Lecture 4: Dominated Convergence

theorem

This is arguably the most important theorem

on Lebesgue integrals. We recall that a posi-
tive measurable function is called integrable or
R
summable if Ω f dµ < ∞.

Theorem 1 Let {fj } be a sequence of inte-

grable functions on (Ω, Σ, µ) and suppose that

lim f (x) = f (x) almost everywhere − µ.

n→∞ n
Further suppose that

∃ integrable G ≥ 0 : |fn(x)| ≤ G(x) ∀n.

Then |f (x)| ≤ G(x) and
Z Z
lim f (x)dµ(x) = f (x)dµ(x).
n→∞ Ω n Ω

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 Discussion

The condition which gives the theorem its name

is the existence of an integrable G such that
|fn(x)| ≤ G. Without this condition, the limit
formula can be false: e.g. on R with dµ = L,
Lesbesgue measure, we could let:

• (i) fn = nχ[0,1/n](x).

• (ii) fn(x) = χ[n,n+1](x);

1χ
• (iii) n [0,n] (x).

In each case, fn(x) → 0 almost everywhere,

R R
but R fndx = 1 for all n while R 0dx = 0.
2
Recap: Monotone convergence the-
orem

Suppose that fj (x) is an increasing sequence

of positive measurable functions, i.e. for al-
most every x ∈ Ω, fj+1(x) ≥ fj (x). Since a
countable union of sets of measure zero has
measure zero, it follows that for almost every
x, the sequence of numbers {fj (x)} is increas-
ing. It therefore has a limit, which we define
as f (x) = limj→∞ fj (x).

Theorem 2 f is measurable and

Z
lim fj (x)dµ(x) = lim fj (x)dµ(x).
j→∞ Ω j→∞

Thus we can ‘take the limit under the inte-

grable sign’ for a monotone sequence of func-
tions.
3
Proof

We may assume all fj ≥ 0, since we can always

replace them by fj − f1.

We now compute the distribution functions:

Ffj (t) = µ{x : fj (x) > t}.

By definition

{x : f (x) > t} = ∪∞
j=1 {x : fj (x) > t}.
This is a countable, increasing family of sets,
so by the simple theorem that the measure of
a countable increasing union is the limit of the
measures, we find that

lim Ffj (t) = Ff (t), ∀t ∈ R.

j→∞

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Proof

To complete the proof, we need to show that

Z Z
lim Ffj (t)dt = Ff (t)dt.
j→∞ R R
Here, each Ffj (t) is monotone increasing in t
and the family as j varies is monotone increas-
ing as well. Therefore the upper and lower
Riemann sums must converge to those of Ff .

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 Fatou’s Lemma

A key ingredient in the proof of DCT and im-

portant in its own right is:

Theorem 3 (Fatou’s Lemma) Let {fn} be a

sequence of non-negative integrable functions
on (Ω, Σ, µ). Let

f (x) := lim inf fn(x).

n→∞
Then f (x) is measurable and
Z Z
lim inf fn(x)dµ(x) ≥ f (x)dµ(x).
n→∞ Ω Ω

We recall that lim inf n→∞ an = supk≥1 inf n≥k an.

The assumption fn(x) ≥ 0 is crucial.

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 Proof of Fatou’s Lemma

Define: Fk (x) = inf j≥k fj (x). Then Fk (x) ≤

fk (x) and Fk (x) is measurable, so Fk (x) is in-
tegrable.

The sequence {Fk (x)} is increasing and its limit

equals lim inf n→∞ fn(x). By definition,
Z Z
lim inf fn(x)dµ(x) := sup inf fj (x)dµ(x).
n→∞ Ω k≥1 j≥k Ω

Since fj (x) ≥ Fk (x) for j ≥ k,

Z Z
inf fj (x)dµ(x) ≥ lim Fk (x)dµ(x).
j≥k Ω k→∞ Ω
R
By Monotone convergence, the RHS = Ω f (x)dµ(x),
QED.

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 Proof DCT from Fatou

It is sufficient to prove this when all functions

are non-negative.

