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edu/bban
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Real Analysis
Byeong Ho Ban
Mathematics and Statistics
Texas Tech University

Chapter 2. Integration

1. Let f : X → R and Y = f −1 (R). Then f is measurable iff f −1 ({−∞}) ∈ M, f −1 ({∞}) ∈ M, and f is

measurable on Y.
Proof. .
(→)
Suppose that f is (M, BR ) measurable. Note that {−∞} , {∞} ∈ BR since {∞}∩R = {−∞}∩R = ∅ ∈ BR .
Thus, by definition of (M, BR ) measurable, f −1 ({−∞}) ∈ M, f −1 ({∞}) ∈ M.
Also observe the below
f −1 (B) ∩ Y = f −1 (B) ∩ f −1 (R) = f −1 (B ∩ R) ∈ M ∀B ∈ BR
since B ∩ R ∈ BR and f is M measurable. Thus, f is measurable on Y .

(←)
Suppose that f −1 ({−∞}), f −1 ({∞}) ∈ M, and f is measurable on Y, and let B ∈ BR . Observe the below.
f −1 (B) = f −1 ((B ∩ R) ∪ (B ∩ {∞}) ∪ (B ∩ {−∞}))
= f −1 (B ∩ R) ∪ f −1 (B ∩ {−∞}) ∪ f −1 (B ∩ {∞})
= (f −1 (B) ∩ f −1 (R)) ∪ f −1 (B ∩ {−∞}) ∪ f −1 (B ∩ {∞}) ∈ M
since f is measurable on Y and B ∩ {∞} and B ∩ {−∞} are ∅ or {∞} and {−∞} respectively.
Thus, f is measurable. 

2.
Proof. 

3. If {fn } is a sequence of measurable functions on X, then {x : lim fn (x)exists} is a measurable set.

Proof. .
Observe the below.
 
{x : lim fn (x)exists} = x : lim sup fn = lim inf fn
n→∞ n→∞
 
= x : lim sup fn − lim inf fn = 0
n→∞ n→∞

Since lim supn→∞ fn − lim inf n→∞ fn is a measurable function and the set above is the inverse image of
{0} ∈ BR , {x : lim fn (x)exists} is measurable. 
1
2

4. If f : X → R and f −1 ((r, ∞]) ∈ M for each r ∈ Q, then f is measurable.

Proof. .
Let a ∈ R.
Note that ∃ {rn }n∈N ⊂ Q such that rn > a ∀n ∈ N and limn→∞ rn = a. Thus, observe the below.
[
(a, ∞] = (rn , ∞]
n∈N

Since f −1 ((rn , ∞]) ∈ M ∀n ∈ N and M is σ-algebra,

!
[ [
f −1 ((a, ∞]) = f −1 (rn , ∞] = f −1 ((rn , ∞]) ∈ M
n∈N n∈N

Since a is arbitrary real number, f is measurable. 

5.
Proof. 

6.
Proof. 

7.
Proof. 

8. If f : R → R is monotone, then f is Borel measurable.

Proof. .
Note that f is (BR , BR )-measurable and BR = M(E), where E = {(a, b) : a < b and a, b ∈ R}. Thus, it is
enough to prove that f −1 ((a, b)) ∈ BR ∀a, b ∈ R.
Let (a, b) ∈ BR and f be increasing function.

Claim f −1 ((a, b)) is an interval.

Proof. .
If f −1 (a, b) = ∅ or it has only one element, then trivially f −1 (a, b) ∈ BR .
Let α, β ∈ f −1 ((a, b)) and let γ ∈ (α, β). Then observe the below.
a < f (α) ≤ f (γ) ≤ f (β) < b
since f is increasing. Thus, γ ∈ (α, β) ⊂ f −1 ((a, b)). Therefore, f −1 ((a, b)) is an interval. 
Since any kind of interval is in BR , f −1 ((a, b)) ∈ BR . Thus, f is Borel measurable.
If f is decreasing, −f is increasing so it is Borel measurable by the argument above, so −(−f ) = f is also
Borel measurable. 
 3
H
9. Let f : [0, 1] → [0, 1] be the Cantor function ( 1.5), and let g(x)=f(x)+x.
a. g is a bijection from [0, 1] → [0, 2], and h = g −1 is continuous from [0,2] to [0,1]
b. If C is the Cantor set, m(g(C)) = 1.
c. By Exercise 29 of Chapter 1, g(C) contains a Lebesgue nonmeasurable set A. Let B = g −1 (A). Then B
is Lebesgue measurable but not Borel.
d. There exist a Lebesgue measurable function F and a continuous function G on R such that F◦G is not
Lebesgue measurable.

Proof. .
Solution for a

Proof. Recall that f is increasing and onto [0,1]. Since x is strictly increasing, g is strictly increasing, so
g is injective. Also, since x is onto [0,1], it is clear that g is onto [0,2]. Thus, g is bijective.
Let a, b ∈ [0, 1] where a ≤ b. And, recalling that f is continuous, observe the below.

h−1 ((a, b)) = g((a, b)) = (g(a), g(b)) ⊂ [0, 2]

so h−1 ((a, b)) is an open interval contained in [0,2].

