Real Analysis Roy Den 3

Reading Notes of “Real Analysis” 3rd Edition
by H. L. Royden
Zigang Pan
February 17, 2012

2
Preface
This is a reading note of the book Royden (1988) and the MATH 441 & 442
notes by Prof. Peter Leob of University of Illinois at Urbana-Champaign.
In Chapter 6, I have also included some material from the book Maun-
der (1996). The Chapters 6–10 include a significant amount of material
from the book Luenberger (1969). Chapter 9 also referenced Bartle (1976).
Chapter 11 includes significant amount of self-developed material due to
lack of reference on this subject. The proof of Radon-Nikodym Theorem
was adapted from the MATH 442 notes by Prof. Peck of University of Illi-
nois at Urbana-Champaign. The book Royden (1988) does offer some clues
as to how to invent the wheel and the book Bartle (1976) is sometimes used
to validate the result.
A, B, C, D, E, F , G, H, I, J , K, L, M, N , O, P, Q, R, S, T , U, V, W, X , Y, Z
A, B, C, D, E, F, G, H, I, J, K, L, M, N, O, P, Q, R, S, T, U, V, W, X, Y, Z
A, B, C, D, E, F, G, H, I, J, K, L, M, N, O, P, Q, R, S, T, U, V, W, X, Y, Z
3
4
Contents
Preface 3
1 Notations 9
2 Set Theory 17
2.1 Axiomatic Foundations of Set Theory . . . . . . . . . . . . 17
2.2 Relations and Equivalence . . . . . . . . . . . . . . . . . . . 18
2.3 Function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
2.4 Set Operations . . . . . . . . . . . . . . . . . . . . . . . . . 20
2.5 Algebra of Sets . . . . . . . . . . . . . . . . . . . . . . . . . 21
2.6 Partial Ordering and Total Ordering . . . . . . . . . . . . . 22
2.7 Basic Principles . . . . . . . . . . . . . . . . . . . . . . . . . 24
3 Topological Spaces 33
3.1 Fundamental Notions . . . . . . . . . . . . . . . . . . . . . . 33
3.2 Continuity . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
3.3 Basis and Countability . . . . . . . . . . . . . . . . . . . . . 39
3.4 Products of Topological Spaces . . . . . . . . . . . . . . . . 40
3.5 The Separation Axioms . . . . . . . . . . . . . . . . . . . . 45
3.6 Category Theory . . . . . . . . . . . . . . . . . . . . . . . . 46
3.7 Connectedness . . . . . . . . . . . . . . . . . . . . . . . . . 48
3.8 Continuous Real-Valued Functions . . . . . . . . . . . . . . 53
3.9 Nets and Convergence . . . . . . . . . . . . . . . . . . . . . 57
4 Metric Spaces 71
4.1 Fundamental Notions . . . . . . . . . . . . . . . . . . . . . . 71
4.2 Convergence and Completeness . . . . . . . . . . . . . . . . 73
4.3 Uniform Continuity and Uniformity . . . . . . . . . . . . . 76
4.4 Product Metric Spaces . . . . . . . . . . . . . . . . . . . . . 78
4.5 Subspaces . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83
4.6 Baire Category . . . . . . . . . . . . . . . . . . . . . . . . . 84
4.7 Completion of Metric Spaces . . . . . . . . . . . . . . . . . 85
4.8 Metrization of Topological Spaces . . . . . . . . . . . . . . . 90
4.9 Interchange Limits . . . . . . . . . . . . . . . . . . . . . . . 91
5
6 CONTENTS
5 Compact and Locally Compact Spaces 95

