proof of Fatou’s lemma∗

paolini†
2013-03-21 15:45:07

Let f (x) = lim inf n→∞ fn (x) and let gn (x) = inf k≥n fk (x) so that we have

f (x) = sup gn (x).

n

As gn is an increasing sequence of measurable nonnegative functions we can

apply the monotone convergence Theorem to obtain
Z Z
f dµ = lim gn dµ.
X n→∞ X

On the other hand, being gn ≤ fn , we conclude by observing

Z Z Z
lim gn dµ = lim inf gn dµ ≤ lim inf fn dµ.
n→∞ X n→∞ X n→∞ X

∗ hProofOfFatousLemmai created: h2013-03-21i by: hpaolinii version: h34076i Privacy

setting: h1i hProofi h28A20i

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