Let G ∈ [0, 1], then, since any open set in R is a countable disjoint union of open intervals{In },
!
[ [
h−1 (G) = h−1 In = h−1 (In )
n∈N n∈N

Since countable union of open intervals is open, h−1 (G) is open, to h is continuous from [0,2] to [0,1]. 

Solution for b

Proof. Observe that

2 = m([0, 2]) = m(g([0, 1])) = m (g(([0, 1] \ C) ∪ C)

= m(g([0, 1] \ C)) + m(g(C))
!!
[
=m g I + m(g(C))
I∈V

where
  
n−1 ai 1 n−1 ai 2
V= Σi=1 i + n , Σi=1 i + n : ai ∈ {0, 2} , n ∈ N \ {0}
3 3 3 3

Observe that

m (g(I)) = m(I) ∀I ∈ V

since

m(g((a, b))) = g(b) − g(a)(∵ g : continuous)

= (f (b) + b) − (f (a) + a)
= b − a(∵ f is constant on [0,1] \ C)
4

Since intervals in V are disjoints and g is injection,

!! !
[ [
m g I =m g(I)
I∈V I∈V
= ΣI∈V m(g(I))
= ΣI∈V m(I)
2n−1
= Σ∞
n=1
3n
1/3
= =1
1 − 2/3
Therefore,
m(g(C)) = 1

Solution for c
Proof. Observe that
B = g −1 (A) ⊂ g −1 (g(C)) = C
Since m is complete and m(C) = 0, B is Lebesgue measurable.
If B is Borel measurable, since g −1 is continuous so is measurable,
(g −1 )−1 (B) = g(B) = A ∈ BR
it is contradiction. 
Solution for d
Proof. Let’s set like below.
G=h F = XB
where B is from c Clearly, F is Lebesgue measurable since characteristic functions are L-measurable. Also,
G is continuous for a.
However, F ◦ G is not L-measurable since
(F ◦ G)−1 ({1}) = (XB ◦ h)−1 ({1})
= h−1 ◦ XB−1 ({1})
= h−1 (B)
= A 6∈ BR



10.
Proof. 

11.
Proof. 
 5

12. Prove Proposition 2.20.(See Proposition 0.20, where a special case is proved.)
Proposition 2.20.
R
If f ∈ L+ and f < ∞, then {x : f (x) = ∞} is a null set and {x : f (x) > 0} is σ-finite.

Proof. .
Let E =R{x : f (x) = ∞}. Note that E = f −1 (∞) ∈ M. Observe that E f ≤ f . If µ(E) > 0, E f = ∞,
R R R

so ∞ ≤ f < ∞. It is contradiction.

Let F = {x : f (x) > 0}, and note that F = n∈N Fn where Fn = {x : f (x) > n1 }. Note that n1 χFn < f , so
S
Z Z
1 1
µ(Fn ) = χF < f < ∞ ∀n ∈ N
n n n
Thus,
Z
µ(Fn ) < n f < ∞ ∀n ∈ N

Therefore, F is σ-finite 

R R R R
13. Suppose {fn } ⊂ L+ , fn → f pointwise,
R and f
R = lim f n < ∞. Then, E
f = lim f for all
E n
E ∈ M. However, this need not be true if f = lim fn = ∞.
Proof. .
Let E ∈ M. By Fatou’s lemma, considering the sequence {fn χE } ⊂ L+ where fn χE → f χE ,
Z Z Z Z Z
f= lim fn χE = lim inf fn χE ≤ lim inf fn χE = lim inf fn
E n→∞ n→∞ n→∞ n→∞ E

Note that, by Thm 2.15

Z Z Z Z Z Z
f = (f χE + f χE c ) = f χE + f χE c = f+ f <∞
E Ec

and, similarly,
Z Z Z
fn = fn + fn ∀n ∈ N
E Ec

Thus,
Z Z Z Z Z Z Z Z
f ≤ lim inf fn = lim inf ( fn − fn ) = lim fn − lim sup fn = f − lim sup fn
Ec n→∞ Ec n→∞ E n→∞ n→ E → E

Arranging terms,
Z Z Z Z Z
lim sup fn ≤ f− f= f ≤ lim inf fn
n→∞ E Ec E n→∞ E
R R
Since lim inf n→∞ E
fn ≤ lim supn→∞ fn ,
E
Z Z Z
lim inf fn = f = lim sup fn
n→∞ E E n→∞ E
R R
Thus, limn→∞ E
fn exists and it is equal to E
f.

