92 Chapter 4 Lebesgue Integration

4.6 UNIFORM INTEGRABILITY: THE VrrALI CONVERGENCE THEOREM

We conclude this first chapter on Lebesgue integration by establishing, for functions that are
integrable over a set of finite measure, a criterion for justifying passage of the limit under
the integral sign which is suggested by the following lemma and proposition.

Lemma 22 Let E be a set offinite measure and I) > O. Then E is the disjoint union of a finite
collection of sets, each of which has measure less than I).

Proof By the continUity of measure,

lim m(E"'[-n,n])=m(IiJ)=O.
n~OO

Choose a natural number no for which m(E"'[-no, no]) < I). By choosing a fine enough
partition of [-no, no], express En [-no, no] as the disjoint union of a finite collection of sets,
each of which has measure less than I). 0
Proposition 23 Let f be a measurable function on E. If f is integrable over E, then for each
f > 0, there is a I) > 0 for which

if A r; E is measurable and m(A) < I), then i IfI < f. (26)

Conversely, in the case m( E) < 00, iffor each f > 0, there is a I) > 0 for which (26) holds, then
/ is integrable over E.

Proof The theorem follows by establishing it separately for the positive and negative parts
of f. We therefore suppose f 2: 0 on E. First assume f is integrable over E. Let f > O.
By the definition of the integral of a nonnegative integrable function, there is a measurable
bounded function ff of finite support for which

o~ ff ~ f on E and 0 ~ l -l f ff < f/2.

Since f - ff 2: 0 on E, if A r; E is measurable, then, by the linearity and additivity over

domains of the integral,

But ff is bounded. Choose M > 0 for which 0 ~ ff < M on Eo. Therefore, if A r; E is

measurable, then
i f < i ff +f/2 ~ M ·m(A)+f/2.
Define I) = f/2M. Then (26) holds for this choice of I). Conversely, suppose m(E) < 00 and
for each f > 0, there is a I) > 0 for which (26) holds. Let 80 > 0 respond to the f = 1 challenge.
Since m( E) < 00, according to the preceding lemma, we may express E as the disjoint union
 Section 4.6 Uniform Integrability: The Vitali Convergence Theorem 93

of a finite collection of measurable subsets {Ek}f=l' each of which has measure less than 8.
Therefore
f ( I<N.
k=l JEk
By the additivity over domains of integration it follows that if h is a nonnegative measurable
IE
function of finite support and 0 ::: h ::: Ion E, then h < N. Therefore I is integrable. 0

Definition A family :F of measurable functions on E is said to be unifonnly integnIbIe

over9 E provided for each € > 0, there is a 8 > 0 such that for each I E :F,

if A k E is measurable and m{A) < 8, then L III < €. (27)

Example Let g be a nonnegative integrable function over E. Define

:F = {t I I is measurable on E and III::: g on E}.

Then:F is uniformly integrable. This follows from Proposition 23, with I replaced by g, and
the observation that for any measurable subset A of E, by the monotonicity of integration,
if I belongs to :F, then

Proposition 24 Let Uk}k=l be a finite collection offunctions, each of which is integrable over
E. Then (!k}k=l is uniformly integrable.

Proof Let € > O. For 1 ::: k ::: n, by Proposition 23, there is a 8k > 0 for which

if A k E is measurable and m{A) < 8k, then L Ilkl < €. (28)

Define 8 = min {81, ... , 8n }. This 8 responds to the € challenge regarding the criterion for the
collection {!k}k=l to be uniformly integrable. 0

Proposition 25 Assume E has finite measure. Let the sequence offunctions Un} be uniformly
integrable over E. If Un} -+ I pointwise a.e. on E, then I is integrable over E.

Proof Let 80 > 0 respond to the € = 1 challenge in the uniform integrability criteria for the
sequence Un}. Since m{E) < 00, by Lemma 22, we may express E as the disjoint union of a
finite collection of measurable subsets (Ek}f=l such that m{ Ek) < 80 for 1 ::: k ::: N. For any
n, by the monotonicity and additivity over domains property of the integral,

{ Ilnl
JE
= f lllnl <
k=l Ek
N.

9What is here called "uniformly integrable" is sometimes called "equiintegrable."

94 Chapter 4 lebesgue Integration

We infer from Fatou's Lemma that

L III ~ liminf L Ifni ~ N.