5.1 Compact Spaces . . . . . . . . . . . . . . . . . . . . . . . . 95
5.2 Countable and Sequential Compactness . . . . . . . . . . . 101
5.3 Real-Valued Functions and Compactness . . . . . . . . . . . 103
5.4 Compactness in Metric Spaces . . . . . . . . . . . . . . . . 105
5.5 The Ascoli-Arzelá Theorem . . . . . . . . . . . . . . . . . . 107
5.6 Product Spaces . . . . . . . . . . . . . . . . . . . . . . . . . 109
5.7 Locally Compact Spaces . . . . . . . . . . . . . . . . . . . . 112
5.7.1 Fundamental notion . . . . . . . . . . . . . . . . . . 112
5.7.2 Partition of unity . . . . . . . . . . . . . . . . . . . . 115
5.7.3 The Alexandroff one-point compactification . . . . . 118
5.7.4 Proper functions . . . . . . . . . . . . . . . . . . . . 119
5.8 σ-Compact Spaces . . . . . . . . . . . . . . . . . . . . . . . 121
5.9 Paracompact Spaces . . . . . . . . . . . . . . . . . . . . . . 122
5.10 The Stone-Čech Compactification . . . . . . . . . . . . . . . 126
6 Vector Spaces 129

6.1 Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129
6.2 Ring . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 131
6.3 Field . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 132
6.4 Vector Spaces . . . . . . . . . . . . . . . . . . . . . . . . . . 132
6.5 Product Spaces . . . . . . . . . . . . . . . . . . . . . . . . . 134
6.6 Subspaces . . . . . . . . . . . . . . . . . . . . . . . . . . . . 135
6.7 Convex Sets . . . . . . . . . . . . . . . . . . . . . . . . . . . 139
6.8 Linear Independence and Dimensions . . . . . . . . . . . . . 142
7 Banach Spaces 145

7.1 Normed Linear Spaces . . . . . . . . . . . . . . . . . . . . . 145
7.2 The Natural Metric . . . . . . . . . . . . . . . . . . . . . . . 151
7.3 Product Spaces . . . . . . . . . . . . . . . . . . . . . . . . . 154
7.4 Banach Spaces . . . . . . . . . . . . . . . . . . . . . . . . . 156
7.5 Compactness . . . . . . . . . . . . . . . . . . . . . . . . . . 161
7.6 Quotient Spaces . . . . . . . . . . . . . . . . . . . . . . . . 163
7.7 The Stone-Weierstrass Theorem . . . . . . . . . . . . . . . . 165
7.8 Linear Operators . . . . . . . . . . . . . . . . . . . . . . . . 173
7.9 Dual Spaces . . . . . . . . . . . . . . . . . . . . . . . . . . . 177
7.9.1 Basic concepts . . . . . . . . . . . . . . . . . . . . . 177
7.9.2 Duals of some common Banach spaces . . . . . . . . 178
7.9.3 Extension form of Hahn-Banach Theorem . . . . . . 182
7.9.4 Second dual space . . . . . . . . . . . . . . . . . . . 190
7.9.5 Alignment and orthogonal complements . . . . . . . 192
7.10 The Open Mapping Theorem . . . . . . . . . . . . . . . . . 197
7.11 The Adjoints of Linear Operators . . . . . . . . . . . . . . . 201
7.12 Weak Topology . . . . . . . . . . . . . . . . . . . . . . . . . 204
CONTENTS 7
8 Global Theory of Optimization 213

8.1 Hyperplanes and Convex Sets . . . . . . . . . . . . . . . . . 213
8.2 Geometric Form of Hahn-Banach Theorem . . . . . . . . . 216
8.3 Duality in Minimum Norm Problems . . . . . . . . . . . . . 218
8.4 Convex and Concave Functionals . . . . . . . . . . . . . . . 221
8.5 Conjugate Convex Functionals . . . . . . . . . . . . . . . . 225
8.6 Fenchel Duality Theorem . . . . . . . . . . . . . . . . . . . 232
8.7 Positive Cones and Convex Mappings . . . . . . . . . . . . 239
8.8 Lagrange Multipliers . . . . . . . . . . . . . . . . . . . . . . 241
9 Differentiation in Banach Spaces 249

