be a sequence in Lp (X, S, µ) which converges to [f ] in Lp (X, S, µ) in the k · kp
norm. Then, ([fn ]) is a Cauchy sequence.

Proof. Let  > 0 be given. Then, there is a positive integer N so that if n > N , then

k [fn − f ] kp < /2.

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Thus, if n and m are larger than N , we by property N4 that

k [fn − fm ] kp = k [(fn − f ) + (f − fm )] kp ≤ k [fn − f ] kp + k [fm − f ] kp < .

This shows the sequence in a Cauchy sequence. 

We will now show the Lp (X, S, µ) is a Banach space.

Theorem 11.1.9. Lp Is A Banach Space

Let 1 ≤ p < ∞. Then Lp (X, S, µ) is complete with respect to the norm k · kp .

Proof. Let [fn ] be a Cauchy sequence. These are the steps of the proof.

(Step 1): we find a subsequence ([gk ]) so that for all k,

Z
|gk+1 − gk |p dµ < (1/2k )p (α)

(Step 2): Define the function g by

∞
X
g(x) = g1 (x) + |gk+1 (x) − gk (x)|. (β)
k=1

We show that g satisfies

k g kp ≤ k g1 kp + 1. (γ)

This implies that g, defined by Equation α, converges and is finite a.e.

(Step 3): Then, we show

∞ 
X 
f (x) = g1 (x) + gk+1 (x) − gk (x)
k=1

is defined a.e. and is in Lp (X, S, µ). This is our candidate for the convergence of the Cauchy sequence.

(Step 4): We show gk converge to f in k · kp .

(Step 5): We show [fn ] converges to [f ] in k · kp . This last step will complete the proof of completeness.
Now to the proof of these steps.

(Proof Step 1): For  = (1/2), since [fn ] is a Cauchy sequence, there is a positive integer N1 so that
n, m > N1 implies Z
|fn − fm |p dµ < (1/2).

Note we use representative fn ∈ [fn ] for simplicity of exposition since the norms are independent of
choice of representatives. Define g1 = fN1 +1 .

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Next, for  = (1/2)2 , there is a positive integer N2 , which we can always choose so that N2 > N1 ,
so that n, m > N2 implies Z  p
|fn − fm |p dµ < 1/(22 ) .

Let g2 = fN2 +1 . Then, again by our choice of indices, we have

Z
|g2 − g1 |p dµ < (1/2)p .

The next step is similar. For  = (1/2)3 , there is a positive integer N3 , which we can always choose
so that N3 > N2 , so that n, m > N3 implies
Z  p
p 3
|fn − fm | dµ < 1/(2 ) .

Let g3 = fN3 +1 . Then, we have Z  p

p 2
|g3 − g2 | dµ < 1/(2 ) .

An induction argument thus shows that there is a subsequence [gk ] that satisfies
Z  p
|gk+1 − gk |p dµ < 1/(2k ) .

for all k ≥ 1. This establishes Equation α.

(Proof Step 2): Define the non negative sequence (hn ) by

n
X
hn (x) = |g1 (x)| + |gk+1 (x) − gk (x)|.
k=1

In this definition, there is the usual messiness of where all the differences are defined. Let’s clear that up.
Each pair (gk , gk+1 has a potential set Ek of measure zero where the subtraction is not defined. Thus,
we need to throw away the set E = ∪k Ek which also has measure 0. Thus, it is clear that all of the hn
are defined on E C . Now they may take on the value ∞, but that is acceptable. We see hpn ↑ g p on E C .
Apply Fatou’s Lemma to (hn ). We find
Z   Z
lim inf hpn IE C dµ ≤ lim inf hpn IE C dµ.

But, lim inf hpn = g p and so Z Z

p
g IE C dµ ≤ lim inf hpn IE C dµ.

The pth root function is continuous and so

Z 1/p  Z 1/p
lim hpn IE C dµ = lim hpn IE C dµ .
n n

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Then, since the pth root function is increasing, we have

Z 1/p Z 1/p
g p IE C dµ ≤ lim hpn IE C dµ .
n

Next, applying Minkowski’s Inequality to a finite sum, we obtain

Z 1/p Z  n  !1/p
X
hpn IE C = |g1 | + |gk+1 − gk | IE C
k=1
Xn
≤ k g1 IE C kp + k (gk+1 − gk )IE C kp .
k=1

Since the finite sum on the left is monotonic increasing, we have immediately that the series
∞
X
k (gk+1 − gk )IE C kp
k=1

is a well defined extended real - valued number. Thus, we have

Z 1/p ∞
X
hpn IE C ≤ k g1 IE C kp + k (gk+1 − gk )IE C kp .
k=1

By Equation α, we also know that

∞
X ∞
X
k (gk+1 − gk )IE C kp ≤ 1/(2)k = 1.
k=1 k=1

Hence, we can actually say

Z 1/p
g IE C ≤ k g1 IE C kp +1

We conclude g IE C is in Lp (X, S, µ). Further, since if F = {x | g(x)IE C (x) = ∞}, then we know F has
measure 0. Hence, g IE C ∩F C is finite. This completes Step 2.

(Proof Step 3): Now define the function f by

  
 g (x) + P∞ C
∩ FC
1 k=1 gk+1 (x) − gk (x) , x ∈ E
f (x) =
0 x ∈ E ∪ F.


Note, for x ∈ E C ∩ F C ,

|gk | = |g1 + (g2 − g1 ) + (g3 − g2 ) + . . . + (gk − gk−1 |

k
X
≤ |g1 | + |gk+1 − gk | = hk .
i=1

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However, we already seen that on this set hk ↑ g. Hence, we can say

|gk | ≤ g.

This tells us that the partial sum expansion of gk converges absolutely on E C ∩F C and thus, gk converges
to g. But g = f on this set, so we have shown that gk converges to f a.e. We can now apply the Lebesgue
Dominated Convergence Theorem to say
Z Z
lim gn dµ = f dµ.
n

Since |gk | ≤ g for all k, it follows |f |p ≤ |g|p . Since g is p summable, we have established that f is in
Lp (X, S, µ).

(Proof Step 4): Now we show gk converges to f in k · kp . To see this, let zk = f − gk on E C ∩ F C .

P∞
From the definition of f , we can write this as j=k (gj+1 − gj ). The rest of the argument is very similar
to the one used in Step 2. Consider the partial sums of this convergent series
n
X
zkn = |gj+1 − gj|.
j=k

Minkowski’s Inequality then gives for all n,

n
X
k zkn kp ≤ k gj+1 − gj kp .
j=k

Pn
Using Equation α, it follows that the right hand side is bounded above by j=k 1/2j which sums to
1/2n−1 . Now apply Fatou’s Lemma to find
Z Z
lim inf |zkn |p ≤ lim inf |zkn |p

or Z Z
|zk |p ≤ lim inf |zkn |p .

The continuity and increasing nature of the pth root then give us
Z 1/p Z 1/p
p
|zk | ≤ lim inf |zkn |p ≤ lim inf (1/2n−1 ) = 0.

Thus, k f − gk k→ 0.

(Proof Step 5): Finally, given  > 0, since [fn ] is a Cauchy sequence, there is an N so that

k fn − fm kp < /2, ∀ n, m > N.

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Since [gk ] is a subsequence of [fn ], there is a K1 so that if k > K1 , we have

k fm − gk kp < /2, ∀ m > N, k > K1 .

Also, since gk → f in p - norm, there is a K2 so that

k gk − f kp < /2, ∀ k > K2 .

We conclude for any given k > max(K1 , K2 ), we have

k fm − f kp ≤ k fm − gk kp + k gk − f kp < 

if m > N 4. Thus, [fn ] → [f ] in p - norm. 

The proof of the theorem above has buried in it a powerful result. We state this below.

Theorem 11.1.10. Sequences That Converge In p - Norm Possess Subsequences Converging

Pointwise a.e.
Let 1 ≤ p < ∞. Let ([fn ]) be a sequence in Lp (X, S, µ) which converges in norm to [f ] in
Lp (X, S, µ). Then, there is a subsequence ([fn1 ] of ([fn ]) which converges pointwise a.e. to
f.

Proof. The sequence we seek is the sequence (gn ) as defined in the proof of Theorem 11.1.9; see the
discussion for the proof of Step (3). 

11.2 The World Of Counting Measure

Let’s see what the previous material means when we use counting measure, µC , on the set of natural
numbers N. In this case, the sigma - algebra is the power set of N. Note if f : N → <, then f is identified
with a sequence of extended real - valued numbers, (an ) so that f (n) = an . It is therefore possible for
f (n) ∞ or f (n) = −∞ for some n. Let
(
|f (n)|, 1 ≤ n ≤ N
φN (n) =
0, n > N

Then, φN ↑ f and so by the Monotone Convergence Theorem,

Z Z
|f | dµC = lim φN (n) dµC .
N

Now the simple functions φN are not in their standard representation. Let {c1 , . . . , cM } be the distinct
elements of {|a1 |, . . . , |aN |}. Then we can write

M
X
φN = ci IEi ,
i=1

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The World Of Counting Measure Chapter 11:

where EI is the pre-image of each distinct element ci . The sets Ei are clearly disjoint by construction.
It is a straightforward matter to see that
Z M
X N
X
φN dµC = ci µC Ei = |ai |.
i=1 i=1

Thus, we have
Z N
X
|f | dµC = lim |f (i)|.
N
i=1

Since all the terms |f (i)| are non negative, we see the sequence of partial sums converges to some
extended real - valued number (possibly ∞). For counting measure, the only set of measure 0 is ∅, so
measurable functions can not differ on a set of measure 0 in this case. We see for 1 ≤ p < inf ty,

Lp (N, P(N), µC ) = Lp (N, P(N), µC ).

Further,
∞
X
Lp (N, P(N), µC ) = { sequences (an ) | |ai |p converges }.
i=1

We typically use the notation

∞
X
`p = Lp (N, P(N), µC ) = { sequences (an ) | |ai |p converges }.
i=1

and we call this a sequence space. Note in all cases, summability implies the sequence involved must be
finite everywhere.
In this context, Hölder’s Inequality becomes:

Theorem 11.2.1. Hölder’s Inequality: Sequence Spaces

Let 1 < p < ∞ and q be the index conjugate to p. Let (an ) ∈ `p and (bn ) ∈ ellq . Then
(an bn ) ∈ `1 and
X X 1/p X 1/q
p q
|an bn | ≤ |an | |bn | .
n n n

and Minkowski’s Inequality becomes

Theorem 11.2.2. Minkowski’s Inequality: Sequence Spaces

Let 1 ≤ p < ∞ and let (an ), (bn ) ∈ `p . Then (an + bn ) is in `p and
X 1/p X 1/p X 1/p
p p p
|an + bn | ≤ |an | + |bn | .
n n n

Finally, the special case of p = q = 2 should be mentioned. The sequence space version of the
resulting Hölder’s Inequality Cauchy - Schwartz Inequality has this form:

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Equivalence Classes of Essentially Bounded Functions Chapter 11:

Theorem 11.2.3. Cauchy - Bunyakovskiĭ - Schwartz Inequality: Sequence Spaces

Let (an ), (bn ) ∈ `2 . Then (an bn ) ∈ `1 and

X X 1/2 X 1/2
2 2
|an bn | ≤ |an | |bn | .
n n n

11.3 Equivalence Classes of Essentially Bounded Functions

There is one more space to define. This will be the analogue of the space of bounded functions we use
in the definition of the Riemann Integral.

Definition 11.3.1. Essentially Bounded Functions

Let (X, S, µ) be a measure space and let f be measurable. If E is a set of measure 0, let

ξ(E) = sup |f (x))

x∈E C

and
ρ∞ (f ) = inf { ξ(E) | E ∈ S, µ(E) = 0}.

If ρ∞ (f ) is finite, we say f is an essentially bounded function.

There are then two more spaces to consider:

Definition 11.3.2. The Spaces of Essentially Bounded Functions

Let (X, S, µ) be a measure space. Then we define

L∞ (X, S, µ) = {f : X → < | f ∈ M (X, S), ρ∞ (f ) < ∞}.

and defining equivalence classes using a.e. equivalence,

L∞ (X, S, µ) = {[f ] | ρ∞ (f ) < ∞}.

There is an equivalent way of characterizing an essentially bounded function. This requires another
definition.

Theorem 11.3.1. Alternate Characterization Of Essentially Bounded Functions

Let (X, S, µ) be a measure space and f be a measurable function. Define q∞ (f ) by

q∞ (f ) = inf { a | µ({x | |f (x)| > a}) = 0}.

Then, ρ∞ (f ) = q∞ (f ).

Proof. Let Ea = {x | |f (x)| > a}. If a is a number so that µ(Ea ) = 0, then for any other measurable
set A with measure 0, we have
AC = AC ∩ Ea ∪ AC ∩ EaC .

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Thus,
sup |f | ≥ sup |f | ≥ a.
AC AC ∩Ea

because if x ∈ AC ∩ Ea , then |f (x) > a. Since we can do this for such a, it follows that

sup |f | ≥ q∞ (f ).
AC

Further, since the measurable set A with measure zero is arbitrary, we must have

ρ∞ (f ) ≥ q∞ (f ).

Next, we prove the reverse inequality. If µ(Ea ) = 0, then by the definition of ρ∞ (f ), we have

ρ∞ (f ) ≤ sup |f | = sup |f (x)| ≤ a.

EaC |f (x)|≤a

But this is true for all such a. Thus, ρ∞ (f ) is a lower bound for the set {a|µ(Ea ) = 0} and we can say

ρ∞ (f ) ≤ q∞ (f ).

We need to know that if two functions are equivalent with respect to the measure µ, then their ρ∞
values agree.

Lemma 11.3.2. Essentially Bounded Functions That Are Equivalent Have The Same Es-
sential Bound
Let (X, S, µ) be a measure space and f and g be a equivalent measurable functions such that
ρ(f ) is finite. Then ρ(g) = ρ(f ).

Proof. Let E be the set of points where f and g are not equal. Then µ(E) = 0. Now,
 
0 ≤ µ (|g(x)| > a) ∩ E ≤ µ(E) = 0.

Thus,
     
C
µ (|g(x)| > a) = µ (|g(x)| > a) ∩ E + µ (|g(x)| > a) ∩ E
 
C
= µ (|g(x)| > a) ∩ E .

But on E C , f and g match, so we have

     
C
µ (|g(x)| > a) = µ (|f (x)| > a) ∩ E = µ (|f (x)| > a) ,

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Equivalence Classes of Essentially Bounded Functions Chapter 11:

   
by the same sort of argument we used on µ (|g(x)| > a) . Hence, if µ (|f (x)| > a) = 0, then
 
µ (|g(x)| > a) = 0 as well. This immediately implies q∞ (g) = q∞ (f ). The result then follows because
q∞ = ρi nf ty. 

Finally, we can show that essentially bounded functions are bounded above by their essential bound
a.e.

Lemma 11.3.3. Essentially Bounded Functions Bounded Above By Their Essential Bound
a.e
Let (X, S, µ) be a measure space and f be a measurable functions such that ρ(f ) is finite.
Then |f (x)| ≤ ρ(f ) a.e.

Proof. Let E = (|f (x) > ρ∞ (f )). It is easy to see that

∞
!
[
E = |f (x)| > ρ∞ (f ) + 1/k .
k=1

If you look at how q∞ is defined, if µ(|f (x)| > ρ∞ (f ) + 1/k) > 0, that would force q∞ (f ) = ρ∞ (f ) ≥
ρ∞ (f ) + 1/k which is not possible. Hence, µ(|f (x)| > ρ∞ (f ) + 1/k) = 0 for all k. This means E has
measure 0 also. It is then clear from the definition of the set E that |f (x)| ≤ ρ∞ (f ) on E C . 

We can now prove that L∞ (X, S, µ) is a vector space with norm k [f ] k∞ = ρ∞ (f ).

Theorem 11.3.4. The L∞ Semi-Norm

Let (X, S, µ) be a measure space Define k · k∞ on L∞ (X, S, µ) by

k f k∞ = ρ∞ (g),

where g is any representative of [f ]. Then, k · k∞ is a semi-norm.

Proof. We show ρ∞ (·) satisfies all the properties of a norm except N2 and hence it is a semi - norm.
(N1): It is clear the N1 is satisfied because ρ∞ (·) is always non negative.
(N2): Let 0X is the function defined to be 0 for all x and let Ea = {x | |0X (x)| > a}. It is clear Ea = ∅
for all a > 0. Thus, since ρ∞ = q∞ ,

q∞ (0X ) = inf { a | µ(Ea ) = 0} = 0.

However, if q∞ (f ) = 0, let Fn = (|fn (x)| > 1/n). Then, by definition of q∞ (f ), it follows that µ(Fn ) = 0
and |f (x)| ≤ 1/n on the complement FnC . Let F = ∪ Fn . Then, µ(F ) = 0 and

\ \  
C
F = FnC = |f (x)| ≤ 1/n = f (x) = 0).
n n

Thus, f is 0 on F C and non zero on F which has measure 0. All that we can say then is that f = 0 a.e.
and hence, k · k∞ does not satisfy N2.

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(N3): If α is 0, the result is clear. If α is a non zero number, then

q∞ (αf ) = inf { a | µ({x | |α f (x)| > a}) = 0}

= inf { a | µ({x | |f (x)| > a/α}) = 0}.

Let β = a/α and we have

q∞ (αf ) = inf { α β | µ({x | |f (x)| > β}) = 0}

= α inf { β | µ({x | |f (x)| > β}) = 0}
= α q∞ (αf ).

(N4): Now let f and g be in L∞ (X, S, µ) with the sum f + g defined in the usual way on EfCg with
µ(Ef g ) = 0. Note on Ef g itself, f (x) + g(x) = 0, so the sum is bounded above by ρ∞ (f ) + ρ∞ (g) there.
Now by Lemma 11.3.3, there are sets F and G of measure 0 so that

|f (x)| ≤ ρ∞ (f ), ∀x ∈ F C ,
|g(x)| ≤ ρ∞ (g), ∀x ∈ GC .

Thus,

|f (x) + g(x)| ≤ ρ∞ (f ) + ρ∞ (g), ∀x ∈ F C ∩ GC ,

Thus, the measure of the set of points where |f (x) + g(x)| > ρ∞ (f ) + ρ∞ (g) is zero as µ(F ∪ G) = 0.
By definition of q∞ , it then follows that

q∞ (f + g) ≤ ρ∞ (f ) + ρ∞ (g).

which implies the result. 

Theorem 11.3.5. L∞ Is A Normed Linear Space

Then L∞ (X, S, µ) is a vector space over < with scalar multiplication and object addition
defined as

α [f ] = [α f ] ∀ [f ]
[f ] + [g] = [f + g], ∀[f ] and [g].

Further, k [f ] k∞ defined by

k [f ] k∞ = ρ∞ (g),

for any representative g of [f ] is a norm on L∞ (X, S, µ).

Proof. The argument that the scalar multiplication and addition of equivalence classes is the same as
the one we used in the proof of Theorem 11.1.5 and so we will not repeat it here. From Lemma 11.3.2 we
know that any two functions which are equivalent a.e. will have the same value for ρ∞ and so k [f ] k∞

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Equivalence Classes of Essentially Bounded Functions Chapter 11:

is independent of the choice of representative from [f ]. The proofs that properties N1, N3 and N4 hold
follow immediately from the fact that they hold for representatives of equivalence classes. It remains
to show that if k [f ] k∞ = 0, then [f ] = [0X ] where 0X is the zero function on X. However, we have
already established in the proof of Theorem 11.3.4 that such an f is 0 a.e. This tells us f ∈ [0X ]; thus,
[f ] = [0X ]. 

Theorem 11.3.6. L∞ Is A Banach Space

Then L∞ (X, S, µ) is complete with respect to the norm k · k∞ .

Proof. Let ([fn ] be a Cauchy sequence of objects in L∞ (X, S, µ). Now everything is independent of the
choice of representative of an equivalence class, so for convenience, we will use as our representatives
the functions fn themselves. Then, by Lemma 11.3.3, there are sets En of measure 0 so that

|fn (x)| ≤ ρ∞ (fn ), ∀ x ∈ EnC .

Also, there are sets Fnm of measure 0 so that

C
|fn (x) − fm (x)| ≤ ρ∞ (fn − fm ), ∀ x ∈ Fnm .

Hence, both of the equations above hold on

∞ \
\ ∞  
U = EnC ∩ C
Fnm .
m=1 n=1

We then use De Morgan’s Laws to rewrite U as follows:

∞ \
\ ∞  C
U = En ∪ Fnm
m=1 n=1
∞
\ ∞ 
[ !C
= En ∪ Fnm
m=1 n=1
∞ [
[ ∞  !C
= En ∪ Fnm .
m=1 n=1

Clearly, the measure of U is 0 and

|fn (x) − fm (x)| ≤ ρ∞ (fn − fm ), ∀ x ∈ U C . (∗)

Now since ([fn ] is a Cauchy sequence with respect to k · k∞ , given  > 0, there is a positive integer N
so that

|fn (x) − fm (x)| ≤ ρ∞ (fn − fm ) < /4, ∀ x ∈ U C , ∀ n, m > N. (∗∗)

Equation ∗∗ implies that at each x in U C , the sequence (fn (x)) is a Cauchy sequence of real numbers.
By the completeness of <, it then follows that limn fn (x) exists on U C . Define the function f : X → <

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Equivalence Classes of Essentially Bounded Functions Chapter 11:

by
(
limn fn (x), x ∈ UC,
f (x) =
0 x ∈ U.

From Equation ∗∗, we have that

lim |fn (x) − fm (x)| ≤ /4, ∀ x ∈ U C , ∀ m > N.

n

As usual, since the absolute value function is continuous, we can let the limit operation pass into the
absolute value function to obtain

|f (x) − fm (x)| ≤ /4, ∀ x ∈ U C , ∀ m > N. (∗ ∗ ∗)

From the backwards triangle inequality, we then find

|f (x)| ≤ /4 + |fm (x)| < /4 + ρ∞ (fm ), ∀ x ∈ U C , ∀ m > N.

Now fix M > N + 1. Then

|f (x)| < /2 + ρ∞ (fM ), ∀ x ∈ U C .

Since the measure of the set (|f (x)| > /4 + ρ∞ (fM ) is 0, from the definition of q∞ (f ), it then follows
that
q∞ (f ) ≤ /4 + ρ∞ (fM )

which tells us that f is essentially bounded.

It remains to show that [fn ] converges to [f ] in norm. Note that Equation ∗ ∗ ∗ implies that (fn )
converges uniformly on U C . Further,the measure of the set (|fn (x) − f (x)| > /4) is 0. Thus, we can
conclude
q∞ (f − fn ) ≤ /4 < , ∀ n > N.

This shows the desired convergence in norm.

Thus, we have shown L∞ (X, S, µ) is complete. 

From the proofs above, we see Minkowski’s Inequality holds for the case p = ∞ because k · k∞ is
a norm. Finally, we can complete the last case of Hölder’s Inequality: the case of the conjugate indices
p = 1 and q = ∞. We obtain

Theorem 11.3.7. Hölder’s Inequality: p = 1

Let p = 1 and q = ∞ be the index conjugate to 1. Let [f ] ∈ L1 (X, S, µ) and [g] ∈ L∞ (X, S, µ).
Then [f g] ∈ L1 (X, S, µ) and
Z
|f g| dµ ≤ k [f ] k1 k [g] k∞ .

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The Hilbert Space L2 Chapter 11:

Proof. it is enough to prove this result for the representatives of the equivalence classes f ∈ [f ] and
g ∈ [g]. We know the product f g is measurable. It remains to show that f g is summable. Since g is
essentially bounded, by Lemma 11.3.3, there is a sets E of measure 0 so that

|g(x)| ≤ ρ∞ (g), ∀ x ∈ E C .

Thus, |f (x) g(x)| ≤ |f (x)| ρ∞ (g) a.e. and since the right hand side is summable, by Theorem 10.6.1,
we see f g is also summable and
Z Z Z
|f g| dµ ≤ |f | ρ∞ (g) dµ = ρ∞ (g) |f | dµ

11.4 The Hilbert Space L2

The space L2 (X, S, µ) is a Normed linear space with norm k [·] k2 . This space is also an inner product
space which is complete. Such a space is called a Hilbert space.

Definition 11.4.1. Inner Product Space

Let X be a non empty vector space over <. Let ω X × X → < be a mapping which satisfies

IP1:

ω(x + y, z) = ω(x, z) + ω(y, x), ∀ x, y, z ∈ X,

IP2:

ω(α x, y) = α ω(x, y), ∀ α ∈ <, ∀ x, y ∈ X,

IP3:

ω(x, y) = ω(y, x), ∀ x, y ∈ X,

IP4:

ω(x, x) ≥ 0, ∀ x, ∈ X, and ω(x, x) = 0 ⇔ x = 0.

Such a mapping is called an real inner product on the real vector space X. It is easy to define
a similar mapping on complex vector spaces, but we will not do that here. We typically use
the symbol < ·, · > to denote the value ω(·, ·).

There is much more we could say on this subject, but instead we will focus on how we can define an
inner product on L2 (X, S, µ).

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Homework Chapter 11:

Theorem 11.4.1. The Inner Product on The Space of Square Summable Equivalence Classes
For brevity, let L2 denote L2 (X, S, µ). The mapping < ·, · > on L2 × L2 defined by
Z
< [f ], [g] > = u v dµ, ∀ u ∈ [f ], v ∈ [g]

is an inner product on L2 . Moreover, it induces the norm k [·] k2 by

sZ
k [f ] k2 = |f |2 dµ
p
= < [f ], [f ] >.

Proof. The proof of these assertions is immediate as we have already shown k · k2 is a norm and the
verification of properties IP1 to IP4 is straightforward. 

Finally, from our general Lp results, we know L2 is complete. However, for the record, we state this
as a theorem.

Theorem 11.4.2. The Space of Square Summable Equivalence Classes Is A Hilbert Space
For brevity, let L2 denote L2 (X, S, µ). Then L2 is complete with respect to the norm induced
by the inner product < [·], [·] >. The inner product space (L2 , < ·, · >) is often denoted by
the symbol H.

11.5 Homework
Exercise 11.5.1. Let (X, S, µ) be a measure space. Let f be in Lp (X, Sµ) for 1 ≤ p < ∞. Let
E = {x | |f (x)| =
6 0}. Prove E is σ - finite.

Exercise 11.5.2. Let (X, S, µ) be a finite measure space. If f is measurable, let En = {x | n − 1 ≤

P∞
|f (x)| < n}. Prove f is in L1 (X, Sµ) if and only if n=1 nµ(En ) < ∞.
P∞
More generally, prove f is in Lp (X, Sµ), 1 ≤ p < ∞, if and only if n=1 np µ(En ) < ∞.

213
Homework Chapter 11:

214
Chapter 12
Constructing Measures

Although you now know quite a bit about measures, measurable functions, associated integration and
the like, you still do not have many concrete and truly interesting measures to work with. In this
chapter, you will learn how to construct interesting measures using some simple procedures. A very
good reference for this material is (Bruckner et al. (1) 1997) . Another good source is (Taylor (7) 1985)
. We begin with a definition.

12.1 Measures From Outer Measures

Definition 12.1.1. Outer Measure
Let X be a non empty set and let µ∗ be an extended real valued mapping defined on all subsets
of X that satisfies

(i): µ∗ (∅) = 0.

(ii): If A and B are subsets of X with A ⊆ B, then µ∗ (A) ≤ µ∗ (B).

