TMA4225 Foundations of Analysis 2011 Littlewood’s three principles 2

Littlewood’s three principles Littlewood’s third principle (Egorov’s theorem) is different from the other two, in
Harald Hanche-Olsen
http://www.math.ntnu.no/~hanche/
Littlewood’s three principles for the Lebesgue measure on R are, roughly speak-
ing:
1. Every measurable set of finite measure is nearly a finite union of intervals
2. Every measurable function is nearly continuous
3. Every convergent sequence of functions is nearly uniformly convergent
The second and third principles are also known as Lusin’s and Egorov’s theorems,
respectively. The first principle has no other name that I know of:
Theorem 1 (Littlewood’s first principle). Let E be a Lebesgue measurable subset of
R, and assume ε > 0 is given. Then there exists a finite union F of intervals such that
µ(E 4 F ) < ε.
Proof. We go back to the definition of Lebegue outer measure: There is a sequence
of intervals 〈I j 〉 j ∈N such that
that it holds in any measure space:
Theorem 2 (Egorov; Littlewood’s third principle). Assume that (X , Σ, µ) is a mea-
sure space with µX < ∞, and that 〈 f k 〉k∈N is a sequence of measurable, real-valued
functions with measurable domains converging pointwise a.e. in X to a real-valued
function f . Then, given any ε > 0, there is a measurable set E ⊆ X so that µ(X \E ) < ε
and f k → f uniformly on E .
Proof. To simplify the notation, consider h k = | f k − f |, so that h k ≥ 0 and h k → 0
a.e. on X . By assumption, for any natural number m
³\ [© ª´
µ x : x ∉ dom h k or h k (x) ≥ m −1 = 0,
n∈N k≥n
since pointwise convergence fails on this set. The union in the above expression
decreases with n, and by finiteness of the measure it follows that the measure of
the intersection is the limit of the measure of the union as n → ∞. Thus we can
pick n(m) so that
³ [ © ª´
µ x : x ∉ dom h k or h k (x) ≥ m −1 < 2−m ε.
k≥n(m)

Put
µI j < µE + ε.
[ X
E⊆ I j and
x : x ∉ dom h k or h k (x) ≥ m −1 .
[ [ © ª
j ∈N j ∈N F=
m≥1 k≥n(m)

In particular, the sum above converges, so we can fix some n with Then adding the above inequalities we get µF < ε. Also, h k → 0 uniformly on E :=
X \ F , for
µI j < ε.
X
x ∈ dom h k : h k (x) < m −1 ,
\ \ © ª
E=
j >n m≥1 k≥n(m)

Let [ so for every m and every k ≥ n(m) it is true that E ⊆ dom h k and h k < m −1 on
F= Ij. E.
j ≤n

Then ³[ ´ X
µ(F \ E ) ≤ µ Ij \E ≤ µI j − µE < ε
j ∈N j ∈N

and ³[ ´
µ(E \ F ) ≤ µ Ij \F ≤ µ µI j < ε,
[ X
Ij ≤
j ∈N j >n j >n

so that µ(E 4 F ) ≤ µ(E \ F ) + µ(F \ E ) < 2ε (and hence the overly pedantic person
would replace ε by ε/2 throughout the proof ).

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3 Littlewood’s three principles Littlewood’s three principles 4

Theorem 3 (Lusin; Littlewood’s second principle). Let f be a measurable, real- Application. The following classical result shows that the Fourier transform of an
valued function on an interval I ⊆ R. Then, for any ε > 0, there is a measurable set integrable function vanishes at infinity.
E ⊆ I so that µ(I \ E ) < ε and f  E is continuous.
Lemma 4 (Riemann–Lebesgue). If f : R → R is Lebesgue integrable then
Proof. First, assume that I is a bounded interval; say, I = (a, b), and that f is a Z ∞
bounded function. We know that if we put lim f (x)e i sx d x = 0.
s→±∞ −∞
Z x
F (x) = f Proof. First, we prove the result when f = χI where I is a bounded interval, say
a
I = (a, b). This is trivial indeed:
then F is continuous in I , and furthermore F 0 = f a.e. in I . Define
b e i sa − e i sb
Z
x+h e i sx d x = → 0 when s → ±∞.
1 1 ¡ is
Z
¢ a
g h (x) = f = F (x + h) − F (x − h) ,
2h x−h 2h
Just as trivially, the result extends to any finite union of bounded intervals.
then it follows that g h is continuous, and g h → f a.e. when h ↓ 0. By Lusin’s theo- Next, consider f = χE where E is Lebesgue measurable with finite measure. Let
rem, there is a set E ⊆ I with µ(I \E ) < ε so that g 1/n → f uniformly on E as n → ∞. ε > 0. There is a finite union J of bounded intervals so that µ(E 4 J ) < ε. By the first
But then f  E is continuous. part of the proof,
¯Z ¯
¯ e i sx d x ¯ < ε
¯ ¯
Second, let I remain bounded, but allow f to be unbounded. Since J

when |s| is large enough, in which case

\© ª
x ∈ I : | f (x)| > n = ;,
n∈N ¯Z ¯ ¯Z ¯ ¯Z ¯
i sx i sx
¯ e d x¯ ≤ ¯ e d x¯ + ¯ e i sx d x ¯ < 2ε,
¯ ¯ ¯ ¯ ¯ ¯
we can pick n large enough so that F J F 4J

µE 0 < ε, so the result is shown when f = χE . Next, it extends trivially to any simple func-
© ª
where E 0 = x ∈ I : | f (x)| > n .
tion.
Apply the first part to the bounded function f χE 0 (details left to the reader.) Finally, if f is integrable then given ε > 0 there is a simple integrable function g
Finally, assume that I is an unbounded interval, which we may take to be open. so that Z
We can find a disjoint sequence of open, bounded subintervals I j ⊂ I so that | f − g | < ε.
R
By what we have just proved,
³ [ ´
µ I\ I j = 0.
j ∈N ¯Z ¯
¯ g (x)e i sx d x ¯ < ε
¯ ¯
(We can easily arrange for the set difference to be countable. For example, if I = R
(0, ∞) we can let I j = ( j , j + 1).) Apply the second part to f  I j for each j , finding when |s| is large enough, in which case
some measurable E j ⊆ I j with µ(I j \E j ) < 2− j ε so that f  E j is continuous for each
j . Then ¯Z
i sx
¯ ¯Z ¡ ¢ i sx ¯ ¯Z
i sx
¯ Z
¯ f (x)e d x ¯ ≤ ¯ f (x) − g (x) e d x ¯ + ¯ g (x)e d x ¯ < | f − g | + ε < 2ε,
[ ¯ ¯ ¯ ¯ ¯ ¯
E= Ej R R R R
j ∈N
and the proof is finished.
has the properties we are looking for (again, details are left to the reader).

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