9.1 Fundamental Notion . . . . . . . . . . . . . . . . . . . . . . 249
9.2 The Derivatives of Some Common Functions . . . . . . . . 254
9.3 Chain Rule and Mean Value Theorem . . . . . . . . . . . . 257
9.4 Higher Order Derivatives . . . . . . . . . . . . . . . . . . . 263
9.4.1 Basic concept . . . . . . . . . . . . . . . . . . . . . . 263
9.4.2 Interchange order of differentiation . . . . . . . . . . 269
9.4.3 High order derivatives of some common functions . . 274
9.4.4 Properties of high order derivatives . . . . . . . . . . 278
9.5 Mapping Theorems . . . . . . . . . . . . . . . . . . . . . . . 285
9.6 Global Inverse Function Theorem . . . . . . . . . . . . . . . 296
9.7 Interchange Differentiation and Limit . . . . . . . . . . . . 304
10 Local Theory of Optimization 309

10.1 Basic Notion . . . . . . . . . . . . . . . . . . . . . . . . . . 309
10.2 Unconstrained Optimization . . . . . . . . . . . . . . . . . . 315
10.3 Optimization with Equality Constraints . . . . . . . . . . . 318
10.4 Inequality Constraints . . . . . . . . . . . . . . . . . . . . . 323
11 General Measure and Integration 331

11.1 Measure Spaces . . . . . . . . . . . . . . . . . . . . . . . . . 331
11.2 Outer Measure and the Extension Theorem . . . . . . . . . 337
11.3 Measurable Functions . . . . . . . . . . . . . . . . . . . . . 350
11.4 Integration . . . . . . . . . . . . . . . . . . . . . . . . . . . 363
11.5 General Convergence Theorems . . . . . . . . . . . . . . . . 377
11.6 Banach Space Valued Measures . . . . . . . . . . . . . . . . 393
11.7 Calculation With Measures . . . . . . . . . . . . . . . . . . 424
11.8 The Radon-Nikodym Theorem . . . . . . . . . . . . . . . . 449
11.9 Lp Spaces . . . . . . . . . . . . . . . . . . . . . . . . . . . . 464
11.10Dual of C(X , Y) . . . . . . . . . . . . . . . . . . . . . . . . . 480
12 Differentiation and Integration 501

12.1 Carathéodory Extension Theorem . . . . . . . . . . . . . . 501
12.2 Product Measure . . . . . . . . . . . . . . . . . . . . . . . . 507
12.3 Change of Variable . . . . . . . . . . . . . . . . . . . . . . . 526
12.4 Functions of Bounded Variation . . . . . . . . . . . . . . . . 531
8 CONTENTS
12.5 Absolute and Lipschitz Continuity . . . . . . . . . . . . . . 548

12.6 Fundamental Theorem of Calculus . . . . . . . . . . . . . . 559
12.7 Fundamental Thm. of Calculus . . . . . . . . . . . . . . . . 562
13 Numerical Methods 571

13.1 Newton’s Method . . . . . . . . . . . . . . . . . . . . . . . . 571
Bibliography 575
Index 576
Chapter 1
Notations
IN, Z, and Q the sets of natural number, integers, and rational

numbers, respectively
IR and C the sets of real numbers and complex numbers, re-
spectively
IK either IR or C
Z+ , Z− , C+ , C− IN ∪ {0}, Z \ IN, the open right half of the complex
plane, the open left half of the complex plane, re-
spectively
∈ belong to
6 ∈ not belong to
⊆ contained in
⊇ contains
⊂ strict subset of
⊃ strict super set of
∀ for all
∃ exists
∃! exists a unique
∵ because
∴ therefore
∋· such that
∞
( xn )n=1 the sequence x1 , x2 , . . .
( xα )α∈Λ the ordered collection
idA the identity map on a set A
|λ| the absolute value of a real or complex number λ
λ the complex conjugate of a complex number λ
Re ( λ ) the real part of a complex number λ
Im ( λ ) the imaginary part of a complex number λ
a∨b the maximum of two real numbers a and b
a∧b the minimum of two real numbers a and b
∅ the empty set; See Page 17.
9
10 CHAPTER 1. NOTATIONS
{x, y} an unordered pair; See Page 17.

