REAL ANALYSIS AND MEASURE

THEORY

BY

DR. PRATULANANDA DAS

DEPARTMENT OF MATHEMATICS
JADAVPUR UNIVERSITY
KOLKATA- 700032
WEST BENGAL, INDIA
E-mail : [email protected]
 Chapter 2

(Equivalent to four hours of

teaching/modules)

Lebesgue Measure

1
 2.1. Introduction

In Chapter 1 we have been able to construct a measure like function which

we named as Lebesgue outer measure. The nicest part of that function is that it
is defined for all subsets of R but while developing its properties we could only
show that it is countably sub-additive but could not prove that it is countably
additive. Strictly speaking, we actually did not even disprove it.

In order to get the desired property of countable additivity we introduced

certain special sets which we called Lebesgue measurable. We observed that
most well known sets like open or closed or Fσ or Gδ sets are measurable and
the class of measurable sets is quite a large class in the sense that it forms a
σ-algebra.

In this chapter we move forward and aim to show that these measurable
sets are the key to get our desired measure, namely, Lebesgue measure i.e. a
set function like length which is also countably additive. We focus on the basic
properties of Lebesgue measure and explore more deeply the properties of mea-
surable sets. We also show that indeed there are sets which are not measurable
and the proof of existence of such sets is not at all trivial and we give special
attention to that. Finally we end the module with a notion that is in some sense
dual to the notion of outer measure, which is called inner measure.

2.2. Lebesgue measure and more on measurable sets

We start with the formal construction of Lebesgue measure.

Theorem 2.1. Let µ∗ be the Lebesgue outer measure on R and Let S be the
collection of Lebesgue measurable sets. Then the restriction µ of µ∗ on S is a
non-negative countably additive set function with µ(φ) = 0.

Proof: Obviously µ is non-negative with µ(φ) = 0. We will have to show that

µ is countably additive. We know that if A ⊂ R and {En }n∈N is a sequence of
pairwise disjoint measurable sets then
∞
[ ∞
X
∗
µ (A ∩ ( Ei )) = µ∗ (A ∩ Ei ).
i=1 i=1
∞
[
Now putting A = Ei we get
i=1
∞
[ ∞
X
∗
µ ( Ei ) = µ∗ (Ei ).
i=1 i=1

This proves that µ is countably additive.

2
 The set function µ defined above is called the Lebesgue measure on R. bel-
low we first establish some basic properties of Lebesgue measure.

Theorem 2.2. The Lebesgue measure µ on R is

(i) monotone and subtractive i.e. for A, B ⊂ R, A ⊂ B implies that

µ(A) ≤ µ(B) and µ(B − A) = µ(B) − µ(A) if further µ(A) is finite.

(ii) countably subadditive.

Proof: (i) Let A, B ∈ S. As A ⊂ B, so B = A ∪ (B − A). As A and (B − A)

are disjoint and B − A ∈ S, so

µ(B) = µ(A) + µ(B − A)

and hence µ(B − A) = µ(B) − µ(A) as µ(A) < ∞ i.e. µ is subtractive. Also
since µ(B − A) ≥ 0 so µ(B) ≥ µ(A) i.e. µ is monotone.
∞
[
(ii) Let {En }n∈N be a sequence of Lebesgue measurable sets and E = Ei
i=1
where obviously E ∈ S. We have to show that
∞
X
µ(E) ≤ µ(Ei ).
i=1

∞
X
The result trivially holds if µ(Ei ) is divergent. Now let F1 = E1 , F2 =
i=1
n−1
[
(E2 − E1 ), ....., Fn = (En − ( Ei )), ... Then each Fn also belongs to S and
i=1
∞
[
E= Fi . As the collection {Fn }n∈N is pairwise disjoint so
i=1

∞
[ ∞
X ∞
X
µ(E) = µ( Fi ) = µ(Fi ) ≤ µ(Ei ).
i=1 i=1 i=1

Hence the result.

Theorem 2.3. Let µ be the Lebesgue measure on R. Let E1 ⊂ E2 ⊂ E3 ⊂ ......

be an increasing sequence of measurable sets. Then

µ( lim En ) = lim µ(En )

n→∞ n→∞

∞
[
where lim En = En (we say that µ is continuous from above).
n→∞
n=1

3
Proof : The result is trivially true when µ(Ek ) = ∞ for some k ∈ N (the set
of all positive integers). Let E1 ⊂ E2 ⊂ E3 ⊂ ...... be an increasing sequence of
measurable sets. Put E0 = φ. So
∞
[ ∞
[ ∞
X
µ( Ei ) = µ( (Ei − Ei−1 )) = µ(Ei − Ei−1 )
i=1 i=1 i=1
n
X
= lim µ(Ei − Ei−1 ) = lim µ(En ).
n→∞ n→∞
i=1

This proves the result.

Theorem 2.4. Let µ be the Lebesgue measure on R. Let E1 ⊃ E2 ⊃ E3 ⊃ ......

be a decreasing sequence of measurable sets such that µ(Ek ) < ∞ for some k.
Then
µ( lim En ) = lim µ(En )
n→∞ n→∞
∞
\
where lim En = En (we say that µ is continuous from above).
n→∞
n=1
Proof : Without any loss of generality we assume that m(E1 ) < ∞. Now
∞
\ ∞
\
µ(E1 ) − µ( En ) = µ(E1 − ( En ))
n=1 n=1
∞
[
= µ( (E1 − En )) = lim µ(E1 − En )
n→∞
n=1
= lim (µ(E1 ) − µ(En )) = µ(E1 ) − lim µ(En ).
n→∞ n→∞

Since µ(E1 ) < ∞ the result readily follows.