By Fatou’s lemma,
Z Z
lim inf fn(x)dµ(x) ≥ f (x)dµ.
n→∞ Ω Ω

It also follows from Fatou and the fact that

(G − fn) ≥ 0 for all n and x that

Z Z
lim inf (G(x)−fn(x))dµ(x) ≥ (G(x)−f (x))dµ.
n→∞ Ω Ω

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 Proof DCT from Fatou (conclu-
sion)

If we subtract G and use that lim inf n(−cn) =

− lim supn cn we get

R R
lim inf n→∞ Ω fn(x)dµ ≥ Ω f (x)dµ
R
≥ lim supn→∞ Ω fn(x)dµ.

Q.E. D.

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Corollaries of DCT

We write f ∈ RL2(Ω, dµ) to mean that f is in-

tegrable, i.e. Ω |f |dµ < ∞. Although we have
not yet defined Lebesgue measure dx, we will
prove:

CorollaryR 4 Suppose that f ∈ L1(R, dx). Let

F (x) = −∞x f (t)dt. Then F is continuous on
R.

Proof: We need limh→0 F (x + h) = F (x). But

R x+h
limh→0 F (x + h) = limh→0 −∞ f (t)dt
R∞
= limh→0 −∞ χ[−∞,x+h](t)f (t)dt
R∞
= −∞ χ[−∞,x] (t)f (t)dt
by DCT. Here, χ[a,b] is the characteristic func-
tion of the interval and we use that
χ[−∞,x+h](t)f (t)| ≤ |f (t)|.

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Corollaries of DCT

Corollary 5 Suppose that {fn} is a sequence of

functions in L1(Ω, dµ) and assume that
∞ Z
X
|fn|dµ < ∞.
n=1 Ω
P∞
Then n=1 fn (x) converges almost everwhere
and
Z ∞
X ∞ Z
X
fn(x)dµ = fn(x)dµ.
Ω n=1 n=1 Ω

Proof: If all fn are positive, this follows by

Monotone convergence. In particular,
∞
X
|fn(x)| ∈ L1(Ω, dµ).
n=1
P
Hence, ∞ n=1 |fn (x)| is finite a.e. and the sum
converges a.e.
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For the general (signed or complex) case, apply
DCT to the sequence of partial sums.
 R
Differentiation under the sign

Corollary 6 Let f (t, x) : [a, b] × Ω → C be mea-

surable and suppose that for each t ∈ [a, b], the
function f (t, ·) ∈ L1(Ω, dµ). Put:
Z
F (t, x) = f (t, x)dµ(x).
X

• (i) Suppose ∃g ∈ L1(Ω, dµ) s.th. |f (t, x)| ≤

g(x) for all x, t. Then if f (·, x) is continuous
for each x, then F (·, x) is continuous for
each x.

• (ii) If ∂f
∂t (t, x) exists and ∃g ∈ L 1(Ω, dµ) such

that | ∂f
∂t (t, x)| ≤ g(x) for all x, t, then F (t, x)
is differentiable in t for each x and
Z
0 ∂f
F (t) = (t, x)dµ(x).
Ω ∂t

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 R
Differentiation under the sign

We note that
∂f f (tn, x) − f (t0, x)
(t0, x) = lim .
∂t n→∞ tn − t0
Here, {tn} is any sequence tending to t0. By
the mean value theorem,
f (tn, x) − f (t0, x) ∂f
| | ≤ sup | (t, x)| ≤ g(x).
tn − t0 t∈[a,b] ∂t
By DCT,
Z
F (tn) − F (t0) ∂f
F 0(t0) = lim = (t, x)dµ(x).
n→∞ tn − t0 Ω ∂t

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Examples

• fn(x) = ae−nax − be−nbx with 0 < a < b.

P R∞
Then ∞ 1 0 |fn (x)dx = ∞ and one cannot
interchange summation and integration.

R x )−n sin(x/n)dx.
• Compute lim→∞ 0∞(1 + n

R1
• Compute lim→∞ 0 (1 + nx2)(1 + x2)−ndx.

R∞
• Compute lim→∞ a n(1 + n2x2)−1dx.

Rk n
• limk→∞ 0 x (1 − x/k)k dx = n!.

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