1

Introduction

Definition 1.1 Let X be a set. An algebra A X is a collection of subsets

of X such that
A
E A E c X\E A
A, B A A B = A
A algebra F is an algebra S
which is closed under the formation of countable unions: E1 , E2 , E3 , . . .
i=1 Ei F
Definition 1.2 A measurable space is a pair (X, F) where X is a set and
F is a -algebra of subsets of X.Elements of F are called measurable sets.
Definition 1.3 Let (X, F) be a measurable space. A measure on (X, F) is
a function : (X, F) [0,] such that
() = 0
U
is additive
P: if A1 , A2 , A3 , . . . F are pairwise disjoint then

( i=1 (Ai )) = i=1 (Ai )

Proposition 1.0.1 (basic properties of measures) Let (X, F, ) be a measure space.
1. Additivity:
P
U
A1 , A2 , . . . , An F and are disjoint, ( ni=1 (Ai )) = ni=1 (Ai )
2. Monotonicity:
A, B F and A B (A) (B)
3. Inclusion-Exclusion Principle:
If A, B F and (AB) < , then (AB) = (A)+(B)(AB)
4. Difference formula:
A, B F, A B, (A) < (B\A) = (B) (A)

Note: This is false if (A) = (A = [2, ), B = [0, )).

Definition 1.4 (Monotone sequences of sets)
We say that a sequence {Ei }
i=1
Sincreases (repectively decreases) to a set E,
if forTall i Ei Ei+1 and E =
i=1 Ei (respectively for all i, Ei Ei+1 and

E = i=1 Ei )
1

Proposition 1.0.2 Let (X, F, ) be measure space, and assume that E1 , E2 , . . .

F.
1. if Ei E then (E) = limi (Ei )
2. if Ei E and there exist i0 such that (Ei0 ) < , then (E) =
limi (Ei )
Definition 1.5 Let X be a set. A collection S 2X is called a semi-algebra
(of subset of X) if
1. , X S
2. A, B S A B S
3. For all A S, Ac can be written as a finite pairwise disjoint union of
elements of S.
Proposition 1.0.3 The collection of intervals Int is a semi-algebra of subsets of R (it is not a algebra)
Definition 1.6 Let l : Int [0, ] be the length function given by
l(< a, b >) := b a, where < a, b > represents all possibilities of intervals
Lemma 1.1U 1. finite additivity of l:
PN
if I = N
k=1 l(Ik )
k=1 Ik where I, Ik Int, then l(I) =
S
2.
subadditivity : if I k=1 Ik whereI, Ik Int, then l(I)
P

k=1 l(Ik )
Proposition
] is -additive in Int: if I1 , I2 , . . . Int
U 1.0.4 l : Int P[0,

and I = k=1 Ik then l(I) = k=1 l(Ik )

Definition 1.7 (Lebesgue Outer Measure) This is the function m :
2R [0, ] given by
(
)

X
[
m (A) = inf
l(Ij ) : A
Ij , whereIj Int
j=1

j=1

Definition 1.8 Let X be some set. An outer measure on X is a function

: 2X [0, ] such that:
1. () = 0
2. monotonicity : A B (A) (B)
S
P
3. subadditivity : (
i=1 Ai )
i=1 (Ai )
2

Remark

An outer measure is in general not a measure.