If M = BR and fn = nχ[0, 1 ] + χ[ 1 ,∞) , then fn → f = χ(0,∞) . And observe that

n n
Z Z
lim fn = ∞ = f
n→∞
6

However,
Z Z Z
1
lim fn = lim (2 − ) = 2 6= 1 = χ(0,∞) = f
n→∞ [0,1] n→∞ n [0,1] [0,1]


+
R +
R If f R∈ L , let λ(E) = E f dµ for E ∈ M. Then λ is a measure on M, and for any g ∈ L ,
14.
gdλ = f gdµ. (First suppose that g is simple.)
Proof. . R
It is trivial that λ(∅) = ∅ f dµ = 0. S
Let {En }n∈N ⊂ M be a sequence of disjoint sets and let E = n∈N En .
Z Z Z
λ(E) = f dµ = f χE dµ = Σn∈N f χEn dµ
E
Z
= Σn∈N f χEn dµ
Z
= Σn∈N f dµ
En
= Σn∈N λ(En )
As we can observe, λ has countably additivity. So it is measure.

Let g ∈ L+ be a simple function where the standard form is below.

φ = Σnk=1 ak χEk
And note
Z that Z Z Z Z
n n
φdλ = Σk=1 ak λ(Ek ) = Σk=1 ak f dµ = Σnk=1 ak f χEk dµ = f Σnk=1 ak χEk dµ = f φdµ
Ek

Now, let g ∈ L+ be any positive measurable function. Then there exists a sequence of simple functions
{φn }n∈N which increases to g. Then, by monotone convergence theorem, since {f φn } increases to f g
Z Z Z Z
gdλ = lim φn dλ = lim f φn dµ = f gdµ
n→ n→∞

R R R
15. If {fn } ⊂ L+ , fn decreases pointwise to f , and f1 < ∞, then f = lim fn
Proof. .
Since {fn } is decreasing sequence, we know that
Z Z
fn ≤ f1 < ∞ ∀n ∈ N

Also, note the below.

Z Z Z
fn + (f1 − fn ) = f1
R R
Since fn < ∞ and f <∞
Z Z Z
(f1 − fn ) = f1 − fn
Z Z Z
(f1 − f ) = f1 − f
 7

Now, let’s consider the sequence {f1 −fn }n∈N ⊂ L+ , and note that the sequence is increasing and convergent
to f1 − f . Thus, by monotone convergence theorem,
Z Z Z Z Z Z
f1 − f = (f1 − f ) = lim (f1 − fn ) = f1 − lim fn
n→∞ n→∞
R
As a conclusion, since f1 < ∞
Z Z
lim fn = f
n→∞

R R R
16. If f ∈ L+ and f < ∞, for every  > 0 there exists E ∈ M such that µ(E) < ∞ and E
f > ( f ) − .
Proof. .
Let  > 0 be given. Then we can choose φ ∈ L+ which is a simple function such that 0 ≤ φ ≤ f and
Z Z
φ> f −

Since φ is simple function, let

φ = Σnk=1 ak χEk + 0χE0
be the standard form where E0 = f −1 ({0})
Since Ek ∈ M and we have
Z Z
min (a1 , . . . , an )(µ(E1 ) + · · · + µ(En )) ≤ φ ≤ f <∞

, we know that µ( nk=1 Ek ) = Σnk=1 µ(Ek ) < ∞ and E = nk=1 Ek ∈ M.

S S
Thus,
Z Z Z Z
f −< φ= φ= f
E E


17.
Proof. 

18.
Proof. 

19.
Proof. 

20. (A generalized Dominated Convergence Theorem) R R R R

If fn , gn , f , g ∈ L1 , fn → f and gn → g a.e., |fn | ≤ gn , and gn → g, then fn → f .
(Rework the proof of the dominated convergence theorem)
8

Proof. .
Note that −gn ≤ fn ≤ gn so gn + fn ≥ 0 and gn − fn ≥ 0 ∀n ∈ N. Then by Fatou’s lemma,
Z Z Z Z Z Z
g + f = lim inf (gn + fn ) ≤ lim inf (gn + fn ) = g + lim inf fn
n→∞ n→∞ n→∞
Z Z Z Z Z Z
g − f = lim inf (gn − fn ) ≤ lim inf (gn − fn ) = g − lim sup fn
n→∞ n→∞ n→∞
R
Thus, since g < ∞, we have
Z Z Z
lim sup fn ≤ f ≤ lim inf fn
n→∞ n→∞
R R
Therefore, limn→∞ fn exists, and it is equal to f. 

21.
Proof. 

22. Let µ be counting measure on N. Interpreting Fatou’s lemma and the monotone and dominated con-
vergence theorems as statement about infinite series.
Proof. .
Observe the below.
Z Z
f dµ = Σ∞
n=1 f dµ = Σ∞ ∞
n=1 f (n)µ({n}) = Σn=1 f (n)
N {n}

Here, we can say f (n) = an and fk (n) = akn

Fatou0 s lemma
If {akn }k,n∈N is any sequence of nonnegative real numbers, then
Σ∞ ∞
n=1 lim inf aka ≤ lim inf Σn=1 akn
k→∞ n→∞

Monotone Convergence Theorem

If {akn }k,n∈N is any sequence of nonnegative real numbers such that akn ≤ a(k+1)n ∀k ∈ N and limk→∞ akn =
an , then
lim Σn∈N akn = Σn∈N lim akn
k→∞ k→∞

Dominated Convergence Theorem

If {akn }k,n∈N is any sequence of real numbers such that Σn∈N akn is absolutely convergent ∀k, (a) akn → an
∀n and (b)there exists a nonnegative sequence {bn }n∈N such that |akn | ≤ bn ∀k. Then Σn∈N an is absolutely
convergent and Σn∈N an = limk→∞ Σn∈N akn . 