In the following theorem we observe that the measurable sets are actually
quite nice in the sense that they are nearly open or closed.

Theorem 2.5. Following statements are equivalent in R.

(i) E is Lebesgue measurable.

(ii) Given ε > 0 there is an open set O such that E ⊂ O and µ∗ (O − E) < ε.

(iii) There is a Gδ set G ⊃ E such that µ∗ (G − E) = 0.

(iv) Given any ε > 0 there is a closed set F such that F ⊂ E and µ∗ (E−F ) <
ε.

(v) There is a Fσ set F ⊂ E such that µ∗ (E − F ) = 0.

4
Proof: (i)⇒ (ii)

Let E be measurable. Let us first suppose that µ(E) = µ∗ (E) < ∞. Then
we know that given ε > 0 there exists an open set O ⊃ E such that µ(O) =
µ∗ (O) < µ∗ (E) + ε. Then note that O − E is measurable and

µ∗ (O − E) = µ(O − E) = µ(O) − µ(E) < ε.

Now suppose that µ∗ (E) = ∞. Write En = E ∩ [−n, n] for all n ∈ N. Then

∞
[
clearly E = En where µ∗ (En ) < ∞ ∀ n. Hence by the first part of the proof,
i=1
we can find an open set On ⊃ En such that
ε
µ∗ (On − En ) < for each n ∈ N.
2n
∞
[
Then O = On is an open set with O ⊃ E and
i=1

∞ ∞
X X ε
µ∗ (O − E) ≤ µ∗ (On − En ) = n
= ε.
i=1 i=1
2

(ii)⇒ (iii)

1
Let (ii) hold. For ε = we can choose by (ii) an open set On ⊃ E such that
n
∞
\
µ∗ (On − E) < n1 . Let G = On . Then G is a Gδ set with G ⊃ E and
i=1

1
µ∗ (G − E) < ∀n
n
i.e µ∗ (G − E) = 0.

(iii)⇒ (i)

Let (iii) hold. Then by our assumption there is a Gδ set G ⊃ E such that
µ∗ (G − E) = 0. Then G − E is measurable. Since G being a Gδ -set is also
measurable so E = (G − (G − E)) is also measurable.

(i)⇒ (iv)

Let E be measurable. Then E c is also measurable. Since (i) is equivalent

to (ii), so applying (ii) we get that for a given ε > 0 there exists an open set
G ⊃ E c such that
µ∗ (G − E c ) < ε.

5
Now write F = Gc . Then evidently F is a closed set and F ⊂ E. Further from
the observation that G − E c = E − F it follows that

µ∗ (E − F ) = µ∗ (G − E c ) < ε.

(iv)⇒ (v)

By (iv) for every n ∈ N we can choose a closed set Fn ⊂ E such that

∞
[
µ∗ (E − Fn ) < n1 . Let F = Fn . Then obviously F is a Fσ set with F ⊂ E.
n=1
Now
1
µ∗ (E − F ) ≤ µ∗ (E − Fn ) < for all n ∈ N
n
which implies that µ∗ (E − F ) = 0.

(v)⇒ (i)

Finally let (v) holds. There is a Fσ set F ⊂ E such that µ∗ (E − F ) = 0.

This shows that E − F is measurable. Now F being a Fσ -set is also measurable.
hence E = F ∪ (E − F ) is measurable.

Corollary 2.6. E is measurable if and only if given ε > 0, there is an open set
O and a closed set F with F ⊂ E ⊂ O such that µ(O − F ) < ε.

Proof: First suppose that the condition holds and there is an open set O and
a closed set F with F ⊂ E ⊂ O such that µ(O − F ) < ε. Then evidently

µ∗ (O − E) ≤ µ(O − F ) < ε

which shows that the condition (ii) of Theorem 2.5 is satisfied. So E is measur-
able.

Now if E is measurable then by (iv) of Theorem 2.5 there exists a closed set
F ⊂ E such that µ∗ (E − F ) < 2ε and by (ii) of same theorem, there exists an
open set O ⊃ E such that µ∗ (O − E) < 2ε . Evidently

µ(O − F ) = µ∗ (O − F ) ≤ µ∗ (O − E) + µ∗ (E − F ) < ε.

2.3. Existence of a non-measurable set

So far we have seen that certain special subsets of R can be categorized as

measurable sets which means that we can find their measure and we have studied
their properties in details. But indeed there are sets which are not measurable
though to show their existence we will need to use ” The Axiom of Choice”.

6
 We have already come across a version of this axiom in Chaper 0. We start
by noting that ”The Axiom of Choice” was formulated by Ernst Zermelo in 1904
which is also known as Zermelo’s Axiom stating that : The cartesian product of
a non-empty family of non-empty sets is non-empty. One of the many equivalent
forms of this axiom (known as Zermelo’s Postulate) is the following : Given a
family Ω of disjoint non-empty sets, there exists a set A such that X ∩ A is a
singleton for each X ∈ Ω. We are going to use this particular form to prove the
existence of a non-measurable set.