X
2 the collection of all subsets of X; See Page 17.
∪ the set union; See Page 17.
(x, y) an ordered pair; See Page 18.
X ×Y the Cartesian or direct product of sets X and Y ;
See Page 18.
A = { x ∈ B | P (x) } Definition of a set A; See Page 18.
x∼y x and y are related in a relation; See Page 18.
X/ ≡ the quotient of the set X with respect to an equiv-
alence relation ≡; See Page 18.
f :X →Y a function of X to Y ; { (x, f (x)) ∈ X ×Y | ∀x ∈ X }
is the graph of f ; See Page 19.
graph ( f ) the graph of a function f ; See Page 19.
dom ( f ) the domain of f ; See Page 19.
f (A) the image of A ⊆ X under f ; See Page 19.
range ( f ) the range of f , equals to f (X); See Page 19.
f inv(A) the preimage of A ⊆ Y under f ; See Page 19.
onto, surjective f (X) = Y ; See Page 19.
1-1, injective f (x1 ) 6= f (x2 ) if x1 , x2 ∈ X and x1 6= x2 ; See Page
19.
bijective both surjective and injective; See Page 19.
f inv the inverse function of f ; See Page 19.
g◦f the composition of g : Y → Z with f : X → Y ; See
Page 19.
f |A the restriction of f to A; See Page 19.
YX the set of all functions of X to Y ; See Page 19.
∩ the set intersection; See Page 20.
Ae the compliment of a set A, where the whole set is
clear from context; See Page 20.
\ set minus; See Page 20.
A△B the symmetric difference of A and B, equals to (A \
Q B) ∪ (B \ A); See Page 20.
α∈Λ X α the Cartesian or direct product of Xα ’s; See Page
31.
πα (x) the projection of an element in a Cartesian product
space to one of the coordinates; See Page 31.
A the closure of a set A, where the whole set is clear
from context; See Page 33.
A◦ the interior of a set A, where the whole set is clear
from context; See Page 33.
∂A the boundary of a set A, where the whole set is clear
Q from context; See Page 33.
α∈Λ (X α , Oα ) the product topological space; See Page 40.
T1 Tychonoff space; See Page 45.
T2 Hausdorff space; See Page 45.
11
T3 regular space; See Page 45.

T4 normal space; See Page 45.
T3 12 completely regular space; See Page 56.
( xα )α∈A a net; See Page 57.
limα∈A xα the limit of a net; See Page 57.
limx→x0 f (x) the limit of f (x) as x → x0 ; See Page 61.
IRe the set of extended real numbers, which equals to
IR ∪ {−∞, +∞} ; See Page 63.
lim supα∈A xα the limit superior of a real-valued net; See Page 65.
lim inf α∈A xα the limit inferior of a real-valued net; See Page 65.
lim supx→x0 f (x) the limit superior of f (x) as x → x0 ; See Page 66.
lim inf x→x0 f (x) the limit inferior of f (x) as x → x0 ; See Page 66.
BX ( x0 , r ) the open ball centered at x0 with radius r; See Page
71.
BX ( x0 , r ) the closed ball centered at x0 with radius r; See
Page 71.
dist(x0 , S) the distance from a point x0 to a set S in a metric
space; See Page 73.
(X,
Q∞ ρX ) × (Y, ρY ) the finite product metric space; See Page 78.
( i=1 Xi , ρ ) the countably infinite product metric space; See
Page 81.
supp f the support of a function; See Page 115.
β(X ) the Stone-Čech compatification of a completely reg-
ular topological space X ; See Page 126.
(M(A, Y), F ) the vector space of Y-valued functions of a set A
over the field F ; See Page 134.
ϑX the null vector of a vector space X ; See Page 136.
N (A) the null space of a linear operator A; See Page 136.
R (A) the range space of a linear operator A; See Page 136.
αS the scalar multiplication by α of a set S in a vector
space; See Page 137.
S+T the sum of two sets S and T in a vector space; See
Page 137.
span ( A ) the subspace generated by the set A; See Page 138.
v (P ) the linear variety generated by a nonempty set P ;
See Page 138.
co ( S ) the convex hull generated by S in a vector space;
See Page 139.
kxk the norm of a vector x; See Page 145.
|x| the Euclidean norm of a vector x; See Page 145.
C1 ([a, b]) the normed linear space of continuously differen-
tiable real-valued functions on the interval [a, b]; See
Page 146.
lp The normed linear space of real-valued sequences
with finite p-norm, 1 ≤ p ≤ +∞; See Page 147.
lp (X) the normed linear space of X-valued sequences with