23. Given a bounded function f : [a, b] → R, let

H(x) = lim sup f (y) h(x) = lim inf f (y)
δ→0 |y−x|≤δ δ→0 |y−x|≤δ

Prove Theorem 2.28b by establishing the following lemmas:

a. H(x) = h(x) iff f is continuous at x.
b. In the notation of the proof of Theorem 2.28a, H = G a.e. and h = g a.e. Hence H and h are Lebesgue
b
measurable, and [a,b] Hdm = I a (f ) and [a,b] hdm = I ba
R R
 9

Proof. .
Proof for a
If H(x) = h(x), h(x) = H(x) = limy→x f (y) exists. Since h(x) ≤ f (x) ≤ H(x) is true, we have
limy→x f (y) = f (x). Thus, f is continuous at x.
Conversely, if f is continuous at x, limy→x f (y) exists, so limy→x f (y) = H(x) = h(x).

Proof for b.
Let {Pn }n∈N be a sequence of partitions of [a, b] such that min (Pn ) = a, max (Pn ) = b ∀n ∈ N, and
Pn ⊂ Pn+1 ∀n ∈ N.
Note that
GPn = ΣJk=1
n
Mkn χ(tk−1 ,tk ] gPn = ΣJk=1
n
mnk χ(tk−1 ,tk ]
lim GPn = G lim gPn = g
n→∞ n→∞

,where Jn is the numbers of partition points in Pn .

Assume that x ∈ [a, b] is a point such that x 6∈ Pn ∀n ∈ N. If n is a natural number, ∃k ∈ {1, 2, . . . , Jn }
such that x ∈ (tk−1 , tk ] where tk−1 , tk ∈ Pn .
Let δ > 0 be arbitrary real number such that [x − δ, x + δ] ⊂ (tk−1 , tk ] where (tk−1 , tk ] is a partition of Pn .
Then we can always choose a partition
Ps = {a = s0 < s1 < · · · < sJl = b}
such that x ∈ (sk−1 , sk ] and
(sk−1 , sk ] ⊂ [x − δ, x + δ] ⊂ (tk−1 , tk ]
where s > n. Thus,
Mks = GPs (x) ≤ sup f (y) ≤ GPn (x) = Mkn
|y−x|≤δ

mnk = gPn (x) ≤ inf f (y) ≤ gPs (x) = msk

|x−y|<δ

Since s → ∞ and δ → 0 if n → ∞,
H(x) = lim sup f (y) = G(x) and h(x) = lim inf f (y) = g(x)
δ→0 |y−x|<δ δ→0 |x−y|<δ

Since {tk }k∈N is countable, it is Lebesgue measure 0. So G = H and h = g a.e.

Additionally, Note that f is Riemann integrable iff G = g iff H = h a.e. iff f is continuous a.e.. Thus, f
is Riemann integrable iff {x ∈ [a, b] : f is discontinuous at x} has Lebesgue measure 0. 

24.
Proof. 

25.
Proof. 

26.
Proof. 
10

27.
Proof. 

28. Compute
R ∞ the following limits and justify the calculations:
a. limn→∞ 0 (1 + nx )−n sin( nx )dx
R1
b. limn→∞ 0 (1 + nx2 )(1 + x2 )−n dx
R ∞ n sin( x )
c. limn→∞ 0 x(1+xn2 ) dx
R∞
d. limn→∞ a 1+nn2 x2 dx
(The answer depends on whether a > 0, a = 0, or a < 0. How does this accord with the various convergence
theorems?)
Proof. .
Solution of a
n n(n−1)x2 x2
Note that, since x ≥ 0, 1 + nx ≥ 1 + x + 2n2
≥1+ ∀n ∈ N \ {1}. Observe the below.
4
Z ∞
sin( nx ) 1 1 1
x n ≤ ≤ and dx = π < ∞
(1 + n ) (1 + nx )n x2
4
+1 0
x2
4
+1
Thus, by DCT,
∞ ∞ ∞
sin( nx ) sin( nx )
Z Z Z
0
lim dx = lim dx = dx = 0
n→∞ 0 (1 + nx )n 0 n→∞ (1 + x )n
n 0 ex

Solution of b
Note that, since x ≥ 0, (1 + x2 )n ≥ 1 + nx2 ∀n ∈ N. So observe the below.
Z 1
1 + nx2 1 + nx2
≤ = 1 and 1dx = 1 < ∞
(1 + x2 )n 1 + nx2 0