We are now ready to construct a set which is not measurable.

We start with the interval [0, 1). In [0, 1) we define a binary composition +̇
(sum modulo one) as follows: For x, y ∈ [0, 1) we define
x+̇y = x + y, if x + y < 1
and
x+̇y = x + y − 1, if x + y ≥ 1.
Clearly [0, 1) is closed under this binary operation. For E ⊂ [0, 1) and x ∈ [0, 1)
we define the translation of E modulo one by y as E +̇y = {x+̇y : x ∈ E}. We
first prove the following result which will be needed.

Theorem 2.7. If E ⊂ [0, 1) is measurable then E +̇y is measurable ∀ y ∈ [0, 1)

and
µ(E) = µ(E +̇y).

Proof: Let us write E1 = E ∩ [0, 1 − y) and E2 = E ∩ [1 − y, 1). Then E1

and E2 are pairwise disjoint measurable sets and E = E1 ∪ E2 . Thus from the
additivity of Lebesgue measure, µ(E) = µ(E1 ) + µ(E2 ). Now evidently
E +̇y = (E1 +̇y) ∪ (E2 +̇y).
From the definition of sum modulo one it is easy to observe that (E1 +̇y) = E1 +y
and (E2 +̇y) = E2 + y − 1. Further since E1 , E2 are measurable so (E1 +̇y) and
(E2 +̇y) are also measurable by Lemma 1.19 And also
µ(E1 +̇y) = µ(E1 ) and µ(E2 +̇y) = m(E2 ).
Observe that (E1 +̇y) ∩ (E2 +̇y) = φ. For otherwise if z ∈ (E1 +̇y) ∩ (E2 +̇y) then
we can write z = e1 + y = e2 + y − 1 for some e1 , e2 ∈ E ⊂ [0, 1) but then we
have e1 = e2 − 1 < 0 which is a contradiction. Hence E +̇y being the union of
two measurable sets is also measurable and
µ(E +̇y) = µ(E1 +̇y) + µ(E2 +̇y) = µ(E1 ) + µ(E2 ).

7
Theorem 2.8. There is a non-measurable subset of [0, 1).

Proof: We start by defining a binary relation in [0, 1) as follows: Two elements

x, y ∈ [0, 1) are said to be related and we write x ∼ y if and only if x − y is
a rational number. Then it is an easy exercise to check that ∼ is an equiva-
lence relation on [0, 1) and consequently partitions [0, 1) into disjoint equivalence
classes. Clearly two elements belong to two different classes if and only if their
difference is an irrational number. Now by ”Axiom Of Choice” we construct a
set P ⊂ [0, 1) by taking one and only one element from each equivalence class.

We shall now show that the set P so constructed cannot be measurable.

Let {rn }∞
n=0 be the sequence of all rationals in [0, 1) with r0 = 0. Let us define
Pi = P +̇ri ∀ i. Clearly Pi ⊂ [0, 1) for all i and
∞
[
Pi ⊂ [0, 1).
i=1

∞
[
We first show that Pi = [0, 1). For this let x ∈ [0, 1). Then x belongs to
i=1
some equivalence class. Note that P contains one and only one element p (say)
from this equivalence class. Then (x − p) must be a rational number. If x > p
then we can write
x = p + (x − p) ∈ P +̇ri
where ri = x − p. If x < p the we have

x = p + (x − p + 1) − 1 ∈ P +̇ri

where ri = x − p + 1. Consequently x ∈ Pi for a suitable rational number ri

and so
∞
[
Pi = [0, 1).
i=1

Next we observe that for i 6= j, Pi ∩ Pj = φ. If not, then take z ∈ Pi ∩ Pj .

Note that i 6= j means ri 6= rj . Now we have z = p1 +̇ri = p2 +̇rj for some
p1 , p2 ∈ P . But then from the definition of sum modulo one it follows that
(p1 − p2 ) must be a rational number and should belong to the same equivalence
class. Since P contains one and only one element from each equivalence class so
we must have p1 = p2 . Then either ri = rj or ri = rj − 1 or rj = ri − 1 which
are impossible.

We claim that the set P is not measurable. On the contrary if P is mea-

surable then by Theorem 2.7 each Pi is measurable with µ(Pi ) = µ(P ) ∀ i.
Since
∞
[
Pi = [0, 1)
i=1

8
and Pi ∩ Pj = φ ∀ i 6= j then we must have
∞
X ∞
X
1 = µ([0, 1)) = µ(Pi ) = µ(P ) = 0 or ∞
i=1 i=1

according as µ(P ) = 0 or µ(P ) > 0. But this is impossible. So P is a non-

measurable set with µ∗ (P ) > 0.

Note 2.9. Recall that we had observed in Chapter 1 that the outer measure
µ∗ is countably sub-additive but did not actually show that it is not countably
additive. We are now in a position to see that. There exists a sequence of
pairwise disjoint sets Ei such that
∞
[ ∞
X
µ∗ ( Ei ) < µ∗ (Ei ).
i=1 i=1

The result holds if we take Ei = Pi from Theorem 2.8.

