Functions and Integrals

January 2019

1 Measurable functions
Proposition 1.1. Let(X, A ) be a measurable space and let A be a subset of X that
belongs to A .Let f : A → [−∞, ∞],the following conditions are equivalent:

(a) For each real number t, the set {x ∈ A : f (x) ≤ t} belongs to A .

(b) For each real number t, the set {x ∈ A : f (x) < t} belongs to A .

(c) For each real number t, the set {x ∈ A : f (x) ≥ t} belongs to A .

(d) For each real number t, the set {x ∈ A : f (x) > t} belongs to A .

Proof. (a)⇒ (b):

{x ∈ A : f (x) < t} = ∪n {x ∈ A : f (x) ≤ t − n1 }
Since for each real number t, the set {x ∈ A : f (x) ≤ t} belongs to A
[i.e. the set {x ∈ A : f (x) ≤ any real number} belongs to A ]
,therefore for all value of t − n1 ,{x ∈ A : f (x) ≤ t − n1 } belongs to A
Therefore, ∪n {x ∈ A : f (x) ≤ t − n1 } ∈ A
i.e.{x ∈ A : f (x) < t} ∈ A
(b)⇒ (c):
If for each real number t, the set {x ∈ A : f (x) < t} belongs to A ,
therefore, for each real number t, the set {x ∈ A : f (x) < t}0 belongs to A [as A is a σ−
algebra].Also,A ∈ A ,so,A ∩ {x ∈ A : f (x) < t}0 ∈ A i.e. {x ∈ A : f (x) ≥ t} is measurable.
(c)⇒ (d):
Again, {x ∈ A : f (x) > t} = ∪n {x ∈ A : f (x) ≥ t + n1 } ∈ A [∵ {x ∈ A : f (x) ≥ t} ∈ A ]
(d)⇒ (a):
{x ∈ A : f (x) ≥ t} ∈ A , ∴ A − {x ∈ A : f (x) ≥ t} ∈ A i.e. {x ∈ A : f (x) < t} ∈ A
Hence all the conditions are equivalent.

1.1
Chapter 2 Functions and integrals

Definition 1.1. Let (X, A ) be a measurable space and let A ∈ A .A function f : A → [−∞, ∞]
is measurable with respect to A if it satisfies any of the conditions from the above proposition.

Note:

1. A function that is measurable with respect to A is called A −measurable.If the

σ−algebra is clear from the context,then we shall simply say ”measurable”.

2. A function which is measurable with respect to B(Rd ) is called Borel measurable

function or simply Borel function.

3. A function which is measurable with respect to Mλ∗ is called Lebesgue measur-

able function.

4. Of course every Borel measurable function on Rd is Lebesgue measurable, be-

cause if f is a Borel function,then {x ∈ Rd : f (x) < t} ∈ B(Rd ) ⊆ Mλ∗ .

Problem: Prove that every continuous real valued function on Rd is Borel

measurable and hence Lebesgue measurable.
Soln:
Let f : Rd → R be continuous.We consider an arbitrary real number t and consider
the set {x ∈ Rd : f (x) < t}.Then {x ∈ Rd : f (x) < t} = f −1 (−∞, t),(−∞, t) being
an open interval is an open set and f is continuous.As we know that for a continuous
map,inverse image of every open set is open,so,f −1 (−∞, t),(−∞, t) is open i.e.a Borel
set.Thus {x ∈ Rd : f (x) < t} ∈ B(Rd ) for every t. Hence f is Borel function.Also f
is Lebesgue measurable function as every Borel function is also Lebesgue measurable
function.

1.2
Chapter 2 Functions and integrals

Problem:
Let (X, A ) be a measurable space, and let B be a subset of X,then χB ,the character-
istic function of B, is A −measurable iff B ∈ A
Soln:
χB : X → R such that
χB (x) = 1, if x ∈ B

= 0, if x ∈
/B

We consider the set {x ∈ X : χB (x) < t}, where t is an arbitrary real number.
If t < 0,then {x ∈ X : χB (x) < t} = φ, an A − measurable set.
If 0 < t < 1,then {x ∈ X : χB (x) < t} = X − B,which is an A − measurable set if B
is A − measurable set.
If t > 1,then {x ∈ X : χB (x) < t} = X,which is an A − measurable set. Thus
if B is A − measurable set, then in any case χB ,the characteristic function of B, is
A −measurable
Conversely if χB is A − measurable, then for each t,{x ∈ X : χB (x) < t}
is A −measurable.In particular taking t = 0.5(say){x ∈ X : χB (x) < 0.5} =
X − B which is A −measurable. Thus X − B is A −measurable also, X is
A −measurable.Therefore B = X − (X − B) is A −measurable.