Therefore, by DCT,
1 1
1 + nx2 1 + nx2
Z Z
lim dx = lim dx
n→∞ 0 (1 + x2 )n 0 n→∞ (1 + x2 )n

Note that, if x = 0
1 + nx2 1
lim = lim n = 1
n→∞ (1 + x2 )n n→∞ 1

If x 6= 0, by L’hospital’s rule,
1 + nx2 2nx 1
lim = lim = lim = 0.
n→∞ (1 + x2 )n n→∞ 2xn(1 + x2 )n−1 n→∞ (1 + x2 )n−1

Therefore,
1
1 + nx2
Z
lim dx = 0
n→∞ 0 (1 + x2 )n
 11

Solution of c
Note that, since x ≥ 0
Z ∞
n sin( nx ) n nx 1 1 π
2
≤ 2
= 2
∀n ∈ N and 2
dx = < ∞
x(1 + x ) x(1 + x ) 1+x 0 1+x 2
Thus, by DCT,
Z ∞ Z ∞ Z ∞
n sin( nx ) n sin( nx ) 1 π
lim 2
dx = lim 2
= 2
dx =
n→∞ 0 x(1 + x ) 0 n→∞ x(1 + x ) 0 1+x 2
Solution of d
Let consider the change of variable ’t = nx’.
Z ∞ Z ∞ Z ∞
n dt χ[an,∞) dt
2 2
dx = 2
= 2
a 1+n x na 1 + t −∞ 1 + t

Observe that
χ[an,∞)
Z
1 1
≤ ∀n ∈ N and dt < ∞
1 + t2 1 + t2 R 1+t
2

We will divide this proof into three cases according to the value of a.

Observe that, by DCT,

∞
χ[an,∞] dt χ[an,∞]
Z Z
lim = lim dt
n→∞ −∞ 1 + t2 R n→∞ 1 + t
2

(1) When a > 0

∞
χ[an,∞] dt χ[an,∞]
Z Z Z
1
lim = lim dt = dt = 0
n→∞ −∞ 1 + t2 R n→∞ 1 + t
2
{∞} 1 + t2

(2) When ’a = 0’,

∞ ∞
χ[an,∞] dt χ[an,∞] χ[0,∞]
Z Z Z Z
dt π
lim = lim dt = lim dt = =
n→∞ −∞ 1 + t2 R n→∞ 1 + t
2
R n→∞ 1 + t
2
0 1+t 2 2

(3) When ’a < 0’

∞
χ[an,∞] dt χ[an,∞] χ[−∞,∞]
Z Z Z Z
1
lim = lim dt = dt = dt = π
n→∞ −∞ 1 + t2 R n→∞ 1 + t
2
R 1 + t2 R 1 + t2

How does this accord with the various convergence theorem? 

29.
Proof. 

30.
Proof. 
12

31.
Proof. 

32.
Proof. 

R R
33. If fn ≥ 0 and fn → f in measure, then f ≤ lim inf fn .
Proof. . R R 
. Note that lim R inf f n is a limit
R point of a set f n : n ∈ N , so there exists a subsequence, fnj , of
{fn } such that fnj → lim inf fn .
Also, observe that any  subsequence of {fn } converges to f in measure, thus fnj → f in measure. So there
exists a subsequence, fnji , of fnj such that fnji → f a.e.
Now, by Fatou’s lemma, observe the below.
Z Z Z Z Z Z Z
f= lim fnji = lim inf fnji ≤ lim inf fnji ≤ lim inf fnj = lim fnj = lim inf fn
i→∞ i→∞ i→∞ j→∞ j→∞
R R
Therefore, f ≤ lim inf fn . 

34.R Suppose R|fn | ≤ g ∈ L1 and fn → f in measure.

a. f = lim fn
b. fn → f in L1
Proof. .
Solution for a.
Note that g − fn , g + fn ∈ L+ and that g − fn → g − f and g + fn → g + f in measure. Then by Homework
question 1(Ex.33),
Z Z Z Z Z Z
g − f = g − f ≤ lim inf (g − fn ) = g − lim sup fn
Z Z Z Z Z Z
g + f = g + f ≤ lim inf (g + fn ) = g + lim inf fn
R R R R R
Since g < ∞, R we have lim sup f n ≤ f ≤ lim inf f n , which means that limn→∞ fn exists and that
it is equal to
R f . R
Therefore, f = lim fn .

Solution for b.
Note that |f − fn | ≤ |f | + g ∈ L1 , and |f − fn | → 0 in measure. Then by the result of a,
Z Z
lim |f − fn | = 0 = 0

Thus, fn → f in L1 . 