(iii): If (An ) is a sequence of subsets of X, then µ∗ ( ∪n An ) ≤ n µ∗ (An ).

P

Such a mapping is an outer measure on X and condition (iii) is called the countable subaddi-
tivity (CSA) condition if the sets are disjoint.

Comment 12.1.1. Since ∅ ⊆ A for all A in X, condition (ii) tells us µ∗ (∅) ≤ µ∗ (A). Hence, by
condition (i), we have µ∗ (A) ≥ 0 always. Thus, the outer measure is non negative.

The outer measure is defined on all the subsets of X. In Chapter 10, we defined the notion of a measure
on a σ - algebra of subsets of X. Look back at Definition 10.0.1 again. Recall, the mapping µ : S → <
is a measure on S if

(i): µ(∅) = 0,

(ii): µ(E) ≥ 0, for all E ∈ S,

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Measures From Outer Measures Chapter 12:

(iii): µ is countably additive on S; i.e. if (En ) ⊆ S is a countable collection of disjoint sets, then
P
µ(∪n En ) = n µ(En ).

The third condition says the mapping µ is countably additive and hence, we label this condition as
condition (CA). The collection of all subsets of X is the largest σ - algebra of subsets of X, so to
convert the outer measure µ∗ into a measure, we have to convert the countable subadditivity condition
to countable additivity. This is not that easy to do! Now if T and E are any subsets of X, then we know
  [ 
T = T ∩ E T ∩ EC .

The outer measure µ∗ is subadditive on finite disjoint unions and so we always have
   
µ∗ (T ) ≤ µ∗ T ∩ E + µ∗ T ∩ E C .

To have equality, we need to have

   
∗ ∗ ∗ C
µ (T ) ≥ µ T ∩ E + µ T ∩ E ,

also. So, as a first set towards the countable additivity condition we need, why don’t we look at all
subsets E of X that satisfy the condition
   
µ∗ (T ) ≥ µ∗ T ∩ E + µ∗ T ∩ E C , ∀ T ⊆ X.

We don’t know how many such sets E there are at this point. But we certainly want finite additivity to
hold. Therefore, it seems like a good place to start. This condition is called the Caratheodory Condition.

Definition 12.1.2. Caratheodory Condition

Let µ∗ be an outer measure on the non empty set X. A subset E of X satisfies the Caratheodory
Condition if for all subsets T ,
   
µ∗ (T ) ≥ µ∗ T ∩ E + µ∗ T ∩ E C .

Such a set E is called µ∗ measurable. The collection of all µ∗ measurable subsets of X will be
denoted by M.

We will first prove that the collection of µ∗ measurable sets is an algebra of sets.

Definition 12.1.3. Algebra Of Sets

Let X be a non empty set and let A be a nonempty family of subsets of X. We say A is an
algebra of sets if

(i): ∅ is in A.

(ii): If A and B are in A, so is A ∪ B.

(iii): if A is in A, so is AC = X \ A.

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Measures From Outer Measures Chapter 12:

Theorem 12.1.1. The µ∗ Measurable Sets Form An Algebra

Let X be a non empty set, µ∗ an outer measure on X and M be the collection of µ∗ measurable
subsets of X. Then M is a algebra.

Proof. For the empty set,

       
µ∗ T ∩ ∅ + µ∗ T ∩ ∅C = µ∗ ∅ + µ∗ T ∩ X
 
= 0 + µ∗ T .

Hence ∅ satisfies the Caratheodory condition and so ∅ ∈ M.

Next, if A ∈ M, we note the Caratheodory condition is symmetric with respect to complementation and
so AC ∈ M also.

To show M is closed under countable unions, we will start with the union of just two sets and then
proceed by induction. Let E1 and E2 be in M. Let T be in X. Then, since E1 and E2 both satisfy
Caratheodory’s condition, we know

µ∗ (T ) = µ∗ (T ∩ E1 ) + µ∗ (T ∩ E1C ) (a)

and

µ∗ (T ) = µ∗ (T ∩ E2 ) + µ∗ (T ∩ E2C ). (b)

In Equation b, let “T ” be “T ∩ E1C ”. This gives

µ∗ (T ∩ E1C ) = µ∗ (T ∩ E1C ∩ E2 ) + µ∗ (T ∩ E1C ∩ E2C ). (c)

We also know that

T ∩ E1 = T ∩ (E1 ∪ E2 ) ∩ E1 , T ∩ E1C ∩ E2 = T ∩ (E1 ∪ E2 ) ∩ E1C . (d)

Now replace the term “µ∗ (T ∩ E1C )” in Equation a by the one in Equation c. This gives

µ∗ (T ) = µ∗ (T ∩ E1 ) + µ∗ (T ∩ E1C ∩ E2 ) + µ∗ (T ∩ E1C ∩ E2C ).

Next, replace the sets in the first two terms on the right side in the equation above by what is shown in
Equation d. We obtain

µ∗ (T ) = µ∗ (T ∩ (E1 ∪ E2 ) ∩ E1 ) + µ∗ (T ∩ (E1 ∪ E2 ) ∩ E1C ) + µ∗ (T ∩ E1C ∩ E2C ).

But E1 is in M and so

µ∗ (T ∩ (E1 ∪ E2 )) = µ∗ (T ∩ (E1 ∪ E2 ) ∩ E1 ) + µ∗ (T ∩ (E1 ∪ E2 ) ∩ E1C ).

217
Measures From Outer Measures Chapter 12:

Using this identity, we then have

µ∗ (T ) = µ∗ (T ∩ (E1 ∪ E2 )) + µ∗ (T ∩ E1C ∩ E2C )

= µ∗ (T ∩ (E1 ∪ E2 )) + µ∗ (T ∩ (E1 ∪ E2 )C ),

using DeMorgan’s laws. Since the set T is arbitrary, we have shown E1 ∪ E2 is also in M.

Since, E1 and E2 are in M, we now know E1C ∪ E2C is in M too. But this set is the same as E1 ∩ E2 .
Thus, M is closed under intersection.

It then follows that E1 \ E2 = E1 ∩ E2C is in M. So M is also closed under set differences. Hence, M
is an algebra. 

Theorem 12.1.2. µ∗ Measurable Sets Properties

Let X be a non empty set, µ∗ an outer measure on X and M be the collection of µ∗ measurable
subsets of X. Then, if (En ) is a countable disjoint sequence from M, ∪n En is in M and
∞
X  
∗
µ (T ∩ ∪∞
i=1 Ei ) = µ∗
T ∩ Ei ) .
i=1

for all T in X.

Proof. Let “T ” be “T ∩ (E1 ∪ E2 ) in the Caratheodory condition of E2 . Then, we have

µ∗ (T ∩ (E1 ∪ E2 )) = µ∗ (T ∩ (E1 ∪ E2 ) ∩ E2 ) + µ∗ (T ∩ (E1 ∪ E2 ) ∩ E2C ).

This simplifies to

µ∗ (T ∩ (E1 ∪ E2 )) = µ∗ (T ∩ E2 ) + µ∗ (T ∩ E1 ∩ E2C ).

But E1 and E2 are disjoint. Hence, E1 is contained in E2C . Hence, we can further simplify to

µ∗ (T ∩ (E1 ∪ E2 )) = µ∗ (T ∩ E2 ) + µ∗ (T ∩ E1 ).

Let’s do another step. Since E3 is in M, we have

µ∗ (T ∩ (E1 ∪ E2 ∪ E3 )) = µ∗ (T ∩ (E1 ∪ E2 ∪ E3 ) ∩ E3 )
+ µ∗ (T ∩ (E1 ∪ E2 ∪ E3 ) ∩ E3C ).

This can be rewritten as

µ∗ (T ∩ (E1 ∪ E2 ∪ E3 )) = µ∗ (T ∩ E3 ) + µ∗ (T ∩ E1 ∪ E3C ∪ T ∩ E2 ∩ E3C )

= µ∗ (T ∩ E3 ) + µ∗ (T ∩ E1 ∪ T ∩ E2 ),

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Measures From Outer Measures Chapter 12:

because E1 ⊆ E3C and E2 ⊆ E3C since all the En are disjoint. Then, we can apply the first step to
conclude

µ∗ (T ∩ (E1 ∪ E2 ∪ E3 )) = µ∗ (T ∩ E3 ) + µ∗ (T ∩ E2 ) + µ∗ (T ∩ E1 ).

We have therefore shown

3
X
µ∗ (T ∩ (∪3i=1 Ei )) = µ∗ (T ∩ Ei ).
i=1

It is now clear, we can continue this argument by induction to show

n
X
∗
µ (T ∩ (∪ni=1 Ei )) = µ∗ (T ∩ Ei ). (a)
i=1

for any positive integer n. Further, since M is an algebra, induction also shows ∪ni−1 Ei is in M for
any such n. It then follows that for any T in X,

µ∗ (T ) = µ∗ (T ∩ (∪ni=1 Ei )) + µ∗ (T ∩ (∪ni=1 Ei )C ).

Using Equation a, we then have

n
X
∗
µ (T ) = µ∗ (T ∩ Ei ) + µ∗ (T ∩ (∪ni=1 Ei )C ). (b)
i=1

Next, note for all n

T ∩ (∪ni=1 Ei )C ⊇ T ∩ (∪∞ C
i=1 Ei ) ,

and hence
   
∗
µ T ∩ (∪∞
i=1 Ei ) C
≤ µ ∗
T ∩ (∪ni=1 C
Ei ) .

Using this in Equation b, we find

n
X
µ∗ (T ) ≥ µ∗ (T ∩ Ei ) + µ∗ (T ∩ (∪ii=1 nf ty Ei )C ). (c)
i=1

Since this holds for all n, letting n → ∞, we obtain

∞
X
µ∗ (T ) ≥ µ∗ (T ∩ Ei ) + µ∗ (T ∩ (∪ii=1 nf ty Ei )C ). (d)
i=1

Finally, since
∞
[ \
(T ∩ Ei ) = T (∪∞
i=1 Ei ),
i=1

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Measures From Outer Measures Chapter 12:

by the countable subadditivity of µ∗ , it follows that

 \  ∞
[  ∞
X  
µ∗ T (∪∞ E
i=1 i ) = µ∗ (T ∩ Ei ) ≤ µ∗ T ∩ Ei ) .
i=1 i=1

Using this in Equation c, we have

 \   
∗ ∗
µ (T ) ≥ µ T (∪∞
i=1 Ei ) + µ ∗
T ∩ (∪ii=1 nf ty C
Ei ) . (e)

Since this holds for all subsets T , this tells us ∪n En is in M. This proves that M is a σ - algebra.

However, with all this work already done, we can also derive a very nice result which will help us later.
Countable subadditivity of µ∗ gives us
 \   
µ∗ (T ) ≤ µ∗ T (∪∞ E
i=1 i ) + µ∗
T ∩ (∪i
i=1 nf ty E i )C
.

Hence, using countable subadditivity again,

∞
X    
∗ ∗ ∗ i C
µ (T ) ≤ µ T ∩ Ei ) + µ T ∩ (∪i=1 nf ty Ei ) . (f )
i=1

Combining Equation d and Equation f , we find

∞
X    
∗ ∗ ∗ i C
µ (T ) = µ T ∩ Ei ) + µ T ∩ (∪i=1 nf ty Ei ) .
i=1

Thus, letting “T ” be “T ∩ (∪n En )”, we find

∞
X  
∗
µ (T ∩ ∪∞
i=1 Ei ) = µ ∗
T ∩ Ei ) . (g)
i=1

Theorem 12.1.3. The Measure Induced By An Outer Measure

Let X be a non empty set, µ∗ an outer measure on X and M be the collection of µ∗ measurable
subsets of X. Then, M is a σ - algebra and µ∗ restricted to M is a measure we will denote
by µ.

Proof. Recall that M is a σ - algebra if

(i) ∅, X ∈ M.

(ii) If A ∈ M, so is AC .

(iii) If {An }∞ ∞
n=1 ∈ M, then ∪n=1 An ∈ M.

Since we know M is an algebra of sets, all that remains is to show it is closed under countable unions.
We have already shown all the properties of a σ - algebra except closure under arbitrary countable unions.

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Measures From Outer Measures Chapter 12:

The previous theorem, however, does give us closure under countable disjoint unions. So, let (An ) be a
countable collection of sets in M. Letting

E1 = A1
E 2 = A2 \ A1
.. .
. = ..  
n−1
En = An \ ∪i=1 Ai

.. .
. = ..,

we see each En is in M by Theorem 12.1.1. Further, they are pairwise disjoint and so by Theorem
12.1.2, we can conclude ∪n En is in M. But it is easy to see that ∪n En = ∪n An . Thus, M is a σ -
algebra.

To show µ∗ restricted to M, µ, is a measure, we must show

(i): µ(∅) = 0,
(ii): µ(E) ≥ 0, for all E ∈ S,
(iii): µ is countably additive on S; i.e. if (En ) ⊆ S is a countable collection of disjoint sets, then
P
µ(∪n En ) = n µ(En ).
Since µ∗ (∅) = 0, condition (i) follows immediately. Also, we know µ∗ (E) ≥ 0 for all subsets E, and so
condition (ii) is valid. It remains to show countable additivity. Let (Bn ) be a countable disjoint family
in M. We can apply Equation g to conclude, using T = X, that
∞
X  
µ∗ (∩ ∪∞
i=1 Bi ) = µ∗ ∩ Bi ) .
i=1

Finally, since µ∗ = µ on these sets, we have shown µ is countably additive and so is a measure. 

It is also true that the measure constructed from an outer measure in this fashion is a complete measure.

Theorem 12.1.4. The Measure Induced By An Outer Measure Is Complete

If E is a subset of X satisfying µ∗ (E) = 0, then E ∈ M. Also, if F ⊆ E, then F ∈ M as
well, with µ∗ (F ) = 0. Note, this tells us that if µ(E) = 0, then subsets of E are also in M
with µ(F ) = 0; i.e., µ is a complete measure.

Proof. We know µ∗ (T ∩ E) ≤ µ∗ (E) for all T ; hence, µ∗ (T ∩ E) = 0 here. Thus, for any T ,

µ∗ (T ∩ E) + µ∗ (T ∩ E C )
= µ∗ (T ∩ E C ) ≤ µ∗ (T ).

This tells us E satisfies the Caratheodory condition and so is in M. Thus, we have µ(E) = 0. Now, let
F ⊆ E. Then, µ∗ (F ) = 0 also; hence, by the argument above, we can conclude F ∈ M with µ(F ) = 0.


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Measures From Metric Outer Measures Chapter 12:

12.2 Measures From Metric Outer Measures

Definition 12.2.1. Metric Outer Measure
Let (X, d) be a non empty metric space and for two subsets A and B of X, define the distance
between A and B by

D(A, B) = inf { d(a, b) | a ∈ A, b ∈ B }.

If µ∗ is an outer measure on X which satisfies

µ∗ (A ∪ B) = µ∗ (A) + µ∗ (B)

whenever D(A, B) > 0, we say µ∗ is metric outer measure.

The σ algebra of open subsets of X is called the Borel σ algebra B. We can use the construction
process in Section 12.1 to construct a σ algebra of subsets, M, which satisfy the Caratheodory condition
for this metric outer measure µ∗ . This gives us a measure on M. We would like to be able to say that
open sets in the metric spaced are µ∗ measurable. Thus, we want to prove B ⊆ M. This is what we do
in the next theorem. It is becoming a bit cumbersome to keep saying µ∗ measurable for the sets in M.
We will make the following convention for later use: a set in M will be called OMI measurable, where
OMI stands for outer measure induced.
Theorem 12.2.1. Open Sets in a Metric Space Are OMI Measurable
Let (X, d) be a non empty metric space and µ∗ a metric outer measure on X. Then open sets
are OMI measurable.

Proof. let E be open in X. To show E is µ∗ measurable we must show

µ∗ (T ) ≥ µ∗ (T ∩ E) + µ∗ (T ∩ E C )

for all subsets T in X. Since this is true for all subsets with µ∗ (T ) = ∞, it suffices to prove the inequality
is valid for all subsets with µ∗ (T ) finite. Also, we already know ∅ and X are µ∗ measurable, so we can
further restrict our attention to nonempty strict subsets E of X. We will prove this in a series of steps:

Step (i): Let En be defined for each positive integer n by

1
En = { x | D(x, E C ) > }.
n
It is clear En ⊆ E and that En ⊆ En+1 .

Note, if y ∈ En and x ∈ E c , we have d(y, x) > 1/n and so

1
inf d(y, x) ≥
y∈En , x∈E c n

and so D(En , E C ) ≥ 1/n. This immediately tells us

D(T ∩ En , T ∩ E C ) ≥ 1/n

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Measures From Metric Outer Measures Chapter 12:

also for all T .

Since µ∗ is a metric outer measure, we then have

 
∗
µ (T ∩ En ) ∪ (T ∩ E ) C
= µ∗ (T ∩ En ) + µ∗ (T ∩ E C ).

However, we also know En is a subset of E and so

(T ∩ En ) ∪ (T ∩ E C ) ⊆ (T ∩ E) ∪ (T ∩ E C ) = T.

We conclude then
 
∗
µ (T ∩ En ) ∪ (T ∩ E ) C
≤ µ∗ (T ).

Hence, for all T , we have

   
∗ ∗
µ C
T ∩ En ) + µ T ∩ E ) ≤ µ∗ (T ). (∗)

Step (ii): If limn µ∗ (T ∩ En ) = µ∗ (T ), then letting n go to infinity in Equation ∗, we would find

   
µ∗ T ∩ E) + µ∗ T ∩ E C ) ≤ µ∗ (T ).

This means E satisfies the Caratheodory condition and so is µ∗ measurable.

To show this limit acts in this way, we will construct a new sequence of sets (Wn ) that are disjoint from
one another with E = cupn Wn so that the new sets Wn have useful properties. Since E is open, every
point p in E is an interior point. Thus, there is a positive r so that B(p; r) ⊆ E. So, if z ∈ E C , we must
have and d(p, z) ≥ r. It follows that D(p, E C ) ≥ r > r/2. We therefore know that p ∈ En for some n.
Since our choice of p is arbitrary, we have shown

E ⊆ ∪n En .

It was already clear that ∪n En ⊆ E; we conclude E = ∪n En . We then define the needed disjoint
collection (Wn ) as follows

W1 = E1
W2 = E2 \ E1
W 2 = E3 \ E2
.. .. ..
. . .
Wn = En \ En−1

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Measures From Metric Outer Measures Chapter 12:

(It helps to draw a picture here for yourself in terms of the annuli En \ En−1 . We can see that for any
n, we can write
[
T ∩ E = (T ∩ En ) ∪∞
k=n+1 (T ∩ Wk )

as the terms T ∩ Wk give the contributions of each annuli or strip outside of the core En . Hence,
∞
X
µ∗ (T ∩ E) ≤ µ∗ (T ∩ En ) + (T ∩ Wk ) (∗∗)
k=n+1

P∞
because µ∗ is subadditive. At this point, the series sum k=n+1 (T ∩ Wk )could be ∞; we haven’t
determined if it is finite yet.

For any k > 1, if x ∈ Wk , then x ∈ Ek \ Ek−1 and so

1 1
≤ D(x, E C ) ≤ .
k k−1

Next, if x ∈ Wk and y ∈ Wk+p for any p ≥ 2, we can use the triangle inequality with an arbitrary z ∈ E C
to conclude

d(x, z) ≤ d(x, y) + d(y, z).

But, this says

d(x, y) ≥ d(x, z) − d(y, z)

1
≥ D(x, E C ) − d(y, z) > − d(y, z).
k
We have shown the fundamental inequality

1
d(x, y) > − d(y, z), ∀ x ∈ Wk , ∀ y ∈ Wk+p (α)
k

holds for p ≥ 2. The definition of the set Ek+p then implies for these p,

1 1
< D(y, E C ) ≤ . (β)
k+p k+p−1

Now consider how D(y, E C ) is defined. Since this is an infimum, by the Infimum Tolerance Lemma,
given a positive , there is a z ∈ E C so that

D(y, E C ) ≤ d(y, z ) < D(y, E C ) + .

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Measures From Metric Outer Measures Chapter 12:

Hence, using Equation β, we have

−d(y, z ) > −D(y, E C ) − 

1
> − − .
k+p−1

Also, using Equation α, we find

1
d(x, y) > − d(y, z )
k
1 1
> − − − 
k k+p−1
p−1
= − .
k(k + p − 1)

Since  > 0 is arbitrary, we conclude

p−1
d(x, y) ≥ > 0
k(k + p − 1)

for all x ∈ Wk and y ∈ Wk+p with p ≥ 2. Hence,

p−1
D(Wk , Wk+p ) ≥ > 0
k(k + p − 1)

It follows that

D(W1 , W3 ) > 0

and, in general, we find this is true for the successive odd integers

D(W2k+1 , W2k+3 ) > 0.

Since µ∗ is a metric outer measure, this allows us to say

n
X  
µ∗ (T ∩ W2k+1 ) = µ∗ ∪nk=0 T ∩ W2k+1
k=0
 
≤ µ∗ ∪∞
k=0 T ∩ W 2k+1 ≤ µ∗ (T ).

A similar argument shows that successive even integers satisfy

D(W2k , W2k+2 ) > 0.

Again, as µ∗ is a metric outer measure, this allows us to say

n
X  
∗ ∗
µ (T ∩ W2k ) = µ ∪nk=0 T ∩ W2k .
k=0

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Measures From Metric Outer Measures Chapter 12:

Therefore, we have
n
X  
µ∗ (T ∩ W2k ) ≤ µ∗ ∪∞
k=0 T ∩ W 2k
k=0
≤ µ∗ (T ).

We conclude
n
X X X
µ∗ (T ∩ Wk ) = µ∗ (T ∩ Wk ) + µ∗ (T ∩ Wk )
k=0 k even k odd
≤ 2 µ∗ (T )

µ∗ (T ∩ Wk ) converges to a finite number.

P
for all n. This implies the sum k

Since the series converges, we now know given  > 0, there is an N so that
∞
X
µ∗ (T ∩ Wk ) < ,
k=n

for all n > N . Now go back to Equation ∗∗. We have for any n > N ,

µ∗ (T ∩ E) ≤ µ∗ (T ∩ En ) + .

This tells us

µ∗ (T ∩ E) ≤ µ∗ (T ∩ En ), ∀ n > N,

or µ∗ (T ∩ En ) → µ∗ (T ∩ E). By our earlier remark, this completes the proof. 

We can even prove more.

Theorem 12.2.2. Open Sets In A Metric Space Are µ∗ Measurable If and Only If µa st Is A
Metric Outer Measure
Let X be a non empty metric space. Then Open sets are µ∗ measurable if and only if µ∗ is a
metric outer measure.

Proof. If we assume µ∗ is a metric outer measure, then opens sets are µ∗ measurable by Theorem 12.2.1.

On the other hand if we know that all the open sets of µ∗ measurable, this implies all Borel sets are µ∗
measurable as well. Let A and B be any two sets with D(A, B) = r > 0. For each x ∈ A, let

G(x) = { u | d(x, u) < r/2 }

and
[
G = G(x).
x∈A

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Constructing Outer Measures Chapter 12:

Then G is open, A ⊆ G and G ∩ B = ∅. Since G is measurable, it satisfies the Caratheodory condition

using test set T = A ∪ B; thus,
     
µ∗ A ∪ B = µ∗ (A ∪ B ∩ G) + µ∗ (A ∪ B ∩ GC ).


But (A ∪ B ∩ G is simplified to A because A ⊆ B and B is disjoint from G. Further since A is disjoint

from GC and B ⊆ G , we have (A ∪ B ∩ GC = B. We conclude
C

   
µ∗ A ∪ B = µ∗ A) + µ∗ B).

This shows µ∗ is a metric outer measure. 

12.3 Constructing Outer Measures

We still have to find ways to construct outer measures. We want the resulting OMI measure we induce
have certain properties useful to us. Let’s discuss how to do this now.

Definition 12.3.1. Premeasures and Covering Families

Let X be a nonempty set. Let T be a family of subsets of X that contains the empty set. This
family is called a covering family for X. Let τ be a mapping on T so that τ (∅) = 0. The
mapping τ is called a premeasure.

It is hard to believe, but even with virtually no restrictions on τ and T , we can build an outer
measure.

Theorem 12.3.1. Constructing Outer Measures Via Premeasures

Let X be a nonempty set. Let T be a covering family of subsets of X and τ : T → [0, ∞] be
a premeasure. For any A in X, define
X
µ∗ (A) = inf { τ (Tn ) | Tn ∈ T , A ⊆ ∪n Tn }
n

where the sequence of sets (Tn ) from T is finite or countably infinite. Such a sequence is
called a covering family. In the case where there are no sets from T that cover A, we define
the infimum over the resulting empty set to be ∞. Then µ∗ is an outer measure on X.

Proof. To verify the mapping µ∗ is an outer measure on X, we must show

(i): µ∗ (∅) = 0.

(ii): If A and B are subsets of X with A ⊆ B, then µ∗ (A) ≤ µ∗ (B).

(iii): If (An ) is a sequence of disjoint subsets of X, then µ∗ ( ∪n An ) ≤ µ∗ (An ).

P
n

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Constructing Outer Measures Chapter 12:

It is straightforward to see condition (i) and (ii) are true. It suffices to prove condition (iii) is valid.
Let (An ) be a countable collection, finite or infinite, of subsets of X. If there is an index n with τ (An )
infinite, then since µ∗ (∪n An ) ≤ ∞ anyway, it is clear
∞
X
∗
µ (∪∞
i=1 Ai ) ≤ µ∗ (Ai ) = ∞.
i=1

On the other hand, if µ∗ (An ) is finite for all n, given any  > 0, we can use the Infimum Tolerance
Lemma to find a sequence of families (Tn k ) in T so that
∞
X 
τ (Tn k ) < µ∗ (An ) + .
2n
k=1

We also know that

∞
[ ∞ [
[ ∞
An ⊆ Tn k .
n=1 n=1 k=1

Hence, the collection ∪n ∪k Tn k is a covering family for ∪n An ) and so by the definition of µ∗ , we have
∞
[  ∞ X
X ∞  
∗ ∗
µ An ≤ µ Tn k
n=1 n=1 k=1
∞
X
∗ 
≤ {µ (An ) + }
n=1
2n
X∞
≤ µ∗ (An ) + .
n=1

Since  is arbitrary, we see µ∗ is countable subadditive and so is an outer measure. 

There is so little known about τ and T , that it is not clear at all that

(i): T ⊆ M, where M is the σ - algebra of sets that satisfy the Caratheodory condition for the outer
measure µ∗ generated by τ . If this is true, we will call M an OMI-F σ - algebra, where the “F”
denotes the fact that the covering family is an algebra.

(ii): If A ∈ T , then τ (A) = µ(A) where µ is the measure obtained by restricting µ∗ to M. If this is
true, we will call the constructed σ - algebra, an OMI-FE σ - algebra, where the “E” indicates the
fact the µ restricted to T recovers τ .

If τ represents some primitive notion of size of special sets, like length of intervals on the real line,
we normally want both condition (i) and (ii) above to be valid. We can obtain these results if we add a
few more properties to τ and T . First, T needs to be an algebra (which we have already defined) and
τ needs to be additive on the algebra.

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Constructing Outer Measures Chapter 12:

Definition 12.3.2. Additive Set Function

Let A of subsets of the set X be an algebra. Let ν be an extended real valued function defined
on A which satisfies

(i): ν(∅) = 0.