Corollary 2.10. If P be the above mentioned non-measurable set and E ⊂ P

be such that E is measurable then µ(E) = 0.

Proof: As before let {rn }∞ n=0 be the sequence of all rationals in [0, 1) with
r0 = 0. Define Ei = E +̇ri . Then we get Ei ⊂ Pi . So
∞
[ ∞
[
Ei ⊂ Pi = [0, 1)
i=1 i=1

and consequently
∞
[ ∞
X
µ( Ei ) = µ(Ei ) ≤ 1
i=1 i=1

which shows tat we must have µ(E) = 0.

2.4. Inner measure

We end this chapter with a brief reference to the notion of inner measure
which was also developed to provide an alternative approach to the introduction
of measurable sets. But we will avoid the detailed discussion as it is not needed
too much for our subsequent development of the subject.

We start by noting that a set of real numbers is open if and only if it can
be expressed as the countable union of open intervals so for a subset E ⊂ R we
can redefine the outer measure of E as

µ∗ (E) = inf{µ(O) : O is any open set containing E}.

9
Since any non-empty set E of real numbers always contains some closed sets so
we can now consider the following definition.

Definition 2.11. For E ⊂ R we define the inner measure of E as

µ∗ (E) = sup{µ(F ) : F is any closed set contained in E}.

It is clear from the definitions that µ∗ (E) ≤ µ∗ (E) for any E ⊂ R and just
like the outer measure, the inner measure is also monotone i.e. µ∗ (A) ≤ µ∗ (B)
if A ⊂ B.

Theorem 2.12. If E ⊂ R is such that µ∗ (E) < ∞ then E is measurable if and

only if µ∗ (E) = µ∗ (E).

Proof: Suppose first that E is measurable. Then for ε > 0 by Corollary 2.6,
there exist an open set O and a closed set F with F ⊂ E ⊂ O such that
µ(O − F ) < ε. Then

µ∗ (E) ≤ µ(O) < µ(F ) + ε ≤ µ∗ (E) + ε.

Since this is true for any ε > 0 so we have µ∗ (E) ≤ µ∗ (E) and hence we must
have µ∗ (E) = µ∗ (E).

Conversely let µ∗ (E) = µ∗ (E). Let ε > 0 be given. Then there exist an open
set O and a closed set F such that
ε
E ⊂ O and µ(O) < µ∗ (E) +
2
and
ε
F ⊂ E and µ(F ) > µ∗ (E) − .
2
Therefore
µ(O − F ) = µ(O) − µ(F ) < ε.
which shows that E is measurable in view of Corollary 2.6.

It should be noted that the above characterization of measurable sets is

not generally true for sets E with µ∗ (E) = ∞. To see this, consider the set
E = P ∪ [2, ∞) where P is the non-measurable subset of [0, 1) constructed
above. Evidently µ∗ (E) = ∞ = µ∗ (E) but E is not measurable.

Theorem 2.13. If 4 is a bounded open interval containing E then

µ∗ (E) + µ∗ (4 − E) = µ(4).

Proof: Let ε > 0 be given. From the definition of µ∗ (4 − E) we can find a

closed set F ⊂ (4 − E) such that

µ(F ) > µ∗ (4 − E) − ε.

10
Then G = (4 − E) is an open set and G = (4 − F ) ⊃ (4 − (4 − E)) = E.
Consequently

µ∗ (E) ≤ µ(G) = µ(4) − µ(F ) < µ(4) − µ∗ (4 − E) + ε

i.e.
µ∗ (E) + µ∗ (4 − E) < µ(4) + ε.
Since ε > 0 is arbitrary so

µ∗ (E) + µ∗ (4 − E) ≤ µ(4).

Again from the definition of m∗ (E) we can find a bounded open set G0 ⊃ E
such that
ε
µ(G0 ) < µ∗ (E) + .
3
Write 4 = (A, B) and choose an open interval (a, b) with A < a < A + 3ε and
B − 3ε < b < B. Now write G = (4 ∩ G0 ) ∪ (A, a) ∪ (b, B). Then G is an open
set containing E and further
ε ε
µ(G) ≤ µ(G0 ) + + < µ∗ (E) + ε.
3 3
Take F = 4 − G = [a, b] − G. Clearly F is a closed set and F ⊂ (4 − E). Then

µ∗ (4 − E) ≥ µ(F ) = µ(4) − µ(G) ≥ µ(4) − µ∗ (E) − ε

i.e.
µ∗ (E) + µ∗ (4 − E) ≥ µ(4) − ε.
Since ε > 0 is arbitrary so we have

µ∗ (E) + µ∗ (4 − E) ≥ µ(4).

This along with the opposite implication obtained earlier completes the proof.

In the final result of this section we see that we can extend the above result
for any measurable set.

Theorem 2.14. If B is measurable and E ⊂ B then

µ∗ (E) + µ∗ (B − E) = µ(B).

Proof: Let ε > 0 be given. We can find a closed set F ⊂ E such that

µ(F ) > µ∗ (E) − ε.