35. fn → f in measure iff for every  > 0 there exists N ∈ N such that µ({x : |fn (x) − f (x)| ≥ }) <  for
n ≥ N.
 13

Proof. .
( =⇒ ).
Let  > 0 be given. Then by definition,
µ({x : |fn (x) − f (x)| ≥ }) → 0 as n → ∞
By definition of convergent sequence,
∃N ∈ N such that
µ({x : |fn (x) − f (x)| ≥ }) <  ∀n ≥ N

(⇐=)
Suppose that for every  > 0 there exists N ∈ N such that µ({x : |fn (x) − f (x)| ≥ }) <  for n ≥ N .
Let δ > 0 be given. Then note that ∀ ∈ (0, δ), ∃N ∈ N such that
µ({x : |fn (x) − f (x)| ≥ δ}) ≤ µ({x : |fn (x) − f (x)| ≥ }) < 
since
{x : |fn (x) − f (x)| ≥ δ} ⊂ {x : |fn (x) − f (x)| ≥ } .
Thus,
lim µ({x : |fn (x) − f (x)| ≥ δ}) = 0
n→∞

It means, fn → f in measure. 

36.
Proof. 

37.
Proof. 

38.
Proof. 

39. If fn → f almost uniformly, then fn → f a.e. and in measure.

Proof. .
Suppose that fn → f almost uniformly, then ∀ > 0 ∃ E ⊂ X such that µ(E) <  and fn → f uniformly
on E c .

Claim 1. fn → f a.e.
( =⇒ )
By given condition, for any k ∈ N, we can choose Ek ⊂ X such that
1
µ(Ek ) < and fn → f uniformly on Ekc
k
14
nT o
T j
Let E = k∈N Ek . And note that k=1 Ek is decreasing sequence and µ(E1 ) < 1.
Thus by continuity from above,
j
\ 1
µ(E) = lim µ( Ek ) ≤ lim µ(Ej ) = lim =0
j→∞ j→∞ j→∞ j
k=1

Now, observe that fn → f uniformly on Ekc ∀k ∈ N and that E c = k∈N Ekc .

S
If x ∈ E c , ∃k ∈ N such that x ∈ Ek . Then fn (x) → f (x) as n → ∞.
It means that fn → f on E c . Therefore, fn → f a.e.

Claim 2. fn → f in measure.
( =⇒ )
Let  > 0 be given and let En = {x : |fn (x) − f (x)| ≥ }.
Then, there exists E ⊂ X such that µ(E) <  and fn → f uniformly on E c .
So, there exists N ∈ N, such that
|fn (x) − f (x)| <  ∀n ≥ N
It means the below.
{x : |fn (x) − f (x)| ≥ } ⊂ E ∀n ≥ N
By monotonicity,
µ({x : |fn (x) − f (x)| ≥ }) ≤ µ(E) <  ∀n ≥ N
Therefore, by the result of HW question 3(Ex.35), fn → f in measure. 

40.
Proof. 

41.
Proof. 

42.
Proof. 

43.
Proof. 

44.
Proof. 

45. If (Xj , Mj ) is a measurable space for j=1,2,3, then 31 Mj = (M1 ⊗ M2 ) ⊗ M3 . Moreover, if µj is

N
a σ-finite measure on (Xj , Mj ), then µ1 × µ2 × µ3 = (µ1 × µ2 ) × µ3
Proof.
N3
Claim 1. 1 Mj = (M1 ⊗ M2 ) ⊗ M3
 15

Proof. .
Let E = {A1 × A2 × A3 : Aj ∈ Mj , j = 1, 2, 3}, E(12)3 = {A × A3 : A ∈ M1 ⊗ M2 , A3 ∈ M3 } and E(12) =
{A1 × A2 : Aj ∈ Mj , j = 1, 2}. Then note the below.
3
O
Mj = M(E)
j=1

(M1 ⊗ M2 ) ⊗ M3 = M(E(12)3 )
M1 ⊗ M2 = E(12)

Note that E ⊂ E(12)3 , thus, clearly, 3j=1 Mj ⊂ (M1 ⊗ M2 ) ⊗ M3 .

N
n N3 o
On the other hands, let R = A ∈ M1 ⊗ M2 : A × E ∈ j=1 Mj , ∀E ∈ M3 . By the construction,
R ⊂ M1 ⊗ M2 . And it is clear that E(1,2) ⊂ R. We will show that R is a σ-algebra. Let A ∈ R and
observe the below.

3
O
c c c
A × E = (A × E) \ (X × E ) ∈ Mj ∀E ∈ M3
j=1

where X = X1 × X2 . Thus, Ac ∈ R.
Also, If {An }∞
n=1 ⊂ R, observe the below.