(ii): If A and B in A are disjoint, then ν(A ∪ B) = ν(A) + ν(B).

Then ν is called an additive set function on A.

We also need a property of outer measures called regularity.

Definition 12.3.3. Regular Outer Measures

Let X be a nonempty set, µ∗ be an outer measure on X and M be the set of all µ∗ measurable
sets of X. The outer measure µ∗ is called regular if for all E in X there is a µ∗ measurable
F ∈ M so that E ⊆ F with µ∗ (E) = µ(F ), where µ is the measure induced by µ∗ on M. The
set F is often called a measurable cover for E.

We begin with a technical lemma.

Lemma 12.3.2. Condition For Outer Measure To Be Regular

Let X be a nonempty set, T a covering family and τ a premeasure. Then if the σ - algebra,
M, generated by τ using T contains T , µ∗ is regular.

Proof. Let A be a subset in X. We need to show there is measurable set B containing A so that
µ∗ (A) = µ(B). If the mu∗ (A) = ∞, then we can choose X as the needed set. Otherwise, we have µ∗ (A)
is finite. Applying the Infimum Tolerance Lemma, for each m, there is a family of sets (Enm ) so that
A ⊆ ∪n Enm ) and
X 1
τ (Enm ) < µ∗ (A) + .
n
m

Let
[
Em = Enm
n
\
H = Em ;
m

these sets are measurable by assumption. Also, A ⊆ H and H ⊆ Em . Hence, µ∗ (A) ≤ µ(H). We now
show the reverse inequality. For each m, we have
X X
µ∗ (Em ) ≤ µ∗ (Enm ) ≤ τ (Enm )
n n
1
≤ µ∗ (A) + .
m
Further, since H ⊆ Em for each m, we find

1
µ(H) ≤ µ∗ (Em ) ≤ µ∗ (A) + .
m

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Constructing Outer Measures Chapter 12:

This is true for all m; hence, it follows that µ(H) ≤ µ∗ (A). Combining inequalities, we have µ(H) =
µ∗ (A) and so H is a measurable cover. Thus, µ∗ is regular. 

Theorem 12.3.3. Conditions For OMI-F Measures

Let X be a nonempty set, T a covering family which is an algebra and τ an additive set
function on T . Then the σ - algebra, M, generated by τ using T contains T and µ∗ is
regular.

Proof. By Lemma 12.3.2, it is enough to show each member of T is measurable. So, let A be in T .
As usual, it suffices to show that

µ∗ (T ) ≥ µ∗ (T ∩ A) + µ∗ (T ∩ AC )

for all sets T of finite outer measure. This will show A satisfies the Caratheodory condition and hence,
is measurable. Let  > 0 be given. By the Infimum Tolerance Lemma, there is a family (An ) from T so
that T ⊆ ∪n An and
X
τ (An ) < µ∗ (T ) + .
n

since τ is additive on T , we know

τ (An ) = τ (A ∩ An ) + τ (AC ∩ An ).

Also, we have
\ [ \ [
A T ⊆ (A ∩ An ), and AC T ⊆ (AC ∩ An ).
n n

Hence,
X X
µ∗ (A ∩ T ) leq µ∗ (A ∩ An ), µ∗ (AC ∩ T ) ≤ µ∗ (AC ∩ An ). (α)
n n

X X X
µ∗ (T ) +  > τ (An ) = τ (An ∩ A) + τ (An ∩ AC )
n n n
X X
≥ µ∗ (An ∩ A) + µ∗ (An ∩ AC )
n n
∗ ∗ C
≥ µ (A ∩ T ) + µ (A ∩ T ),

by Equation α. Thus, A satisfies the Caratheodory condition and is measurable. 

In order for condition (ii) to hold, we need to add one more additional property to τ : it needs to be
a pseudo-measure.

230
Worked Out Problems Chapter 12:

Definition 12.3.4. Pseudo-Measure

Let the mapping τ : A → [0, ∞] be additive on the algebra A. Assume whenever (Ai ) is a
countable collection of disjoint sets in A whose union is also in A (note this is not always
true because A is not a σ - algebra), then it is true that
X
τ (∪i Ai ) = τ (Ai ).
i

Such a mapping τ is called a pseudo-measure on A.

Theorem 12.3.4. Conditions For OMI-FE Measures

Let X be a nonempty set, T a covering family which is an algebra and τ an additive set
function on T which is a pseudo-measure. Then the σ - algebra, M, generated by τ using T
contains T , µ∗ is regular and µ(T ) = τ (T ) for all T in A.

Proof. see Bruckner. 

Comment 12.3.1. The results above tell us that we can construct measures satisfying condition (i) and
(ii) as long as the premeasure is a pseudo-measure and the covering family is an algebra. This means
the covering family must be closed under complementation. Hence, if we a covering family such as the
collection of all open intervals ( which we do when we construct Lebesgue measure later) these theorems
do not apply.

12.4 Worked Out Problems

Let’s work out a specific examples of this process to help the ideas sink in. Note the covering families
here to not simply contain open intervals!

Example 12.4.1. Let U be the family of subsets of < of the form (a, b], (−∞, b], (a, ∞) and (−∞, ∞).
It is easy to show that F, the collection of all finite unions of sets from U is an algebra of subsets of <.
Let τ be the usual length of an interval. and extend τ to F additively. This extended τ is a premeasure
on F. τ can then be used to define an outer measure as usual µ∗ (τ ). There is then an associated σ -
algebra of µ∗τ measurable sets of <, Mτ , and µ∗τ restricted to Mτ is a measure is a measure, µτ .
We will now prove F is contained in Mτ . Let’s consider the set I from U. Let T be any subset of <
and let  > 0 be given. Then there is a cover (An ) of sets from the algebra F so that
X
τ (An ) ≤ µ∗τ (T ) + .
n

Now I ∩ T ⊆ ∪n (An ∩ I) and I C ∩ T ⊆ ∪n (An ∩ I C ). So because F is an algebra, this means (An ∩ I)

covers I ∩ T and (An ∩ I C ) covers I C ∩ T . Hence,
X
µ∗τ (T ∩ I) ≤ τ (An ∩ I),
n
X
µ∗τ (T ∩ I C ) ≤ τ (An ∩ I C ).
n

231
Worked Out Problems Chapter 12:

Combining, we see

X 
µ∗τ (T ∩ I) + µ∗τ (T C
∩I ) ≤ τ (An ∩ I) + τ (An ∩ I ) .C

But τ is additive on F, and hence

X  X
τ (An ∩ I) + τ (An ∩ I C ) = τ (An ).
n n

Thus,

µ∗τ (T ∩ I) + µ∗τ (T ∩ I C ) ≤ µ∗τ (T ) + .

Since  > 0 is arbitrary, we have shown I satisfies the Caratheodory condition. This shows that I is
OMI measurable and so F ⊆ Mτ .

Example 12.4.2. Let U be the family of subsets of < of the form (a, b], (−∞, b], (a, ∞) and (−∞, ∞)
and the empty set. It is easy to show that F, the collection of all finite unions of sets from U is an
algebra of subsets of <. Let g be the monotone increasing function on < defined by g(x) = x2 . Note g is
right continuous which means

lim g(x + h) exists , ∀ x,

h→0+
lim g(x) exists,
x→−∞
lim g(x) exists.
x→∞

where the last two limits are −∞ and ∞ respectively. Define the mapping τg on U by
 
τg (a, b] = g(b) − g(a),
 
τg (−∞, b) = g(b) − lim g(x),
x→−∞
 
τg (a, ∞) = lim g(x) − g(a),
x→∞
 
τg (−∞, ∞) = lim g(x) − lim g(x).
x→∞ x→−∞

Extend τg to F additively as usual. This extended τg is a premeasure on F. τg can then be used to define
an outer measure as usual µ∗ (g). There is then an associated σ - algebra of µ∗g measurable sets of <,
Mg , and µ∗g restricted to Mg is a measure, µg .

We will now prove F is contained in Mg . Let’s consider the set I from U. Let T be any subset of <
and let  > 0 be given. Then there is a cover (An ) of sets from the algebra F so that
X
τg (An ) ≤ µ∗g (T ) + .
n

232
Homework Chapter 12:

Now I ∩ T ⊆ ∪n (An ∩ I) and I C ∩ T ⊆ ∪n (An ∩ I C ). So

X
µ∗g (T ∩ I) ≤ τg (An ∩ I),
n
X
µ∗g (T ∩ I C ) ≤ τg (An ∩ I C ).
n

Combining, we see

X 
µ∗g (T ∩ I) + µ∗g (T ∩ I C ) ≤ τg (An ∩ I) + τg (An ∩ I C ) .
n

But τg is additive on F, and hence

X  X
C
τg (An ∩ I) + τg (An ∩ I ) = τg (An ).
n n

Thus,

µ∗g (T ∩ I) + µ∗g (T ∩ I C ) ≤ µ∗g (T ) + .

Since  > 0 is arbitrary, we have shown I satisfies the Caratheodory condition. This shows that I is
OMI measurable and so F ⊆ Mg .

12.5 Homework
Exercise 12.5.1. Let X = (0, 1]. Let A consist of the empty set and all finite unions of half- open
intervals of the form (a, b] from X. Prove A is an algebra of sets of (0, 1].

Exercise 12.5.2. Let A be the algebra of subsets of (0, 1] given in Exercise 12.5.1. Let f be an arbitrary
function on [0, 1]. Define νf on A by
 
νf (a, b] = f (b) − f (a).

Extend νf to be additive on finite disjoint intervals as follows: if (Ai ) = (ai , bi ]) is a finite collection of
disjoint intervals of (0, 1], we define
  n
X
νf ∪ni=1 (ai , bi ] = f (bi ) − f (ai ).
i=1

1. Prove that νf is additive on A.

Hint. It is enough to show that the value of νf (A) is independent of the way in which we write
A as a finite disjoint union.

2. Prove νf is non negative if and only if f is non decreasing.

Exercise 12.5.3. If λ is an additive set function on an algebra of subsets A, prove that λ can not take
on both the value ∞ and −∞.

233
Homework Chapter 12:

Hint. If there is a set A in the algebra with λ(A) = ∞ and there is a set B in the algebra with
λ(B) = −∞, then we can find disjoint sets A0 and B 0 in A so that λ(A0 ) = ∞ and λ(B 0 ) = −∞.
But this is not permitted as the value of λ(A0 ∪ B 0 ) must be a well - defined extended real value not the
undefined value ∞ − ∞.

Exercise 12.5.4. Let T be a covering family for a nonempty set X. Let τ be a non negative, possibly
infinite valued premeasure. For any A in X, define
X
µ∗ (A) = inf { τ (Tn ) | Tn ∈ T , A ⊆ ∪n Tn }
n

where the sequence of sets (Tn ) from T is finite or countably infinite. In the case where there are no
sets from T that cover A, we define the infimum over the resulting empty set to be ∞.

Prove µ∗ is an outer measure on X.

Exercise 12.5.5. Let X = {1. 2, 3} and T consist of ∅, X and all doubleton subsets {x, y} of X. Let
τ satisfy

(i): τ (∅) = 0.
 
(ii): τ {x, y} = 1 for all x 6= y in X.

(iii): τ (X) = 2.

(a): Prove the method of Exercise 12.5.4 gives rise to an outer measure µ∗ defined by µ∗ (∅) = 0,
µ∗ (X) = 2 and µ∗ (A) = 1 for any other subset A of X.

(b): Now do the construction process again letting τ (X) = 3. What changes?

Exercise 12.5.6. Let X be the natural numbers N and let τ consist of ∅, N and all singleton sets. Define
τ (∅) = 0 and τ ({x}) = 1 for all x in N.

(a): Let τ (N) = 2. Prove the method of Exercise 12.5.4 gives rise to an outer measure µ∗ . Determine
the family of measurable sets (i.e., the sets that satisfy the Caratheodory Condition ).

(b): Let τ (N) = ∞ and answer the same questions as in Part (a).

(c): Let τ (N) = 2 and set τ ({x}) = 2−(x−1) . Now answer the same questions as in Part (a).

(d): Let τ (N) = ∞ and again set τ ({x}) = 2−(x−1) . Now answer the same questions as in Part (a).
You should see N is measurable but τ (N) 6= µ(N), where µ denotes the measure constructed in the
process of Part (a).

(e): Let τ (N) = 1 and again set τ ({x}) = 2−(x−1) . Now answer the same questions as in Part (a).
What changes?

234
Chapter 13
Lebesgue Measure

We will now construct Lebesgue measure on <k . We will begin by defining the mapping µ∗ on the
subsets of <k which will turn out to be an outer measure. The σ - algebra of subsets that satisfy the
Caratheodory condition will be called the σ - algebra of Lebesgue measurable subsets. We will denote
this σ - algebra by M as usual. We will usually be able to tell from context what σ - algebra of subsets
we are working with in a given study area or problem. The primary references here are again (Bruckner
et al. (1) 1997) . and (Taylor (7) 1985) . We like the development of Lebesgue measure in (Taylor (7)
1985) better than that of (Bruckner et al. (1) 1997) and so our coverage reflects that. In all cases, we
have added more detail to the proofs of propositions to help you build your analysis skills by looking
hard at many interesting and varied proof techniques.

13.1 Lebesgue Outer Measure and Measure

We will be working in <k for any positive integer k. We have to work our way through a fair bit of
definitional material; so be patient while we set the stage. We let x = (x1 , x2 , . . . , xk ) denote a point
in the Euclidean space <k . An open interval in <k will be denoted by I and it is determined by the
cross - product of k intervals of the form (ai , bi ) where each ai and bi is a finite real number. Hence, the
interval I has the form

I = Πki=1 (ai , bi ).

The interval (ai , bi ) is called the ith edge of I and the number `i = bi − ai is the length of the ith edge.
The content of the open interval I is the product of the edge lengths and is denoted by |I|; i.e.
 
|I| = Πki=1 bi − ai .

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Lebesgue Outer Measure and Measure Chapter 13:

We need additional terminology. The center of I is the point

a1 + b1 a2 + b2 ak + bk
p=( , ,..., );
2 2 2
if the interval J has the same center as the interval I, we say the intervals are concentric.
If I and J are intervals, for convenience of notation, let `J and `I denote the vector of edge lengths of J
and I, respectively. In general, there is no relationship between `J and `I . However, there is a special
case of interest. We note that if J is concentric with I and each edge in `J is a fixed multiple of the
corresponding edge length in `I , we can say `J = λ `I for some constant λ. In this case, we write J = λ I.
It then follows that |J| = λk |I|.

We are now ready to define outer measure on <k . Following Definition 12.3.1, we define a suitable
covering family T and premeasure τ . Then, the mapping µ∗ defined in Theorem 12.3.1 will be an outer
measure. For ease of exposition, let’s define this here.

Definition 13.1.1. Lebesgue Outer Measure

Let T be the the collection of all open intervals in <k and define the premeasure τ by τ (I) = |I|
for all I in T . For any A in X, define
X
µ∗ (A) = inf { |In | | In ∈ T , A ⊆ ∪n In }
n

We will call a collection (In ) whose union contains A a Lebesgue Cover of A.

Then, µ∗ is an outer measure on <k and as such induces a measure through the usual Caratheodory
condition route. It remains to find its properties. The covering family here is not an algebra, so we can
not use Theorem 12.3.3 and Theorem 12.3.4 to conclude
(i): T ⊆ M; i.e. M is an OMI-F σ - algebra.
(ii): If A ∈ T , then |A| = µ(A); i.e. M is an OMI-FE σ - algebra.
However, we will be able to alter our original proofs to get these results with just a little work.

Comment 13.1.1. (i): If I is an interval in <k , then (I) covers I itself and so by definition µ∗ (I) ≤
|I|.
(ii): If {x} is a singleton set, choose any open interval I that has x as its center. Then, I is a cover of
{x} and so µ∗ ({x}) ≤ |I|. We see the the concentric intervals 1/2n I also are covers of {x} and
so µ∗ ({x}) ≤ 1/2n for all n. It follows µ∗ ({x}) = 0.
(iii): From (ii), it clear that µ∗ (E) = 0 if E is a finite set.
(iv): If E is countable, label its points by (an ). Let  > 0 be given. Then by the Infimum Tolerance
Lemma, there are intervals In having an as a center so that |In | < /2n . Then the intervals (In )
cover E and by definition,
X X
µ∗ (E) ≤ |In | ≤ /2n = .
n n

Since  is arbitrary, we see µa st(E) = 0 if E is countable.

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Lebesgue Outer Measure and Measure Chapter 13:

We want to see if µ∗ (I) = |I|. This is not clear since our covering family is not an algebra. We now
need a technical lemma.

Lemma 13.1.1. Sums Over Finite Lebesgue Covers Of I Dominate |I|

Let I be any interval of <k and let (I1 , . . . , IN ) be any finite Lebesgue cover of I. Then

N
X
|In | ≥ |I|.
n=1

The proof is based on an algorithm that cycles through the covering sets Ii one by one and picks
out certain relevant subintervals. We can motivate this by looking at an interval I in <2 whose closure
is covered by 3 overlapping intervals I1 , I2 and I3 . This is shown in Figure 13.1. We do not attempt
to indicate the closure of I in this figure nor the fact that the intervals I1 and so forth are open. We
simply draw boxes and you can easily remove or add edges in your mind to open an interval or close it.

I1
I2

An example in <2 : cover I1 ,

I2 and I3 of I.

I
I3

Figure 13.1: Motivational Lebesgue Cover

These four intervals all have endpoints on both the x and y axes. If we draw all the possible constant
x and constant y lines corresponding to these endpoints, we subdivide the original four intervals into
many smaller intervals as shown in Figure 13.2.
In particular, if we looked at interval I1 , it is divided into 16 subintervals (J1 , i), for 1 ≤ i ≤ 16 as
shown in Figure 13.3.
These rectangles are all disjoint and

16
[
I1 = J 1, i .
i=1

although we won’t show it in a figure, I2 and I3 are also sliced up into smaller intervals; using the same
left to right and then downward labeling scheme that we used for I1 , we have

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Lebesgue Outer Measure and Measure Chapter 13:

I1 , I2 , I3 and I determine
subdivisions into smaller in-
tervals.

Figure 13.2: Subdivided Lebesgue Cover

• I2 is divided by 4 horizontal and 4 vertical lines into 16 disjoint subintervals, J2,1 to J2,16 . Further,

16
[
I2 = J 2, i .
i=1

• I3 is divided by 4 horizontal and 6 vertical lines into 24 disjoint subintervals, J3,1 to J3,24 . We
thus know
24
[
I3 = J 3, i .
i=1

Finally, I is also subdivided into subintervals: it is divided by 4 horizontal and 2 vertical lines into 8
disjoint subintervals, J1 to J8 and

8
[
I = J i.
i=1

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Lebesgue Outer Measure and Measure Chapter 13:

J1,1 J1,2 J1,3 J1,4

J1,5 J1,6 J1,7 J1,8

I1
J1,9 J1,10 J1,11 J1,12

I1 is subdivided into 16 new

J1,13 J1,14 J1,15 J1,16 rectangles, J1,1 to J1,16 .

Figure 13.3: Subdivided I1

We also know
8
X
|I| = |Ji |,
i=1
16
X
|I1 | = |J1,i |,
i=1
16
X
|I2 | = |J2,i |,
i=1
24
X
|I3 | = |J3,i |.
i=1

Now look at Figure 13.2 and you see immediately that the intervals Jkj and Jpq are either the same
or are disjoint. For example, the subintervals match when interval I2 and I3 overlap. We can conclude
each Ji is disjoint from a Jkj or it equals Jkj for some choice of k and j. Here is the algorithm we want
to use:
Step 1: We know I ⊆ I1 ∪ I2 ∪ I3 and J1 = Jn1 ,q1 where n1 is the smallest index from 1, 2 or 3 which

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Lebesgue Outer Measure and Measure Chapter 13:

works. For this fixed n1 , consider the collection

S n1 = {Jn1 ,1 , . . . , Jn1 ,p(n1 ) }

where we are using the symbol p(n1 ) to denote the number of subintervals for In1 . Thus, p(1) = p(2) = 16
and p(3) = 24 in our example. In our example, we find n1 = 1 and

J1 = J1,12
S1 = {J1,1 , . . . , J1,16 .}

Look at Figure 13.4 to see what we have done so far.

J1 J2

I is subdivided into 8 new

rectangles, J1 to J8 . The
J3 J4 shaded part is covered by
I I1 .

J5 J6

J7 J8

Figure 13.4: The Part Of I Covered by I1

By referring to Figure 13.2, you can see J1 = J1,12 and J3 = J1,16 . Now, let

T n1 ≡ T1 = {i | ∃k 3 Ji = Jn1 ,k }.

Here T1 = {1, 3}. Also, let

Un1 ≡ U1 = {k | ∃i 3 Jn1 ,k = Ji }.

We see U1 = {12, 16}.

Step 2: Now look at the indices

V n1 ≡ V1 = {1, 2, 3, . . . , 8} \ T1
= {2, 4, 5, 6, 7, 8}.

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Lebesgue Outer Measure and Measure Chapter 13:

The smallest index in this set is 2. Next, find the smallest index n2 so that

J2 = Jn2 ,k

for some index k. From Figure 13.2, we see both I2 and I3 intersect I \ I1 . The smallest index n2 is thus
n2 = 2. The index k that works is 7 and so J2 = J2,7 . In figure 13.5, we have now shaded the part of I
not in I1 that lies in I2 .

J1 J2

I is subdivided into the 8

new rectangles, J1 to J8 .
The two shaded parts are
J3 J4 covered by I1 (lighter shad-
I ing) and I2 (darker shading).

J5 J6

J7 J8

Figure 13.5: The Part Of I Covered by I1 and I2

We can see that J2 = J2,7 , J4 = J2,11 , J5 = J2,14 and J6 = J2,15 . Let

T n2 ≡ T2 = {i ∈ V1 | ∃k 3 Ji = Jn2 ,k }.

Here T2 = {2, 4, 5, 6}. Also, let

Un2 ≡ U2 = {k | ∃i 3 Jn2 ,k = Ji }.

We see U1 = {7, 11, 14, 15}.

Step 3: Now look at the indices

V n2 ≡ V2 = {1, 2, 3, . . . , 8} \ (T1 ∪ T2 )
= {7, 8}.

The smallest index in this set is 7. Next, find the smallest index n3 so that

J7 = Jn3 ,k

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Lebesgue Outer Measure and Measure Chapter 13:

for some index k. From Figure 13.2, we see both I2 and I3 intersect I \ (I1 ∪ I2 ). The smallest index n3
must be 3 and so n3 = 3. The index k that works now is 15 and we have J7 = J3,15 . In figure 13.6, we
have now shaded the part of I not in I1 ∪ I2 that lies in I3 .

J1 J2
I is subdivided into the 8
new rectangles, J1 to J8 .
The three shaded parts are
J3 J4 covered by I1 (lighter shad-
I ing) and I2 (darker shading)
and I3 (darkest shading).

J5 J6

J7 J8

Figure 13.6: The Part Of I Covered by I1 , I2 and I3

In fact, we have J7 = J3,15 and J8 = J3,16 . Thus, we set

T n3 ≡ T3 = {i ∈ V2 | ∃k 3 Ji = Jn3 ,k }
= {7, 8}.

Also, we let

Un3 ≡ U3 = {k | ∃i 3 Jn3 ,k = Ji }.

We see U1 = {15, 16}.

We have now expressed each Ji as some Jn1 ,k through Jn3 ,k . We are now ready to finish our argument.

Step 4: We have

{1, . . . , 8} = T n1 ∪ T n2 ∪ T n3
= T1 ∪ T2 ∪ T3 .

Thus,

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Lebesgue Outer Measure and Measure Chapter 13:

p(n3 ) 24
X X X
|Jn3 ,k | ≤ |Jn3 ,k | = |J3,k | ≤ |I3 |,
k∈Un3 =U3 k=1 k=1
p(n2 ) 16
X X X
|Jn2 ,k | ≤ |Jn2 ,k | = |J2,k | ≤ |I2 |,
k∈Un2 =U2 k=1 k=1
p(n1 ) 16
X X X
|Jn1 ,k | ≤ |Jn1 ,k | = |J1,k | ≤ |In1 |.
k∈Un1 =U1 k=1 k=1

Thus,

8
X 3
X X
|I| = |Ji | = |Jnp ,k |
i=1 p=1 k∈U (np )
3
X
≤ |Inp |.
p=1

This proves that

3
X
|I| ≤ |Ii |.
i=1

This is our desired proposition for a particular example set in <2 using three intervals. We are now
ready to adapt this algorithm to prove the general result.

Proof. We are given intervals I1 to IN in <k whose union covers I. Each interval Ii is the product

(αi1 , βi1 ) × · · · × (αik , βik ),

and I is the product

(α1 , β1 ) × · · · × (αk , βk ).

On the xj axis, the N intervals and the interval I determine a collection of points

{(α1j , β1j ), xj edge from interval I1 ;

(α2j , β2j ), xj edge from interval I2 ;
..
.
(αN j , βN j ), xj edge from interval IN ;
(αj , βj ), xj edge from interval I.

We do not care if these points are ordered. These xj axis points, for 1 ≤ j ≤ k, “slice” the intervals
I1 through IN and I into smaller intervals just as we did in the example for <2 shown in Figure 13.2.

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Lebesgue Outer Measure and Measure Chapter 13:

We have

I −→ J1 , . . . , Jp
I1 −→ J11 , . . . , J1,p(1)
..
.
IN −→ JN 1 , . . . , JN,p(1) .

Step 1: Look at J1 . There is a smallest index n1 so that J − 1 = Jn1 ,` for some `. Let

T n1 = { i{1, . . . , p} | ∃ ` 3 Ji = Jn1 ,` },
Un1 = { ` | ∃ i 3 Ji = Jn1 ,` }.

This uses up Tn1 of the indices {1, . . . , p}. You can see this process in Figure 13.4.

Step 2: Let

V1 = {1, . . . , p} \ Tn1 }

and let q be the smallest index from the set V1 . For this q, find the smallest index n2 6= n1 so that
Jq = Jn2 ,` for some `. This is the process we are showing in Figure 13.5. We define

T n2 = { i ∈ V1 | ∃ ` 3 Ji = Jn2 ,` },
Un2 = { ` | ∃ i ∈ V1 3 Ji = Jn2 ,` }.

This uses up more of the smaller subintervals I1 to Ip .

Additional Steps : Let

V2 = {1, . . . , p} \ (Tn1 ∪ Tn2 )}.

We see V2 is a smaller subset of the original {1, . . . , p} than V1 . We continue this construction process
until we have used up all the indices in {1, . . . , p}. This takes say Q steps and we know Q ≤ p.

Final Step: After the process terminates, we have

p
X
|I| = |Ji |
i=1
Q
X X
= |Jnp ,` |
p=1 ` ∈ U (np )
Q
X N
X
≤ |Inp | ≤ |Ii |.
p=1 i=1

this completes the proof. 

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Lebesgue Outer Measure Is A Metric Outer Measure Chapter 13:

We can now finally prove that µ∗ (I) = |I|. Note that we have to work this hard because our original
covering family was not an algebra! The final arguments are presented in the next two lemmatta.

Lemma 13.1.2. µ∗ (I = |I|

Let I be an open interval in <k . Then µ∗ (I) = |I|.