Proposition 1.0.5 Lebesgue outer measure is an outer measure

Definition 1.9 A set E R is called Lebesgue measurable if it satisfies the
following condition:
For all T R, m (T ) = m (T E) + m (T E c )
This condition is called Carath
eodorys Criterion.
Remark
1. T is called a test set
2. Carath
eodorys Criterion is symmetric (E E c )
3. The inequality m (T ) m (T E)+m (T E c ) is always true because
of the sub-additivity of m .
Proposition 1.0.6 The Lebesgue Outer Measure of an interval
U is its length.
P
( I ) =
Furthermore if {Ii }
are
pairwise
disjoint
intervals
then
m
i
i
i
i l(Ii )
Proposition 1.0.7 The set B0 = {E R : E is Lebesgue measurable} is
an algebra.
Remark Sketch Proof:
The main part is to show E1 , E2 B0 E1 E2 B0 i.e. we need
m (T ) = m (T (E1 E2 )) + m (T (E1 E2 )c )
We already have by sub additivity. To show we note that
0
m ((T E1c ) E2c ) = m (T E1c ) m ((T E1c ) E2 ) by using T = (T E1c )
as the test set.
m (T (E1 E2 )) = m (T (E1 ](E1c E2 ))) m (T E1 )+m (T (E1c E2 ))
m (T (E1 E2 )c ) = m ((T E1c ) E2c ) = m (T E1c ) m ((T E1c ) E2 )
Adding them together gives
m (T (E1 E2 ) + m (T (E1 E2 )c ) m (T E1 ) + m (T E1c ) = m (T )
Lemma 1.2 Suppose E1 . . . En are Lebesgue
measurable
and pairwise disU
P
joint. Then for every T R, m (T ni=1 Ei ) = ni=1 m (T Ei ) ()
Proof We use induction on n. For n = 1 there is nothing to prove. Suppose (**)
holds for n. Let U
E1 . . . En+1 B0 be pairwise
Un+1disjoint. c Then
Un+1
n+1

m (T i=1 Ei ) = m (T i=1 Ei En+1 ) + m (T i=1 Ei En+1 )

P
U

= m (T En+1 ) + m (T ni=1 Ei ) = n+1

i=1 m (T Ei )
3

Remark From this lemma we can see that m is finitely additive on B0

by taking T = R.
Proposition 1.0.8 B0 is a algebra
Idea of proof We already know that B0 is an algebraSso we need it to be

closed under countable set unions i.e. {Ei }

E i B0
i=1 B0
i=1
0
The trick is to construct a set of pairwise disjoint sets {Ej }
j=1 by defining
Sj1
0
Ej := Ej \ i=1 Ei B0
So then we have:
0

1. Ei Ej = for i 6= j
S
U 0
2.
i=1 Ei =
i=1 Ei
S
So weSmay assume that {Ei }
i=1 B0 are pairwise disjoint. Estimate i=1 Ei
with ni=1 Ei .

Then
Un use the previous
Un lemma when you consider in m (T ) = m (T
i=1 Ei ) + m (T \ i=1 Ei ). Then take n to at the end.
subadditivity of m gives .
Proposition 1.0.9 m is additive on B0
Proof Using
as the previous proposition: We need to
Pnotation
U the same

show m ( i=1 Ei ) = i=1 mU(Ei )

Pn
Un

We show as follows: m (
i=1 m (Ei ), then
i=1 Ei ) m ( i=1 Ei ) =
take n to
Proposition 1.0.10 Every interval is Lebesgue measurable.
Definition 1.10 m |B0 is called Lebesgues measure on R
Theorem 1.1 There exists a algebra B0 of subsets of R, and a set function m : B0 [0, ) such that
1. B0 contains the intervals
2. m is additive on B0
3. m(interval)= length of the interval
This theorem puts the previous propositions together
Proposition 1.1.1 If E B0 and x R then m(x + E) = m(E)
Definition 1.11 A measure
space (X, F, ) is called f inite if there exists
S
Fi F such that X = i=1 Fi and (Fi ) <
4

Remark (X, F, ) is called a probability space if (Fi ) = 1.