Problem:
A function is called simple if it has only finitely many values.
Let (X, A ) be a measurable space, let f : X → [−∞, ∞] be simple, and let
α1 , α2 , ..., αn be the values of f, then f is measurable iff {x ∈ X : f (x) = αi } ∈ A
holds for i = 1, 2, ..., n

Proposition 1.2. Let (X, A ) be a measurable space,let A be a subset of X that belong

to A , and let f,g be [−∞, ∞]- valued measurable function on A,then the sets

{x ∈ A : f (x) < g(x)},

{x ∈ A : f (x) ≤ g(x)},

{x ∈ A : f (x) = g(x)},

belong to A .

Proof.
[
{x ∈ A : f (x) < g(x)} = [{x ∈ A : f (x) < r} ∩ {x ∈ A : r < g(x)}]
r∈Q

Since f(x),g(x) are measurable , for each value of r,

1.3
Chapter 2 Functions and integrals

{x ∈ A : f (x) < r}, {x ∈ A : r < g(x)} are measurable.

∴ {x ∈ A : f (x) < r} ∩ {x ∈ A : r < g(x)}
[
∴ {x ∈ A : f (x) < g(x)} = [{x ∈ A : f (x) < r} ∩ {x ∈ A : r < g(x)}]
r∈Q

is measurable.[Since A is a σ− algebra]
Similarly, {x ∈ A : g(x) < f (x)} ∈ A Again,

A, {x ∈ A : g(x) < f (x)} ∈ A

∴ A − {x ∈ A : g(x) < f (x)} ∈ A

i.e.
{x ∈ A : f (x) ≤ g(x)} ∈ A

Again

{x ∈ A : f (x) = g(x)} = {x ∈ A : f (x) ≤ g(x)} − {x ∈ A : f (x) < g(x)} ∈ A

Definition 1.2. Let f and g be two [−∞, ∞] valued functions having common domain
A.The maximumand minimum of f and g, written f ∨ g and f ∧ g are the functions
from A to [−∞, ∞] defined by

(f ∨ g)(x) = max{f (x), g(x)}

and
(f ∧ g)(x) = min{f (x), g(x)}

Proposition 1.3. Let (X, A ) be a measurable space.Let A be a subset that belongs to

A .Let f and g be two [−∞, ∞] valued measurable functions on A.Then f ∨ g,f ∧ g are
measurable.

Proof. Let us consider the set {x ∈ A : (f ∨ g)(x) ≤ t}, for each t.

i.e.
{x ∈ A : max{f (x), g(x)} ≤ t}

i.e.
{x ∈ A : f (x) ≤ t} ∩ {x ∈ A : g(x) ≤ t} ∈ A

1.4
Chapter 2 Functions and integrals

[Since f,g are measurable, so, {x ∈ A : f (x) ≤ t} ∈ A and {x ∈ A : g(x) ≤ t} ∈ A ]

Hence f ∨ g is measurable.
Similarly, let us consider the set {x ∈ A : (f ∧ g)(x) ≤ t}, for each t.
i.e.
{x ∈ A : min{f (x), g(x)} ≤ t}

i.e.
{x ∈ A : f (x) ≤ t} ∪ {x ∈ A : g(x) ≤ t} ∈ A

[Since f,g are measurable, so, {x ∈ A : f (x) ≤ t} ∈ A and {x ∈ A : g(x) ≤ t} ∈ A ]

Hence f ∧ g is measurable.

Proposition 1.4. Let (X, A ) be a measurable space.Let A be a subset of X that belongs

to A and let {fn } be a sequence of [−∞, ∞] valued measurable functions on A.Then

(a) the functions supn fn and inf n fn are measurable.

(b) the functions lim supn fn and lim inf n fn are measurable.

(c) the functions limn fn (whose domain is {x ∈ A : lim supn fn = lim inf n fn ) is measur-
able.

Proposition 1.5. Let (X, A ) be a measurable space.Let A be a subset of X that belongs

to A .Let f and g be two [0, ∞] valued measurable functions on A and let α be a non
negative real number.Then αf and f + g is measurable.