finite p-norm, 1 ≤ p ≤ +∞; See Page 151.
V (P ) the closed linear variety generated by a nonempty
set P ; See Page 154.
◦
P the relative interior of a set P ; See Page 154.
X×Y the finite Cartesian product normed linear space;
See Page 154.
C([a, b]) the Banach space of continuous real-valued func-
tions on the interval [a, b]; See Page 158.
C(K, X) the normed linear space of continuous X-valued
functions on a compact space K; See Page 158.
XIR the real normed linear space induced by a complex
normed linear space X; See Page 162.
[x] the coset of a vector x in a quotient space; See Page
163.
X /M the quotient space of a vector space X modulo a
subspace M ; See Page 163.
X/M the quotient space of a normed linear space X mod-
ulo a closed subspace M ; See Page 164.
Cv (X , Y) the vector space of continuous Y-valued functions on
X ; See Page 166.
B ( X, Y ) the set of bounded linear operators of X to Y; See
Page 173.
X∗ the dual of X; See Page 177.
x∗ a vector in the dual; See Page 177.
hh x∗ , x ii the evaluation of a bounded linear functional x∗ at
the vector x, that is x∗ (x); See Page 177.
c0 (X) the subspace of l∞ (X) consisting of X-valued se-
quences with limit ϑX ; See Page 181.
X∗∗ the second dual of X; See Page 190.
S⊥ the orthogonal complement of the set S; See Page
192.
⊥
S the pre-orthogonal complement of the set S; See
Page 192.
A∗ the adjoint of a linear operator A; See Page 201.
A∗∗ the adjoint of the adjoint of a linear operator A; See
Page 202.
Oweak ( X ) the weak topology on a normed linear space X; See
Page 204.
Xweak the weak topological space associated with a normed
linear space X; See Page 205.
Oweak∗ ( X∗ ) the weak∗ topology on the dual of a normed linear
space X; See Page 207.
X∗weak∗ the weak∗ topological space associated with a
normed linear space X; See Page 208.
13
K supp the support of a convex set K; See Page 218.

[ f, C ] the epigraph of a convex function f : C → IR; See
Page 221.
C conj the conjugate convex set; See Page 225.
f conj the conjugate convex functional; See Page 225.
[ f, C ] conj the epigraph of the conjugate convex functional; See
Page 226.
conjΓ the pre-conjugate convex set; See Page 228.
conjϕ the pre-conjugate convex functional; See Page 228.
conj[ ϕ, Γ ] the epigraph of the pre-conjugate convex functional;
See Page 228.
⋗
= greater than or equal to (with respect to the positive
cone); See Page 239.
⋖
= less than or equal to (with respect to the positive
cone); See Page 239.
⋗ greater than (with respect to the positive cone); See
Page 239.
⋖ less than (with respect to the positive cone); See
Page 239.
S⊕ the positive conjugate cone of a set S; See Page 239.
S⊖ the negative conjugate cone of a set S; See Page
239.
AD ( x0 ) the set of admissible deviations in D at x0 ; See Page
249.
f (1) (x0 ), Df (x0 ) the Fréchet derivative of f at x0 ; See Page 250.
Df (x0 ; u) the directional derivative of f at x0 along u; See
Page 250.
∂f
∂y (x0 , y0 ) partial derivative of f with respect to y at (x0 , y0 );
See Page 251.
ro(A)(B) right operate: ro(A)(B) = BA; See Page 256.
Bk ( X, Y ) the set of bounded multi-linear Y-valued functions
on Xk ; See Page 263.
BS k ( X, Y ) the set of symmetric bounded multi-linear Y-valued
functions on Xk ; See Page 263.
Dk f (x0 ), f (k) (x0 ) the kth order Fréchet derivative of f at x0 ; See Page
263.
Ck , C∞ k-times and infinite-times continuously differen-
tiable functions, respectively; See Page 264.
∂k f
∂xik ···∂xi1 kth-order partial derivative of f ; See Page 269.
S
Sm ( D ) = α∈IK αD; See Page 269.
Ck (Ω, Y) the normed linear space of k-times continuously
differentiable Y-valued functions on a compact set
Ω ⊆ X; See Page 305.
Cb (X , Y) the normed linear space of bounded continuous Y-