Proof. Let (In ) be any Lebesgue cover of I. Since I is compact, this cover has a finite subcover,
In1 , . . . , InN . Applying Lemma 13.1.1, we see

N
X X
|I| ≤ |Ini | ≤ |Ii |.
i=1 i

Since (In ) is an arbitrary cover of I, we then have |I| is a lower bound for the set
X
{ |In | | (In ) is a cover of I}.
n

It follows that

|I| ≤ µ∗ (I).

To prove the reverse inequality holds, let U be an open interval concentric with I so that I ⊆ U . Then
U is a cover of I and so µ∗ (I) ≤ |U |. Hence, for any concentric interval, λI, 1 < λ < 2, we have
µ∗ (I) ≤ λk |I|. Since this holds for all λ > 1, we can let λ → 1 to obtain µ∗ (I) ≤ |I|. 

Lemma 13.1.3. µ∗ (I) = |I|

If I is an open interval of <k , then µ∗ (I) = |I|.

Proof. We know I is a cover of itself, so it is immediate that µ∗ (I) ≤ |I|. To prove the reverse inequality,
let λI be concentric with I for any 0 < λ < 1. Then, λI ⊆ I and since µ∗ is an outer measure, it is
monotonic and so

µ∗ (λI) ≤ µ∗ (I).

But µ∗ (λI) = λk |I|. We thus have λk |I| ≤ µ∗ (I) for all λ ∈ (0, 1). Letting λ → 1, we obtain the desired
inequality. 

13.2 Lebesgue Outer Measure Is A Metric Outer Measure

We have now shown that if I ∈ T , then |I| = µ∗ (I). However, we still do not know that the intervals I
from T are µ∗ measurable. We will do this by showing that Lebesgue outer measure is a metric outer
measure. Then, it will follow from Theorem 12.2.1 that the open sets in <k are µ∗ measurable, i.e. are in
M. Of course, this implies T ⊆ M as well. Then, since an interval I is measurable, we have |I| = µ(I).
Let’s prove µ∗ is a metric outer measure. We begin with a technical definition.

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Lebesgue Outer Measure Is A Metric Outer Measure Chapter 13:

Definition 13.2.1. The Mδ Form of µ∗

For any set E is <k and any δ > 0, let
X
Mδ (E) = inf { |In | | (In ) covers E, In is an interval ∈ Rk , each edge of In is less than δ}.
n

Next, we need a technical lemma concerning finite Lebesgue covers.

Lemma 13.2.1. Approximate Finite Lebesgue Covers Of I.

Let I be a open interval and let I denote its closure. Let  and δ be given positive numbers.
Then there exists a finite Lebesgue Covering of I, I1 , . . . , IN so that each edge of Ii has length
less than δ and

|I1 | + · · · + |IN | < |I| + 

Proof. Let

I = Πki=1 (ai , bi )

and divide each component interval (ai , bi ) into ni uniform pieces so that (bi − ai )/2 < δ/2. This deter-
mines ni open intervals of the form (aij , bij ) for 1 ≤ j ≤ ni with bij − aij < δ/2.

Let N = n1 n2 · nk and let J = (j1 , . . . , jk ) denote the k - tuple of indices chosen so that 1 ≤ ji ≤ ni .
There are N of these indices. Let j indicate any such k - tuple. Then j determines an interval Ij where

Ij = Πki=1 (aij , bij ), with (bij − aij ) < δ/2.

Hence, |Ij | < (δ/2)k . It is also clear that

X
|Ij | = |I|.

Now choose concentric open intervals λIj for any λ with 1 < λ < 2. Then since λ > 1, (λIj over all k
- tuples j is a Lebesgue cover of I, we have

|λIj | = λk |Ij |

and so
X X
|λIj | = λk |Ij |
= λk |I|.

Since λk → 1, for our given  > 0, there is a η > 0 so that if 1 < λ < 1 + η, we have

λk − 1 < .
|I| + 1

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Lebesgue Outer Measure Is A Metric Outer Measure Chapter 13:

In particular, if we pick λ = (1 + η)/2, then

 

|λIj | < 1 + |I| < |I| + .
|I| + 1

Since  is arbitrary, we see

 

|λIj | < 1 + |I| < |I| + .
|I| + 1

Thus, the finite collection ((1 + η)/2 Ij ) is the one we seek as each edge has length ((1 + η)/2 δ/2 which
is less than δ. 

Lemma 13.2.2. Mδ = µ∗
For any subset E of <k , we have Mδ (E) = µ∗ (E).

Proof. Let’s pick a given δ > 0. The way Mδ is defined then tells us immediately that µ∗ (E) ≤ Mδ (E)
for any δ > 0 and subset E. It remains to prove the reverse inequality. If µ∗ (E) was infinite, we would
have µ∗ (E) ≥ Mδ (E); hence, it is enough to handle the case where µ∗ (E) is finite. By the Infinitum
Tolerance Lemma for a given  > 0, there is a Lebesgue cover (In ) of E so that
X 
|In | < µ∗ (E) + .
n
2

By Lemma 13.2.1, there is a finite Lebesgue cover of each (In ) which we will denote by (Jnj ), 1 ≤ j ≤ p(n)
so that each interval Jnj has edge length less than δ and satisfies

p(n)
X 
|Jnj | < |In | + .
j=1
2n+1

The combined family of intervals (Jnj for all n and 1 ≤ j ≤ p(n) is clearly a Lebesgue cover of E also.
Thus, by definition of µ∗ , we have

∞ p(n) ∞ ∞
X X X X 
|Jnj | < |In | +
n=1 j=1 n=1 n=1
2n+1
∗
< µ (E) + .

Now each edge length of the interval Inj is less than δ and so

∞ p(n)
X X
Mδ ≤ |Jnj |
n=1 j=1

by definition. We see we have established

Mδ ≤ µ∗ (E) + 

for an arbitrary ; hence, Mδ ≤ µ∗ (E). 

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Lebesgue Outer Measure Is A Metric Outer Measure Chapter 13:

We now have enough “ammunition” to prove Lebesgue outer measure is a metric outer measure; i.e.
LOM is a MOM!

Theorem 13.2.3. Lebesgue Outer Measure Is a Metric Outer Measure

The Lebesgue Outer Measure, µ∗ is a metric outer measure; i.e., if A and B are two sets in
<k with D(A, B) > 0, then µ∗ (A ∪ B) = µ∗ (A) + µ∗ (B).

Proof. We always know that µ∗ (A ∪ B) ≤ µ∗ (A) + µ∗ (B) for any A and B. Hence, for two sets A and
B with D(A, B) = δ > 0, it is enough to show µ∗ (A) + µ∗ (B) ≤ µ∗ (A ∪ B). Let  > 0 be chosen. Since
Mδ = µ∗ , there is a cover of A ∪ B so that the edge length of each In is less than δ/k and
X
Mδ (A ∪ B) = µ∗ (A ∪ B) ≤ |In | < µ∗ (A ∪ B) + 
n

by an application of the Infimum Tolerance Lemma.

If x and y in A ∪ B are both in a given In , then

v v
u k u k r
uX uX δ δ2
d(x, y) = t (xi − yi )2 < t 2
( ) = k 2 2 = δ.
i=1 i=1
k k

However, D(A, B) = δ by assumption. Thus, a given In can not contain points of both A and B. We
can therefore separate the family (In ) into two collections indexed by U and V , respectively. If n ∈ U ,
then In ∩ A is non empty and if n ∈ V , In ∩ B is non empty. We see {In }n∈U is a cover for A and
{In }n∈V is a cover for B. Thus, µ∗ (A) ≤ n∈U |In | and µ∗ (B) ≤ n∈V |In |. It then follows that
P P

X X X
µ∗ (A ∪ B) +  ≥ |In | = |In | + |In |
n n∈U n∈V
∗ ∗
≥ µ (A) + µ (B).

Since  is arbitrary, we have shown µ∗ (A) + µ∗ (B) ≤ µ∗ (A ∪ B). This completes the proof that Lebesgue
outer measure is a metric outer measure. 

This theorem is the final piece we need to fully establish the conditions

(i): T ⊆ M; i.e. M is an OMI-F σ - algebra.

(ii): If I ∈ T , then |I| = µ(I); i.e. M is an OMI-FE σ - algebra.

Comment 13.2.1. We see immediately that since Lebesgue outer measure is a metric outer measure, the
σ - algebra of µ∗ measurable subsets contains all the open sets of <k . In particular, any open interval I
is measurable. As mentioned previously, we thus know the Borel σ - algebra of subsets is contained in M.

By Theorem 12.1.4, we know Lebesgue measure µ is complete.

We can also prove Lebesgue measure µ is regular.

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Lebesgue Outer Measure Is A Metric Outer Measure Chapter 13:

Theorem 13.2.4. Lebesgue Measure Is Regular

For any set E in <k ,

µ∗ (E) = inf {µ(U ) | U, E ⊆ U, U is open }

∗
µ (E) = inf {µ(F ) | E, E ⊆ F, F is Lebesgue measurable }.

Hence, µ is regular.

Proof. Since U is open, U is Lebesgue measurable and so µ∗ (U ) = µ(U ). It follows immediately that
µ∗ (E) ≤ µ(U ) for such U . Hence,

µ∗ (E) ≤ inf {µ(U ) | U, E ⊆ U, U is open }.

On the other hand, if  > 0 is given, the Infimum Tolerance Lemma tells us there is a Lebesgue cover of
E, (In ), so that
X
µ∗ (E) ≤ |In | < µ∗ (E) + .
n

P
However, this open cover generates an open set G = ∪n In containing E with µ(G) ≤ n |In | because
µ(In ) = |In |. We conclude, using the definition of µ∗ that
X
µ(G) ≤ |In | < µ∗ (E) + .
n

Hence, we must have

inf {µ(U ) | U, E ⊆ U, U is open } ≤ µ∗ (E) + .

Since  is arbitrary, the result follows.

Since each open U is measurable, we then know

µ∗ (E) = inf {µ(U ) | U, E ⊆ U, U is open }

≥ inf {µ(F ) | E, E ⊆ F, F ∈ M}

by the first argument. To obtain the reverse inequality, note that since µ∗ (F ) = µ(F ) for all measurable
F , monotonicity of µ∗ says µ∗ (E) ≤ µ∗ (F ) for all measurable F . We conclude

µ∗ (E) ≤ inf {µ(F ) | E, E ⊆ F, F ∈ M}.

Now recall the definition of a regular measure from Definition 12.3.3. Using the Infimum Tolerance
Lemma again, there is are measurable sets (Fn ) so that E ⊆ Fn for all n and

1
µ∗ (E) ≤ µ(Fn ) < µ∗ (E) + .
n

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Lebesgue - Stieljes Outer Measure and Measure Chapter 13:

Then, ∩n Fn is also measurable and so by our equivalent form of µ∗ , we have µ∗ (E) ≤ µ(∩n Fn ). However,
∩n Fn ⊆ Fn always and hence,

1
µ∗ (E) ≤ µ(∩n Fn ) ≤ µ(Fn ) < µ∗ (E) + .
n
We conclude for all n,

1
µ∗ (E) ≤ µ(∩n Fn )µ∗ (E) + .
n
Letting n go to infinity, we find µ∗ (E) = µ(∩n Fn ) which shows µ is regular. 

13.3 Lebesgue - Stieljes Outer Measure and Measure

We can also be more general. Let g be any non -decreasing function on < which is continuous from the
right. This means for all x, limh→0+ g(x + h) exists. Moreover, the unbounded limits are well - defined
limx→−∞ g(x) and limx→∞ g(x). These last two limits could be −∞ and ∞ respectively. Then, define
the mapping τg on U by

τg (∅) = 0,
 
τg (a, b] = g(b) − g(a),
 
τg (−∞, b] = g(b) − lim g(x),
x→−∞
 
τg (a, ∞) = lim g(x) − g(a),
x→∞
 
τg (−∞, ∞) = lim g(x) − lim g(x).
x→∞ x→−∞

This defines τg on the collection of sets U consisting of the empty set, intervals of the form (a, b] for
finite numbers a and b and unbounded intervals of the form (−∞, b] and (a, ∞). Let A be the algebra
generated by finite unions of sets from U. Note A contains <.

Let’s extend the mapping τg to be additive on A. If E1 , E2 , . . . , En is a finite collection of disjoint sets

in A, we extend the definition of τg to this finite disjoint unions as follows:

n
X
τg (∪ni−1 Ei ) = τg (Ei ). (13.1)
i=1

Lemma 13.3.1. Extending τg To Additive Is Well - Defined

The extension of τg from U to the algebra A is well - defined; hence, τg is additive on A.

Proof. For (a, b] ∈ A, write

(a, b] = ∪ni=1 (ai , bi ],

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Lebesgue - Stieljes Outer Measure and Measure Chapter 13:

for any positive integer n with a1 = a, bn = b and the in between points satisfy ai+1 = bi for all
i. Of course, there are many such decompositions of (a, b] we could choose. Also, these are the only
decompositions we can have. If we use the unbounded sets, we can not recapture (a, b] using a finite
number of unions! Then, using Equation 13.1, we have
n
X
τg ((a, b]) = τg ((ai , bi ])
i=1
Xn
= g(bi ) − g(ai ).
i=1

But since ai+1 = bi , this sum collapses to

τg ((a, b]) = g(b) − g(a).

This was the original definition of τg on the element (a, b] in U. We conclude the value of τg on elements
of the form (a, b] is independent of the choice of decomposition of it into a finite union of sets from U.

For an unbounded interval of the form (a, ∞), any finite disjoint decomposition can have only one in-
terval of the form (b, ∞) giving (a, ∞) = (a, b] ∪ (b, ∞), with the piece (a, b] written as any finite disjoint
union (a, b] = ∪ni=1 (ai , bi ] as before. The same arguments as used above then show τg is well - defined
on this type of element of U also. We handle the sets (−∞, b] is a similar fashion.

Next, if we look at any arbitrary A in A, then A can be written as a finite union of members
A1 , . . . , Ap of U. Each of these elements Ai can then be written using a finite disjoint decomposition
into intervals (aij , bij ], 1 ≤ j ≤ p(i) as we have done above. Thus,

p(i)
A = ∪m
i=1 ∪j=1 (aij , bij ]

where it is possible a11 = −∞ and bm p(m) = ∞. We then combine these intervals and relabel as necessary
to write A as a finite disjoint union

A = ∪N
i=1 (ai , bi ]

with bi ≤ ai+1 and again it is possible that a1 = −∞ and bN = ∞. We therefore know that

τg (A) = ∪N
i=1 τg ((ai , bi ]).

Now assume A has been decomposed into another finite disjoint union, A = ∪M
j=1 Bj , each Bj ∈ A. Let

Cj = {i | ⊆ (ai , bi ] ⊆ Bj }.

Note a given interval (ai , bi ] can not be in two different sets Bj and Bk because they are assumed disjoint.
Hence, we have

Bj = ∪i∈Cj (ai , bi ]

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Lebesgue - Stieljes Outer Measure and Measure Chapter 13:

and
X
τg (Bj ) = τg ((ai , bi ]).
i∈Cj

Thus,

M
X M X
X
τg (Bj ) = τg ((ai , bi ])
j=1 j=1 i∈Cj
N
X
= τg ((ai , bi ]).
i=1

This shows that our extension for τg is independent of the choice of finite decomposition and so the
extension of τg is a well - defined additive map on A 

We can now apply Theorem 12.3.3 to conclude that since the covering family A is an algebra and τg is
additive on A , the σ - algebra, Mg , generated by τg contains A and the induced measure, µg , is regular.
Next, we want to know that µg (A) = τg (A) for all A in A. To do this, we will prove the extension τg is
actually a pseudo-measure. Thus, we will be able to invoke Theorem 12.3.4 to get the desired result.

Lemma 13.3.2. Lebesgue - Stieljes Premeasure Is a Pseudo-Measure

The mapping τg is a pseudo-measure on A.

Proof. We need to show that if (Tn ) is a sequence of disjoint sets from A whose union ∪n Tn is also in
A, then
X
τg ( ∪n Tn ) = τg (Tn ).
n

First, notice that if there was an index n0 so that τg (Tn0 ) = ∞, then letting B = ∪n Tn \ Tn0 , we can
write ∪n Tn as the finite disjoint union B ∪ Tn0 and hence

τg ( ∪n Tn ) = τg (B) + τg (Tn0 ) = ∞.

Since the right hand side sums to ∞ in this case also, we see there is equality for the two expressions.
Therefore, we can restrict our attention to the case where all the individual Tn sets have finite τg (Tn )
values. This means no elements of the form (−∞, b] or (a, ∞) can be part of any decomposition of the
sets Tn . Hence, we can assume each Tn can be written as a finite union of intervals of the form (a, b].
It follows then that it suffices to prove the result for a single interval of the form (a, b].

Since τg is additive on finite unions, if C ⊆ D, we have

τg (D) = τg (C) + τg (D \ C) ≥ τg (C).

Now assume we can write the interval (a, b) as follows:

(a, b] = ∪∞
n=1 (ai , bi ]

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Lebesgue - Stieljes Outer Measure and Measure Chapter 13:

with the sets (ai , bi ] disjoint. For any n, we have

(a, b] = ∪nk=1 (ak , bk ] ∪ ∪∞

k=n+1 (ak , bk ].

Therefore
     
τg (a, b] = τg ∪nk=1 (ak , bk ] + τg ∪ ∪∞
k=n+1 (ak , bk ] .

The finite additivity on disjoint intervals then gives us

  n
X  
τg ∪nk=1 (ak , bk ] = τg (ak , bk ]
k=1
= g(b1 ) − g(a1 ) + g(b2 ) − g(a2 ) + . . . + g(bn ) − g(aa ).

We know g is nondecreasing, thus g(b1 ) − g(a2 ) ≤ 0, g(b2 ) − g(a3 ) ≤ 0, and so forth until we reach
g(bn−1 ) − g(an ) ≤ 0. Dropping these terms, we find
 
τg ∪nk=1 (ak , bk ] ≤ g(bn ) − g(a1 ) ≤ g(b) − g(a).

P
Thus, these partial sums are bounded above and so the series of non negative terms n τg ((ak , bk ])
converges. This tells us that
   
τg ∪∞
k=1 (ak , bk ] ≤ τg (a, b] .

To obtain the reverse inequality, let  > 0 be given. Then, since the series above converges, there must
be a positive integer N so that if n ≥ N ,
∞
X  
τg (ak , bk ] . < 
k=n+1

We conclude that
  n
X    
τg (a, b] = τg (ak , bk ] + τg ∪∞
k=n+1 (a ,
k kb ]
k=1
Xn    
≥ τg (ak , bk ] + τg ∪ ∪K
k=n+1 (ak , bk ]
k=1
n
X   K
X  
= τg (ak , bk ] + τg (ak , bk ] .
k=1 k=n+1

We know that
K
X  
lim τg (ak , bk ] = 0.
K
k=n+1

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Lebesgue - Stieljes Outer Measure and Measure Chapter 13:

Thus, letting K → ∞, we find for all n > N , that

  n
X  
τg (a, b] ≥ τg (ak , bk ] .
k=1

However, the sequence of partial sums above converges. We have then the inequality
  ∞
X  
τg (a, b] ≥ τg (ak , bk ] .
k=1

Combining the two inequalities, we have that our extension τg is a pseudo-measure. 

Comment 13.3.1. It is worthwhile to summarize what we have accomplished at this point. We know
now that the premeasure τg defined by the nondecreasing and right continuous map g on the algebra of
sets, A, generated by the collection U consisting of the empty set, finite intervals like (a, b] and unbounded
intervals of the form (−∞, b] and (a, ∞) when defined to be additive on A generates an interesting outer
measure µ∗b . We have also proven that the extension τg becomes a pseudo-measure on A. Thus,

(i): The sets A in A are in the σ - algebra of sets that satisfy the Caratheodory condition using µ∗g
which we denote by Mg . We denote the resulting measure by µg .
(ii): We know µg is regular and complete.
(iii): We know that µg (A) = τg (A) for all A in A.
(iv): Since any open set can be written as a countable disjoint union of open intervals, this means any
open set is in Mg because Mg contains open intervals as they are in A and the σ - algebra Mg
is closed under countable disjoint unions. This also tells us that the Borel σ - algebra is contained
in Mg .

We can also prove that µ∗g is an outer measure. Since open sets are µ∗g measurable, by Theorem 12.2.2,
it follows that µ∗g is a metric outer measure.

Comment 13.3.2. The measures µg induced by the outer measures µ∗g are called Lebesgue - Stieljes
measures . Since open sets are measurable here, these measures are also called Borel measures .

Comment 13.3.3. So for a given nondecreasing right continuous g, we can construct a Lebesgue -
Stieljes measure satisfying
 
µg (a, b] = g(b) − g(a).

So what about the open interval (a, b)? We know that

[ 1
(a, b) = (a, b − ].
n
n

Then
 
1
µg (a, b) = lim g(b − ) − g(a)
n n
= g(b− ) − g(a).

254
Homework Chapter 13:

What about the singleton {b}? We know

\ 1
{b} = (b − , b]
n
n

and so
 
1
µg {b} = lim g(b) − g(b − )
n n
= g(b) − g(b− ).

Note this tells us that the Lebesgue - Stieljes measure of a singleton need not be 0. However, at any point
b where g is continuous, this measure will be zero. Since our g can have at most a countable number of
discontinuities, we see there are only a countable number of singleton sets whose measure is non - zero.

13.4 Homework
Exercise 13.4.1. A family A of subsets of the set X is an algebra if

(i): ∅, X are in A.

(ii): E ∈ A implies E C ∈ A.

(iii): if {A1 , . . . , An } is a finite collection of sets in A, then their union is in A.

Further, the mapping τ is sometimes called a pseudo-measure on the algebra A if τ : A → [0, ∞] and

(i): τ (∅) = 0.

(ii): If (Ai ) is a countable collection of disjoint sets in A whose union is also in A (note this is not
always true because A is not a σ - algebra), then
X
τ (∪i Ai ) = τ (Ai ).
i

Now we get to the exercise:

(a): Let U be the family of subsets of < of the form (a, b], (−∞, b], (a, ∞) and (−∞, ∞) as well as ∅.
Prove F, the collection of all finite unions of sets from U is an algebra of subsets of <.

(b): Prove τ equal to the usual length of an interval is a pseudo-measure on F.

(c): Let g be any monotone increasing function on < which is continuous from the right. This means

lim g(x + h) exists , ∀ x,

h→0+
lim g(x) exists,
x→−∞
lim g(x) exists.
x→∞

255
Homework Chapter 13:

where the last two limits could be −∞ and ∞ respectively. Define the mapping τg on U by
 
τg (a, b] = g(b) − g(a),
 
τg (−∞, b) = g(b) − lim g(x),
x→−∞
 
τg (a, ∞) = lim g(x) − g(a),
x→∞
 
τg (−∞, ∞) = lim g(x) − lim g(x).
x→∞ x→−∞

and extend τg to F as usual. Prove that τg is a pseudo-measure on F.

(d): τg can then be used to define an outer measure µ∗g as usual. There is then an associated σ - algebra
of µ∗g measurable sets of <, Mg , and µ∗g restricted to Mg is a measure, µg .
We now prove F is contained in Mg . Here is the hint for any set I from F. Compare this problem
to Example 12.4.1 and Example 12.4.2 which are almost identical in spirit (although the g here is
more general) even though they are couched in terms of pre-measures instead of pseudo-measures.
Hint. Let T be any subset of <. Let  > 0 be given. Then there is a cover (An ) of sets from the
algebra F so that
X
τg (An ) ≤ µ∗g (T ) + .
n

Now I ∩ T ⊆ ∪n (An ∩ I) and I C ∩ T ⊆ ∪n (An ∩ I C ). So

X
µ∗g (T ∩ I) ≤ τg (An ∩ I),
n
X
µ∗g (T ∩ I C ) ≤ τg (An ∩ I C ).
n

Combining, and using the additivity of τg , we see

X
µ∗g (T ∩ I) + µ∗g (T ∩ I C ) ≤ τg (An ) ≤ µ∗g (T ) + .
n

Since  > 0 is arbitrary, we have shown I satisfies the Caratheodory condition and so in µ∗g
measurable.

Once you have shown these things, we know the Borel σ - algebra B is contained in Mg ! Measures
constructed this way are called Borel - Stieljes measures on < when we restrict them to B. If we use the
full σ - algebra, we call them Lebesgue - Stieljes measures.
Exercise 13.4.2. Let h be our Cantor function

h(x) = (x + Ψ(x))/2.

From the previous exercise, we know τh defines a Borel - Stieljes measure. Determine if τh is absolutely
continuous with respect to the Borel measure on < (Borel measure is just Lebesgue measure restricted to
B.

256
Chapter 14
Modes Of Convergence

There are many ways a sequence of functions in a measure space can converge. In this chapter, we will
explore some of them and the relationships between them.
There are several types of convergence here:

(i): Convergence pointwise,

(ii): Convergence uniformly,

(iii): Convergence almost uniformly,

(iv): Convergence in measure,

(v): Convergence in Lp norm for 1 ≤ p < ∞,

(vi): Convergence in L∞ norm.

We will explore each in turn. We have already discussed the p norm convergence in Chapter 11 so
there is no need to go over those ideas again. However, some of the other types of convergence in the
list above are probably not familiar to you. Pointwise and pointwise a.e. convergence have certainly
been mentioned before, but let’s make a formal definition so it is easy to compare it to other types of
convergence later.

257
 Chapter 14:

Definition 14.0.1. Convergence Pointwise and Pointwise a.e.

Let (X, S) be a measurable space. Let (fn ) be a sequence of extended real valued measurable
functions: i.e. (fn ) ⊆ M (X, S). Let f : X → < be a function. Then, we say fn converges
pointwise to f on X if limn fn (x) = f (x) for all x in X. Note that this type of convergence
does not involve a measure although it does use the standard metric, || on <. We can write
this as
fn → f [ptws].

If there is a measure µ on S, we can also say the sequence converges almost everywhere if
µ({x | fn (x) 6→ f (x)}) = 0. We would write this as

fn → f [ptws a.e.].

Next, you have probably already seen uniform convergence in the context of advanced calculus. We
can define it nicely in a measure space also.

Definition 14.0.2. Convergence Uniformly

Let (X, S) be a measurable space. Let (fn ) be a sequence of real valued measurable functions:
i.e. (fn ) ⊆ M (X, S). Let f : X → < be a function. Then, we say fn converges uniformly to
f on X if for any  > 0, there is a positive integer N (depending on the choice of  so that if
n > N , then | fn (x) − f (x) |<  for all x in X. We can write this as

fn → f [unif ].

However, if we are in a measure space, we can relax the idea of uniform convergence of the whole
space by taking advantage of the underlying measure.

Definition 14.0.3. Almost Uniform Convergence

Let (X, Sµ) be a measure space. Let (fn ) ⊆ M (X, S, µ) be a sequence of functions which are
finite a.e. Let f : X → < be a function. We say fn converges almost uniformly to f on X if
for any  > 0, there is a measurable set E such that µ(E C ) <  and (fn ) converges uniformly
to f on E. We write this as
fn → f [a.u.].

Finally, we can talk about a brand new idea: convergence using only measure itself.

258
Subsequence Extraction Chapter 14:

Definition 14.0.4. Convergence In Measure

Let (X, Sµ) be a measure space. Let (fn ) ⊆ M (X, S, µ) be a sequence of functions which are
finite a.e. Let f : X → < be a function. Let E be a measurable set. We say fn converges in
measure to f on E if for any pair (, δ) of positive numbers, there exists a positive integer N
(depending on  and δ) so that if n > N , then

µ({x | | fn (x) − f (x) | ≥ δ}) < .