Proposition 1.1.2 (R, B0 , m) is f inite
Definition 1.12 Let (X, F, ) be a measure space
A X is called negligible or null or measure zero set if
inf {(E) : E F, E A} = 0
(X, F, ) is called complete if if all negligible sets are in F
Proposition 1.1.3 (R, B0 , m) is complete
Idea of proof Firstly show A R is null m (A) = 0. Then show
m (T ) = m (T A) + m (T Ac ).
Lemma 1.3 (Lindelof ) Every open subset of R is equal to a countable
union of open intervals
Idea of proof Take your open set U and for every x U find open intevals
(x , x + ) that covers each x. Then use completeness of R to find even
smaller intervals (x x , x + x ) where x , x Q. Then use countability
of Q to show countable union.
Definition 1.13 The smallest algebra of subsets of R which contains all
open sets is called the Borel algebra and is denoted by B(R). Elements of
B(R) are called Borel sets.
Lemma 1.4 All intervals, open sets, closed sets are Borel sets.
Proposition 1.1.4 Open sets and closed sets are Lebesgue measureable.
Remark

If we can show B(R) B0 then we are done.

Proof We show B(R) B0 .

Define F := {E B(R) : E is Lebesgue measurable}. We claim the following:
1. open sets F
2. F is a algebra
Remark This implies that B(R) F because by definition, B(R) is the
smallest algebra which contains the open sets.

Proof of claim
1. Take U S
R open. By Lindelof there are open intervals {Ik }
k=1 such
that U =
I
.
Intervals
are
Lebesgue
measurable,
and
B
0 is a
k
k=1
algebra.Therefore U B0 . Open sets B(R) so U B(R) and thus
U F.
2.

F trivial
E F E c F: because E F E B(R) B0 (but since
B(R) and B0 are algebras.) E c B(R) B0 E c F.
S
{Ei }
Ei F : because {Ei }
i=1 F
i=1
i=1
S
S F For all i
Ei B(R) B0 i=1 Ei B(R) B0
i=1 Ei F

Theorem 1.2 (Regularity) If E B0 then for all  > 0 there are set
F E U such that F is closed, U is open and m(U \F ) < . Moreover,
if m(E) < , then F can be chosen to be compact.
Corollary 1.2.1 (Structure of Lebesgue measurable sets) If E B0 ,
then there is a Borel set B and a null set N such that E = B4N
Remark Informally this says that every measurable set is approximately
open and approximately closed.
Proof Take Fn E closed such that m(E\Fn ) 1/n. Take B :=
S

i=1 Fn E. But closed sets B(R) which is a algebra, thus B B(R).

Now take N := E\B and we show this is null: 0 m(N ) m(E\Fn ) n1 ,
then take n .
Theorem 1.3 (Vitali) There exists a subset of [0, 1] which is not Lebesgue
measurable
Idea of proof Show
U that [0, 1] can be written as a countable pairwise disjoint union [0, 1] =
i=1 Ak of sets Ak such that if A1 is measurable, then
Ak is measurable for all k. And in this case m(A1 ) = m(Ak ) for all k.U

This
P implies that A1 is not measurable, because otherwise m[0, 1] = m( i=1 Ak ) =
i=1 m(Ak ). This is impossible because if m(A1 ) > 0 then RHS = , and
if m(A1 ) = 0, then RHS = 0. In either case RHS 6= 1
Step 3 in the proof given in lectures provide us such Ak . These Ak are
translates of a fixed set A. But Step 2 gives translation invariance. Thus
all Ak would have the same measure if they are Lebesgue measurable. Then
we get the contradiction above.

Notation: If f : X R is a function, then

[f < t] := {x X: f (x) < t},
[a f < b] := {x X: a f (x) < b},
[f B] := {x X: f (x) B} etc.
Definition 1.14 Let (X, F) be a measurable space.
A function f : X [, ] is called F measurable if for every t R,
[f < t] F.
Examle In the case when X = R
If F = B0 , f is called Lebesgue measurable
If F = B(R), f is called Borel measurable
Proposition 1.3.1 Let (X, F) be a measurable space. The following are
equivalent:
1. f : X R is F measurable
2. For all t ( [f > t] F)
3. For all a, b ( [a f < b] F)
4. For all B B(R), f 1 (B) F and f 1 (), f 1 () F
Proposition 1.3.2 Suppose f1 , f2 , . . . , fn : X R are F-measurable. If
{(f1 (x), f2 (x), . . . , fn (x)) R : x X} U where U Rn is open, and if
: U R, where : (t1 , t2 , . . . , tn ) 7 (t1 , t2 , . . . , tn ) is continious, then
x 7 (f1 (x), f2 (x), . . . , fn (x)) is F-measurable
Notation If {an } is a sequence
a limit point is a limit of a subsequence {ank }
limn an = sup{limitpoints} = max{limitpoints}
limn an = inf {limitpoints} = min{limitpoints}
Note that lim = lim = lim when limit of {an } exists.
Proposition 1.3.3 If {fn }
n=1 are F-measurable, then the following functions are again F-measurable:
1. f (x) := supn {fn (x) : n 1},
f (x) := infn {fn (x) : n 1},
2. f (x) := limn fn (x) = limn sup
3. f (x) := limn fn (x) = limn inf
7