Then
µ(B) = µ(F ) + µ(B − F ) > µ∗ (E) − ε + µ∗ (B − E)

11
using the monotone property of outer measure. Since ε > 0 is arbitrary so we
get
µ∗ (E) + µ∗ (B − E) ≤ µ(B).
To prove the reverse inequality we note that by Corollary 1.4 there is a Gδ -
set G0 containing B − E such that µ(G0 ) = µ∗ (B − E). Setting G = G0 ∩ B we
see that G is a measurable set, B − E ⊂ G ⊂ B and µ(G) = µ∗ (B − E). Since
B − G ⊂ E, so by monotone property of inner measure we have µ∗ (B − G) ≤
µ∗ (E). Therefore

µ(B) = µ(G) + µ(B − G) = µ∗ (B − E) + µ(B − G) ≤ µ∗ (B − E) + µ∗ (E).

Combining the two inequalities we get the desired result.

2.5. Self-check Exercises

Exercise 2.1. If E1 , E2 are measurable then prove that

µ(E1 ∪ E2 ) + µ(E1 ∩ E2 ) = µ(E1 ) + µ(E2 ).

Solution: If µ(E1 ) or µ(E2 ) is ∞ then there is nothing to prove. Let µ(E1 ), µ(E2 ) <
∞. Now
E1 = ((E1 ∪ E2 ) − E2 ) ∪ (E1 ∩ E2 ).
Since the sets on the right hand side are measurable and disjoint so

µ(E1 ) = µ((E1 ∪ E2 ) − E2 ) + µ(E1 ∩ E2 ) = µ(E1 ∪ E2 ) − µ(E2 ) + µ(E1 ∩ E2 )

and so
µ(E1 ∪ E2 ) + µ(E1 ∩ E2 ) = µ(E1 ) + µ(E2 ).

Exercise 2.2. Let E be the set of all x ∈ [0, 1] such that the decimal expansion
of x does not contain the digit 3. Show that E has Lebesgue measure zero.

Solution: Let E be the set of x ∈ [0, 1] having no 3 in its decimal expan-

∞
T
sion. Then E = En , where En is the set of x ∈ [0, 1] having no 3 in the
n=1
first n places in its decimal expansion. For each (finite) sequence of the form
s1 , s2 , . . . , sn with each si ∈ {0, 1, . . . , 9}, 1 ≤ i ≤ n, the set of x ∈ [0, 1] with
first n-places of its decimal expansion of the form 0.s1 . . . sn represents an inter-
val of length 10−n , and there are 9n such choices of s1 , . . . , sn with no si =
3.
9 n
So En is the union of 9n intervals each of length 10n . Hence µ(En ) = 10
9 n


and consequently µ(E) ≤ 10 for each n ∈ N. Thus µ(E) = 0.

12
Exercise 2.3. Let E be the set of all real x such that the decimal expansion of
x contains the digit 3 only a finite number of times. Show that E has Lebesgue
measure zero.

Solution: As in the previous exercise, it can be shown that for each k ∈ Z

the set Xk of x ∈ [k, k + 1] having no 3 after the decimal point
S in its decimal
expansion has Lebesgue measure 0, and hence the set X = Xk of x ∈ R
k∈Z
having no 3 after the decimal point in its decimal expansion has Lebesgue mea-
sure 0. Now let En be the set of x ∈ R having no 3 in its decimal expansion
following the n-th place after the decimal point. In the same way as above we
∞
S
have µ(En ) = 0, and so µ(E) = 0 where E = En is the set of x ∈ R having
n=1
at most finitely many 3’s in its decimal expansion.

Exercise 2.4. Let f : [a, b] → R be a Lipschitz function i.e., there is a constant

c > 0 such that |f (x) − f (y)| ≤ c|x − y|, for all x, y ∈ [a, b].
(a) Show that f maps a set of Lebesgue measure zero onto a set of Lebesgue
measure zero.
(b) Show that f maps a Fσ -set onto a Fσ -set.
(c) Conclude that f maps a Lebesgue measurable set to a Lebesgue measur-
able set.

Solution:

(a) Let ε > 0 and E ⊂ [a, b] be a set of Lebesgue measure zero. Hence there
∞
P
exists a collection of open intervals {Ik }k∈N that covers E such that `(Ik ) <
k=1
ε
c, where c is the Lipschitz constant for f . Let ak = inf f (x) and bk = sup f (x)
x∈Ik x∈Ik
for each k ∈ N. Clearly we have f (Ik ) ⊂ [ak , bk ] for each k. By the Lipschitz
property of f , we know that for any u, v ∈ [a, b], |f (u) − f (v)| ≤ c|u − v|. Taking
the sup over u, v ∈ Ik on both sides of the inequality, we have

(bk − ak ) = sup |f (u) − f (v)| ≤ c sup |u − v| = c `(Ik ).

u,v∈Ik u,v∈Ik

∞
S
Thus we have µ (f (Ik )) ≤ (bk − ak ) ≤ c `(Ik ) and since f (E) ⊂ f (Ik ), it
k=1
follows that
∞
X ∞
X
µ(f (E)) ≤ µ (f (Ik )) ≤ c `(Ik ) < ε.
k=1 k=1

Since ε is arbitrary, we must have µ(f (E)) = 0.