valued functions on a topological space X ; See Page
306.
Cb k (Ω, Y) the normed linear space of k-times bounded con-
tinuously differentiable Y-valued functions on a set
Ω ⊆ X; See Page 307.
S+ X , Spsd X sets of positive definite and positive semi-definite
operators over the real normed linear space X, re-
spectively; See Page 310.
S− X , Snsd X sets of negative definite and negative semi-definite
operators over the real normed linear space X, re-
spectively; See Page 310.
SX BS 2 ( X, IR ); See Page 310.
(IR, BL , µL ) Lebesgue measure space; See Page 342.
µLo Lebesgue outer measure; See Page 343.
BB ( X ) Borel sets; See Page 343.
A (X ) the algebra generated by the topology of a topolog-
ical space X ; See Page 343.
µB the Borel measure on IR; See Page 344.
R ((IR, IR, | · |), BB ( IR ) , µB ); See Page 348.
P a.e. in X P holds almost everywhere in X ; See Page 352.
P (x) a.e. x ∈ X P holds almost everywhere in X ; See Page 352.
P◦f P ◦ f : X → [0, ∞) ⊂ IR defined by P ◦ f (x) =
k f (x) k, ∀x ∈ X; See Page 361.
R (X) the collection of all representation of X; See Page
363.
RI ( X ) the integration system on X; See Page 363.
X f dµ the integral of a function f on a set X with respect
R to measure µ; See Page 365.
X
f (x) dµ(x) the integral of a function f on a set X with respect
to measure µ; See Page 365.
P◦µ the total variation of a Banach space valued pre-
measure µ; See Page 393.
P◦µ the total variation of a Banach space valued measure
µ; See Page 398.
µ1 + µ2 the Y-valued measure that equals to the sum of two
Y-valued measures on the same measurable space;
See Page 428.
αµ the Y-valued measure that equals to the scalar prod-
uct of α ∈ IK and Y-valued measure µ; See Page 428.
µy the Y-valued measure that equals to scalar product
of a IK-valued measure µ and y ∈ Y; See Page 428.
Aµ the Z-valued measure that equals to product of an
bounded linear operator A and a Y-valued measure
µ; See Page 428.
15
Mσ (X, B, Y) the vector space of σ-finite Y-valued measures on