n lim
when limit exists
n fn (x)
c
if limit does not exist
P
5. f (x) := Q
i=1 fn (x) (if sum converges)
f (x) :=
i=1 fn (x) (if product converges)
4. fc (x) :=

Examples of measurable functions

1. Definition 1.15 Let A be a set. The indicator function of A is defined
as:
n 1 xA
1A (x) :=
0 x 6 A
The indicator function is B(R) measurable if and only if A is Borel.
(
t0
Ac 0 < t < 1
This is true because [1A t] =
R
t1
2. Every continuous function f : [a, b] R is Borel measurable. This is
because [f < t] is open for all t thus [f < t] B(R)
Remark If a function is Borel measurable then it also is Lebesgue measurable
Definition 1.16 Let (X, F) be a measurable space. P
A simple function is f : X R of the form f (x) := ni=1 i 1Ei (x) where
Ei F and 1Ei is the indicator of Ei
Caution

This is not the same as a step function.

Theorem 1.4 Basic Approximation: Let (X, F) be a measurable space.

Then f : X R is bounded measurable if and only if  > 0 a simple
function  : X R such that |f (x)  (x)| <  x X
Terminology Let (X, F, ) be a measure space, and P some property of
x X. We say that property holds almost everywhere if {x X|
property P fails}=0
Examples
1. fn (x) f (x) almost everywhere {x|fn (x) 6 f (x)}=0
2. f (x) = g(x) almost everywhere [f 6= g] = 0

Proposition 1.4.1 If f : [a, b] [, ] is Lebesgue measurable and finite a.e, then , there is a cts function : [a, b] R for which m{x
[a, b] : |f (x) (x)| > } <
(i.e the set where f (x) is not  close to (x), is small)
Theorem 1.5 (Egoroff ) Suppose fn : E R are Lebesgue measurable
and that E B0 has finite measure. Assume that fn (x) f (x) a.e in E.
Then  > 0 K E compact s.t m(E\K) <  and fn f uniformly on
K.
0

i.e  N s.t (n > N x K we have |fn (x) f (x)| <  )

Theorem 1.6 (Lusin) If f : E R is Lebesgue measurable, and E B0
has finite measure, then  > 0 K E compact s.t m(E\K) <  and
f : K R is uniformly cts
0

i.e  s.t (x, x K, |x x | < |f (x) f (x )| < )

Reminder:Regulated integral
P
1. A step function is of the form f = ni=1 i .1Ii where {Ii } are intervals.
R
P
2. For a step function: f := i .l(Ii )
3. A regulated function is a uniform limit of step function
R
R
4. If f is regulated, then f := limn fn where fn f uniformly
and fn are step functions.
Lebesgue Integration
P
1. A simple function is f = ni=1 i .1Ei where {Ei } are measurable
R
P
2. If f is simple then f R:= ni=1Pi m(Ei )
It is natural to define E f := ni=1 i .m(E Ei )
3. A bounded measurable is a uniform limit of simple functions.
4. So if f is bounded measurable,
takeR fn simple such that fn f
R
uniformly and define f := limn fn
Definition
P 1.17 A canonical representation of a simple fuction f is
f (x) := yf (R) y.1[f =y] (x)
Definition 1.18 If f is a (Lebesgue measurable) simple function and E
B
measure, then the integral of f over E (w.r.t m) is
R 0 of finiteP
yf (R) y.m(E [f = y])
E f dm :=
9