Proof. If α = 0, then the set

{x ∈ A : (αf )(x) < t} = {x ∈ A : (0)(x) < t}

= φ, if t ≤ 0

= A, if t > 0

which is measurable in both the cases. For α > 0,

t
{x ∈ A : (αf )(x) < t} = {x ∈ A : f (x) < }
α

1.5
Chapter 2 Functions and integrals

which belongs to A
Let us consider the set {x ∈ A : (f + g)(x) < t}. If f (x) < r, where r is a rational number, then
g(x) < t − r.Thus, {x ∈ A : (f + g)(x) < t}
[
= [{x ∈ A : f (x) < r} ∩ {x ∈ A : g(x) < t − r}]
r∈Q

and so {x ∈ A : (f + g)(x) < t} is the union of countable collection of sets that belong to A ,itself
belongs to A

Proposition 1.6. Let (X, A ) be a measurable space.Let A be a subset of X that belongs

to A ,let f and g be measurable real valued functions on A, and let α be a real
number.Then αf, f + g, f − g, f g, fg (Domain of f /g is {x ∈ A : g(x) 6= 0}) are measurable

Proof. If α = 0, then the set

{x ∈ A : (αf )(x) < t} = {x ∈ A : (0)(x) < t}

= φ, if t ≤ 0

= A, if t > 0

which is measurable in both the cases. For α > 0,

t
{x ∈ A : (αf )(x) < t} = {x ∈ A : f (x) < }
α
which belongs to A
For α < 0,

t
{x ∈ A : (αf )(x) < t} = {x ∈ A : f (x) > }
α
which belongs to A
Let us consider the set {x ∈ A : (f + g)(x) < t}. If f (x) < r, where r is a rational number, then
g(x) < t − r.Thus, {x ∈ A : (f + g)(x) < t}
[
= [{x ∈ A : f (x) < r} ∩ {x ∈ A : g(x) < t − r}]
r∈Q

and so {x ∈ A : (f + g)(x) < t} is the union of countable collection of sets that belong to A ,itself
belongs to A
Since g is measurable, so −g is measurable.[αf ’s measurability.]
So, f + (−g) is measurable, i.e. f − g is measurable.
Let h : A → R be measurable.We shall show that h2 is measurable.

1.6
Chapter 2 Functions and integrals

Let us consider the set {x ∈ A : h2 (x) < t}, which is equal to φ if t ≤ 0 and so, measurable.
For t > 0
p p
{x ∈ A : h2 (x) < t} = {x ∈ A : − (t) < h(x) < (t)}
p \ p
= {x ∈ A : − (t) < h(x)} {x ∈ A : h(x) < (t)} (1.1)

Since, h is measurable, so,{x ∈ A : − (t) < h(x)}, {x ∈ A : h(x) < (t)} ∈ A

p p

hence by (1.1),{x ∈ A : h2 (x) < t} is measurable.

Thus for any real value of t,{x ∈ A : h2 (x) < t} is measurable.
Hence, we have obtained, if h is a measurable function, h2 is also measurable.
Thus f,g being measurable, implies f 2 , g 2 , (f + g)2 are measurable[f,g,measurable,implies f + g
is measurable]
∴ f g = 21 ((f + g)2 − f 2 − g 2 ) is measurable.
Next, we shall show that fg is measurable.[Domain of fg is {x ∈ A : g(x) 6= 0}]
Let
A0 = {x ∈ A : g(x) 6= 0}

= {x ∈ A : g(x) > 0} ∪ {x ∈ A : g(x) < 0}

Since g is measurable, so,{x ∈ A : g(x) > 0}, {x ∈ A : g(x) < 0} ∈ A , therefore A0 , being the
union of these two measurable sets is measurable,i.e. A0 ∈ A
Now,
f
{x ∈ A0 : (x) < t}
g
f (x)
= {x ∈ A0 : < t}
g(x)
[
= {x ∈ A : f (x) < t g(x) if g(x) > 0} {x ∈ A : f (x) > t g(x) if g(x) < 0}
[
= ({x ∈ A : f (x) < t g(x)} ∩ {x ∈ A : g(x) > 0}) ({x ∈ A : f (x) > t g(x)} ∩ {x ∈ A : g(x) < 0})
(1.2)
We know that {x ∈ A : g(x) > 0}, {x ∈ A : g(x) < 0} ∈ A
Since g is measurable, so, tg is measurable,so,{x ∈ A : f (x) < t g(x)}, {x ∈ A : f (x) > t g(x)} ∈
A . [Using the theorem {x ∈ A : f (x) < g(x)} is measurable,when f,g are measurable]
∴(1.2) is measurable, i.e.{x ∈ A0 : fg (x) < t} ∈ A , for every value of t, so, fg is measurable.