∞
! ∞ 3
[ [ O
An × E = (An × E) ∈ Mj ∀E ∈ M3
n=1 n=1 j=1
N3
since j=1 Mj is a σ-algebra. Therefore, R is a σ-algebra containing E(12) . Thus, M1 ⊗ M2 = R. It
implies that E(12)3 ⊂ 3j=1 Mj , so (M1 ⊗ M2 ) ⊗ M3 ⊂ 3j=1 Mj .
N N

Therefore, 31 Mj = (M1 ⊗ M2 ) ⊗ M3 .
N


Claim 2. µ1 × µ2 × µ3 = (µ1 × µ2 ) × µ3

Proof. .
We already know from class that µ1 × µ2 × µ3 is a measure on 31 Mj . Note, for any Aj ∈ Mj (j = 1, 2, 3)
N
the below.
((µ1 × µ2 ) × µ3 )(A1 × A2 × A3 ) = (µ1 × µ2 )(A1 × A2 )µ3 (A3 )
= µ1 (A1 )µ2 (A2 )µ3 (A3 ) = (µ1 × µ2 × µ3 )(A1 × A2 × A3 )
Since (µ1 × µ2 × µ3 ) = (µ1 × µ2 ) × µ3 on A, and since (µ1 × µ2 × µ3 ) is a premeasure on an algebra A
which is a collection of a finite disjoint unions of elements
N3 of A, (µ1 × µ2 ) × µ3 is a premeasure on A and
(µ1 × µ2 ) × µ3 is a measure on (M1 ⊗ M2 ) ⊗ M3 = 1 Mj . Since each µj are σ-finite, so is (µ1 × µ2 ) × µ3
and µ1 × µ2 × µ3 , µ1 × µ2 × µ3 = (µ1 × µ2 ) × µ3 by uniqueness of measure. 


46. Let X = Y = [0, 1], M = N = B[0,1] , µ=Lebesgue RR measure,

R R and ν= counting
R measure. If D =
{(x, x) : x ∈ [0, 1]} is the
R diagonal in X × Y , then χD dµdν, χD dνdµ, and χD d(µ × ν) are all
unequal. (To compute χD d(µ × ν), go back to the definition of µ × ν.)
16

Proof. Observe the following calculations.

Z Z Z Z  Z Z  Z
χD dµdν = χyD dµ dν = χyD dµ dν = 0dν = 0
{y}

Z Z Z Z  Z
χD dνdµ = χDx dν dµ = 1dµ = µ([0, 1]) = 1
{x}

As for the last integration,first note the below.

Z Z

χD d(µ × ν) = inf Σn∈N µ(An )ν(Bn )| {An × Bn }n∈N is any covering of D

S
Let {An × Bn }n∈N be a covering of D. And observe that [0, 1] ⊂ n∈N (An ∩ Bn ). Thus, there exist at
least one n ∈ N, such that

µ(An ∩ Bn ) > 0.

And observe the below.

0 < µ(An ∩ Bn ) ≤ µ(An )

∞ = ν([0, 1]) ≤ ν(Bn )

Therefore,

Z Z

χD d(µ × ν) = inf Σn∈N µ(An )ν(Bn )| {An × Bn }n∈N is any covering of D = inf {∞} = ∞

Thus, in this case, we cannot change the order of integration. And that is because ν is not σ-finite. 

47.

Proof. 

48. Let X = Y = N, M = N = P(N), µ = ν =counting measure. R Define f (m, n) =R R1 if m = n,

R n) = −1 if m = n + 1, and f (m, n) = 0 otherwise. Then |f |d(µ × ν) = ∞, and
fR (m, f dµdν and
f dνdµ exists and are unequal.
 17

Proof. Observe the following calculations. (L = {(n, n) : n ∈ N})

Z Z
∞ = Σn∈N | − 1| = |f |d(µ) ≤ |f |d(µ × ν)
L

Z Z Z Z  Z Z  Z Z 
n n n
f dµdν = f (m)dµ(m) dν(n) = f (m)dµ(m) dν(n) + f (m)dµ(m) dν(n)
{1} A\{1}
Z Z
= 1dν + 0dν = 1
{1} A\{1}

Z Z Z Z 
f dνdµ = fm (n)dν(n) dµ(m)
Z Z  Z  Z 
= fm (n)dν(n) + fm (n)dν(n) + fm (n)dν(n) dµ(m)
N\{1} {m} {m−1} N\{m,m−1}
Z Z  Z 
+ f1 (n)dν(n) + f1 (n)dν(n) dµ(m)
{1} {1} N\{1}
Z Z
= (1 − 1 + 0)dµ + (1 + 0)dµ
N\{1} {1}
Z Z
= 0dµ + 1dµ
N\{1} {1}
=0+0=0


49.
Proof. 

50.
Proof. 

51.
Proof. 

52. The Fubini-Tonelli theorem is valid when (X, M, µ) is an arbitrary measure space and Y is a countable
set, N = P(Y ), and ν is counting measure on Y. (Cf. Theorem 2.15 and 2.25)
Proof. .
Since Y is countable, let Y = {yn }n∈N . We need to show the below.
Z Z
f d(µ × ν) = f (x, yn )dµ(x)
X×{yn }

for any f ∈ L+ (X × Y ) and for any f ∈ L1 (µ × ν) and for all n ∈ N.

Firstly, let’s consider a characteristic function χE where E ∈ M ⊗ N .
18

Observe the below.