We write this as
fn → f [meas on E].

If E is all of X, we would just write

fn → f [meas].

14.1 Subsequence Extraction

In some cases, when a sequence of functions converges in one way, it is possible to prove that there is at
least one subsequence that converges in a different manner. We will now make this idea precise.
Definition 14.1.1. Cauchy Sequences In Measure
Let (X, S, µ) be a measure space and (fn ) be a sequence of extended real valued measurable
functions. We say (fn ) is Cauchy in Measure if for all α > 0 and  > 0, there is a positive
integer N so that  
µ |fn (x) − fm (x)| ≥ α < , ∀ n, m > N.

We can prove a kind of completeness result next.

Theorem 14.1.1. Cauchy In Measure Implies A Convergent Subsequence
Let (X, S, µ) be a measure space and (fn ) be a sequence of extended real valued measurable
functions which is Cauchy in Measure. Then there is a subsequence (fn1 ) and an extended real
valued measurable function f such that fn1 → f [a.e.], fn1 → f [a.u.] and fn1 → f [meas].

Proof. For each pair of indices n and m, there is a measurable set Enm on which the definition of the
difference fn − fm is not defined. Hence, the set
[[
E = Enm
n m

is measurable and on E C , all differences are well defined. We do not know the sets Enm have measure
0 here as the members of the sequence do not have to be summable or essentially bounded.
Now, let’s get started with the proof.
(Step 1): let α1 = 1/2 and 1 = 1/2 also. Then, (fn ) Cauchy in Measure implies
 
∃ N1 3 n, m > N1 ⇒ µ |fn (x) − fm (x)| ≥ 1/2 < 1/2.

259
Subsequence Extraction Chapter 14:

Let
g1 = fN1 +1 .

(Step 2): let α2 = 1/22 and 1 = 1/22 also. Then, (fn ) Cauchy in Measure again implies there is
an N2 > N1 so that
 
n, m > N2 ⇒ µ |fn (x) − fm (x)| ≥ 1/4 < 1/4.

Let
g2 = fN2 +1 .

It is then clear by our construction that

 
µ |g2 (x) − g1 (x)| ≥ 1/2 < 1/2.

(Step 3): let α3 = 1/23 and 1 = 1/23 also. Then, (fn ) Cauchy in Measure again implies there is an
N3 > N2 so that
 
n, m > N3 ⇒ µ |fn (x) − fm (x)| ≥ 1/8 < 1/8.

Let
g3 = fN3 +1 .

It follows by construction that

 
µ |g3 (x) − g2 (x)| ≥ 1/4 < 1/4.

Continuing this process by induction, we find a subsequence (gn ) of the original sequence (fn ) so that
for all k ≥ 1,
 
µ |gk+1 (x) − gk (x)| ≥ 1/2k < 1/2k .

Define the sets  

j
Ej = |gj+1 (x) − gj (x)| ≥ 1/2

and
∞
[
Fk = Ej .
j=k

Note if x ∈ FkC ,

|gj+1 (x) − gj (x)| < 1/2j

260
Subsequence Extraction Chapter 14:

for any index j ≥ k. Each set Fk is then measurable and they form an increasing sequence. Let’s get a
bound on µ(Fk ). First, if A and B are measurable sets, then
       
µ A ∪ B = µ A ∪ B C : + µ A ∩ B + µ AC ∪ B

 
But adding in µ A ∩ B simply makes the sum larger. We see

         
C C
µ A ∪ B ≤ µ A ∪ B :+µ A ∩ B + µ A ∩ B + µ A ∪ B

= µ(A) + µ(B).

This result then extends easily to finite unions. Thus, if (An ) is a sequence of measurable sets, then by
the sub additive result above,
[ n  Xn
µ Ai ≤ µ(Ai ).
i=1 i=1

Hence, the sets ∪ni=1 Ai form an increasing sequence and we clearly have
∞
[  n
[  ∞
X
µ Ai = lim µ Ai ≤ µ(Ai ).
n
i=1 i=1 i=1

We can apply this idea to the increasing sequence (Fk ) to obtain

∞
X
µ(Fk ) ≤ µ(Ej )
j=k
X∞
< 1/2j = 1/2k−1 .
j=k

Now, for any i > j, we have

i−1
X
|gi (x) − gj (x)| ≤ |g`+1 − g` |.
`=j

Choosing the indices i and j so that i > j ≥ k, we then find if x 6∈ Fk , that

|g`+1 (x) − g` (x)| < 1/2` .

Hence, for these indices,

i−1
X
|gi (x) − gj (x)| ≤ |g`+1 − g` |
`=j
i−1
X ∞
X
< 1/2` = 1/2` = 1/2j−1 .
`=j `=j

261
Subsequence Extraction Chapter 14:

We conclude that if x ∈ FkC and i > j ≥ k we have

|gi (x) − gj (x)| ≤ 1/2j − 1. (∗)

Now let F = ∩k Fk . The F is measurable and µ(F ) = limk µ(Fk ) = 0. Let x be in F C . By De

Morgan’s Laws, x ∈ ∪k FKC
which implies x is in some FkC . Call this k ∗ . Then given  > 0, choose J so
that 1/2J−1 < . Then, by Equation ∗, if i > j ≥ J ≥ k ∗ ,

|gi (x) − gj (x)| ≤ 1/2j−1 < 1/2J−1 < .

Thus, the sequence gk (x) is a Cauchy sequence of real numbers for each x in F C . Hence, limk gk (x)
exists for such x. Defining f by
(
limk gk (x), x ∈ FC
f (x) =
0, x ∈ F,

we see f is measurable and it is the pointwise limit a.e. of the subsequence (gk ). This completes the
proof of the first claim. To see that (gk ) converges in measure to f , look again at Equation ∗:

|gi (x) − gj (x)| ≤ 1/2j − 1, ∀ i > j ≥ k, ∀ x ∈ FkC .

Now let i → ∞ and use the continuity of the absolute value function to obtain

|f (x) − gj (x)| ≤ 1/2j − 1, ∀ j ≥ k, ∀ x ∈ FkC . (∗∗)

Equation ∗∗ says that (gk ) converges to f uniformly on FkC . Further, recall µ(Fk ) < 1/2k−1 . Note
∗
given any δ > 0, there is an integer k ∗ so that 1/2k −1 < δ and gk converges uniformly on FkC∗ . We
therefore conclude that (gk ) converges almost uniformly to f as well.
To show the last claim, given an arbitrary α > 0 and  > 0, choose a positive integer k ∗ so that
∗
µ(Fk∗ ) < 1/2k −1
< min(α, ).

Then, by Equation ∗∗, we have

   
∗
−1
|f (x) − gj (x)| ≥ α ⊆ |f (x) − gj (x)| > 1/2k .

Then, again by Equation ∗∗, we have

 
k∗ −1
⊆ |f (x) − gj (x)| > 1/2

⊆ Fk ∗ .

Combining, we have
   
∗
µ |f (x) − gj (x)| ≥ α ≤ µ Fk∗ < 1/2k −1 < .

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Subsequence Extraction Chapter 14:

This shows that (gk ) converges to f in measure. 

The result above allows us to prove that Cauchy in Measure implies there is a function which the
Cauchy sequence actually converges to.

Theorem 14.1.2. Cauchy In Measure Implies Completeness

Let (X, S, µ) be a measure space and (fn ) be a sequence of extended real valued measurable
functions which is Cauchy in Measure. Then there is an extended real valued measurable
function f such that fn → f [meas] and the limit function f is determined uniquely a.e.

Proof. By Theorem 14.1.1, there is a subsequence (fn1 ) and a real valued function measurable function f
so that fn1 → f [meas]. Let α > 0 be given. If |f (x) − fn (x)| ≥ α, then given any fn1 in the subsequence,
we have

α ≤ |f (x) − fn (x)| ≤ |f (x) − fn1 (x)| + |fn (x) − fn1 (x)|.

Note, just as in the previous proof, there is a measurable set E where all additions and subtractions of
functions are well-defined. Now, let β = |f (x) − fn1 (x)| and γ = |fn (x) − fn1 (x)|. The equation above
thus says

β + γ ≤ α

Since β and γ are non negative and both are less than or equal to α, we can think about this inequality
in a different way. If there was equality

β∗ + γ∗ = α

with both β ∗ and γ ∗ not zero, then we could let t = β ∗ /α and we could say β ∗ = t α and γ ∗ = (1 − t) α
as γ ∗ = α − β ∗ . Now imagine β and γ being larger α. Then, β and γ would have to be bigger than or
equal to the values β ∗ = t α and γ ∗ = (1 − t) α for some t in (0, 1). Similar arguments work for the
cases of β = 0 and γ = 0 which will correspond to the cases of t = 0 and t = 1. Hence, we can say that
if |f (x) − fn (x)| ≥ α, then there is some t ∈ [0, 1] so that

|f (x) − fn1 (x)| ≥ t α,

|fn (x) − fn1 (x)| ≥ (1 − t) α.

The following reasoning is a bit involved, so bear with us. First, if x is a value where |f (x)−fn (x)| ≥
α, we must have that |f (x) − fn1 (x)| ≥ t α (call this Condition I) and |fn (x) − fn1 (x)| ≥ (1 − t) α (call
this Condition II).
Case (i): if 0 ≤ t ≤ 1/2, then since an x which satisfies Condition I must also satisfy Condition II, we
see for these values of t, we have

{x | |f (x) − fn1 (x)| ≥ t α} ⊆ {x | |fn (x) − fn1 (x)| ≥ (1 − t) α}

⊆ {x | |fn (x) − fn1 (x)| ≥ 1/2 α}.

263
Subsequence Extraction Chapter 14:

Hence, for 0 ≤ t ≤ 1/2, we conclude

[
{x | |f (x) − fn1 (x)| ≥ t α} {x | |fn (x) − fn1 (x)| ≥ (1 − t) α} ⊆ {x | |fn (x) − fn1 (x)| ≥ 1/2 α}.

A similar argument shows that if 1/2 ≤ t ≤ 1, any x satisfying Condition II must satisfy Condition I.
Hence, for these t,

{x | |f (x) − fn1 (x)| ≥ t α} {x | |fn (x) − fn1 (x)| ≥ (1 − t) α}

S

⊆ {x | |f (x) − fn1 (x)| ≥ (1 − t) α}

⊆ {x | |f (x) − fn1 (x)| ≥ 1/2 α}.

Combining these results, we find

[  [ 
{x | |f (x) − fn1 (x)| ≥ t α} {x | |fn (x) − fn1 (x)| ≥ (1 − t) α}
0≤t≤1
[
⊆ {x | |fn (x) − fn1 (x)| ≥ 1/2 α} {x | |f (x) − fn1 (x)| ≥ 1/2 α} .

Finally, from the triangle inequality,

|f (x) − fn (x)| ≤ |f (x) − fn1 (x)| + |fn1 (x) − fn (x)|,

and so, we have

[  [ 
{x | |f (x) − fn (x)| ≥ α} ⊆ {x | |f (x) − fn1 (x)| ≥ t α} {x | |fn (x) − fn1 (x)| ≥ (1 − t) α}
0≤t≤1
[
⊆ {x | |fn (x) − fn1 (x)| ≥ 1/2 α} {x | |f (x) − fn1 (x)| ≥ 1/2 α}.

Next, pick an arbitrary  > 0. Since fn1 → f [meas], there is a positive integer N1 so that
 
1
µ |f (x) − fn (x)| ≥ α/2 < /2, ∀ n1 > N1 .

where n1 denotes the index of the function fn1 . Further, since (fn ) is Cauchy in measure, there is a
positive integer N2 so that
 
µ |fn (x) − fn1 (x)| ≥ α/2 < /2, ∀ n, n1 > N2 .

So if n1 is larger than N = max(N1 , N2 ), we have

 
µ |f (x) − fn (x)| ≥ α/2 < , ∀ n > N.

This shows fn → f [meas] as desired.

264
Subsequence Extraction Chapter 14:

To show the uniqueness a.e. of f , assume there is another function g so that fn → g [meas]. Then,
by arguments similar to ones we have already used, we find

{x | |f (x) − g(x)| ≥ α} ⊆ {x | |fn (x) − f (x)| ≥ 1/2 α}.

Then, mutatis mutandi, we obtain

   
µ {x | |f (x) − g(x)| ≥ α} ≤ µ {x | |fn (x) − f (x)| ≥ 1/2 α}
 
+ µ {x | |fn (x) − g(x)| ≥ 1/2 α}
< .

Since  > 0 is arbitrary, we see for any α > 0,

 
µ {x | |f (x) − g(x)| ≥ α} = 0.

However, we know
  [ 
µ {x | |f (x) − g(x)| > 0} = {x | |f (x) − g(x)| ≥ 1/n} ,
n

which immediately tells us that

 
µ {x | |f (x) − g(x)| > 0} = 0.

This says f = g a.e. and we are done. 

Theorem 14.1.3. p-Norm Convergence Implies Convergence in Measure

Assume 1 ≤ p < ∞. Let (fn ) be a sequence in Lp (X, S, µ) and let f ∈ Lp (X, S, µ) so that
fn → f [p − norm]. Then fn → f [meas] which is Cauchy in Measure.

Proof. Let α > 0 be given and let

En (alpha) = {x | |fn (x) − f (x)| ≥ α}.

Then, given  > 0, there is a positive integer N so that

Z
|fn − f |p dµ < αp , ∀ n > N.

Thus,
Z Z
p
|fn − f | dµ ≤ |fn − f |p dµ < αp , ∀ n > N.
En (α)

265
Subsequence Extraction Chapter 14:

But on En (α), the integrand in the first term is bigger than or equal to αp . We obtain

αp µ(En (α)) < αp , ∀ n > N.

Canceling the αp term, we have µ(En (α)) < , for all n > N . This implies fn → f [meas]. 

Comment 14.1.1. Let’s assess what we have learned so far. We have shown

(i):

fn → f [p − norm] ⇒ fn → f [meas]

by Theorem 14.1.3.

(ii): It is a straightforward exercise to show

fn → f [meas] ⇒ (fn ) Cauchy In Measure .

Then,

(fn ) Cauchy In Measure ⇒ ∃ (fn1 ) ⊆ (fn ) 3 fn1 → f [a.e.]

by Theorem 14.1.1. Note, we proved the existence of such a subsequence already in the proof of
the completeness of Lp as discussed in Theorem 11.1.10.

(iii): Finally, we can also apply Theorem 14.1.1 to infer

fn → f [meas] ⇒ ∃ (fn1 ) ⊆ (fn ) 3 fn1 → f [a.u.]

Theorem 14.1.4. Almost Uniform Convergence Implies Convergence In Measure

Let (X, S) be a measurable space. Let (fn ) be a sequence of real valued measurable functions:
i.e. (fn ) ⊆ M (X, S). Let f : X → < be measurable. Then

fn → f [a.u.] ⇒ fn → f [meas].

Proof. If fn converges to f a.u., given arbitrary  > 0, there is a measurable set E so that µ(E ) < 
and fn converges uniformly on EC . Now let α > 0 be chosen. Then, there is a positive integer Nα so
that

|fn (x) − f (x)| < , ∀ n > Nα , ∀ x ∈ EC .

Hence, if n > Nα and x satisfies |fn (x) − f (x)| ≥ α, we must have that x ∈ E . We conclude
 
|fn (x) − f (x)| ≥ α ⊆ E , ∀ n > N α .

266
Egoroff’s Theorem Chapter 14:

This implies immediately that

 
µ |fn (x) − f (x)| ≥ α ≤ µ(E ) < , ∀ n > Nα .

This proves fn → f [meas]. 

Comment 14.1.2. We have now shown

fn → f [p − norm] ⇒ fn → f [meas]

by Theorem 14.1.3. This then implies by Theorem 14.1.1

∃ (fn1 ) ⊆ (fn ) 3 fn1 → f [a.u.]

14.2 Egoroff’s Theorem

A famous theorem tells us how pointwise a.e. convergence can be phrased “almost” like uniform con-
vergence. This is Egoroff ’s Theorem.

Theorem 14.2.1. Egoroff ’s Theorem

Let (X, S, µ) be a measure space with µ(X) < ∞. Let f be an extended real valued function
which is measurable. Also, let (fn ) be a sequence of functions in M (X, S) such that fn →
f [a.e.]. Then, fn → f [a.u.] and fn → f [meas].

Proof. From previous arguments, the way we handle converge a.e. is now quite familiar. Also, we know
how we deal with the measurable set on which addition of the function fn are not well defined. Hence,
we may assume without loss of generality that the convergence here is on all of X and that addition is
defined on all of X. With that said, let
∞ 
[ 
Enk = |fk (x) − f (x)| ≥ 1/m .
k=n

Note that each Enk is measurable and En+1,k ⊆ Enk so that this is an decreasing sequence of sets in the
index n. Given x in X, we have fn → f (x). Hence, for  = 1/m, there is a positive integer N (x, ) so
that

|fn (x) − f (x)| <  = 1/m, ∀ n > N (x, ).

Thus,
 
|fn (x) − f (x)| ≥ 1/m = ∅, ∀ n > N (x, ). (∗)

T∞
Now consider Fm = n=1 Enm . If x ∈ Fm , then x is in Enm for all n. In particular, letting
n∗ = N (x, ) + 1, we have x ∈ En∗ m . Looking at how we defined En∗ m , we see this implies that there
is a positive integer k 0 > n∗ , so that |fk0 (x) − f (x)| ≥ 1/m. However, by Equation ∗, this set is empty.

267
Egoroff’s Theorem Chapter 14:

This contradiction means our original assumption that Fm was non empty is wrong. Hence, Fm = ∅.
Now, since µ(X) < ∞, µ(E1 m is finite also. Hence, by Lemma 10.1.2,

0 = µ(Fm ) = lim µ(En m .

n

This implies that given δ > 0, there is a positive integer Nm so that

µ(En m < δ/2m , ∀ m > Nm ,

since limm µ(Enm = 0. For each integer m, choose a positive integer nm > Nm . We can arrange for
these integers to be increasing; i.e., nm < nm+1 . Then,
 
µ E nm m < δ/2m

and letting
∞
[
Eδ = E nm m ,
m=1

we have
∞
X
µ(Eδ ) ≤ δ/2m < δ.
m=1

Finally, note

∞
!C ∞
[ \
EδC = E nm m = EnCm m .
m=1 m=1

Next, note

∞ 
[ !C
EnCm m = |fk (x) − f (x)| ≥ 1/m
k=nm
∞ 
\ C
= |fk (x) − f (x)| ≥ 1/m
k=nm
∞ 
\ 
= |fk (x) − f (x)| < 1/m .
k=nm

Thus, since x ∈ EδC means x is in EnCm m for all m, the above says |fk (x) − f (x)| < 1/m for all k > nm .
Therefore, given  > 0, pick a positive integer M so that 1/M < . Then, for all x in EδC , we have

|fk (x) − f (x)| < 1/M < , ∀ k ≥ nM .

This says fn converges uniformly to f on EδC with µ(Eδ ) < δ. Hence, we have shown fn → f [a.u.]

Finally, if fn → f [a.u.], by Theorem 14.1.4, we have fn → f [meas] also. 

268
Vitali Convergence Theorem Chapter 14:

Next, let’s see what we can do with domination by a p-summable function.

Theorem 14.2.2. Pointwise a.e. Convergence Plus Domination Implies p-Norm Conver-
gence
Let 1 ≤ p < ∞ and (X, S, µ) be a measure space. Let f be an extended real valued
function which is measurable. Also, let (fn ) be a sequence of functions in Lp (X, S) such that
fn → f [a.e.]. Assume there is a dominator function g which is p-summable; i.e. |fn (x)| ≤ g(x)
a.e. Then, if fn → f [a.e.], f is p-summable and fn → f [p − norm].

Proof. Since |fn (x)| ≤ g(x) a.e., we have immediately that |f | ≤ g a.e. since fn → f [a.e.]. Thus,
|f |p ≤ g p and we know f is in Lp (X, S). Since all the functions here are p-summable, the set where all
additions is not defined has measure zero. So, we can assume without loss of generality that this set has
been incorporated into the set on which convergence fails. Hence, we can say

|fn (x) − f (x)| ≤ |fn (x)| + |f (x)| ≤ 2 g(x), a.e.

So,

|fn (x) − f (x)|p ≤ 2p |g(x)|p , a.e.

By assumption, g is p-summable, so we have 2p g p is in L1 (X, S). Applying Lebesgue’s Dominated

Convergence Theorem, we find
Z Z
lim |fn (x) − f (x)|p dµ = lim |fn (x) − f (x)|p dµ = 0.
n n

Thus, fn → f [p − norm]. 

14.3 Vitali Convergence Theorem

This important theorem is one that gives us more technical tools to characterize p-norm convergence for
a sequence of functions. We need a certain amount of technical infrastructure to pull this off; so bear
with us as we establish a series of lemmatta.

Lemma 14.3.1. p-Summable Functions Have p-Norm Arbitrarily Small Off a Set
Let 1 ≤ p < ∞ and (X, S, µ) be a measure space. Let f be in Lp (X, S). Then given
 > 0, there is a measurable set E so that µ(E ) < ∞ and if F ⊆ EC is measurable, then
k f IF kp < .

Proof. Let En = (|fn (x)| ≥ 1/n). Note En ∈ S and the sequence (En ) is increasing and ∪n En = X.
Let fn = f IEn . It is straightforward to verify that fn ↑ f as fn ≤ fn+1 for all n. Further, |fn |p ≤ |f |p ;
hence, by the Dominated Convergence Theorem,
Z Z Z
lim |fn |p dµ = lim |fn |p dµ = |f |p dµ < ∞.
n n

269
Vitali Convergence Theorem Chapter 14:

The definition of fn and En then implies

Z Z
µ(En )/np ≤ |f |p dµ ≤ |f |p dµ < ∞.
En

This tells us µ(En ) < ∞ for all n.

Now choose  > 0 arbitrarily. Then there is a positive integer N so that
Z Z
|f |p dµ − |fn |p dµ < p , ∀ n > N.

Thus, since fn = f IEn , we can say

Z Z Z
|f |p dµ + |f |p dµ − |f |p dµ < p , ∀ n > N.
En C
En En

or
Z
|f |p dµ < p , ∀ n > N.
C
En

So choose E = EN +1 and we have

Z
|f |p dµ < p .
EC

which implies the desired result. 

Lemma 14.3.2. p-Summable Inequality

Let 1 ≤ p < ∞ and (X, S, µ) be a measure space. Let (fn ) be a sequence of functions in
Lp (X, S). Define βn on S by

βn (E) = k fn IE kp , ∀ E.

Then,

|βn (E) − βm (E)| ≤ k fn − fm kp , ∀ E, ∀ n, m.

Proof. By the backwards triangle inequality, for any measurable E,

k fn − fm kp ≥ | k fn IE kp − k fm IE kp | = |βn (E) − βm (E)|.

Lemma 14.3.3. p-Summable Cauchy Sequence Condition I

Let 1 ≤ p < ∞ and (X, S, µ) be a measure space. Let (fn ) be a Cauchy Sequence in Lp (X, S).
Define βn on S as done in Lemma 14.3.2. Then, there is a positive integer N and a measurable
set E of finite measure, so that if F is a measurable subset of E , then βn (E) <  for all
n > N.

270
Vitali Convergence Theorem Chapter 14:

Proof. Since (fn ) is a Cauchy sequence in p-norm, there is a function f in Lp (X, S) so that fn →
f [p − norm]. By Lemma 14.3.1, given  > 0, there is a measurable set E with finite measure so that
Z
|f |p dµ < (/2)p .
EC

Now given a measurable F contained in EC , recalling the meaning of βn (F ) as described in Lemma
14.3.2, we can write

βn (F ) ≤ k fn kp ≤ k fn IEC kp
≤ k (fn − f ) IEC kp + k f IEC kp
< /2 + k (fn − f ) IEC kp .

Since fn → f [p − norm], there is a positive integer N so that if n > N ,

k (fn − f ) IEC kp < /2.

This shows βn (F ) <  when n > N as desired. 

Lemma 14.3.4. Continuity Of The Integral

Let (X, S, µ) be a measure space and f be a summable function. Then for all  > 0 there is a
δ > 0, so that
Z
| f dµ| < , ∀ E ∈ S, with µ(E) < δ.
E
R
Proof. Define the measure γ on S by γ(E) = E |f | dµ. Note, by Comment 10.4.1, we know that γ is
absolutely continuous with respect to µ. Now assume the proposition is false. Then, there is an  > 0 so
R
that for all choices of δ > 0, we have a measurable set Eδ for which µ(Eδ ) < δ and | Eδ f dµ|/geq. In
particular, for the sequence δn = 1/2n , we have a sequence of sets En with µ(En ) < 1/2n and
Z
| f dµ|/geq.
En

Let
∞
[ ∞
\
Gn = Ek , G = Gn .
k=n n=1

Then,
∞
X ∞
X
µ(G) ≤ µ(Gn ) ≤ µ(Ek ) < 1/2k = 1/2n−1 .
k=n k=n

This implies mu(G) = 0 and thus, since γ is absolutely continuous with respect to µ, γ(G) = 0 also. We
also know the sequence Gn is decreasing and so γ(Gn ) → γ(G) = 0. Finally, since
Z
γ(Gn ) ≥ γ(En ) ≥ | f dµ| ≥ ,
E

271
Vitali Convergence Theorem Chapter 14:

we have γ(G) = limn γ(Gn ) ≥  as well. This is impossible. Hence, our assumption that the proposition
is false is wrong. 

Lemma 14.3.5. p-Summable Cauchy Sequence Condition II

Let 1 ≤ p < ∞ and (X, S, µ) be a measure space. Let (fn ) be a Cauchy Sequence in Lp (X, S).
Define βn on S as done in Lemma 14.3.2. Then, given  > 0, there is a δ > 0 and a positive
integer N so that if n > N , then

βn (E) < , ∀ E ∈ S, with µ(E) < δ.

Proof. Since Lp (X, S, µ) is complete, there is a p-summable function f so that fn → f [p − norm].

Then, by Lemma 14.3.4, given an  > 0, there is a δ > 0, so that
Z
|f |p dµ < (/2)p , if µ(E) < δ.
E

Hence, using the convenience mapping βn (E) previously defined in Lemma 14.3.2, we see

βn (E) = k fn IE kp = k (f − fn ) IE kp + k f IE kp
≤ k (f − fn ) IE kp + /2

when µ(E) < δ. Finally, since fn → f [p − norm], there is a positive integer N so that if n > N , then
k (f − fn ) IE kp < /2. Combining, we have βn (E) <  if n > N for µ(E) < δ. 

Theorem 14.3.6. Vitali Convergence Theorem

Let 1 ≤ p < ∞ and (X, S, µ) be a measure space. Let (fn ) be a sequence of functions in
Lp (X, S). Then, fn → f [p − norm] if and only if the following three conditions hold.

(i):

fn → f [meas]

(ii):
Z
∀  > 0, ∃ N, ∃ E ∈ S, µ(E ) < ∞, 3 F ⊆ EC , F ∈ S ⇒ |fn |p dµ < p , ∀ n > N.
F

(iii):
Z
∀  > 0, ∃ δ > 0, ∃ N 3 E ∈ S, µ(E) < δ ⇒ |fn |p dµ < p , ∀ n > N.
E

Proof.
⇒: If fn → f [p − norm], then by Theorem 14.1.3, fn → f [meas] which shows (i) holds. Then, since
fn → f [p − norm], (fn ) a Cauchy sequence. Thus, by Lemma 14.3.1, condition (ii) holds. Finally,
since (fn ) is a Cauchy sequence, by Lemma 14.3.5, condition (iii) holds.