Proposition 1.7. Let (X, A ) be a measurable space, let A be a subset of X that belongs to A , and
let f be a [0, ∞]-valued measurable function on A.Then there is a sequence {fn } of [0, ∞)-valued
simple measurable functions on A that satisfy

f1 (x) ≤ f2 (x) ≤ ... (1.3)

1.7
Chapter 2 Functions and integrals

and
f (x) = lim fn (x) (1.4)
n

at each x in A.

Proof. For each positive integer n and for k = 1, 2, ..., n2n let

k−1 k
An,k = {x ∈ A : n
≤ f (x) < n }
2 2

The measurability of f implies that each An,k ∈ A. We define a sequence {fn } of functions from A
to R as
k−1
fn (x) = for each point x in An,k
2n
= n for each point x in A − ∪k An,k

We prove(3)
Let us consider fn , fn+1
k−1 k
An,k = {x ∈ A : ≤ f (x) < }
2n 2n
k−1 k−1 1 k−1 1 k−1 1 1
= {x ∈ A : n
≤ f (x) < n
+ n+1 } ∪ {x ∈ A : n
+ n+1 ≤ f (x) < n
+ n+1 + n+1 }
2 2 2 2 2 2 2 2
2(k − 1) 2k − 1 2k − 1 k−1 1
= {x ∈ A : ≤ f (x) < } ∪ {x ∈ A : ≤ f (x) < + }
2n+1 2n+1 2n+1 2n 2n
= An+1,2k−1 ∪ An+1,2k

Let x ∈ A
then x ∈ An,k for exactly one value of k,k = 1, 2, 3, ..., n2n , then x ∈ An+1,2k−2 or x ∈ An+1,2k−1
∴ fn (x) = k−1
2n
2(k − 1)
∴ fn+1 (x) =
2n+1
, or,
2k − 1
2n+1
∴ fn+1 (x) ≥ fn (x)
If x ∈ A − ∪k An,k , then fn (x) = n
Since x ∈ A − ∪k An,k , therefore,
f (x) ≥ n

, therefore,
n2n+1
f (x) ≥
2n+1
n2n+1
∴ fn+1 (x) ≥ =n
2n+1

1.8
Chapter 2 Functions and integrals

Thus, in any case

fn+1 (x) ≥ fn (x)

Now we shall prove that

lim fn (x) = f (x)
n

Let f (x) = ∞, now x ∈ A − ∪k An,k for any finite value of n. Therefore fn (x) = n, therefore,
limn fn (x) = ∞ . If f (x) < ∞, then for some value of m, we can have x ∈ Am,k . Hence for
n ≥ m, x ∈ An,k for some value of k.Therefore,
x ∈ An,k implies k−1
2n
≤ f (x) < 2kn .Also, fn (x) = k−1
2n
k−1 k k−1 1
Therefore, 0 ≤ f (x) − 2n < 2n − 2n = 2n
i.e.
1
0 ≤ f (x) − fn (x) < n
2
∴ lim fn (x) = f (x)
n

1.9
Chapter 2 Functions and integrals

Note: For n = 1,possible values of k are k = 1, 2,therefore the sets are A1,1 , A1,2 For
n = 2,possible values of k are k = 1, 2, 3, 4, 5, 6, 7, 8,therefore the sets are

A2,1 , A2,2 , A2,3 , A2,4 , A2,4 , A2,5 , A2,6 , A2,7 , A2,8

f(A11 )=[0,1/2),f(A12 )=[1/2,1)

f(A21 )=[0,1/4),f(A22 )=[1/4,1/2),f(A23 )=[1/2,3/4),f(A24 )=[3/4,1),f(A25 )=[1,5/4),
f(A26 )=[5/4,3/2),f(A27 )=[3/2,7/4),f(A28 )=[7/4,1)

1.10
Chapter 2 Functions and integrals

Note: Define f + (x) = max{f (x), 0} = f ∨ 0

f − (x) = − min{f (x), 0} = max{−f (x), 0} = (−f ) ∨ 0
Clearly, f = f + − f − and |f | = f + + f −
f is measurable implies |f | is measurable.
This is because, f is measurable implies f ∨ 0, (−f ) ∨ 0 are measurable. i.e. f + , f − are
measurable.Hence |f | = f + + f − is measurable.
So, if f is [−∞, ∞]valued measurable function,then f + , f − are [0, ∞] valued measurable
function,so, by the above theorem there exist sequence of simple functions{fn }, {gn } each
of them are monotonic decreasing, as shown in the theorem,such that limn fn = f + and
limn gn = f − , therefore we can construct {fn − gn } sequence of simple functions (may not
be monotonic increasing now), such that limn (fn − gn ) = f + − f − = f

Proposition 1.8. Let (X, A ) be a measurable space, and let A be a subset of X that belongs to
A . For a function f : A → R, the following conditions are equivalent.