the measurable space (X, B); See Page 432.
Mf (X, B, Y) the normed linear space of finite Y-valued measures
on the measurable space (X, B); See Page 432.
∞
limn∈IN µn = ν a sequence of σ-finite (Y-valued) measures ( µn )n=1
converges to a σ-finite (Y-valued) measure ν; See
Page 435.
µ1 ≤ µ2 the measures µ1 and µ2 on the measurable space
(X, B) can be compared if µ1 (E) ≤ µ2 (E), ∀E ∈ B;
See Page 435.
µ1 ≪ µ2 the measure µ1 is absolutely continuous with respect
to the measure µ2 ; See Page 445.
µ1 ⊥ µ2 the measures µ1 and µ2 are mutually singular; See
Page 445.
dν
dµ the Radon-Nikodym derivative of the σ-finite Y-
valued measure ν with respect to the σ-finite IK-
valued measure µ; See Page 454.
p
Pp ◦ f the function k f (·) k ; See Page 465.
ess sup the essential supremum; See Page 466.
. ∞
limn∈IN zn = z in L̄p the sequence ( zn )n=1 ⊆ L̄p converges to z ∈ L̄p in
L̄p pseudo-norm; See Page 468.
Mσt (X , Y) the vector space of σ-finite Y-valued topological
measures on X ; See Page 482.
Mf t (X , Y) the normed linear space of finite Y-valued topologi-
cal measures on X ; See Page 482.
Mσ (X, B) the set of σ-finite measures on the measurable space
(X, B); See Page 483.
Mf (X, B) the set of finite measures on the measurable space
(X, B); See Page 483.
Mσt (X ) the set of σ-finite topological measures on the topo-
logical space X ; See Page 483.
Mf t (X ) the set of finite topological measures on the topo-
logical space X ; See Page 483.
µ1 × µ2 the product measure of µ1 and µ2 ; See Page 511.
X1 × X2 product topological measure space of X1 and X2 ;
See Page 522.
rx1 ,x2 the semi-open rectangle in IRn with corners x1 and
x2 ; See Page 531.
VRecti,x1 ,x2 the set of vertexes of rx1 ,x2 with i coordinates equal
to that of x1 ; See Page 531.
∆F (rx1 ,x2 ) the increment of F on rx1 ,x2 ; See Page 531.
TF ( rx1 ,x2 ) the total variation of a function F on the semi-open
rectangle rx1 ,x2 ; See Page 531.
R
U
g(x) dF (x) the integral of function g with respect to Y-valued
measure space (IR, BB ( IR ) , µ) whose distribution
function is F : IR → Y over the set U ⊆ IR; See
Page 548.
Rb
a f (x) dx the integral of function f from a ∈ IR to b ∈ IR with
respect to µB ; See Page 552.
Chapter 2
Set Theory
2.1 Axiomatic Foundations of Set Theory

We will list the nine axioms of ZFC axiom system. The ninth axiom, which
is the Axiom of Choice, will be introduced in Section 2.7. Let A and B be
sets and x and y be objects (which is another name for sets).
Axiom 1 (Axiom of Extensionality) A = B if ∀x ∈ A, we have x ∈ B;

and ∀x ∈ B, we have x ∈ A.
Axiom 2 (Axiom of Empty Set) There exists an empty set ∅, which

does not contain any element.
Axiom 3 (Axiom of Pairing) For any objects x and y, there exists a set
{x, y}, which contains only x and y.
Axiom 4 (Axiom of Regularity) Any nonempty set A 6= ∅, there exists

a ∈ A, such that ∀b ∈ A, we have b 6∈ a.
Axiom 5 (Axiom of Replacement) ∀x ∈ A, let there be one and only

one y to form an ordered pair (x, y). Then, the collection of all such y’s is
a set B.
Axiom 6 (Axiom of Power Set) The collection of all subsets of A is a

set denoted by A2.
Axiom 7 (Axiom S of Union) For any collection of sets ( Aλ )λ∈Λ , where

Λ is a set, then λ∈Λ Aλ is a well defined set.
Axiom 8 (Axiom of Infinity) There exists a set A such that ∅ ∈ A and