272
Vitali Convergence Theorem Chapter 14:

⇒: Now assume conditions (i), (ii) and (iii) hold. Let  > 0 be given. From condition (ii), we see there
is a measurable set E of finite measure and a positive integer N1 so that
Z
|fn |p dµ < (/4)p
EC

if n > N1 . Thus, for indices n and m larger than N1 , we have

k fn − fm kp = k (fn − fm ) IE + (fn − fm ) IEC kp

≤ k (fn − fm ) IE kp + k (fn − fm ) IEC kp
≤ k (fn − fm ) IE kp + k fn IEC kp + k fm IEC kp
< k (fn − fm ) IE kp + /2.

We conclude

k fn − fm kp < k fm IE kp + /2, ∀ n, m > N1 . (∗)

Now let β = µ(E and set


α =
4 β 1/p

and define the sets Hnm by

Hnm = {x | |fn (x) − fm (x)| ≥ α}.

Apply condition (ii) for our given  now. Thus, there is a δ() and a positive integer N2 so that
Z
|fn |p dµ < (/8)p , n > N − 2, when µ(E) < δ(). (∗∗)
E

Since fn → f [meas], (fn ) is Cauchy in measure. Hence, there is a positive integer N3 so that

µ(Hnm < δ(), ∀ n, m > N3 . (∗ ∗ ∗)

Finally, using the Minkowski Inequality, we have

k (fn − fm ) IE kp = k (fn − fm ) IE \Hnm + (fn − fm ) IHnm kp

≤ k (fn − fm ) IE \Hnm kp + k fn IHnm kp + k fm IHnm kp

273
Summary Chapter 14:

Now let N = max{N1 , N2 , N3 }. Then, if n and m exceed N , we have Equation ∗, Equation ∗∗ and
Equation ∗ ∗ ∗ all hold. This implies
 1/p
k (fn − fm ) IE kp ≤ αp µ(E \ Hnm ) + /8 + /8
 1/p
& ≤ α µ(E ) + /4

= α β 1/p + /4 = /(4 β 1/p ) β 1/p + /4

= /2.

From Equation ∗, we have for these indices n and m,

k fn − fm kp < k fm IE kp + /2

< .

Thus, (fn ) is a Cauchy sequence in p-norm. Since Lp (X, S, µ) is complete, there is a function g so that
fn → g [p − norm]. So by Theorem 14.1.3, fn → g [meas]. It is then straightforward to show that f = g
a.e. This tells us f and g belong to the same equivalence class of Lp (X, S, µ). 

14.4 Summary
We can summarize the results of this chapter as follows. If the measure of X is infinite, we have many
one way implications.

Theorem 14.4.1. Convergence Relationships On General Measurable Space

Let (X, S, µ) be a measure space. Let f and (fn ) be in M (X, S). Then, we know the following
implications:

(i):

fn → f [p − norm] 

fn → f [unif ] ⇒ fn → f [meas].

fn → f [a.u.]


(ii):
)
fn → f [unif ]
⇒ fn → f [a.e.].
fn → f [a.u.]

(iii):

fn → f [unif ] ⇒ fn → f [a.u.].

If we know the measure is finite, we can say more.

274
Summary Chapter 14:

Theorem 14.4.2. Convergence Relationships On Finite Measure Space

Let (X, S, µ) be a measure space with µ(X) < ∞. Let f and (fn ) be in M (X, S). Then, we
know the following implications:

(i):

fn → f [p − norm] 


fn → f [unif ] 
⇒ fn → f [meas].
fn → f [a.u.] 


→

fn f [a.e.]

(ii):
)
fn → f [unif ]
⇒ fn → f [a.e.].
fn → f [a.u.]

(iii):
(
fn → f [a.u.]
fn → f [unif ] ⇒
fn → f [p − norm]

(iv):

fn → f [a.e.]. ⇒ fn → f [a.u.].

Next, if we can dominate the sequence by an Lp function, we can say even more.

275
Summary Chapter 14:

Theorem 14.4.3. Convergence Relationships With p-Domination

Let (X, S, µ) be a measure space. Let f and (fn ) be in M (X, S). Assume there is a g ∈ Lp so
that |fn | ≤ g. Then, we know the following implications:

(i):

fn → f [p − norm] 


fn → f [unif ] 
⇒ fn → f [meas].
fn → f [a.u.] 


→

fn f [a.e.]

(ii):
)
fn → f [unif ]
⇒ fn → f [a.e.].
fn → f [a.u.]

(iii):
(
fn → f [a.u.]
fn → f [unif ] ⇒
fn → f [p − norm]

(iv):

fn → f [a.e.]. ⇒ fn → f [a.u.].

(v):
)
fn → f [a.e.]
⇒ fn → f [p − norm].
fn → f [a.u.]

(vi):

fn → f [meas]. ⇒ fn → f [p − norm].

There are circumstances where we can be sure we can extract a subsequence that converges in some
fashion.

276
Homework Chapter 14:

Theorem 14.4.4. Convergent Subsequences Exist

Let (X, S, µ) be a measure space. It doesn’t matter whether or not µ(X) is finite. Let f and
(fn ) be in M (X, S). Then, we know the following implications:

(i):
)
fn → f [p − norm]
⇒ ∃ subsequence fn1 → f [a.u.].
fn → f [meas]

(ii):
)
fn → f [p − norm]
⇒ ∃ subsequence fn1 → f [a.e.].
fn → f [meas]

Further, the same implications hold if we know there is a g ∈ Lp so that |fn | ≤ g.

14.5 Homework
Exercise 14.5.1. Characterize convergence in measure when the measure in counting measure.

Exercise 14.5.2. Let (X, Sµ) be a measure space. Let (fn ), (gn ) ⊆ M (X, S, µ) be sequences of functions
which are finite a.e. Let f, g : X → < be functions. Prove if fn → f [meas on E] and gn → g[meas on E],
then (fn + gn ) → (f + g)[meas on E].

Exercise 14.5.3. Let (X, Sµ) be a measure space with µ(X) < ∞. Let (fn ), (gn ) ⊆ M (X, S, µ) be
sequences of functions which are finite a.e. Let f, g : X → < be functions. Prove if fn → f [measonE] and
gn → g[measonE], then (fn gn ) → (f g)[measonE]. Hint: first consider the case that fn → 0[measonE]
and gn → 0[meas on E].

Exercise 14.5.4. Let (X, S, µ) be a measure space. Let (fn ) ⊆ M (X, S, µ) be a sequence of functions
which are finite a.e. Let f : X → < be a function. Prove if fn → f [a.u.], then fn → f [ptws a.e.] and
fn → f [meas].

Exercise 14.5.5. Let (X, S, µ) be a finite measure space. for any pair of measurable functions f and
g, define
|f −g |
Z
d(f, g) = dµ.
1+ | f − g |
(i): Prove M (X, S, µ) is a semi-metric space.

(ii): Prove if (fn ) is a sequence of measurable functions and f is another measurable function, then
fn → f [meas] if and only if d(fn , f ) → 0.

Hint: You don’t need any high power theorems here. First, let φ(t) = t/(1 + t) so that d(f, g) =
R
φ(|f − g|dµ. Then try this:
(⇒): We assume fn → f [meas]. Then, given any pair of positive numbers (δ, ), we have there is an N
so that if n > N , we have
µ(|fn (x) − f (x)| ≥ δ) < /2.

277
Homework Chapter 14:

Let Eδ denote the set above. Now for such n > N , note
Z Z
d(fn , f ) = φ(|fn − f |) dµ + φ(|fn − f |) dµ.
Eδ EδC

Since φ is increasing, we see that on EδC , φ(|fn (x) − f (x)|) < φ(δ). Thus, you should be able to show
that if n > N , we have

d(fn , f ) < µ(Eδ ) + φ(δ) µ(X) = /2 + φ(δ) µ(X).

Then a suitable choice of δ does the job.

(⇐): If we know d(fn , f ) goes to zero, break the integral up the same way into a piece on Eδ and EδC .
This tells us right away that given  > 0, there is an N so that n > N implies

φ(δ) µ(Eδ ) < .

This gives us the result with a little manipulation.

Exercise 14.5.6. Let (<, M, µ) denote the measure space consisting of the Lebesgue measurable sets M
and Lebesgue measure µ. Let the sequence (fn ) of measurable functions be defined by

fn = n I[1/n,2/n] .

Prove fn → 0 on all <, fn → 0 [meas] but fn 6→ 0 [p − norm] for 1 ≤ p < ∞.

278
Chapter 15
Decomposition Of Measures

We now examine the structure of a charge λ on a σ - algebra S. For convenience, let’s recall that a
charge is a mapping on S to < which assigns the value 0 to ∅ and which is countably additive. We need
some beginning definitional material before we go further.

15.1 Basic Decomposition Results

Definition 15.1.1. Positive and Negative Sets For a Charge

Let λ be a charge on (X, S). We say P ∈ S is a positive set with respect to λ if

λ(E ∩ P ) ≥ 0, ∀ E ∈ S.

Further, we say N ∈ S is a negative set with respect to λ if

λ(E ∩ N ) ≤ 0, ∀ E ∈ S.

Finally, M ∈ S is a null set with respect to λ is

λ(E ∩ M ) = 0, ∀ E ∈ S.

279
Basic Decomposition Results Chapter 15:

Definition 15.1.2. The Positive and Negative Parts Of a Charge

Let λ be a charge on (X, S). Define the mapping λ+ on S by

λ+ (E) = sup { λ(A) | A ∈ S, A ⊆ E}.

Also, define the mapping λ− on S by

λ− (E) = − inf { λ(A) | A ∈ S, A ⊆ E}.

Theorem 15.1.1. The Jordan Decomposition Of A Charge

Let λ be a charge on (X, S). Then, λ+ and λ− are finite measures on S and λ = λ+ − λ− .
The pair (λ+ , λ− ) is called the Jordan Decomposition of λ.

Proof. Let’s look at λ+ first. Given any measurable E, since ∅ is contained in E, by the definition of
λ+ , we must have λ+ (E) ≥ λ(∅) = 0. Hence, λ+ is non negative.
Next, if A and B are measurable and disjoint, By definition of λ+ , for C1 ⊆ A C2 ⊆ B, we must have

λ+ (A ∪ B) ≥ λ(C1 ∪ C2 )
= λ(C1 ) + λ(C2 ).

This says λ+ (A ∪ B) − λ(C2 ) is an upper bound for the set of numbers {λ(C1 )}. Hence, by definition
of λ+ (A), we have

λ+ (A ∪ B) ≥ λ(C1 ∪ C2 )
= λ+ (A) + λ(C2 ).

A similar argument then shows that {λ(C2 )} is bounded above by λ+ (A ∪ B) − λ+ (A). Thus, we have

λ+ (A ∪ B) ≥ λ(C1 ∪ C2 )
= λ+ (A) + λ+ (B).

On the other hand, if C ⊆ A ∪ B, then we have

λ(C) = λ(C ∩ A ∪ C ∩ B)
≤ λ+ (A) + λ+ (B).

This immediately implies that

λ+ (A ∪ B) ≤ λ+ (A) + λ+ (B).

Thus, it is clear λ+ is additive on finite disjoint unions.

We now address the question of the finiteness of λ+ . To see λ+ is finite, assume that it is not. So there
is some set E with λ+ (E) = ∞. Hence, by definition, there is a measurable set A1 so that λ(A1 ) > 1.

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Thus, by additivity of λ+ , we have

λ+ (A1 ) + λ+ (E \ A1 ) = λ+ (E) = ∞.

Thus, at least one of of λ+ (A1 ) and λ+ (E \ A1 ) is also ∞. Pick one such a set and call it B1 . Thus,
λ+ (B1 ) = ∞. Let’s do one more step. Since λ+ (B1 ) = ∞, there is a measurable set A2 inside it so that
λ(A2 ) > 2. Then,

λ+ (A2 ) + λ+ (B1 \ A2 ) = λ+ (B1 ) = ∞.

Thus, at least one of of λ+ (A2 ) and λ+ (B1 \ A2 ) is also ∞. Pick one such a set and call it B2 . Thus,
we have λ+ (B2 ) = ∞. You should be able to see how we construct the two sequences (An ) and (Bn ).
When we are done, we know An ⊆ Bn−1 , λ(An ) > n and λ(Bn ) = ∞ for all n.

Now, if for an infinite number of indices nk , Bnk = Bnk −1 \ Ank , what happens? It is easiest to see with
an example. Suppose B5 = B4 \ A5 and B8 = B7 \ A8 . By the way we construct these sets, we see A6
does not intersect A5 . Hence, A7 ∩ A5 = ∅ also. Finally, we have A8 ∩ A5 = ∅ too. Hence, extrapolating
from this simple example, we can infer that the sequence (Ank is disjoint. By the countable additivity of
λ, we then have
[  X X
λ An k = λ(Ank > nk = ∞.
k k k

But λ is finite on all members of S. This is therefore a contradiction.

Another possibility is that there is an index N so that if n > N , the choice is always that of Bn = An .
In this case, we have

E ⊇ AN +1 ⊇ AN +2 . . .

Since λ is finite and additive,

λ(AN +j−1 \ AN +j ) = λ(AN +j−1 ) − λ(AN +j )

for j > 2 since all the λ values are finite. We now follow the construction given in the proof of the
second part of Lemma 10.1.2 to finish our argument. Construct the sequence of sets (En ) by

E1 = ∅
E2 = AN +1 \ AN +2
E3 = AN +1 \ AN +3
.. .. ..
. . .
En = AN +1 \ AN +n−1 .

Then (En ) is an increasing sequence of sets which are disjoint and so λ(∪n En ) = limn λ(En ). Since
λ(AN +1 ) is finite, we then know that λ(En ) = λ(AN +1 ) − λ(AN +n ). Hence, λ(∪n En ) = λ(AN +1 ) −

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limn λ(AN +n ). Next, note by De Morgan’s Laws,

  [ 
λ ∪n En = λ AN +1 ∩ AC
N +n
n
 \ 
= λ AN +1 ∪n AC
N +n

\ C !
= λ AN +1 ∩n AN +n
!
= λ AN +1 \ ∩n AN +n .

Thus, since λ(AN +1 ) is finite and ∩n AN +n ⊆ AN +1 , it follows that

λ(∪n En ) = λ(AN +1 ) − λ(∩n AN +n ).

Combining these results, we have

λ(AN +1 ) − lim λ(AN +n ) = λ(AN +1 ) − λ(∩n AN +n ).

n

Canceling λ(AN +1 ) from both sides, we find

λ(∩n AN +n ) = lim λ(AN +n ) ≥ lim N + n = ∞.

n n

We again find a set ∩n AN +n with λ value ∞ inside E. However, λ is always finite. Thus, in this case
also, we arrive at a contradiction.

We conclude at this point that if λ+ (E) = ∞, we force λ to become infinite for some subsets. Since that
is not possible, we have shown λ+ is finite. Since λ− = (−λ)+ , we have established that λ− is finite
also. Next, given the relationship between λ+ and λ− , it is enough to prove λ+ is a measure to complete
this proof.

It is enough to prove that λ+ is countably additive. Let (En ) be a countable sequence of measurable sets
and let E be their union. If A ⊆ E, then A = ∪n A ∩ En and so
X
λ(A) = λ(A ∩ En )
n
X
≤ λ+ (En ),
n

by the definition of λ+ . Since this holds for all such subsets A, we conclude n λ+ (En ) is an upper bound
P

for the collection of all such λ(A). Hence, by the definition of a supremum, we have λ+ (E) ≤ n λ+ (En ).
P

To show the reverse, note λ+ (E) is finite by the arguments in the first part of this proof. Now, pick
 > 0. Then, by the Supremum Tolerance Lemma, there is a sequence (An ) of measurable sets, each
An ⊆ En so that

λ+ (En ) − /2n < λ(An ) ≤ λ+ (En ).

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Let A = ∪n An . Then A ⊆ E and so we have λ(A) ≤ λ+ (E). Hence,

X X 
+ n
λ (En ) < λ(An ) + /2
n n
X
< λ(An ) + 
n

since the second term is a standard geometric series. Next, since (An ) is a disjoint sequence, the countable
additivity of λ gives

X  
+
λ (En ) < λ ∪n An + .
n

But A = ∪n An and since this holds for all  > 0, we can conclude
X
λ+ (En ) < λ(A) ≤ λ+ (E).
n

Combining these inequalities, we see λ+ is countably additive and hence is a measure. 

Comment 15.1.1. If we had allowed the charge in Definition 10.0.2 to be extended real valued; i.e. take
on the values of ∞ and −∞, what would happen? First, note by applying the arguments in the first part
of the proof above, we can say if λ+ (E) = ∞, λ(E) = ∞ and similarly, if λ− (E) = ∞, λ(E) = −∞.
Conversely, note by definition of λ+ , if λ(E) = ∞, then λ+ (E) = ∞ also and if λ(E) = −∞, then
λ− (E) = ∞. So if λ+ (E) = ∞, what about λ− (E)? If λ− (E) = ∞, that would force λ(E) = −∞
contradicting the value it already has. Hence λ− (E) is finite. Next, given any measurable set F , what
about λ− (F )? There are several cases. First, if F ⊆ E, then

λ− (E)& = λ− (F ) + λ− (F \ E).

Since λ− ≥ 0, if λ− (F ) = ∞, we get λ− (E), which is finite, is also infinite. Hence, this can not happen.
Second, if F and E are disjoint, with λ− (F ) = ∞, we find

λ− (E ∪ F ) = λ− (E) + λ− (F ).

The right hand side is ∞ and so since λ− (E ∪ F ) is infinite, this forces λ(E ∪ F ) = −∞. But since λ
is additive on disjoint sets, this leads to the undefined expression

λ(E ∪ F ) = λ(E) + λ(F )

−∞ = (∞) + (−∞).

This is not possible because by assumption, λ takes on a well defined value in < for all measurable
subsets. Thus, we conclude if there is a measurable set E so that λ+ (E) is infinite, then λ− will be finite
everywhere. The converse is also true: if λ− (E) is infinite, then λ+ will be finite everywhere. Thus, we
can conclude if λ is extended real valued, only one of λ+ or λ− can take on ∞ values.

Now we show that any charge λ has associated Positive and Negative sets.

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Basic Decomposition Results Chapter 15:

Theorem 15.1.2. The Hahn Decomposition Associated With A Charge

Let λ be a charge on (X, S). Then, there is a positive set P and a negative set N so that
X = P ∪ N and P ∩ N = ∅. The pair (P, N ) is called a Hahn Decomposition associated
with the charge λ.

Proof. Since λ+ is finite, first by the Supremum Tolerance Lemma there are measurable sets An so
that

λ(An ) > λ+ (X) − 1/2n (∗)

for all n. Hence, by the Jordan Decomposition of λ, we can say

λ− (An ) = λ+ (An ) − λ(An ) ≤ λ+ (X) − λ(An ) < 1/2n , (∗∗)

by Equation ∗.
Next, note if E is measurable and in X \ An , then

λ(E) + λ(An ) = λ(E ∪ An ) ≤ λ+ (X)

by the definition of λ+ . Hence,

λ(E) ≤ λ+ (X) − λ(An ) < 1/2n ,

again by Equation ∗. This immediately implies

λ+ (X \ An ) ≤ 1/2n . (∗ ∗ ∗)

Now, with these preliminaries out of the way, let

∞ [
\ ∞
A = An = lim sup(An ).
k=1 n=k

Then, a simple application of DeMorgan’s Laws gives

∞ \
[ ∞
X \A = AC
n = lim inf(An ).
k=1 n=k

Thus, since λ− is a measure,

  ∞
[ 
λ− A ≤ λ− An
n=k
∞
X   ∞
X
≤ λ − An < 1/2n = 1/2k−1 ,
n=k n=k

by Equation ∗∗. But k is arbitrary here and so this tells us that λ− (A) = 0.

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Also, by Equation ∗ ∗ ∗,
∞
\   
λ+ AC
n ≤ λ + AC
n < 1/2n ,
n=k

for all n ≥ k. Finally, since the sets ∩n≥k AC

n are increasing, we have

∞
\   
+
lim λ AC
n = λ +
X \A .
k
n=k

We thus conclude λ+ (X \ A) = 0. Now set B = X \ A.

It remains to show that A is a positive set and B is a negative set. Let E be measurable. Then E ∩ A
is contained in A and so

0 ≤ λ− (E ∩ A) ≤ λ− (A) = 0.

Then, by the Jordan Decomposition of λ, we see

λ(E ∩ A) = λ+ (E ∩ A) ≥ 0.

This shows that A is a positive set. A similar argument shows B is a negative set. 

We can use the Hahn Decomposition to characterize λ+ and λ− is a new way.

Lemma 15.1.3. The Hahn Decomposition Characterization of a Charge
Let (A, B) be a Hahn Decomposition for the charge λ on (X, S). Then, if E is measurable,
λ+ (E) = λ(E ∩ A) and λ− (E) = −λ(E ∩ B).

Proof. Let D be a measurable subset of E ∩ A. Then λ(D) ≥ 0 by the definition of the positive set A.
Since λ is countably additive, we then have
     
λ E ∩ A = λ (E ∩ A) ∩ D + λ (E ∩ A) ∩ DC
   
= λ D + λ (E ∩ A) ∩ DC

But the second set is contained in E ∩A and so its λ measure is non negative. Hence, we can overestimate
the left hand side as
   
λ E ∩ A ≥ λ D ≥ 0.

Since this is true for all subsets D, the definition of λ+ implies λ+ (E ∩ A) ≤ λ(E ∩ A). Now,

λ+ (E) = λ+ (E ∩ A) + λ+ (E ∩ B).

If F is a measurable subset of By the definition of E ∩ B, then λ(F ) ≤ 0 and so sup { λ(F )} ≤ 0. This
tells us λ+ (E ∩ B) = 0. Thus, we have established that λ+ (E) = λ+ (E ∩ A). and so λ+ (E) ≤ λ(E ∩ A).

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The reverse inequality is easier. Since E ∩ A is a measurable subset of E, the definition of λ+ implies
λ(E ∩ A) ≤ λ+ (E). Combining these results, we have λ+ (E) = λ(E ∩ A) as desired.
A similar argument shows that λ− (E) = −λ(E ∩ B). 

15.2 The Variation Of A Charge

A charge λ has associated with it a concept that is very similar to that of the variation of a function.
We now define the variation of a charge.

Definition 15.2.1. The Variation of a Charge

Let (X, S) be a measure space and λ be a charge on S. For a measurable set E, a mesh in
E is a finite collection of disjoint measurable sets inside E, {E1 , . . . , En } for some positive
integer n. Define the mapping Vλ by
X
Vλ (E) = sup { |λ(Ei )| | {Ei } is a mesh in E}
i

where we interpret the sum as being over the finite number of sets in the given mesh. We say
Vλ (E) is the total variation of λ on E and Vλ is the total variation of λ.

Theorem 15.2.1. The Variation of a Charge is a Measure

Let (X, S) be a measure space and λ be a finite charge on S. Then Vλ is a measure on S.

Proof. Given a measurable set E, the Jordan Decomposition of λ implies that for a mesh {E1 , . . . , En }
in E, |λ(Ei )| ≤ λ+ (Ei ) + λ− (Ei ). Hence, since λ+ and λ− are measures and countably additive, we have
X X X
|λ(Ei )| ≤ λ+ (Ei ) + λ− (Ei )
i i i
+ −
≤ λ (E) + λ (E) < ∞

since λ+ and λ− are both finite. We conclude Vλ is a finite mapping.

Since the only mesh in ∅ is ∅ itself, we see Vλ (∅) = 0. It remains to show countable additivity. Let (En )
be a countable disjoint family in S and let E be their union. Let {A1 , . . . , Ap } be a mesh in E. Then
each Ai is inside E and they are pairwise disjoint. Let Ai n = Ai ∩ En . Note Ai is the union of the sets
Ai n . Then it is easy to see {A1n , . . . , Apn } is a mesh in En . For convenience, call this mesh Mn . Then

p
X p X
X p
X X 
|λ(Ai )| = |λ(Ai n | = |λ(Ai n | .
i=1 i=1 n n i=1

The term in parenthesis is the sum over the mesh Mn of En . By definition, this is bounded above by
Vλ (En ). Thus, we must have
p
X X
|λ(Ai )| ≤ Vλ (Ai ).
i=1 n

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The Variation Of A Charge Chapter 15:

To get the other inequality, we apply the Supremum Tolerance Lemma to the definition of Vλ (En ) to find
meshes

Mn = {A1 n , . . . , Apn n },

where pn is a positive integer, so that

pn
X
Vλ (En ) < |λ(Ai n )| + /2n .
i=1

It follows that the union of a finite number of these meshes is a mesh of E. For each positive integer N ,
let
N
[
MN = Mi
i=1

denote this mesh. Then,

N
X X pn
N X 
Vλ (En ) < |λ(Ai n )| + /2n .
n=1 n=1 i=1

The first double sum corresponds to summing over a mesh of E and so by definition, we have

N
X N
X ∞
X
Vλ (En ) < Vλ (E) + /2n ≤ Vλ (E) + /2n = Vλ (E) + .
n=1 n=1 n=1

Since N is arbitrary, we see the sequence of partial sums on the left hand side converges to a finite limit.
Thus,
∞
X
Vλ (En ) ≤ Vλ (E) + .
n=1

Since  is arbitrary, the other desired inequality follows. 

Theorem 15.2.2. Vλ = λ+ + λ−
Let (X, S) be a measure space and λ be a finite charge on S. Then Vλ = λ+ + λ− .

Proof. Choose a measurable set E and let  > 0 be chosen. Then, by the Supremum Tolerance Lemma,
there is a mesh M  = {A1 , . . . , Ap so that
X
Vλ (E) −  < |λ(Ai )| ≤ Vλ (E).
i

Let F be the set of indices i in the mesh above where λ(Ai ) ≥ 0 and G be the other indices where
λ(Ai ) < 0. Let F be the union over the indices in F and G be the union over the indices in G. Note we

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The Variation Of A Charge Chapter 15:

have
X
Vλ (E) −  < |λ(Ai )|
i
X X
= |λ(Ai )| + |λ(Ai )|.
F F

Now in F ,

|λ(Ai )| = λ+ (Ai ) − λ− (Ai )

≤ λ+ (Ai ),

and in G,

|λ(Ai )| = λ− (Ai ) − λ+ (Ai )

≤ λ− (Ai ).

Thus, we can say

X X
Vλ (E) −  ≤ λ+ (Ai ) + λ− (Ai )
F G
= λ+ (F) + λ− (G)
≤ λ+ (E) + λ− (E).

Thus, for all  > 0, we have

Vλ (E) ≤ λ+ (E) + λ− (E) + .

This implies

Vλ (E) ≤ λ+ (E) + λ− (E).

To prove the reverse, note if A ⊆ E for E ∈ S, then A itself is a mesh (a pretty simple one, of course)
and so |λ(A)| ≤ Vλ (A). Further, λ(E) = λ(A) + λ(E \ A). Thus, we have

2 λ(A) ≤ λ(A) + |λ(A)| ≤ λ(E) − λ(E \ A) + |λ(A)|

≤ λ(E) + |λ(E \ A)| + |λ(A)|

But the collection {A, E \ A} is a mesh for E and so

2 λ(A) ≤ λ(E) + Vλ (E).