(a) f is measurable with respect to A

(b) For each open subset U of R, the set f −1 (U ) ∈ A

(c) For each closed subset C of R, the set f −1 (C) ∈ A

(d) For each Borel subset B of R, the set f −1 (B) ∈ A

Proof. Let F = {B ⊆ R : f −1 B ∈ A }. Now f −1 (R) = A ∈ A , so, R ∈ F

f −1 (φ) = φ ∈ A , so, φ ∈ F
If B ∈ F , then f −1 B ∈ A
therefore f −1 B c = A − f −1 B ∈ A , therefore, f −1 B c ∈∈ A
therefore, B c ∈ F .
If {Bn } ∈ F , then f −1 (∪n Bn ) = ∪n f −1 (Bn ) ∈ A
therefore ∪n Bn ∈ F . Therefore F is a σ-algebra on R.
(a) → (d)
Let f be measurable w.r.t A

∴ {x ∈ A : f (x) ≤ t} ∈ A

for every real number t.

∴ (−∞, t] ∈ F .F being a σ−algebra, the σ-algebra generated by (−∞, t]i.e. B(R) ⊆ F . Therefore
(d).
(d) → (a)
∴ f −1 (B) ∈ A for every B ∈ B(R)
In particular f −1 (−∞, t] ∈ A ∀t ∈ R

1.11
Chapter 2 Functions and integrals

{x ∈ A : f (x) ≤ t} ∈ A ∀t ∈ R
therefore, f is A −measurable.
(d) → (b)
Let f −1 (B) ∈ A for every B ∈ B(R)
In particular,f −1 (U ) ∈ A for every U ∈ B(R),where U is open set.
(b) → (d)
Let f −1 (U ) ∈ A for every B ∈ B(R)
In particular f −1 (−∞, t) ∈ A as (−∞, t)is open and hence belongs to B(R),therefore f is A -
measurable
therefore (d)[as (a)implies (d)].
(d) → (c)
Let f −1 (B) ∈ A for every B ∈ B(R)
In particular,f −1 (C) ∈ A for every C ∈ B(R),where C is closed set.
(c) → (d)
Let f −1 (C) ∈ A for every C ∈ B(R),where C is closed set.
Therefore, C ∈ F , F being a σ−algebra, the σ-algebra generated by Ci.e. B(R) ⊆ F .
∴ (d)

2 The Integral
Let (X, A ) be a measurable space. Let J be the collection of all real valued simple A measurable
functions on X, and let J+ be the collection of non negative functions in J .If f ∈ J+ and is
given by f = m
P
i=1 ai χAi ,where a1 , a2 , ..., am are non negative real numbers and A1 , A2 , ..., Am are
disjoint subsets of X that belongs to A ,then
Z m
X
f dµ = ai µ(Ai ).
i=1

Let f be also given by nj=1 bj χBj , where B1 , B2 , ..., Bn are disjoint subsets of X that belong to
P

A . We can assume that ∪m n

i=1 Ai = ∪j=1 Bj (If necessary eliminate the sets Ai for which ai = 0
and the sets Bj for which bj = 0).Clearly ai = bj if Ai ∩ Bj 6= φ implies that m
P
i=1 ai µ(Ai ) =
Pm Pn Pn
ai µ(Ai ∩ Bj ) = j=1 bj µ(Bj )
Ri=1 j=1
∴ f dµ does not depend on the representation of f.

Proposition 2.1. Let (X, A , µ) be a measure space, let f and g belong to J+ and let α be a
non-negative real number.Then
R R
a) αf dµ = α f dµ
R R R
b) (f + g)dµ = f dµ + gdµ

2.1
Chapter 2 Functions and integrals

R R
c) if f (x) ≤ g(x) holds at each x ∈ X, then f dµ ≤ gdµ

Pm
Proof. Suppose that f = i=1 ai χAi , where a1 , a2 , ..., am are non negative real numbers and
A1 , A2 , ..., Am are disjoint subsets of X that belong to A and that g = nj=1 bj χBj ,where b1 , b2 , ..., bn
P

are non negative real numbers and B1 , B2 , ..., Bn are disjoint subsets of X that belong to A ,we can
assume that m
S Sn
i=1 Ai = j=1 Bj .Then
(αf )dµ = i=1 αai µ(Ai ) = α m
R Pm P R
i=1 a i µ(Ai ) = α f dµ
Z m X
X n
(f + g)dµ = (ai + bj )µ(Ai ∩ Bj )
i=1 j=1
Z m X
X n m X
X n
(f + g)dµ = ai µ(Ai ∩ Bj ) + bj µ(Ai ∩ Bj )
i=1 j=1 i=1 j=1