Proposition 1.6.1 If f , g are simple and E B0 has finite measure, then:

R
R
R
1. Linearity: E (f + g) = E f + E g
R
R
2. Monotonicity: f g E f E g
R
R
3. Absolute value: | E f | E |f |
R
R
4. f = g a.e on E E f = E g
R
R
R
5. If E = E1 ] E2 with E1 , E2 B0 , then E f = E1 f + E2 f
Integrating Bounded Measurable Functions
Proposition 1.6.2 Let f : E R be bounded measurable and E B0 have
finite measure.There exists simple functions n : E R such that n f
uniformly on E and
R
{ E n }
n=1 always converges.
its limit is independent of the choice of n
Definition 1.19 The integral of f over E is defined to be

R
E

f := limn

R
E

Proposition 1.6.3 (Properties of the integral) Suppose f,g are bounded

measurable, and that E B0 has finite measure.
R
R
R
1. Linearity: E (f + g) = E f + E g
R
R
2. Monotonicity: f g E f E g
R
R
3. Absolute value: | E f | E |f |
R
R
4. E f.1G = EG f for all G B0
R
R
5. f = g a.e on E E f = E g
R
R
R
6. If E = E1 ] E2 with E1 , E2 measurable, then E f = E1 f + E2 f
Theorem 1.7 Suppose {fn }
n=1 are measurable, E B0 has finite measure,
and that there exists M such Rthat |fn (x)|
R M for all n N, x E. If
fn f (x) for all x E, then E fn E f

10

Integrating unbounded functions

Definition 1.20 Suppose f : E [0, ] measurable, E B0 (not necessarily of finite measure).

nR
o
R
 0 h f.1E
Then E f dm := sup [h6=0] h
h bounded Lebesgue measurable
m[h 6= 0]
Proposition 1.7.1 Suppose f, g : R [0, ] are measurable and E B0
(not necessarily of finite measure).Then we have:
R
R
R
1. linearity: , 0 E (f + g) = E f + E g
R
R
2. monotonicity: f g E f E g
R
R
3. E f.1G = EG f for all G B0
R
R
4. f = g a.e E f = E g

Theorem 1.8 (Fatous Lemma) Suppose

R {fn }n=1 are non-negative
R measurable functions.Then for every E B0 E limn fn limn E fn

Lemma 1.5 If f : R [0, ] is measurable, and

a.e in E.

R
E

f < then f is finite

Corollary 1.8.1 Suppose fn : E [0, ] are measurable. If limn

, then limn fn (x) < almost everywhere in E

R
E

fn <

Integrating Unbounded Functions (the multi-sign case)

Definition 1.21 Let f be a function
1. the positive part of f is f + := f 0 f.1[f >0]
2. the negative part of f is f := f 0 f.1[f <0]
Note

We get f = f + f , |f | = f + + f

Definition 1.22 Let f : E [, ] be some function, and E B0

R
R
1. f is called absolutely integrable on E, if it is measurable and E f + , E f <

R
R
2. f is called one sided integrable on E if at least one of E f +R, E f
case we define the integral of f over E to be E f :=
Ris finite.In
R each
+