Thus III is integrable over E. o
The Vitali Convergence Theorem Let E be of finite measure. Suppose the sequence of
functions Un} is uniformly integrable over E.

II Un} ~ I pointwise a.e. on E, then I is integrable over E and lim f In = f I.

n-+ 00 lE lE
Proof Propositions 25 tells us that I is integrable over E and hence, by Proposition 15, is
finite a.e. on E. Therefore, using Proposition 15 once more, by possibly excising from E a set
of measure zero, we suppose the convergence is pointwise on all of E and I is real-valued.
We infer from the integral comparison test and the linearity, monotonicity, and additivity
over domains property of integration that, for any measurable subset A of E and any natural
number n,

~ Llln - II
(29)
= f lin - II + f lin - II
lE-A lA
~ f lin - II + f Ifni + fill.
lE-A lA lA
Let f > O. By the uniform integrability of Un}, there is a 8 > 0 such that fA lin I < f/3 for any
measurable subset of E for which m(A} < 8. Therefore, by Fatou's Lemma, we also have
fA III ~ f/3 for any measurable subset of A for which m(A} < 8. Since I is real-valued and
E has finite measure, Egoroff's Theorem tells us that there is a measurable subset Eo of E
for which m( Eo} < 8 and Un} ~ I uniformly on E ~ Eo. Choose a natural number N such
that lin - II < f/[3· m( E)] on E ~ Eo for all n ~ N. Take A = Eo in the integral inequality
(29). If n ~ N, then

f In - f II ~ f lin - II + f Ifni + f Ifni

IlE lE lE-Eo lEo lEo
< f/[3· m(E)]. m(E~ Eo) + f/3 + f/3 ~ f.
This completes the proof. o
 Section 4.6 Uniform Integrability: The Vitali Convergence Theorem 95

The following theorem shows that the concept of uniform integrability is an essential
ingredient in the justification, for a sequence {h n } of nonnegative functions on a set of finite
measure that converges pointwise to h a 0, of passage of the limit under the integral sign.

Theorem 26, Let E be offinite measure. Suppose {h n } is a sequence of nonnegative integrable

functions that converges pointwise a.e. on E to h a O. Then

lim
Jf hn = 0 if and only if {h n } is uniformly integrable over E.
n-+ 00 E

Proof If {h n } is uniformly integrable, then, by the Vitali Convergence Theorem, limn -+ 00

IE =
hn O. Conversely, suppose limn -+ 00 hn IE =
O. Let E > O. We may choose a natural
IE
number N for which hn < E if n ~ N. Therefore, since each hn ~ 0 on E,

if A k E is measurable and n ~ N, then i hn < E. (30)

According to Propositions 23 and 24, the finite collection {hn}:::l

is uniformly integrable
over E. Let 8 respond to the E challenge regarding the criterion for the uniform integrability
of {hn}:,:-l.
We infer from (30) that 8 also responds to the E challenge regarding the criterion
for the uniform integrability of (hn}:'l. 0

PROBLEMS
40. Let I be integrable over R. Show that the function F defined by

F(x) = Eoo IforallxeR

is properly defined and continuous. Is it necessarily lipschitz?
41. Show that Proposition 25 is false if E = R.
42. Show that Theorem 26 is false without the assumption that the hn's are nonnegative.
43. Let the sequences of functions {h n} and (gn} be uniformly integrable over E. Show that for
any a and {3, the sequence of linear combinations (aln + {3gn} also is uniformly integrable
over E.
44. Let I be integrable over R and E > O. Establish the following three approximation properties.
(i) There is a simple function 71 on R which has finite support and IR II -711 < E (Hint: First
verify this if I is nonnegative.]
(ii) Jbere is a step function s on R which vanishes outside a closed, bounded interval and
IR II - sl < E. (Hint: Apply part (i) and Problem 18 of Chapter 3.)
(iii) There is a continuous function g on R which vanishes outside a bounded set and
IRI/-gi <E.
45. Let I be integrable 'over E. Define J to be the extension of I to all of R obtained by setting
JaO outside of E. Show thatJis integrable over R and I = IE IRJ. Use this and part (i) and
(iii) of the preceding problem to show that for E > 0, there is a simple function 71 on E and a
IE IE
continuous function g on E for which 1/-711 < f3nd II - gl < E.