m X
X n m X
X n
= ai µ(Ai ) + bj µ(Bj )
i=1 j=1 i=1 j=1
Z Z
= f dµ + gdµ

We suppose that f (x) ≤ g(x) holds at each x ∈ X,then g − f ∈ J+ ,so,

Z Z Z Z Z
gdµ = {f + (g − f )}dµ = f dµ + (g − f )dµ ≥ f dµ

Proposition 2.2. Let (X, A , µ) be a measure space. let f belongs to J+ and let {fn } be a non
decreasing sequence of functions in J+ for which f (x) = limn fn (x) holds at each x in X. Then
Z Z
f dµ = lim fn dµ
n

Proof. since
f1 ≤ f2 ≤ f3 ≤ ... ≤ f

therefore Z Z Z Z
f1 dµ ≤ f2 dµ ≤ f3 dµ ≤ ... ≤ f dµ
R R R
Hence, limn fn dµ exists and satisfies limn fn dµ ≤ f dµ
R R
Now we shall prove that limn fn dµ ≥ f dµ.
Let  be a positive number such that 0 <  < 1.
suppose that a1 , a2 , ..., ak are the non zero values of f and that A1 , A2 , ..., Ak are the sets on which

2.2
Chapter 2 Functions and integrals

these values occur. Thus

k
X
f= ai χAi
i=1

For each n and i, let

A(n, i) = {x ∈ Ai : fn (x) ≥ (1 − )ai }

then each A(n, i) ∈ A and for each i the sequence {A(n, i)}∞ n=1 is non decreasing and satisfies
Ai = ∪n A(n, i).
we assume
Xk
gn = (1 − )ai χA(n,i)
i=1

Then gn ∈ J+ and gn ≤ fn

Z k
X
∴ gn dµ = (1 − )ai µ(A(n, i))
i=1

Z k
X
∴ lim gn dµ = lim (1 − )ai µ(A(n, i))
n n
i=1

k
X
= (1 − )ai lim µ(A(n, i))
n
i=1

k
!
X [
= (1 − )ai µ(A(n, i))
i=1 n

k
X
= (1 − )ai µ(Ai )
i=1
Z
= (1 − ) f dµ

Since gn ≤ fn Z Z
⇒ gn dµ ≤ fn dµ
Z Z
⇒ lim gn dµ ≤ lim fn dµ
n n
Z Z
⇒ (1 − )f dµ ≤ fn dµ
Z Z
⇒ f dµ ≤ lim fn dµ
n

[Since  is arbitrary]
Hence comparing the two inequalities we have the result.

2.3
Chapter 2 Functions and integrals

Definition 2.1. We define the integral of an arbitrary [0, ∞] valued A -measurable function f on
X. Z Z
f dµ = sup{ gdµ : g ∈ J+ , g ≤ f }

Proposition 2.3. Let (X, A , µ) be a measure space, let f be [0, ∞] valued A -measurable function
on X, and let {fn } be non decreasing sequence of functions in J+ for which limn fn (x) = f (x)
holds at each x in X.Then Z Z
f dµ = lim fn dµ
n

Proof. Since f1 ≤ f2 ≤ ... ≤ fn ≤ ..... which is convergent [as limn fn (x) = f (x)].Therefore the
monotonic increasing sequence must converge to its least upper bound i.e.
f1 ≤ f2 ≤ ... ≤ fn ≤ ..... ≤ f .therefore by the previous theorem
Z Z Z Z
f1 dµ ≤ f2 dµ ≤ ... ≤ fn dµ ≤ ..... ≤ f dµ

R
Hence limn fn dµ exists and satisfies
Z Z
lim fn dµ ≤ f dµ (2.1)
n

We turn to the reverse inequality.