f
f
E
E

11

Proposition 1.8.1 Suppose f, g are absolutely integrable on E B0

R
1. linearity:R for allR , R f + g is also integrable on E and E (f +
g) = E + E g
R
R
2. monotonicity: f g E f E g
R
R
3. E f.1G = EG f for all G B0
R
R
4. f = g almost everywhere on E E f = E g
R
R
R
5. if E = E1 ] E2 where E1 , E2 B0 , then E f := E1 f + E2 f
Theorem 1.9 (Lebesgue Dominated Convergence Theorem (DCT))
Let{fn }
n=1 be a sequence of measurable functions such that fn (x) f (x)
for allR x E B0 . If |fn (x)|
R g(x) where g is absolutely integrable on E,
then E limn fn = limn E fn
Product Measures
Definition 1.23 Let (X, C, ), (Y, D, ) be measure spaces. A measure rectangle is a set of the form C D where C C, D D. Denote by R the
collection of measurable rectangles.
Proposition 1.9.1 R is a semi-algebra
Proposition
U 1.9.2 The algebra generated by R is
A(R) := { ni=1 Ci Di | Ci C, Di D, n N}
Un
Definition
1.24

:
A(R)

[0,
]
is
defined
as
(
i=1 Ci Di ) :=
Pn
i=1 (Ci )(Di ) (here 0. = 0)
Proposition 1.9.3 This is
1. properly defined:
Pn0
0
0
i=1 (Ci )(Di )

Un

i=1 Ci

Di =

Un0

i=1 Ci

Di

Pn

i=1 (Ci )(Di )

2. additive on A(R)
3. is finite (if are finite)
Definition 1.25 The product algebra C D is the minimal algebra
which contains {C D : C C, D D}
Theorem 1.10 Let (X, C, ), (Y, D, ) be two finite measure spaces. There
exists a unique measure called the product measure on (X Y, C D)
such that ( )(C D) = (C)(D) for all C C, D D. This measure
is finite.
12

Definition 1.26 The completion of (, F, ) is denoted (, F0 , 0 ) where

1. F0 = {E0 | E F such that (E4E0 ) = 0}
2. 0 := |F0
Note

(R, B0 , m) is the completion of (R, B(R), m)

Definition 1.27 (Lebesgue Measure on Rn ) This is the measure space

. . m})0 )i.e the completion of the product space
(Rn , (B0 . . . B0 )0 , (m
| .{z
|
{z
}
n
n
Qn
i=1 (R, B0 , m)
Definition 1.28 Let E X Y and x X, y Y
1. the x-section of E is Ex := {y Y |(x, y) E}
2. the y-section of E is E y := {x X|(x, y) E}
Remark .
x-sections are subsets of Y , y-sections are subsets of X,
(A B)x = Ax Bx , (A B)x = Ax Bx , (Ac )x = (Ax )c ,
(A\B)x = Ax \Bx , ( A )x = (A )x etc..
Proposition 1.10.1 If E C D, then for all x X (Ex D), for all
y Y (E y C)
Proposition 1.10.2 Suppose (X, C, ), (Y, D, ) are finite. If E CD,
then
R
1. x 7 (Ex ) is C-measurable and X (Ex )d(x) = ( )(E)
R
2. y 7 (E y ) is D-measurable and Y (E y )d(y) = ( )(E)
Theorem 1.11 Let (X, C, ), (Y, D, ) be finite measure spaces, if E
C D, then
1. x 7 (Ex ), y 7 (E y ) are measurable.
R
R
2. X (Ex )d(x) = ( )(E) = Y (E y )d(y)
Theorem 1.12 (Fubinis Theorem) Supose (X, C, ), (Y,
R D, ) are finite and that f : X Y [, ] is CD measurable and |f |d <
1. x, y 7 f (x, y) is D measurable, and y, x 7 f (x, y) is C measurable
2. For almost every x, y 7 f (x, y) is absolutely integrable
For almost every y, x 7 f (x, y) is absolutely integrable
13

R
3. x 7 R Y f (x, y)d(y) is C measurable and -absolutely integrable.
y 7 X f (x, y)d(x) is D measurable and -absolutely integrable.


R R
R
R R
4. X
f
(x,
y)d(y)
d(x)
=
f
d
=
f
(x,
y)d(x)
d(y)
Y
XY
Y
X
Theorem 1.13 (Tornellis Theorem) Suppose (X, C, ), (Y,
D, ) are

R R
finite and that f : XY [, ] is CD measurable. If X
Y |f |d d <
R
then XY f d <
Corollary 1.13.1 (The Fubini-Tonellis Theorem) If one of the following integrals exists:


R
R
R R
R
f
(x,
y)d
d,
f
(x,
y)d
d and
X
Y
Y
X
XY f d ,
then they all exists and are equal.