Next, using the definition of λ+ , we find

2 λ+ (E) ≤ λ(E) + Vλ (E).

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Absolute Continuity Of Charges Chapter 15:

Finally, using the Jordan Decomposition of λ, we obtain

2 λ+ (E) ≤ λ+ (E) − λ− (E) + Vλ (E).

This immediately leads to λ+ (E) − λ− (E) ≤ Vλ (E). 

15.3 Absolute Continuity Of Charges

Now we are ready to look at absolute continuity in the context of charges.

Definition 15.3.1. Absolute Continuity Of Charges

Let (X, S, µ) be a measurable space and let λ be a charge on S. Then λ is said to be absolutely
continuous with respect to µ if whenever E is a measurable set with µ(E) = 0, then λ(E) = 0
also. We write this as λ  µ. The set of all charges that are absolutely continuous with
respect to µ is denoted by AC[µ].

There is an intimate relationship between the absolute continuity of Vλ , λ, λ+ and λ− ; essentially,

one implies all the others.

Theorem 15.3.1. Equivalent Absolute Continuity Conditions For Charges

Let (X, S, µ) be a measurable space. Then for the statements (1): λ+ and λ− are in AC[µ],
(2): Vλ is in AC[µ], and
(3): λ is in AC[µ], we have (1) ⇔ (2) ⇔ (3).

Proof.
(1) → (2): if µ(E) = 0, then λ+ (E) and λ− (E) are also zero by assumption. Applying the Jordan
Decomposition of λ, we see λ(E) = 0 too. Hence, λ is in AC[µ].
(2) → (3): if µ(E) = 0, then Vλ (E) = 0. But, by Theorem 15.2.2, we have both λ+ (E) and λ− (E) are
zero. Then, applying the Jordan Decomposition again, we have λ(E) = 0. This tells us λ is absolutely
continuous with respect to µ.
(3) → (1): Let (A, B) be a Hahn Decomposition of X due to λ. If µ(E) = 0, then λ(E) = 0 by
assumption. Thus, λ(E ∩ A) = λ(E ∩ B) = 0 as well. By Lemma 15.1.3, we then have that λ+ (E) =
λ− (E) = 0 showing that (1) holds. 

There is another characterization of absolute continuity that is useful.

Lemma 15.3.2.  − δ Version Of Absolute Continuity Of a Charge

Let λ be a finite charge of S. Then

λµ ⇔ ∀  > 0, ∃ δ > 0 3 |λ(E)| <  for measurable E with µ(E) < δ.

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Absolute Continuity Of Charges Chapter 15:

Proof.
(⇒): If λ is absolutely continuous with respect to µ, then by Theorem 15.3.1 (the previous result) Vλ is
also in AC[µ]. We will prove this by contradiction. Assume the desired implication does not hold for
Vλ . Then, there is a positive  so that for all n, there is a measurable set En with µ(En ) < 1/2n and
Vλ (En ) ≥ .

Let
∞
[
Gn = Ek ,
k=n
\
G = Gn .
n

Then,
∞
X ∞
X
µ(G) ≤ µ(Gn ) ≤ Ek < 1/2k = 1/2n−1 .
k=n k=n

Since this holds for all n, this implies µ(G) = 0. Since Vλ is in AC[µ], we then have Vλ (G) = 0. But

Vλ (G) = lim Vλ (Gn ) ≥ .

n

This contradiction implies that our assumption that the right hand side did not hold must be false. Hence,
the condition holds for Vλ . It is easy to see that since Vλ = λ+ + λ− , that the condition holds for them
also. This then implies the condition holds for λ = λ+ − λ− .
(⇐): We assume the condition on the right hand side holds. Now let (A, B) be a Hahn Decomposition
for X with respect to λ. In particular, if µ(E) = 0, then µ(E ∩ A) = 0 also. The condition then implies
λ(E ∩ A) < . However, the choice of  is arbitrary which then implies |λ(E ∩ A)| = 0. But the absolute
values are unnecessary as λ is non negative on A. We conclude λ+ (E) = λ(E ∩ A) = 0. A similar
argument then shows λ− (E) = −λ(E ∩ B) = 0. This tells us λ(E) = 0 by the Jordan Decomposition.


Lemma 15.3.3. The Absolute Continuity Of The Integral

Let (X, S, µ) be a measure space and f be a summable function. Define the map λ by λ(E) =
R
E
f dµ for all measurable E. Then, λ is a charge with
Z Z
−
+
λ (E) = +
f dµ, λ (E) = − f − dµ.
E E

Moreover, if Pf = {x | f (x) ≥ 0} and Nf = PfC , then (Pf , Nf ) is a Hahn Decomposition for

X with respect to λ. Finally, since λ  µ, we know for all positive , there is a positive δ, so
that if E is a measurable set with µ(E) < δ, then
Z 
 

 f dµ < ,
E

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The Radon - Nikodym Theorem Chapter 15:

Proof. It is easy to see that ν1 = E f + dµ and ν2 = E f − dµ define measures and that λ = ν1 − ν2 .

R R

Hence, λ is a charge which is absolutely continuous with respect to µ. It is also easy to see that (Pf , Nf )
is a Hahn Decomposition for λ. Now if B is measurable and contained in the measurable set E, we have
Z Z
+
λ(B) = f dµ − f + dµ
B∩Pf B∩Nf
Z
≤ f + dµ
B∩Pf
Z
≤ f + dµ.
E∩Pf

Next, note that E∩Pf f + dµ = E f + dµ because the portion of E that lies in Nf does not contribute to
R R

the value of the integral. Thus, for any B ⊆ E, we have

Z
λ(B) ≤ f + dµ = ν1 (E).
E

The definition of λ+ then implies two things: first, the inequality above tells us λ+ (E) ≤ ν1 (E) and
second, since E ∩ Pf is a subset of E, we know λ(E ∩ Pf ) ≤ λ+ (E). However, λ(E ∩ Pf ) = ν1 (E) and
hence, ν1 (E) ≤ λ+ (E) also. Combining, we have λ+ (E) = ν1 (E).

A similar argument shows that λ− (E) = ν2 (E).

The last statement of the proposition follows immediately from Lemma 15.3.2. 

15.4 The Radon - Nikodym Theorem

From our work above, culminating in Lemma 15.3.3, we know that integrals of summable functions define
charges which are absolutely continuous with respect to the measure we are using for the integration.
The converse of this is that if a measure is absolutely continuous, we can find a summable function
so that the measure can be found by integration. That is if λ  µ, there exists f summable so that
R
λ(E) = f dµ. This result is called the Radon - Nikodym theorem and as you might expect, its proof
requires some complicated technicalities to be addressed. Hence, we begin with a lemma.
Lemma 15.4.1. Radon - Nikodym Technical Lemma
Let (X, S, µ) be a measurable space with µ(X) finite. Let λ be a measure which is finite with
λ(X) > 0 and λ  µ. Then there is a positive  and a measurable set A with µ(A) > 0 so
that

 µ(E ∩ A) ≤ λ(E ∩ A), ∀ E ∈ S.

Proof. Pick a fixed  > 0 and assume the set A exists. Let ν = λ −  µ. Then, ν is a finite charge also.
Note, our assumption tells us that

ν(B) = λ(B) −  µ(B) ≥ 0,

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The Radon - Nikodym Theorem Chapter 15:

for all measurable subsets B of A. Hence, by the definition of ν − , we must have that −ν − (A) ≥ 0 or
ν − (A) ≤ 0. But ν − is always non negative. Combining, we have ν − (A) = 0. This gives us some clues
as to how we can find the desired A. Note if (A, B) is a Hahn Decomposition for ν, then we have this
desired inequality, ν − (A) = 0. So, we need to find a positive value of ∗ so that when (A, B) is a Hahn
Decomposition of

ν ∗ (A) = λ(A) − ∗ µ(A),

we find ν ∗ (A) > 0.

To do this, for  = 1/n, let (An , Bn ) be a Hahn Decomposition for νn = λ − (1/n) µ. Let G = ∪n An
and H = ∩n Bn . We also know An ∪ Bn = X and An ∩ Bn = ∅ for all n. Further,
\ C [ [
HC = Bn = BnC = An = G.
n n n

We conclude X = G ∪ H; it is easy to see G ∩ H = ∅. Now, H ⊆ Bn for all n, so νn (H) = −νn− (H) ≤ 0

as Bn is a negative set. Hence, we can say

λ(H) − (1/n) µ(H) ≤ 0

which implies λ(H) ≤ (1/n) µ(H) for all n. Since λ is a measure, we then have

0 ≤ λ(H) ≤ µ(H)/n

which implies by the arbitrariness of n that λ(H) = 0. Hence,

λ(X) = λ(G) + λ(H) = λ(G).

Thus, λ(G) > 0 as λ(X) > 0. Since λ  µ, it then follows that µ(G) > 0 also. Since G = ∪n An , it
must be true that there is at least one n with µ(An ) > 0. Call this index N . Then, νN (E ∩ AN ) ≥ 0 as
AN is a positive set for νN . This implies

µ(E ∩ AN )
λ(E ∩ AN ) − ≥ 0,
N
which is the result we seek using A = AN and  = 1/N . 

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The Radon - Nikodym Theorem Chapter 15:

Theorem 15.4.2. The Radon - Nikodym Theorem

Let (X, S, µ) be a measurable space with µ σ - finite. Let λ be a charge with λ  µ. Then,
there is a summable function f so that
Z
λ(E) = f dµ
E

for all measurable E. Moreover, if g is another summable function which satisfies this equality,
then f = g µ a.e. The summable function f is called the Radon - Nikodym derivative of λ
dλ
with respect to µ and is often denoted by the usual derivative symbol: f = dµ . Hence, this
equality is often written
Z
dλ
λ(E) = dµ
E dµ

Proof. We will do this in three steps.

Step 1: We assume µ(X) is finite and λ is a finite measure.
Step 2: We assume µ is σ - finite and λ is a finite measure.
Step 3: We assume µ is σ - finite and λ is a finite charge.

As is usual, the proof of Step 1 is the hardest.

Proof Step 1: Let
Z
F = { f : X → < | f ≥ 0, f summable and f dµ ≤ λ(E), ∀ E ∈ S}.
E
R
Note since f = 0X , F is nonempty. From the definition of F, we see X
f dµ ≤ λ(X) < ∞ for all f in
F. Hence,
Z
c = sup f dµ < ∞.
f ∈F X

R
We will find a particular f ∈ F so that c = X f dµ. Let (fn ) ⊆ F be a minimizing sequence: i.e.
R
f dµ → c. We will assume without loss of generality that each fn is finite everywhere as the set of
X n
points where all are infinite is a set of measure zero. Now, there are details that should be addressed in
that statement, but we have gone through those sort of manipulations many times before. As an exercise,
you should go through them again on scratch paper for yourself. With that said, we will define a new
sequence of finite functions (gn ) by

gn = f1 ∨ f2 ∨ . . . ∨ fn
= max {f1 , . . . , fn }.

293
The Radon - Nikodym Theorem Chapter 15:

This is a pointwise operation and it is clear that (gn ) is an increasing sequence of non negative functions.
Since f1 and f2 are summable, let A be the set of points where f1 > f2 . Then,
Z Z Z
f1 ∨ f2 dµ = f1 dµ + f2 dµ
X C
ZA ZA
≤ f1 dµ + f2 dµ.
X X

This tells us f1 f2 is summable also. A simple induction argument then tells us gn is summable for all
n.

Is gn ∈ F? Let E be measurable. Define the measurable sets (En ) by

E1 = { x | gn (x) = f1 (x)} ∩ E,
E2 = { x | gn (x) = f2 (x)} ∩ (E \ E1 ),
..
.
En = { x | gn (x) = fn (x)} ∩ (E \ ∪n−1
i=1 Ei ).

Then, it is clear E = ∪i Ei , each Ei is disjoint from the others and gn (x) = fi (x) on Ei . Thus, since
each fi is in F, we have
Z n Z
X
gn dµ = fi dµ
E i=1 Ei

Xn
≤ λ(Ei ) = λ(∪ni=1 Ei )
i=1
= λ(E).

We conclude each gn is in F for all n. Next, if g = sup gn , then gn ↑ g and

Z
gn dµ ≤ λ(E) ≤ λ(X)
E

for all n. Now apply the Monotone Convergence Theorem to see g is summable and
Z Z
gn dµ → g dµ ≤ λ(E).
E E

Let’s define f by
(
g(x) g(x) < ∞
f (x) =
,0 g(x) = ∞.

Since g is summable, the set of points where it takes on the value ∞ is a set of measure 0. Thus, f = g
µ a.e. and f is measurable. It is easy to see f is in F.

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The Radon - Nikodym Theorem Chapter 15:

Moreover, since fn ≤ gn , we have

Z
c = lim fn dµ
n X
Z
≤ lim gn dµ ≤ c
n X

because gn ∈ F. Thus,
Z Z
c = lim gn dµ = g dµ.
n X X
R
This immediately tells us that X
f dµ = c with f ∈ F.

Next, define m : S → < by

Z
m(E) = λ(E) − f dµ,
E

for all measurable E. It is straightforward to show m is difference of two measures and hence is a finite
charge. Also, since f is in F, we see m is non negative and thus is a measure. In addition, since λ  µ
R
and the measure defined by E f dµ is also absolutely continuous with respect to µ, we have that m  µ
too. Now if m(X) = 0, this would imply, since m(E) ≤ m(X), that
Z
0 ≤ λ(E) − f dµ ≤ m(X) = 0.
E
R
But this says λ(E) = E
f dµ for all measurable E which is the result we seek.

Hence, it suffices to show m(X) = 0. We will do this by contradiction. Assume m(X) > 0. Now apply
Lemma 15.4.1 to conclude there is a positive  and measurable set A so that µ(A) > 0 and

 µ(E ∩ A) ≤ m(E ∩ A), (∗)

for all measurable E. Define a new function h using Equation ∗ by h = f +  IA . Then for a given
measurable E, we have
Z Z
h dµ = f dµ +  µ(E ∩ A)
E
ZE
≤ f dµ + m(E ∩ A)
E

by Equation ∗. Now replace m by its definition to find

Z Z Z
h dµ ≤ f dµ + λ(E ∩ A) − f dµ
E E E∩A
Z
= f dµ + λ(E ∩ A).
E∩AC

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The Radon - Nikodym Theorem Chapter 15:

Finally, use the fact that f is in F to conclude

Z
h dµ ≤ λ(E ∩ AC ) + λ(E ∩ A) = λ(E).
E

This shows that h is in F. However,

Z Z
h dµ = f dµ +  µ(A) > c!
X X

which is our contradiction. This completes the proof of Step 1.

Proof Step 2: Now µ is σ finite. This means there is a countable sequence of disjoint measurable sets
(Xn ) with µ(Xn ) finite for each n and we can write X = ∪n Xn . Let Sn be the σ - algebra of subsets of
Xn given by S ∩ Xn . By Step 1, there are summable non negative functions fn so that
Z
λ(F ) = fn d µ,
F

for each F in Sn . Now define f by f (x) = fn (x) when x ∈ Xn . This is a well - defined function and it
is easy to see f is measurable. If E is measurable, then E = ∪n E ∩ Xn , E = ∪n E ∩ Xn and
Z Z
f dµ = f d µ.
E ∪n E∩Xn

Then, for any n,

Z n Z
X n Z
X
f dµ = f dµ = fn d µ
∪n
i=1 E∩Xi i=1 E∩Xi i=1 E∩Xi

Xn
= λ(E ∩ Xi ) = λ(∪ni=1 E ∩ Xi ) ≤ λ(E),
i=1

P R
which is a finite number. Hence, the series of non negative terms n E∩Xn
f d µ converges and
Z XZ
f dµ = fn d µ = λ(∪n E ∩ Xn ) = λ(E).
E n ∪n E∩Xn

This establishes the result for Step 2.

Proof Step 3: Here, we have µ is σ - finite and λ is a finite charge. By the Jordan Decomposition of
λ, we can write

λ(E) = λ+ (E) − λ− (E),

for all measurable E. Now apply Step 2 to find non negative summable functions f + and f − so that
Z
λ+ (E) = f + d µ,
ZE
−
λ (E) = f − d µ.
E

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The Lebesgue Decomposition of a Measure Chapter 15:

Let f = f + − f − and we are done with the proof of Step 3.

Finally, it is clear from the proof above, that the Radon - Nikodym derivative of λ with respect to µ, is
unique up to redefinition on a set of µ measure 0. 

15.5 The Lebesgue Decomposition of a Measure

Definition 15.5.1. Singular Measures
Let (X, S, µ) be a measure space and let λ be a charge on S. Assume there is a decomposition
of X into disjoint measurable subsets U and V (X = U ∪ V and U ∩ V = ∅) so that µ(U ) = 0
and λ(E ∩ V ) = 0 for all measurable subsets E of V . In this case, we say λ is perpendicular
to µ and write λ ⊥ µ.

Comment 15.5.1. If λ ⊥ µ, let (U, V ) be a decomposition of X associated with the singular measure
λ. We then know that µ(U ) = 0 and λ(E ∩ V ) = 0 for all measurable E. Note, if E is measurable, then
   
E = E∩U ∪ E∩V .

Thus,
     
λ(E) = λ E∩U + λ E∩V = λ E∩U .

Further,
     
µ(E) = µ E∩U + µ E∩V = µ E∩V .

Comment 15.5.2. If λ ⊥ µ with λ 6= 0, then there is a measurable set E so that λ(E ∩ U ) 6= 0. But
for this same set µ(E ∩ U ) = 0 as E ∩ A is a subset of U . Thus, λ 6 µ.

Comment 15.5.3. If λ ⊥ µ and λ  µ, then for any measurable set E, we have λ(E) = λ(E ∩ U ).
But, since µ(E ∩ U ) = 0, we must have λ(E ∩ U ) = 0 because λ  µ. Thus, λ = 0.

Comment 15.5.4. It is easy to prove that λ ⊥ µ implies Vλ ⊥ µ, λ+ ⊥ µ and λ− ⊥ µ. Also, if λ+ ⊥ µ

and λ− ⊥ µ, this implies λ ⊥ µ.

Theorem 15.5.1. Lebesgue Decomposition Theorem

Let (X, S, µ) be a σ - finite measure space. Let λ be a finite charge on S. Then, there are two
unique finite measures, λac  µ and λp ⊥ µ such that λ = λac + λp .

Proof. We will prove this result in four steps.

Step 1: λ and µ are finite measures.

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The Lebesgue Decomposition of a Measure Chapter 15:

Step 2: µ is a σ - finite measure and λ is a finite measure.

Step 3: µ is a σ - finite measure and λ is a finite charge.

Step 4: The decomposition is unique.

Proof Step 1: As is usual, this is the most difficult step. We can see, in this case, that λ + µ is a
measure. Note that (λ + µ)(E) = 0 implies that λ(E) is 0 too. Hence, λ  (λ + µ). By the Radon -
Nikodym Theorem, there is then a non negative λ + µ summable f so that for any measurable E,
Z
λ(E) = f d (λ + µ).
E

Hence, f is µ and λ summable as well and

Z Z
λ(E) = f dλ + f d µ).
E E

Let

A1 = {x | f (x) = 1},
A2 = {x | f (x) > 1}, and
B = {x | f (x) < 1}.

Also, for each n, let

En = {x | f (x) ≥ 1 + 1/n}.

Then, we see immediately A2 = ∪n En and X = A ∪ B. Now, we also have

Z
λ(En ) = f d (λ + µ)
En
 
≥ (1 + 1/n) λ(En ) + µ(En ) .

This implies λ(En ) ≥ (1 + 1/n) λ(En ) which tells us λ(En ) ≤ 0. But since λ is a measure, this forces
λ(En ) = 0. From the same inequality, we also have λ(En ) ≥ λ(En ) + µ(En ). which forces µ(En ) = 0
too.
Next, note the sequence of sets (En ) increases to A2 and so

lim µ(En ) = µ(A2 ),

n
lim λ(En ) = λ(A2 ).
n

Since µ(En ) = λ(En ) = 0 for all n, we conclude µ(A2 ) = λ(A2 ) = 0.

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The Lebesgue Decomposition of a Measure Chapter 15:

Also,
Z
λ(A1 ) = f d (λ + µ)
A1
Z
= 1 d (λ + µ)
A1
= µ(A1 ) + λ(A1 ),

which implies µ(A1 ) = 0. Let A = A1 ∪ A2 . Then, the above remarks imply µ(A) = 0. We now suspect
that A and B will gives us the decomposition of X which will allow us to construct the measures λac  µ
and λp ⊥ µ. Define λac and λp by

λac = λ(E ∩ B),

λp = λ(E ∩ A).

Then,

λ(E) = λ(E ∩ A) + λ(E ∩ B)

= λac (E) + λp (E),

showing us the we have found a decomposition of λ into two measures.

Is λac  µ? Let µ(E) = 0. Then µ(E ∩ B) = 0 as well. Now, we know
Z
λ(E ∩ B) = f d (λ + µ)
ZE∩B Z
= f dλ + f d µ.
E∩B E∩B

However, the second integral must be zero since µ(E ∩ B) = 0. Thus, we have
Z
λ(E ∩ B) = f d λ.
E∩B
R
We also have λ(E ∩ B) = E∩B
1 dλ and so
Z Z
1dλ = f d λ.
E∩B E∩B

Thus,
Z  
1 − f dλ = 0.
E∩B

But on E∩B, 1−f > 0; hence, we must have λ(E∩B) = 0. This means λac (E∩B) = 0 implying λac  µ.

Is λp ⊥ µ? Note, for any measurable E, we have

 
λp (E ∩ B) = λ (E ∩ B) ∩ A = λ(∅) = 0.

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The Lebesgue Decomposition of a Measure Chapter 15:

Thus, λp ⊥ µ. In fact, we have shown

Z
λ(E) = f d λ + λp (E).
E∩B

Proof Step 2: Note that once we find a decomposition X = A ∪ B with A and B measurable and
disjoint satisfying µ(A) = 0 and λ(E ∩ B) = 0 if µ(E) = 0, then we can use the technique in the proof of
Step 1. We let λac (E) = λ(E ∩ B) and λp (E) = λ(E ∩ A). This furnishes the decomposition we seek.
Hence, we must find a suitable A and B.

The measure µ is now σ - finite. Hence, there is a sequence of disjoint measurable sets Xn with µ(Xn ) <
∞ and X = ∪n Xn . Let Sn denote the σ - algebra of subsets S ∩Xn . By Step 1, there is a decomposition
Xn = An ∪ Bn of disjoint and measurable sets so that µ(An ) = 0 and λ(E ∩ Bn ) = 0 if µ(E) = 0. Since
the sets Xn are mutually disjoint, we know the sequences (An ) and (An ) are disjoint also. Let A = ∪n An
and B = AC and note AC = ∩n Bn . Then, since µ is a measure, we have
n
X
µ(∪ni=1 Ai ) = µ(Ai ) = 0
i=1

for all n. Hence,

µ(A) = lim µ(∪ni=1 Ai ) = 0.

n

Next, if mu(E) = 0, then µ(E ∩ Bn ) = 0 for all n by the properties of the decomposition (An , Bn ) of
Xn . Since
 
E ∩ B = ∩n E ∩ Bn ,

and λ(E ∩ B1 ) is finite, we have

λ(E ∩ B) = lim λ(E ∩ Bn ).

n

However, each λ(E ∩ Bn ) is zero because µ(E) = 0 by assumption. Thus, we conclude λ(E ∩ B) = 0.
We then have the A and B we need to construct the decomposition.

Proof Step 3: The mapping λ is now a finite charge. Let λ = λ+ − λ− be the Jordan Decomposition of
the charge λ. Applying Step 2, we see there are pairs of measurable sets (A1 , B1 ) and (A2 , B2 ) so that

X = A1 ∪ B1 , A1 ∩ B1 = ∅, µ(A1 ) = 0, µ(E) = 0 ⇒ λ+ (E ∩ B1 ) = 0,

and

X = A2 ∪ B2 , A2 ∩ B2 = ∅, µ(A2 ) = 0, µ(E) = 0 ⇒ λ− (E ∩ B2 ) = 0.

300
Homework Chapter 15:

Let A = A1 ∪ A2 and B = B1 ∩ B2 . Note B C = A. It is clear then that µ(A) = 0. Finally, if µ(E) = 0,

then λ+ (E ∩ B1 ) = 0 and λ− (E ∩ B2 ) = 0. This tells us

λ(E ∩ B) = λ+ (E ∩ B) − λ− (E ∩ B)
= λ+ (E ∩ B1 ∩ B2 ) − λ− (E ∩ B1 ∩ B2 )
   
= λ+ (E ∩ B1 ) ∩ B2 − λ− (E ∩ B2 ) ∩ B1 .

Both of the terms on the right hand side are then zero because we are computing measures of subsets of
a set of measure 0. We conclude λ(E ∩ B) = 0. The decomposition is then
 
+ −
λac (E) = λ(E ∩ B) = λ − λ (E ∩ B),
 
λp (E) = λ(E ∩ A) = λ+ − λ− (E ∩ A).

Proof Step 4: To see this decomposition is unique, assume λ = λ1 + λ2 and λac + λp are two Lebesgue
decompositions of λ. Then, λac − λ1 = λ2 − λp . But since λ1 and λac are both absolutely continuous
with respect to µ, it follows that λac − λ1  µ also. Further, since both λ2 and λp are singular with
respect to µ, we see λ2 − λp ⊥ µ. However, λac − λ1 = λ2 − λp by assumption and so λac − λ1  µ and
λac − λ1 ⊥ µ. By Comment 15.5.3, this tells us λac = λ1 . This then implies λ2 = λp .


15.6 Homework
Exercise 15.6.1. Let (X, S) be a measurable space and λ is a charge on S. Prove if P1 and P2 are
positive sets for λ, then P1 ∪ P2 is also a positive set for λ.

Exercise 15.6.2. Let g1 (x) = 2x, g2 (x) = I[0,∞) , g3 (x) = x I[0,∞) and g4 (x) = arctan(x). All of these
functions generate Borel - Stieljes measures on <.

(i): Determine which are absolutely continuous with respect to Borel measure. Then, if absolutely
continuous with respect to Borel measure, find their Radon - Nikodym derivative.

(ii): Which of these measures are singular with respect to Borel measure?

Exercise 15.6.3. Let λ and µ be σ - finite measures on S, a σ - algebra of subsets of a set X. Assume
λ is absolutely continuous with respect to µ. If g ∈ M + (X, S), prove that
Z Z
g dλ = g f dµ

where f = dλ/dµ is the Radon - Nikodym derivative of λ with respect to µ.

Exercise 15.6.4. Let λ, ν and µ be σ - finite measures on S, a σ - algebra of subsets of a set X. Use
the previous exercise to show that if ν  λ and λ  µ, then

dν dν dλ
= , µ a.e.
dµ dλ dµ

301
Homework Chapter 15:

Further, if λ1 and λ2 are absolutely continuous with respect to µ, then

d(λ1 + λ2 )/dµ = dλ1 /dµ + dλ2 /dµ µ a.e.

Exercise 15.6.5. Prove the results of Comment 15.5.4.

302
Chapter 16
Connections To Riemann Integration

303
 Chapter 16:

304
Chapter 17
Fubini Type Results

305
 Chapter 17:

306
Chapter 18
Interesting Questions

Here are some interesting questions that will probe your understanding of what we have done throughout
the course of these notes.