13
(b) Let F ⊂ [a, b] be a Fσ -set. Then there exists a collection {Fk }k∈N of closed
∞
S
subsets in [a, b] such that F = Fk . Now Fk being a closed subset of the
k=1
compact set [a, b] is also compact. Since f is continuous, so f (Fk ) is a compact
∞
S
subset of R and therefore is closed. Consequently f (F ) = f (Fk ) is a count-
k=1
able union of closed sets and hence f (F ) is a Fσ -set. Thus f maps a Fσ -set
onto a Fσ -set.

(c) Suppose that E ⊂ [a, b] is a Lebesgue measurable set. If µ(E) = 0 then by

part (a) it follows that µ(f (E)) = 0 and hence f (E) is Lebesgue measurable.
So take µ(E) > 0. By the property of Lebesgue measurability there exists a
Fσ -set F ⊂ E such that µ (E \ F ) = 0. Now E can be partitioned into a Fσ -set
E and and a set (E − F ) of Lebesgue measure zero i.e. E = F t (E − F ).
Now f (E) = f (F ) ∪ f (E − F ). From part (a) and part (b) it follows that
µ(f (E − F )) = 0 and f (F ) is a Fσ -set and hence both the sets f (E − F ) and
f (F ) are Lebesgue measurable. Thus f (E) is a union of two measurable sets,
is measurable. Hence f maps a Lebesgue measurable set into a Lebesgue mea-
surable set.

Exercise 2.5. Suppose that A ⊆ E ⊆ B ⊆ R where A and B are Lebesgue

measurable sets of finite Lebesgue measure. Show that if µ(A) = µ(B), then E
is Lebesgue measurable.

Solution: Since E = A ∪ (E − A) and A is Lebesgue measurable, it is sufficient

to show that E − A is Lebesgue measurable. Since E − A ⊂ B − A, it follows
that µ∗ (E − A) ≤ µ∗ (B − A) = µ(B − A) = µ(B) − µ(A) = 0 as both A and
B are Lebesgue measurable. Thus E \ A being a Lebesgue measure zero set, is
Lebesgue measurable.

Exercise 2.6. Let E ⊂ R be such that µ(E) = 0. Prove that E c is dense in R.

Solution: Observe that for every open interval I ⊂ R, µ∗ (I) > 0. Since
µ(E) = 0, E cannot contain any open interval as a subset by the monotonicity
of µ. Hence E c ∩ I 6= ∅ for every open interval I ⊂ R. Thus E c is dense in R.

Exercise 2.7. If A ⊂ R has finite Lebesgue measure then prove that there
exists a set B ⊂ A where µ(B) = µ(A)
2 .

Solution: For each r ≥ 0 define the function f (r) = µ(A ∩ (−r, r)).. Observe
that for 0 ≤ r < s we have

f (s) − f (r) = µ[(A ∩ (−s, s)) − (A ∩ (−r, r))]

= µ(A ∩ (−s, −r]) + µ(A ∩ [r, s)) ≤ 2(s − r)

which shows that f is uniformly continuous. Further f (0) = 0 and lim f (x) =
x→∞

14
µ(A). Then by the Intermediate Value Theorem there must exist a t > 0 such
that f (t) = µ(A)
2 and obviously then the set B = A ∩ (−t, t) is the desired subset
of A.

Exercise 2.8. Let µ∗ (A) < ∞. If for each ε > 0 there is a finite collection of
[n
∗
disjoint open intervals {Ik : 1 ≤ k ≤ n} such that µ (A∆( Ik )) < ε, then
k=1
prove that A is measurable.

Solution: Let ε > 0 be given. By our assumption there is a finite collection of

n
∗
[ ε
disjoint open intervals {Ik : 1 ≤ k ≤ n} such that µ (A∆( Ik )) < . Write
3
k=1
n
[
∗ ε
U = Ik . Since µ (A − U ) < 3 so we can further choose an open set W
k=1
2ε
containing A − U such that µ(W ) < 3 . Let

O = U ∩ W.

Then clearly O is an open set containing A and

ε
µ∗ (O − A) ≤ µ∗ (U − A) + µ∗ (W − A) < + µ(W ) < ε.
3
This proves that A is measurable.

Exercise 2.9. If E is a measurable set with µ∗ (E) < ∞ then for any ε > 0
prove that there is a finite collection of pairwise disjoint open intervals {Jk :
[n
1 ≤ k ≤ n} such that µ(E∆U ) < ε where U = Jk .
k=1

Solution: Let E be measurable. From the definition of outer measure we can

find a countable collection of open intervals {Jk }k∈N for which
n ∞
[ X ε
E⊂ Jk = W and `(Jk ) < µ∗ (E) + .
2
k=1 k=1

M M
X ε [
Choose a M ∈ N such that l(Jk ) < . Write U = Jk . Then
2
k=1 k=1

µ(E∆U ) = µ(E − U ) + µ(U − E) ≤ µ(W − U ) + µ(W − E)

M
X ∞
X
≤ `(Jk ) + [ `(Jk ) − µ(E)]
k=1 k=1
ε ε
≤ + = ε.
2 2

15
In the place of above collection of open intervals {Jk : 1 ≤ k ≤ n} if we take the
component intervals of the open set U , we get the desired result.

Exercise 2.10. Given two Lebesgue measurable sets E, F ⊂ [0, 1], define
d(E, F ) = µ(E∆F ) (where E∆F = (E ∪ F ) − (E ∩ F )), and E ∼ F if
d(E, F ) = 0. Prove that ∼ is an equivalence relation on the collection of
(Lebesgue) measurable subsets of [0, 1], and d induces a metric on the set of
equivalence classes.