Let g ∈ J+ and g ≤ f . Then g ∧ fn is a non decreasing sequence of functions in J+ for which
R R
g = limn (g ∧ fn ).Therefore, previous theorem suggests that gdµ = limn (g ∧ fn )dµ
Since g ∧ fn ≤ fn ,so Z Z
(g ∧ fn )dµ ≤ fn dµ

so Z Z
lim (g ∧ fn )dµ ≤ lim fn dµ
n n

i.e. Z Z
gdµ ≤ lim fn dµ
n
Z Z
∴ sup gdµ ≤ lim fn dµ
g≤f n
Z Z
∴ f dµ ≤ lim fn dµ (2.2)
n

Therefore, from (2.1) and (2.2) we have

Z Z
f dµ = lim fn dµ
n

2.4
Chapter 2 Functions and integrals

Proposition 2.4. Let (X, A , µ) be a measure space, let f and g be [0, ∞]-valued A -measurable
functions on X, and let α be a non-negative real number.Then
R R
(a) αf dµ = α f dµ
R R R
(b) (f + g)dµ = f dµ + gdµ
R R
(c) If f (x) ≤ g(x) holds at each x in X, then f dµ ≤ gdµ

Proof. We know that if f is a [0, ∞] valued measurable functions on X, then there is a sequence
{fn } of increasing [0, ∞) valued simple measurable functions such that f (x) = limn fn (x).Therefore
we can choose non decreasing sequence {fn } and {gn } of functions in J+ such that f (x) =
limn fn (x),g(x) = limn gn (x).Also,{αfn } and {fn + gn } are non decreasing sequences of functions
in J+ that satisfies αf (x) = limn αfn (x) and lim(fn + gn ) = limn fn + limn gn = f + g
Therefore, Z Z
αf dµ = lim αfn dµ
n
Z Z Z
= lim α fn dµ = α lim fn dµ = α f dµ
n n

and Z Z
(f + g)dµ = lim (fn + gn )dµ
n
Z Z Z Z
= lim fn dµ + lim gn dµ = f dµ + gdµ
n n

Let h ∈ J+ s.t. h ≤ f This implies h ≤ g[Since f ≤ g] Therefore,

Z Z
{ hdµ : h ∈ J+ andh ≤ f } ⊆ { h0 dµ : h ∈ J+ andh0 ≤ g}

Therefore Z Z
sup{ hdµ : h ∈ J+ andh ≤ f } ≤ sup{ h0 dµ : h ∈ J+ andh0 ≤ g}
Z Z
∴ f dµ ≤ gdµ

Definition 2.2. Let f be an arbitrary [−∞, ∞] valued A -measurable functions on X.If

R
f + dµ
and f − dµ are both finite, then f is called integrable and
R

Z Z Z
f dµ = +
f dµ − f − dµ

f − dµ is finite.
R R
The integral of f is said to exist if at least one of f + dµ and

2.5
Chapter 2 Functions and integrals

Let f : X → [−∞, ∞] is A -measurable and that A ∈ A . Then f is integrable over A if the

function f χA is integrable, the integral of over A is defined as the integral (if it exists) of the
function on X that agrees with f on A and vanishes on Ac
Lemma 2.1. Let (X, A , µ) be a measure space, and let f1 , f2 , g1 , g2 be non negative real valued
integrable functions on X such that f1 − f2 = g1 − g2 .Then
Z Z Z Z
f1 dµ − f2 dµ = g1 dµ − g2 dµ

Proposition 2.5. Let (X, A , µ) be a measure space.Let f and g be real valued integrable functions
on X, and let α be a real number .Then
(a) αf and f + g are integrable.
R R
(b) αf dµ = α f dµ
R R R
(c) (f + g)dµ = f dµ + gdµ
R R
(d) If f (x) ≤ g(x) holds at each x in X, then f dµ ≤ gdµ
R R
Proof. For α = 0 clearly αf is integrable and αf dµ = α f dµ.
If α > 0
(αf )+ = max{αf (x), 0} = α max{f (x), 0}

= αf +

(αf )− = − min{αf (x), 0} = −α min{f (x), 0} = α(− min{f (x), 0})

= αf −

Thus (αf )+ , (αf )− are integrable. Hence (αf ) is integrable and

Z Z Z Z Z Z
+ − + −
αf dµ = (αf ) dµ − (αf ) dµ = α f dµ − α f dµ = α f dµ

If α < 0

(αf )+ = max{αf (x), 0} = − min{−αf (x), 0} = −α(− min{f (x), 0}) = −αf −

(αf )− = − min{αf (x), 0} = max{−αf (x), 0}

= (−α) max{f (x), 0} = −αf +

Thus (αf )+ , (αf )− are integrable. Hence (αf ) is integrable and

R R
αf dµ = α f dµ
Next we consider the case of f + g

(f + g)+ = max{(f + g)(x), 0}) = max{f (x) + g(x), 0}

2.6
Chapter 2 Functions and integrals

≤ max{f (x), 0} + max{g(x), 0} = f + + g +

(f + g)− = − min{(f + g)(x), 0}) = − min{f (x) + g(x), 0}

≤ − min{f (x), 0} + (− min{g(x), 0}) = f − + g −

Z Z Z
∴ (f + g) dµ ≤ f dµ + g + dµ < ∞
+ +

and Z Z Z
− −
(f + g) dµ ≤ f dµ + g − dµ < ∞

Therefore f + g is integrable.
Now (f + g)dµ = {(f + − f − ) + (g + − g − )}dµ
R R