14

Lp spaces
Definition 1.29 A function : [a, b] R is called convex if x, y [a, b],
t [0, 1)
(tx + (1 t)y) t(x) + (1 t)(y)
Proposition 1.13.1 is convex in [a, b] if and only if a x < y z <
wb
(z) (w)
(x) (y)

xy
zw
Corollary 1.13.2 If : [a, b] R has continuous 2nd derivative in [a, b],
00
then is convex in [a, b] if and only if 0
Examples
1. t 7 et is convex in R
2. t 7 t is convex in [0, ] if 1 but not convex there, if < 1
Proposition 1.13.2 If : [a, b] is convex, then x0 [a, b] mx0 such
that x,
(x) (x0 ) + mx0 (x x0 )
Theorem 1.14 (Jensens inequality) If (x, F, ) is a measure space and
E F is a set of finite measure, and f : E R is absolutely integrable,
then for every convex function : R R
Z
 1 Z

1

f d
f d
(E) E
(E) E
Theorem 1.15 (H
olders Inequality) Let (X, F, ) be a measure space,
and suppose p,q 1, p1 + 1q = 1. For every F measurable functions f ,
g : X [, ],
Z
1  Z
1
Z
p
q
p
q
|f g|d
|f | d .
|g| d
X

.
(here 0. = 0)
Theorem 1.16 (Cauchy-Schwartz Inequality) If (X, F, ) is a measure
space, then for all f, g : X [, ] measurable,
1
Z
1  Z
Z
2
2
2
2
|f g|d
|f | d .
|g| d
X

Theorem 1.17 (Minkowskis Inequality) Let (X, F, ) be a measure space

and suppose p 1, then for all f, g : X [, ] measurable,
Z
1  Z
1  Z
1
p
p
p
p
p
p
|f + g| d

|f | d
+
|g| d
X

15

Lp and Lp - spaces Minkowskis Inequality looks like a 4 inequality for a

R
1
norm ||f ||p = ( |f |p ) p . This suggests the following definitions:
Definition 1.30 Fix (X, F, ) and 1 p
R
1
1. ||f ||p := ( |f |p ) p , if 1 p
||f || := inf {supX |f 0 |: f = f 0 a.e}
2. Lp (X, F, ) := {f : X [, ] : f is F measurable and ||f ||p < }
n 1 xQ
Example: D(x) :=
has Lp norm ||D|| = 0
0 x
6 Q
( because D=0 a.e)
Proposition 1.17.1 Lp (X, F, ) is a vector space (over R) and ||  ||p is a
semi-norm on Lp (X, F, ) i.e
1. f Lp ( ||f ||p 0)
2. f Lp and R (||f ||p = ||.||f ||p )
3. f ,g Lp (||f + g||p ||f ||p + ||g||p )
But this is not exactly a norm since there are f Lp s.t. ||f ||p = 0 even
though f 6 0 (e.g D(x) = 1Q (x))
Proposition 1.17.2 ||f g||p = 0 if and only if f = g a.e
Remark We can define an equivalence relation on Lp (X, F, ) by
f g f = g a.e.
This would help us to define [f ] := {g Lp : f g}
Definition 1.31 The Lp space of (X, F, ) is
Lp (X, F, ) := {[f ] : f Lp (X, F, )} with operations: [f ] + [g] = [f + g],
.[f ] = [f ] and a norm || [f ] ||p = ||f ||p .
Proposition 1.17.3 This is a proper definition which makes Lp a normed
vector space
Remarks
Its traditional to drop [  ] and refer Lp elements as functions
Lp functions are NOT functions ( they are equivalent classes of functions)
Lp functions CANNOT be evaluated at a point ( because the result
depends on the choice of representative)
Lp functions CAN be integrated against other functions.
16

Lp convergence
p
Definition 1.32 Let{fn }
n=1 be a sequence of L functions. We say that fn
p
p
converges in L to f and write fn f L , if ||fn f ||p 0 as n .