Solution: If E ⊂ [0, 1] is Lebesgue measurable, we have E∆E = φ and hence

d(E, E) = µ(E∆E) = 0 i.e. ∼ is reflexive. Let E, F ⊂ [0, 1] be Lebesgue mea-
surable such that d(E, F ) = 0. Then d(F, E) = µ(F ∆E) = µ(E∆F ) = 0 as ∆
is symmetric and hence ∼ is symmetric. Next let E ∼ F and F ∼ G for some
Lebesgue measurable subsets E, F and G of [0, 1]. Then we have d(E, F ) = 0
and d(F, G) = 0. Since E∆F = (E − F ) ∪ (F − E), d(E, F ) = 0 is equiv-
alent to µ(E − F ) = 0 and µ(F − E) = 0 and similarly for d(F, G). Since
E − G ⊂ (E − F ) ∪ (F − G), we have µ(E − G) ≤ µ(E − F ) + µ(F − G) = 0 and
hence µ(E − G) = 0. By the same argument we have µ(G − E) = 0 and hence
d(E, G) = 0. Hence ∼ is an equivalence relation.

Since E − G ⊂ (E − F ) ∪ (F − G) and G − E ⊂ (G − F ) ∪ (F − E) we have

d(E, G) = µ ((E − G) ∪ (G − E))

≤ µ ((E − F ) ∪ (F − G) ∪ (G − F ) ∪ (F − E))
≤ d(E, F ) + d(F, G).

This proves the triangle inequality. Other conditions are easy to verify.

Summary: In this chapter we have defined the Lebesgue measure and proved
properties of Lebesgue measure and also some properties of measurable sets.
We have also shown how to construct non-measurable sets. Finally we have
defined inner measure.

Following are the main definitions and points to be remembered.

• Let µ∗ be the Lebesgue outer measure on R and Let S be the collection of

Lebesgue measurable sets. Then the restriction µ of µ∗ on S is a non-negative
countably additive set function with µ(φ) = 0 which is called the Lebesgue mea-
sure.

• The Lebesgue measure µ is monotone, subtractive, countably sub-additive,

continuous from bellow and continuous from above.

• Following statements are equivalent in R.

(i) E is Lebesgue measurable.

16
 (ii) Given ε > 0 there is an open set O such that E ⊂ O and µ∗ (O − E) < ε.
(iii) There is a Gδ set G ⊃ E such that µ∗ (G − E) = 0.
(iv) Given any ε > 0 there is a closed set F such that F ⊂ E and µ∗ (E−F ) <
ε.
(v) There is a Fσ set F ⊂ E such that µ∗ (E − F ) = 0.

• It is not that all subsets of R are measurable. Using ”Axiom of Choice” we

show the existence of a non-measurable subset of [0, 1). From the construction
it is evident there are many many such sets.

• For E ⊂ R we define the inner measure of E as

µ∗ (E) = sup{µ(F ) : F is any closed set contained in E}.

• If E ⊂ R is such that µ∗ (E) < ∞ then E is measurable if and only if

∗
µ (E) = µ∗ (E).

Acknowledgement: While writing this chapter the author has mainly followed
the excellent books by H.L. Royden et al and R.A. Gordon. The full references
of these books is given in ”Learn More” section.

17
 SELF ASSESSMENT

Example 2.1. The Lebesgue measure is

(a) not translation invariant but countably additive.

(b) translation invariant and is defined for all subsets of R.
(c) translation invariant but not countably additive.
(d) translation invariant and countably additive.

∞
Example 2.2. Let {En }∞
P
n=1 be a collection of subsets of R such that En <
n=1
∞ and let E = {x ∈ R : x ∈ En for infinitely many n}. Then which of the
following is true?

(a) E is a Lebesgue measurable set with µ(E) > 0.

(b) E is a Lebesgue measurable set but µ(E) depends on µ∗ (En ), n ∈ N.
(c) E is a Lebesgue measurable set with µ(E) = 0.
(d) E is Lebesgue measurable if and only if En ’s are Lebesgue measurable.

Example 2.3. Let E ⊂ R be Lebesgue measurable and A be a non-measurable

subset of E. Then is it true that µ∗ (E \ A) > 0?

Example 2.4. Examine whether the following is true or false. E ⊂ R is

Lebesgue measurable if and only if there exists a sequence {En } of Lebesgue
measurable subsets of E such that µ∗ (E \ En ) → 0.

Example 2.5. Let A ⊂ R and r, x ∈ R. Which of the following is not neces-

sarily true ?

(a) If A is Lebesgue measurable then x + A is Lebesgue measurable.

(b) If x + A is Lebesgue measurable then A is Lebesgue measurable.
(c) If A is Lebesgue measurable then rA is Lebesgue measurable.
(d) If rA is Lebesgue measurable then A is Lebesgue measurable.

18
Example 2.6. Which of the following statements is not an equivalent condition
for Lebesgue measurability of a set E ⊂ R ?

(a) For each ε > 0 there exists an open set O ⊃ E such that µ∗ (O \ E) < ε.
(b) For each ε > 0 there exists a finite union U of open intervals such that
µ∗ (U ∆E) < ε.