Z Z Z Z Z
−
(f + g)dµ = +
f dµ − f dµ + +
g dµ − g − dµ

Z Z
−
= +
(f − f )dµ + (g + − g − )dµ
Z Z
= f dµ + gdµ

If f (x) ≤ g(x) holds at each x in X. Then

g−f ≥0
Z
∴ (g − f )dµ ≥ 0
Z Z
∴ gdµ − f dµ ≥ 0

[As g −f has becomes non negative function,all the properties of non negative functions hold good]
Z Z
⇒ gdµ ≥ f dµ

Proposition 2.6. Let (X, A , µ) be a measure space.Let f be [−∞, ∞] valued A -measurable func-
tion on X.Then f is integrable iff |f | is integrable.If these functions are integrable ,then
Z Z
| f dµ| ≤ |f |dµ

Proof. f is integrable
⇒ f + , f − are integrable.Since |f | = f + + f − ,so,|f | is integrable.

2.7
Chapter 2 Functions and integrals

Conversely, |f | is integrable
⇒ f + , f − are integrable.Since f = f + − f − ,so,f is integrable.
Z Z Z Z
−
| f dµ| = | +
(f − f )dµ| = | +
f dµ − f − dµ|
Z Z Z Z Z
+ − + −
≤| f dµ| + | f dµ| ≤ |f |dµ + |f |dµ = |f |dµ

Proposition 2.7. Let (X, A , µ) be a measure space, and let f and g be [−∞, ∞] valued A -
R R
measurable function on X that agree almost everywhere.Prove that if either f dµ or gdµ ex-
R R
ists,then both exist and f dµ = gdµ

Proof. First we consider that f and g are non negative. Let

A = {x ∈ X : f (x) 6= g(x)}

Let h be defined by

h(x) = ∞ if x ∈ A

= 0 if x ∈
/A

We consider hn = nχA ,then {hn } is a non decreasing sequence of functions in J+ and limn→∞ hn = h
Therefore, Z Z
hdµ = lim hn dµ
n→∞

Now Z Z
hn dµ = nχA dµ = nµ(A) = 0

[µ(A) = 0] Z Z
∴ hdµ = lim hn dµ = 0
n

Since
f ≤g+h
Z Z Z
∴ f dµ ≤ gdµ + hdµ
Z Z
∴ f dµ ≤ gdµ

Again
g ≤f +h

2.8
Chapter 2 Functions and integrals

Z Z
∴ gdµ ≤ f dµ

Comparing the two inequalities we have

Z Z
f dµ = gdµ

If f and g are not non negative, then

f = f + −f − and g = g + −g − . Since f (x) = g(x) almost everywhere,so, f + = g + almost everywhere
and f + = g + almost everywhere
Therefore, f + dµ = g + dµ and f − dµ = g − dµ
R R R R

Z Z Z Z
−
∴ f dµ = +
(f − f )dµ = +
f dµ − f − dµ

Z Z Z Z
+ − + −
= g dµ − g dµ = (g − g )dµ = gdµ

Proposition 2.8. Let (X, A , µ) be a measure space and let f be [0, ∞] valued A -measurable
function on X. If t is a positive real number and if At is defined by

At = {x ∈ X : f (x) ≥ t}

,then Z Z
1 1
µ(At ) ≤ f dµ = f dµ
t At t
Let (X, A , µ) be a measure space and let f be [−∞, ∞] valued A -measurable function on X
R
that satisfies |f |dµ = 0.Then f vanishes almost everywhere.

Proof. From the previous theorem applied to the function |f | implies that
Z
1
µ({x ∈ X : |f (x)| ≥ }) ≤ n |f |dµ = 0
n

holds for each positive integer n.Since

[ 1
{x ∈ X : f (x) 6= 0} = {x ∈ X : |f (x)| ≥ }
n
n

X 1
∴ {x ∈ X : f (x) 6= 0} ≤ {x ∈ X : |f (x)| ≥ }=0
n
n

Hence f vanishes almost everywhere.

2.9
Chapter 2 Functions and integrals

Let (X, A , µ) be a measure space and let f be [−∞, ∞] valued integrable function on X.Then
|f (x)| < ∞ holds almost everywhere.

2.10