Definition 1.33 Let (V, ||  ||) be a normed vector space.

1. A Cauchy Sequence is {n } V s.t. ||n m || 0 as n, m .
2. (V, ||||) is called complete if every Cauchy sequence converges in norm.
Theorem 1.18 (Riesz-Fischer) If (X, F, ) is finite, then Lp (X, F, )
is complete with respect to ||  ||p (1 p ).
Corollary 1.18.1 If fn f Lp as n , then Nk s.t. fNk f
as k
P
PN

p
Corollary 1.18.2
||f
||
<

{
n
p
n=1 fn }N =1 converges in L
k=1
P
(the limit is denoted by k=1 fn )
The case p=2 Suppose (X, F, )R is finite. We can define an innner
product on L2 (X, F, ) via (f, g) := X f.gd.
This is well defined:
R
R
1. f = f 0 a.e, g = g 0 a.e then f.g = f 0 .g 0 a.e f.g = f 0 .g 0
1

1 
2
2
R
R
R
2
2
. X |g| d
2. f.g is absolutely integrable because X |f g|d
X |f | d
Definition 1.34 A complete inner product space is called a Hilbert space.
Definition 1.35 A bounded linear functional on L2 is a linear function
: L2 R s.t. A > 0 with |(f )| A||f ||2 (f L2 ).
Theorem 1.19 If (X, F, ) is finite,
then every bounded linear functional
R
on L2 (X, F, ) is of the form f 7 X f.gd where g L2
Absolute Continuity Let (X, F, ) be a finite measure space and suppose f :R X R is non-negative and measurable. Define : F R by
(E) = E f d.
is actually a measure and is finite.
Definition 1.36 Let and be two finite measure on (X, F), we say that
is absolutely continuous w.r.t if (E) = 0 (E). In this case we write

Theorem 1.20 (Radon-Nikodym) Let , be two finite measures on
(X, F). If  , then there exists a non-negative measurable
R
Rfunction
f : X R s.t. g absolutely integrable, we have X gd = X gf d.
Moreover, f is unique upto negligible sets.
17

Terminology In this case we write d = f d, f =

the Radon-Nikodym derivative of w.r.t .

d
d ,

and we call f =

d
d

Signed Measure
Definition 1.37 Let (X, F) be a measurable space . A signed measure is a
set function : F [, ] s.t.
1. attains at most one of the values +,
2. () = 0
P
3. additivity: If E = ]
i=1 Ei where Ei F, then (E) =
i=1 (Ei )
where
P
if (E) = +, then the convergence of
i=1 (Ei ) to (E) is
meant
P
if |(E)| < , then absolute convergence of
i=1 (Ei ) to (E)
is meant
Definition 1.38 Let (X, F) be a signed measure space.
1. E F is called a null set if E 0 E measurable, (E 0 ) = 0
2. E F is called positive, if E 0 E measurable, (E 0 ) 0
3. E F is called negative, if E 0 E measurable, (E 0 ) 0
Extension Lemma Let (X, F, ) be a signed measure space. Every E F
with 0 < (E) < contains a subset which is a positive set of strictly
positive measure.
Theorem 1.21 (Hahns Decomposition) Let (X, F) be a signed measure space. There exists X + , X F s.t X = X + ] X and X + is positive, X is negative. If X1+ ] X1 is another such decomposition, then
X + 4X1+ , X 4X1 are null sets
Definition 1.39 Let and be two measures on (X, F). We say that ,
are mutually singular and write , if X = X ] X where (X ) =
(X ) = 0
Theorem 1.22 (Jordans Decomposition) Let (X, F) be a signed measure space. There exists a unique decomposition = + where + ,
are (proper) measures, and + .
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