(c) E = G \ N for some Gδ -set G and a set N of Lebesgue measure zero.

(d) E = F ∪ N for some Fσ -set F and a set N of Lebesgue measure zero.

Example 2.7. Let S = {A ⊂ R : µ∗ (A) = 0}. Which of the following is

incorrect ?

(a) S is an algebra.
(b) S is an algebra but not a σ-algebra.
(c) S is a σ-algebra.
(d) The lebesgue outer measure µ∗ restricted to S is countably additive.

Example 2.8. Which of the following is false?

(a) Translation of a non-measurable set is non-measurable.

(b) Translation of a measurable set is measurable.
(c) Countable union of non-measurable sets is non-measurable.
(d) Union of a non-measurable set and a measurable set which are disjoint is
non-measurable.

Example 2.9. Let A be a non-measurable set and B ⊂ A. Which of the fol-

lowing is true ?

(a) B must be non-measurable.

(b) B may be a measurable set with positive Lebesgue measure.
(c) If B is measurable then the lebesgue measure of B should be zero.
(d) B can not contain a measurable set.

19
Example 2.10. Let A ⊂ R. Which of the following is true ?

(a) A is non-measurable but the set of all irrational numbers in A is measur-

able.
(b) A is measurable but the set of all irrational numbers in A is non-measurable.
(c) The Lebesgue outer measure of the set of all irrational numbers in A is
strictly less than the Lebesgue outer measure of A.
(d) If A is measurable then the set of all irrational numbers in A is also
measurable with same Lebesgue measure.

SOLUTIONS

• Solution of Example 2.1: Ans: (d).

• Solution of Example 2.2: Ans: (c).

∞
Ek . Then E ⊂ Fn for each n. Hence µ∗ (E) ≤ µ∗ (Fn ) ≤
S
(Let Fn =
k=n
∞
µ (Ek ) → 0 and consequently µ∗ (E) = 0.)
∗
P
k=n

• Solution of Example 2.3: True.

(µ∗ (E \ A) = 0 would imply that E \ A is measurable and hence A = E \ (E \ A)
is measurable.)

• Solution of Example 2.4: True.

• Solution of Example 2.5: Ans: (d).

(Take any non-measurable subset A ⊂ R. Then for r = 0, rA = {0} is Lebesgue
measurable.)

• Solution of Example 2.6: Ans: (b).

( For (b), µ∗ (E) < ∞ is required.)

• Solution of Example 2.7: Ans: (d)

• Solution of Example 2.8: Ans: (c)

• Solution of Example 2.9: Ans: (c)

20
• Solution of Example 2.10: Ans: (d)

21
 LEARN MORE

The history of Lebesgue measure is linked with the history of development

of integration. In the middle of 19th century Bernhard Riemann developed the
integral (known as Riemann integral after his name) which we frequently use to-
day. However, it was realized quickly that it is not too difficult to find functions
which are not Riemann (or Darbaux) integrable. In his thesis in 1902, Henri
Lebesgue first developed the idea of Lebesgue measure extending the notion
of length of intervals and applied it to develop a new integral. Italian mathe-
matician Giuseppe Vitali constructed the example of a non-measurable set. The
whole theory of lebesgue measure and integration was developed in 20th century.

In 1970, Robert Solovay proved that the axiom of choice is essential in con-
structing non-measurable sets.

The students are encouraged to consult the following excellent books and
web resources to have more in depth study about the course materials as well
as to know further.

Reference Books:

1. G. De Barra, Measure theory and integration, Reprint, New age interna-

tional (P) Ltd., New Delhi, 1987.

2. C. Caratheodory, Algebraic theory of measure and integration, Chelsea

Publishing house, New York, 1963.

3. R.A. Gordon, The integrals of Lebesgue, Denjoy, Perron and Henstock,

American Mathematical Society, 1994.

4. P.R. Halmos, Measure Theory, Reprint, Springer Verlag, 1974.

5. P.K. Jain, V.P. Gupta, Lebesgue measure and integration, Wiley Eastern
Ltd., New Delhi (New Age international Ltd.), 2011.

6. M.E. Munroe, Introduction to measure and integration, Addison-Wesley,

Cambridge,Mass, 1953.

7. I.K. Rana, An Introduction to Measure and Integration (2nd ed.), Narosa

Publishing House, New Delhi, 2004.

22
 8. H. L. Royden and P.M. Fitzpatrick, Real Analysis Fourth edition, Pren-
tice Hall, New York, 2010.

Web Resources with links:

http://en.wikibooks.org/wiki/UMD Analysis Qualifying Exam/Aug08 Real

http://en.wikibooks.org/wiki/Subject:University level mathematics books

http://www.math.iitb.ac.in/ ars/week7 8.pdf

www.math.tifr.res.in/ publ/ln/tifr12.pdf

https://www.math.ucdavis.edu/.../measure theory/measure theory.html

www.math.chalmers.se/ borell/MeasureTheory.pdf

https://math.berkeley.edu/ rieffel/measinteg.html

https://www.math.ucdavis.edu/ hunter/measure.../measure theory.html

https://rutherglen.science.mq.edu.au/wchen/lnilifolder/lnili.html

23