18.1 Midterm Examination

1. This is Exercise 12.5.1.
Let X = (0, 1]. Let A consist of the empty set and all finite unions of half- open intervals of the
form (a, b] from X. Prove A is an algebra of sets of (0, 1].

2. This is Exercise 12.5.2.

Let A be the algebra of subsets of (0, 1] given in Exercise 12.5.1. Let f be an arbitrary function
on [0, 1]. Define νf on A by
 
νf (a, b] = f (b) − f (a).

Extend νf to be additive on finite disjoint intervals as follows: if (Ai ) = (ai , bi ]) is a finite collection
of disjoint intervals of (0, 1], we define
  n
X
νf ∪ni=1 (ai , bi ] = f (bi ) − f (ai ).
i=1

(a) Prove that νf is additive on A.

Hint. It is enough to show that the value of νf (A) is independent of the way in which we
write A as a finite disjoint union.

(b) Prove νf is non negative if and only if f is non decreasing.

307
Midterm Examination Chapter 18:

3. This is Exercise 12.5.3.

If λ is an additive set function on an algebra of subsets A, prove that λ can not take on both the
value ∞ and −∞.

Hint. If there is a set A in the algebra with λ(A) = ∞ and there is a set B in the algebra with
λ(B) = −∞, then we can find disjoint sets A0 and B 0 in A so that λ(A0 ) = ∞ and λ(B 0 ) = −∞.
But this is not permitted as the value of λ(A0 ∪ B 0 ) must be a well - defined extended real value
not the undefined value ∞ − ∞.

4. This is Exercise 12.5.4.

Let T be a covering family for a nonempty set X. Let τ be a non negative, possibly infinite
valued premeasure. For any A in X, define
X
µ∗ (A) = inf { τ (Tn ) | Tn ∈ T , A ⊆ ∪n Tn }
n

where the sequence of sets (Tn ) from T is finite or countably infinite. In the case where there are
no sets from T that cover A, we define the infimum over the resulting empty set to be ∞.

Prove µ∗ is an outer measure on X.

5. This is Exercise 12.5.5.

Let X = {1. 2, 3} and T consist of ∅, X and all doubleton subsets {x, y} of X. Let τ satisfy

(i): τ (∅) = 0.
 
(ii): τ {x, y} = 1 for all x 6= y in X.

(iii): τ (X) = 2.

(a): Prove the method of Exercise 12.5.4 gives rise to an outer measure µ∗ defined by µ∗ (∅) = 0,
µ∗ (X) = 2 and µ∗ (A) = 1 for any other subset A of X.
(b): Now do the construction process again letting τ (X) = 3. What changes?

6. This is Exercise 12.5.6.

Let X be the natural numbers N and let τ consist of ∅, N and all singleton sets. Define τ (∅) = 0
and τ ({x}) = 1 for all x in N.

(a): Let τ (N) = 2. Prove the method of Exercise 12.5.4 gives rise to an outer measure µ∗ . De-
termine the family of measurable sets (i.e., the sets that satisfy the Caratheodory Condition
).
(b): Let τ (N) = ∞ and answer the same questions as in Part (a).
(c): Let τ (N) = 2 and set τ ({x}) = 2−(x−1) . Now answer the same questions as in Part (a).
(d): Let τ (N) = ∞ and again set τ ({x}) = 2−(x−1) . Now answer the same questions as in
Part (a). You should see N is measurable but τ (N) 6= µ(N), where µ denotes the measure
constructed in the process of Part (a).
(e): Let τ (N) = 1 and again set τ ({x}) = 2−(x−1) . Now answer the same questions as in Part
(a). What changes?

308
Final Examination Chapter 18:

18.2 Final Examination

1. This is Exercise 11.5.1.
Let (X, S, µ) be a measure space. Let f be in Lp (X, Sµ) for 1 ≤ p < ∞. Let E = {x | |f (x)| =
6 0}.
Prove E is σ - finite.

2. This is Exercise 11.5.2.

Let (X, S, µ) be a finite measure space. If f is measurable, let En = {x | n − 1 ≤ |f (x)| < n}.
P∞
Prove f is in L1 (X, Sµ) if and only if n=1 nµ(En ) < ∞.
P∞
More generally, prove f is in Lp (X, Sµ), 1 ≤ p < ∞, if and only if n=1 np µ(En ) < ∞.

3. This is Exercise 14.5.6.

Let (<, M, µ) denote the measure space consisting of the Lebesgue measurable sets M and
Lebesgue measure µ. Let the sequence (fn ) of measurable functions be defined by

fn = n I[1/n,2/n] .

Prove fn → 0 on all <, fn → 0 [meas] but fn 6→ 0 [p − norm] for 1 ≤ p < ∞.

4. This is Exercise 15.6.1.

Let (X, S) be a measurable space and λ is a charge on S. Prove if P1 and P2 are positive sets for
λ, then P1 ∪ P2 is also a positive set for λ.

5. This is Exercise 9.7.5.

Let (X, S) be a measurable space. Let (µn ) be a sequence of measures on S with µn (X) ≤ 1 for
all n. Define λ on S by
∞
X
λ(E) = 1/2n µn (E)
n=1

for all measurable E. Prove λ is a measure on S.

6. This is Exercise 10.8.4.

Let (X, S) be a measurable space. Let C be the collection of all charges on S. Prove that C is a
Banach Space under the operations
 
c µ (E) = c µ(E), ∀ c ∈ <, ∀ µ
 
µ + ν (E) = µ(E) + ν(E), ∀ µ, ν,

with norm k µ k = |µ|(X)

7. This is Exercise 13.4.1.

A family A of subsets of the set X is an algebra if

(i): ∅, X are in A.
(ii): E ∈ A implies E C ∈ A.
(iii): if {A1 , . . . , An } is a finite collection of sets in A, then their union is in A.

309
Final Examination Chapter 18:

Further, the mapping τ is sometimes called a pseudo-measure on the algebra A if τ : A → [0, ∞]

and

(i): τ (∅) = 0.
(ii): If (Ai ) is a countable collection of disjoint sets in A whose union is also in A (note this is
not always true because A is not a σ - algebra), then
X
τ (∪i Ai ) = τ (Ai ).
i

Now we get to the exercise:

(a): Let U be the family of subsets of < of the form (a, b], (−∞, b], (a, ∞) and (−∞, ∞). Prove
F, the collection of all finite unions of sets from U is an algebra of subsets of <.
(b): Prove τ equal to the usual length of an interval is a pseudo-measure on F.
(c): Let g be any monotone increasing function on < which is continuous from the right. This
means

lim g(x + h) exists , ∀ x,

h→0+
lim g(x) exists,
x→−∞
lim g(x) exists.
x→∞

where the last two limits could be −∞ and ∞ respectively. Define the mapping τg on U by
 
τg (a, b] = g(b) − g(a),
 
τg (−∞, b) = g(b) − lim g(x),
x→−∞
 
τg (a, ∞) = lim g(x) − g(a),
x→∞
 
τg (−∞, ∞) = lim g(x) − lim g(x).
x→∞ x→−∞

and extend τg to F as usual. Prove that τg is a pseudo-measure on F.

(d): τg can then be used to define an outer measure µ∗g as usual. There is then an associated σ -
algebra of µ∗g measurable sets of <, Mg , and µ∗g restricted to Mg is a measure, µg .
We now prove F is contained in Mg . Here is the hint for any set I from F. Compare this
problem to Example 12.4.1 and Example 12.4.2 which are almost identical in spirit (although
the g here is more general) even though they are couched in terms of pre-measures instead
of pseudo-measures.

Hint. Let T be any subset of <. Let  > 0 be given. Then there is a cover (An ) of sets from
the algebra F so that
X
τg (An ) ≤ µ∗g (T ) + .
n

310
Final Examination Chapter 18:

Now I ∩ T ⊆ ∪n (An ∩ I) and I C ∩ T ⊆ ∪n (An ∩ I C ). So

X
µ∗g (T ∩ I) ≤ τg (An ∩ I),
n
X
µ∗g (T ∩ I C ) ≤ τg (An ∩ I C ).
n

Combining, and using the additivity of τg , we see

X
µ∗g (T ∩ I) + µ∗g (T ∩ I C ) ≤ τg (An ) ≤ µ∗g (T ) + .
n

Since  > 0 is arbitrary, we have shown I satisfies the Caratheodory condition and so in µ∗g
measurable.

Once you have shown these things, we know the Borel σ - algebra B is contained in Mg ! Measures
constructed this way are called Borel - Stieljes measures on < when we restrict them to B. If we
use the full σ - algebra, we call them Lebesgue - Stieljes measures.

8. This is Exercise 13.4.2.

Let h be our Cantor function

h(x) = (x + Ψ(x))/2.

From the previous exercise, we know τh defines a Borel - Stieljes measure. Determine if τh is
absolutely continuous with respect to the Borel measure on < (Borel measure is just Lebesgue
measure restricted to B.

9. This is Exercise 15.6.2.

Let g1 (x) = 2x, g2 (x) = I[0,∞) , g3 (x) = x I[0,∞) and g4 (x) = arctan(x). All of these functions
generate Borel - Stieljes measures on <.

(i): Determine which are absolutely continuous with respect to Borel measure. Then, if abso-
lutely continuous with respect to Borel measure, find their Radon - Nikodym derivative.
(ii): Which of these measures are singular with respect to Borel measure?

10. This is Exercise 15.6.3.

Let λ and µ be σ - finite measures on S, a σ - algebra of subsets of a set X. Assume λ is absolutely
continuous with respect to µ. If g ∈ M + (X, S), prove that
Z Z
g dλ = g f dµ

where f = dλ/dµ is the Radon - Nikodym derivative of λ with respect to µ.

11. This is Exercise 15.6.4.

Let λ, ν and µ be σ - finite measures on S, a σ - algebra of subsets of a set X. Use the previous
exercise to show that if ν  λ and λ  µ, then

dν dν dλ
= , µ a.e.
dµ dλ dµ

311
Final Examination Chapter 18:

Further, if λ1 and λ2 are absolutely continuous with respect to µ, then

d(λ1 + λ2 )/dµ = dλ1 /dµ + dλ2 /dµ µ a.e.

312
 Part III

References

313
Bibliography

[1] A. Bruckner, J. Bruckner, and B. Thomson. Real Analysis. Prentice - Hall, 1997.

[2] S. Douglas. Introduction To Mathematical Analysis. Addison-Wesley Publishing Company,

1996.

[3] W. Fulks. Advanced Calculus: An Introduction to Analysis. John Wiley & Sons, third
edition, 1978.

[4] H. Sagan. Advanced Calculus of real valued functions of a Real Variable and Vector - Valued
Functions of a Vector Variable. Houghton Mifflin Company, 1974.

[5] G. Simmons. Introduction to Topology and Modern Analysis. McGraw-Hill Book Company,
1963.

[6] K. Stromberg. Introduction To Classical Real Analysis. Wadsworth International Group

and Prindle, Weber and Schmidt, 1981.

[7] A. Taylor. General Theory of Functions and Integration. Dover Publications, Inc., 1985.

315
BIBLIOGRAPHY BIBLIOGRAPHY

316
 Part IV

Detailed Indices

317
Index

Definition Equivalent Conditions For The Measur-

RS[g, a, b], 110 ability of an Extended Real Valued
Absolute Continuity Of A Measure, 178 Function, 150
Absolute Continuity Of Charges, 289 Essentially Bounded Functions, 206
Additive Set Function, 229 Extended Real Number System, 143
Algebra Of Sets, 216 Functions Of Bounded Variation, 44
Almost Uniform Convergence, 258 Inner Product Space, 212
Caratheodory Condition, 216 Integral Of A Nonnegative Measurable
Cauchy Sequence In Norm, 199 Function, 167
Cauchy Sequences In Measure, 259 Integral Of A Simple Function, 167
Charges, 160 Lebesgue Outer Measure, 236
Common Refinement Of Two Partitions, Limit Inferior And Superior Of Sequences
32 Of Sets, 163
Complete Measure, 172 Measurability of a Function, 145
Complete NLS, 199 Measurability Of Extended Real Valued
Conjugate Index Pairs, 195 Functions, 150
Content Of Open Interval, 235 Measures, 160
Continuous Almost Everywhere, 95 Metric On A Set, 192
Convergence In Measure, 259 Metric Outer Measure, 222
Convergence Pointwise and Pointwise a.e., Monotone Function, 34
258 Associated Saltus Function, 38
Convergence Uniformly, 258 Norm Convergence, 192
Darboux Integrability, 62 Norm On A Vector Space, 191
Darboux Lower And Upper Integrals, Outer Measure, 215
61 Partition, 32
Darboux Upper and Lower Sums, 58 Positive and Negative Sets For a Charge,
Equivalent Conditions For The Measur- 279
ability of a Function, 146 Premeasures and Covering Families, 227

319
INDEX INDEX

Propositions Holding Almost Everywhere, Upper and Lower Riemann - Stieljes Dar-
166 boux Sums, 117
Pseudo-Measure, 231 Upper and Lower Riemann - Stieljes In-
Refinement Of A Partition, 32 tegrals, 118
Regular Outer Measures, 229 Variation of a Charge, 286
Rewriting Lebesgue Outer Measure Us-
ing Edge Length Restricted Covers, Integration
246 Antiderivatives Of Simple Powers, 21
Riemann - Stieljes Criterion For Inte- Antiderivatives of Simple Trigonomet-
grability, 118 ric Functions, 21
Riemann - Stieljes Darboux Integral, 118 Definite Integrals Of Simple Powers, 21
Riemann - Stieljes Sum, 109 Definite Integrals Of Simple Trigonomet-
ric Functions, 22
Riemann Integrability Of a Bounded f ,
Functions With Jump Discontinuities,
55
27
Riemann Integrability Of A Bounded
Functions With Removable Discontinu-
Function, 15
ities, 26
Riemann Sum, 13, 55
Symbol For The Antiderivative of f is
Riemann’s Criterion for Integrability, 62 R
f , 21
Set of Extended Real Valued Measur-
Symbol For The Definite Integral of f
able Functions, 150 Rb
on [a, b] is a f (t) dt, 21
Sets Of Content Zero, 95
The indefinite integral of f is also the
Sigma - Algebra Generated By Collec-
antiderivative, 21
tion A, 141
Sigma Algebra, 139 Lemma
Simple Functions, 166 Mδ = µ∗ , 247
Singular Measures, 297 f = g on (a, b) Implies Riemann Inte-
Space Of p Summable Functions, 195 grals Match, 84
Spaces of Essentially Bounded Functions, f Zero On (a, b) Implies Zero Riemann
206 Integral, 83
Step Function, 112 Outer Measure Of The Closure Of In-
Summable Functions, 180 terval Equals Content Of Interval,
The Continuous Part Of A Monotone 245
Function, 39 Absolute Continuity Of The Integral,
The Discontinuity Set Of A Monotone 290
Function, 36 Approximate Finite Lebesgue Covers Of
The Generalized Cantor Set, 103 I., 246
The Positive and Negative Parts Of a Characterizing Limit Inferior And Su-
Charge, 280 periors Of Sequences Of Sets, 163

320
INDEX INDEX

Condition For Outer Measure To Be Reg- Monotonicity, 161

ular, 229 Monotonicity Of The Abstract Integral
Continuity Of The Integral, 271 For Non Negative Functions, 170
Continuous Functions Of Finite Mea- One Jump Step Functions As Integra-
surable Functions Are Measurable, tors, 113
154 Outer Measure Of Interval Equals Con-
Continuous Functions Of Measurable Func- tent Of Interval, 245
tions Are Measurable, 156 p-Summable Cauchy Sequence Condi-
De Morgan’s Laws, 140 tion I, 270
Disjoint Decompositions Of Unions, 165 p-Summable Cauchy Sequence Condi-
Epsilon - Delta Version Of Absolute Con- tion II, 272
tinuity Of a Charge, 289 p-Summable Functions Have p-Norm Ar-
Essentially Bounded Functions Bounded bitrarily Small Off a Set, 269
Above By Their Essential Bound a.e, p-Summable Inequality, 270
208 Pointwise Infimums, Supremums, Limit
Essentially Bounded Functions That Are Inferiors and Limit Superiors are Mea-
Equivalent Have The Same Essen- surable, 153
tial Bound, 207 Products of Measurable Functions Are
Extended Valued Measurability In Terms Measurable, 154
Of The Finite Part Of The Func- Properties of Extended Valued Measur-
tion, 150 able Functions, 152
Extending τg To Additive Is Well - De- Properties of Measurable Functions, 148
fined, 250 Properties Of Simple Function Integra-
Finite Jump Step Functions As Integra- tions, 167
tors, 116 Radon - Nikodym Technical Lemma, 291
Function f Zero a.e. If and Only If Its Real Number Conjugate Indices Inequal-
Integral Is Zero, 178 ity, 195
Function Measurable If and Only If Pos- Sums Over Finite Lebesgue Covers Of
itive and Negative Parts Measur- I Dominate Content Of I, 237
able, 149 Supremum Tolerance Lemma, 34
Hahn Decomposition Characterization The Upper And Lower Darboux Inte-
of a Charge, 285 gral Is Additive On Intervals, 71
Infimum Tolerance Lemma, 33 The Upper And Lower Riemann - Stiel-
Lebesgue - Stieljes Outer Premeasure Is jes Darboux Integral Is Additive On
a Pseudo-Measure, 252 Intervals, 120
Limit Inferiors And Superiors Of Mono-
tone Sequences Of Sets, 164 Measure
Measure Of Monotonic Sequence Of Sets, Borel, 254
162 Lebesgue - Stieljes, 254

321
INDEX INDEX

Measurable Cover, 229 f ∈ RS[g, a, b] Implies f ∈ RS[Vg , a, b]

Monotone Function and f ∈ RS[Vg − g, a, b], 121
Continuous at x From Left If and Only f Bounded Variation and g Continuous
If u(x) = 0, 36 Implies Riemann - Stieljes Integral
Continuous at x From right If and Only Exists, 129
If v(x) = 0, 36 f Bounded and Continuous At All But
Continuous at x If and Only If u(x) = Finitely Many Points Implies f is
v(x) = 0, 36 Riemann Integrable, 86
Left Hand Jump at x, u(x), 36 f Bounded and Continuous At All But
Right Hand Jump at x, v(x), 36 One Point Implies f is Riemann In-
Total Jump at x, u(x) + v(x), 36 tegrable, 85
Monotone Functions f Continuous and g Bounded Variation
Saltus Function Implies Riemann - Stieljes Integral
Properties, 39 Exists, 128
Partitions f Continuous and g Riemann Integrable
Gauge or Norm, 33 Implies f ◦ g is Riemann Integrable,
Proposition 93
Refinements and Common Refinements, µ∗ Measurable Sets Form Algebra, 217
33 µ∗ Measurable Sets Properties, 218
A Function Of Bounded Variation Is The
Theorem
Difference of Two Increasing Func-
L(f, π 1 ) ≤ U (f, π 2 ), 61
tions, 51
L(f, g, π 1 ) ≤ U (f, g, π 2 ), 117
A Monotone Function Has A Countable
L1 Semi-norm, 192
Number of Discontinuities, 35
Lp Is A Vector Space, 198
Abstract Integration Is Additive, 176
Lp Semi-Norm, 198, 208
Almost Uniform Convergence Implies Con-
RI[a, b] Is A Vector Space and RI(f ; a, b)
vergence In Measure, 266
Is A Linear Mapping, 56
Vf and Vf −f Are Monotone For a Func- Alternate Characterization Of Essentially
tion f of Founded Variation, 50 Bounded Functions, 206
π  π 0 Implies L(f, π) ≤ L(f, π 0 ) and Approximation Of Non negative Mea-
U (f, π) ≥ U (f, π 0 ), 59 surable Functions By Monotone Se-
π  π 0 Implies L(f, g, π) ≤ L(f, g, π 0 ) quences, 155
and U (f, g, π) ≥ U (f, g, π 0 ), 117 Approximation Of The Riemann Inte-
f ∈ BV [a, b] ∩ C[a, b] If and Only If Vf gral, 78
and Vf − f Are Continuous and In- Average Value For Riemann Integrals,
creasing, 54 77
f ∈ BV [a, b] Is Continuous If and Only Bounded Differentiable Implies Bounded
If Vf Is Continuous, 52 Variation, 45

322
INDEX INDEX

Bounded Variation Implies Riemann In- Functions Of Bounded Variation Always

tegrable, 71 Possess Right and Left Hand Lim-
Cauchy - Schwartz Inequality, 196 its, 52
Cauchy Fundamental Theorem Of Cal- Functions Of Bounded Variation Are Bounded,
culus, 20 45
Cauchy In Measure Implies A Conver- Functions Of Bounded Variation Are Closed
gent Subsequence, 259 Under Addition, 46
Cauchy In Measure Implies Complete- Functions Of Bounded Variation Have
ness, 263 Countable Discontinuity Sets, 52
Cauchy Schwartz Inequality: Sequence Fundamental Abstract Integration In-
Spaces, 206 equalities, 184
Cauchy’s Fundamental Theorem, 77 Fundamental Riemann Integral Estimates,
Conditions For OMI-F Measures, 230 57
Conditions For OMI-FE Measures, 231 Fundamental Riemann Stieljes Integral
Constructing Measures From Non Neg- Estimates, 120
ative Measurable Functions, 178
Fundamental Theorem Of Calculus, 18
Constructing Outer Measures Via Pre-
Hölder’s Inequality, 196
measures, 227
Hölder’s Inequality: p = 1, 211
Continuous Implies Riemann Integrable,
Hölder’s Inequality: Sequence Spaces,
69
205
Convergence Relationships On Finite Mea-
Hahn Decomposition Associated With
sure Space, 275
A Charge, 284
Convergence Relationships On General
Inner Product On The Space of Square
Measurable Space, 274
Summable Equivalence Classes, 213
Convergence Relationships With p-Domination,
276 Integrals Of Summable Functions Cre-
Convergent Subsequences Exist, 277 ate Charges, 184
Egoroff’s Theorem, 267 Integrand Continuous and Integrator Con-
Equality a.e. Can Imply Measurability tinuously Differentiable Implies Rie-
Even If The Measure Is Not Com- mann - Stieljes Integrable, 129
plete, 173 Integrand Riemann Integrable and Inte-
Equality a.e. Implies Measurability If grator Continuously Differentiable
The Measure Is Complete, 172 Implies Riemann - Stieljes Integrable,
Equivalent Absolute Continuity Condi- 130
tions For Charges, 289 Integration By Parts, 80
Existence Of The Riemann Integral, 16 Inverses Of Functions Of Bounded Vari-
Extended Monotone Convergence The- ation, 47
orem, 175, 179 Lebesgue Decomposition Theorem, 297
Fatou’s Lemma, 176 Lebesgue Measure Is Regular, 249

323
INDEX INDEX

Lebesgue Outer Measure Is Metric Outer Products Of Functions Of Bounded Vari-

Measure, 248 ation Are Of Bounded Variation, 46
Lebesgue’s Criterion For The Riemann Properties of fc , 39
Integrability of Bounded Functions, Properties Of The Riemann Integral, 66
95 Properties Of The Riemann Stieljes In-
Lebesgue’s Dominated Convergence The- tegral, 119
orem, 186 Radon - Nikodym Theorem, 293
Leibnitz’s Rule, 82 Representing The Cantor Set, 104
Levi’s Theorem, 182 Riemann - Lebesgue Lemma, 95
Limit Interchange Theorem For Riemann
Riemann - Stieljes Integral, 110
- Stieljes Integral, 138
Riemann Stieljes Fundamental Theorem
Linearity of the Riemann - Stieljes In-
Of Calculus, 125
tegral, 110
Riemann Stieljes Integral Is Additive On
Measure Induced By Outer Measure, 220
Subintervals, 124
Measure Induced By Outer Measure Is
Riemann Stieljes Integration By Parts,
Complete, 221
111
Minkowski’s Inequality, 197
Sequences Of Equivalence Classes in Lp
Minkowski’s Inequality: Sequence Spaces,
That Converge Are Cauchy, 199
205
Sequences That Converge In p - Norm
Monotone Convergence Theorem, 174
Possess Subsequences Converging Point-
Monotone Functions
wise a.e., 204
A Partition Sum Estimate, 34
Space of Square Summable Equivalence
Monotone Functions Are Of Bounded
Classes Is A Hilbert Space, 213
Variation, 45
Monotone Implies Riemann Integrable, Substitution In Riemann Integration, 81
70 Summable Function Equal a.e. To An-
Open Set Characterization Lemma, 144 other Function With Measure Com-
Open Sets in a Metric Space Are OMI plete Implies The Other Function Is
Measurable, 222 Also Summable, 182
Open Sets In Metric Space µ∗ Measur- Summable Function Equal a.e. To An-
able If and Only If µ∗ Metric Outer other Measurable Function Implies
Measure, 226 The Other Function Is Also Summable,
p-Norm Convergence Implies Convergence 181
in Measure, 265 Summable Function Form A Linear Space,
Pointwise a.e. Convergence Plus Domi- 185
nation Implies p-Norm Convergence, Summable Implies Finite a.e., 181
269 The Antiderivative of f , 77
Pointwise Limits of Measurable Func- The Fundamental Theorem Of Calcu-
tions Are Measurable, 153 lus, 74

324
INDEX INDEX

The Jordan Decomposition Of A Charge, The Variation Function Of a Function

280 f Of Bounded Variation, 50
The Mean Value Theorem For Riemann Two Riemann Integrable Functions Match
Integrals, 76 At All But Finitely Many Points
The Recapture Theorem, 78 Implies Integrals Match, 85
The Riemann Integral Equivalence The- Variation of a Charge In Terms of The
orem, 62 Plus and Minus Parts, 287
The Riemann Integral Exists On Subin- Variation of a Charge is a Measure, 286
tervals, 72 Vitali Convergence Theorem, 272
The Riemann Integral Is Additive On Weierstrass Approximation Theorem, 90
Subintervals, 73, 121 Theorem:f 2 , f1 f2 and 1/f Riemann Stiel-
The Riemann Integral Is Order Preserv- jes Integrable With Respect To g
ing, 58 Of Bounded Variation, 124
The Riemann Integral Limit Interchange Theorem:Constant Functions Are Riemann
Theorem, 87 Integrable, 70
The Riemann Stieljes Integral Equiva-
Worked Out Solutions
lence Theorem, 118
Integration Substitution
The Riemann Stieljes Integral Exists On R 2
(t + 1) 2dt, 22
Subintervals, 120 R 2
(t + 1)3 4dt, 23
The Riemann Stieljes Integral Is Order
sin(t2 + 1) 5t dt, 25
R
Preserving, 120 R √
t2 + 1 3t dt, 24
The Set Of Equivalence Classes of L1 Is R5 2 2
A Normed Linear Space, 194 1 (t + 2t + 1) (t + 1) dt, 25

The Set Of Equivalence Classes of L∞

Is A Normed Linear Space, 209
The Set Of Equivalence Classes of Lp Is
A Normed Linear Space, 199
The Space of Equivalence Class of L∞
Is A Banach Space, 210
The Space of Equivalence Class of Lp Is
A Banach Space, 200
The Total Variation Is Additive On In-
tervals, 49
The Total Variation Of A Function Of
Bounded Variation, 46
The Upper And Lower Darboux Inte-
gral Are Finite, 61
The Upper And Lower Riemann - Stiel-
jes Darboux Integral Are Finite, 117

325