Z Z
yn yn
χE d(µ × ν) = (µ × ν)(E ∩ (X × {yn })) = µ(E )ν({yn }) = µ(E ) = χE (x, yn )dµ
X×{yn }

If yn 6∈ E, χE (x, yn ) = 0 and (µ × ν)(E ∩ (X × {yn })) = 0, so both sides are 0.

Secondly, let’s consider a positive simple function φ = ΣN i=1 an χEi .
Observe the below.
Z Z
φd(µ × ν) = ΣN
i=1 ai χEn d(µ × ν)
X×{yn } X×{yn }
Z
N
= Σi=1 ai χEi d(µ × ν)
X×{yn }
Z
N
= Σi=1 ai χEi d(µ × ν)
X×{yn }
Z
N
= Σi=1 ai χEi (x, yn )dµ
Z
= ΣN i=1 ai χEi (x, yn )dµ
Z
= φ(x, yn )dµ

Thirdly, let’s consider positive measurable function f ∈ L+ . Note that there exists increasing sequence of
simple functions {φj }j∈N , such that limn→∞ φn = f
Due to monotone convergence theorem, observe the below.
Z Z
f d(µ × ν) = lim φj d(µ × ν)
X×{yn } j→∞ X×{y }
n
Z
= lim φj (x, yn )dµ
j→∞
Z
= f (x, yn )dµ
R
Now, let’s verify Tonelli’s theorem. We know R that g(x) = fx dν = Σn∈N f (x, yn ) ∈ L+ (X) since each
f (x, yn ) ∈ L+ . Also, we have that h(yn ) = f yn dµ ∈ L+ (Y ). Also, observe the below.
Z Z Z Z Z 
f d(µ × ν) = Σn∈N f d(µ × ν) = Σn∈N f (x, yn )dµ = f dµ dν
X×{yn }
Z Z Z Z Z Z 
f d(µ × ν) = Σn∈N f d(µ × ν) = Σn∈N f (x, yn )dµ = Σn∈N f (x, yn )dµ = f dν dµ
X×{yn }

Thus, Tonelli’s theorem is valid.

Fourthly, let’s consider a function f ∈ L1 (µ × ν).

Observe the below.
Z Z Z
f d(µ × ν) = +
f d(µ × ν) − f − d(µ × ν)
X×{yn } X×{yn } X×{yn }
Z Z
= f (x, yn )dµ − f − (x, yn )dµ
+

Z
= f (x, yn )dµ
 19

Now, let’s see if Fubini’s theorem is valid. Observe the below.

Z Z Z
|f |d(µ × ν) = Σn∈N |f (x, yn )|dµ = Σn∈N |f (x, yn )|dµ < ∞

Therefore, f (x, yn ) ∈ L1 (µ) ∀n ∈ N and f (x, yn ) ∈ L1 (ν) a.e x ∈ X. Also, observe that
Z
g(x) = fx dν = Σn∈N f (x, yn ) ∈ L1 (µ)
Z
h(yn ) = f yn dµ ∈ L1 (ν)
Z Z Z Z Z 
f d(µ × ν) = Σn∈N f d(µ × ν) = Σn∈N f (x, yn )dµ = f dµ dν
X×{yn }
Z Z Z Z Z Z 
f d(µ × ν) = Σn∈N f d(µ × ν) = Σn∈N f (x, yn )dµ = Σn∈N f (x, yn )dµ = f dν dµ
X×{yn }

Thus, Fubini’s theorem is valid. 

53.
Proof. 

54. How much of Theorem 2.44 remains valid if T is not invertible?

Proof. Recall the Theorem 2.44 below.
Suppose T ∈ GL(n, R)
a. If f is Lebesgue measurable function on Rn , so is f ◦ T . If f ≥ 0 or f ∈ L1 (m), then
Z Z
f (x)dx = |detT | f ◦ T (x)dx

b. If E ∈ Ln , then T (E) ∈ Ln and m(T (E)) = |detT |m(E)

Suppose that T is not invertible.
R Since T is still continuous mapping, f ◦ T is Lebesgue measurable.
However, since |detT | = 0 and f dx can be non zero, the second statement of (a) does not hold.

Let E ∈ Ln , and note that, since T is not invertible, T (E) is a subset of a subspace of Rn spanned
by the column vectors of the matrix T . And with proper transformation, M (∈ GL(n, R)), we have the
condition below.
M ◦ T (E) ⊂ Rn−1 × {0}
Since m(Rn−1 × {0}) = 0 and Lebesgue measure is complete, M ◦ T (E) ∈ Ln .
And by Thm 2.44, M −1 ◦ M ◦ T (E) = T (E) ∈ Ln
Also,
0 = m(M ◦ T (E)) = |detM |m(T (E)) =⇒ m(T (E)) = 0 (∵ |detM | =
6 0)
And since |detT | = 0,
m(T (E)) = 0 = |detT |m(E)


55.
Proof. 
20

56.
Proof. 

57.
Proof. 

58.
Proof. 

59.
Proof. 

60.
Proof. 

61.
Proof. 

62.
Proof. 

63.
Proof. 

64.
Proof.