∀x ∈ A, we have {∅, x} ∈ A.
17
18 CHAPTER 2. SET THEORY
By Axiom 2, there exists the empty set ∅, which we may call 0. Now,
by Axiom 3, there exists the set {∅}, which is nonempty and we may call
1. Again, by Axiom 3, there exists the set {∅, {∅}}, which we will call 2.
After we define n, we may define n + 1 := {0, n}, which exists by Axiom
of Pairing. This allows us to define all natural numbers. By Axiom 8,
these natural numbers can form the set, IN := {1, 2, . . .}, which is the set
of natural numbers. Furthermore, by Axiom 6, we may define the set of all
real numbers, IR.
For any x ∈ A and y ∈ B, we may apply Axiom 3 to define the ordered
S (x,
pair Sy) := {{{{x}}, 1}, {{{y}}, 2}}. Then, the set A × B is defined by
x∈A y∈B {(x, y)}, which is a valid set by Axiom 7. By Axiom 5, any
portion As of a well-defined set A is again a set, which is called a subset of
A, we will write As ⊆ A. Thus, the formula
{ x ∈ A | p(x) is true. }
defines a set as long as A is a set and p(x) is unambiguous logic expression.
2.2 Relations and Equivalence

Definition 2.1 Let A and B be sets. A relation R from A to B is a subset
of A × B. ∀x ∈ A, ∀y ∈ B, we say x ∼ y if (x, y) ∈ R. We will say that R
is a relation on A if it is a relation from A to A. We define
dom ( R ) := { x ∈ A | ∃y ∈ B, such that x ∼ y }

range ( R ) := { y ∈ B | ∃x ∈ A, such that x ∼ y }
which are well-defined subsets.
Definition 2.2 Let A be a set and R be a relation on A. ∀x, y, z ∈ A,

1. R is reflexive if x ∼ x.
2. R is symmetric if x ∼ y implies y ∼ x.
3. R is transitive if x ∼ y and y ∼ z implies x ∼ z.
4. R is a equivalence relationship if it is reflexive, symmetric, and tran-
sitive, and will be denote by “≡”.
5. R is antisymmetric if x ∼ y and y ∼ x implies x = y.
Let ≡ be an equivalence relationship on A, then, it partitions A into

disjoint equivalence classes Ax := { y ∈ A | x ≡ y }, ∀x ∈ A. The collection
of all equivalence classes, A/ ≡:= { Ax ⊆ A | x ∈ A }, is called the quotient
of A with respect to ≡.
2.3. FUNCTION 19
2.3 Function
Definition 2.3 Let X and Y be sets and D ⊆ X. A function f of D to
Y , denoted by f : D → Y , is a relation from D to Y such that ∀x ∈ D,
there is exactly one y ∈ Y , such that (x, y) ∈ f ; we will denote that y as
f (x). The graph of f is the set graph ( f ) := { (x, f (x)) ∈ X × Y | x ∈ D }.
The domain of f is dom ( f ) = D. ∀A ⊆ X, the image under f of A is
f (A) := { y ∈ Y | ∃x ∈ A ∩ D such that f (x) = y }, which is a subset of Y .
The range of f is range ( f ) = f (X). ∀B ⊆ Y , the inverse image under f
of B is f inv(B) := { x ∈ D | f (x) ∈ B }, which is a subset of D. f is said
to be surjective if f (X) = Y ; and f is said to be injective if f (x1 ) 6= f (x2 ),
∀x1 , x2 ∈ D with x1 6= x2 ; f is said to be bijective if it is both surjective and
injective, in which case it is invertible and the inverse function is denoted
by f inv : Y → D. We will say that f is a function from X to Y .
Let f : D → Y and g : Y → Z be functions, we may define a function

h : D → Z by h(x) = g(f (x)), then h is called the composition of g with f ,
and is denoted by g◦f . Let A ⊆ X. We may define a function l : A∩D → Y
by l(x) = f (x), ∀x ∈ A ∩ D. This function is called the restriction of f to
A, and denoted by f |A . Let f : D → Y , g : Y → Z, and h : Z → W , we
have (h ◦ g) ◦ f = h ◦ (g ◦ f ). Let f : D → D and k ∈ Z+ , we will write
f k := f ◦ · · · ◦ f , where f 0 := idD .
| {z }
k
A function f : X → Y is a subset of X × Y . Then, f ∈ X×Y 2. The
collection of all functions of X to Y is then a set given by

Y X := f ∈ X×Y 2 | ∀x ∈ X, ∃! y ∈ Y ∋· (x, y) ∈ f }
We have the following result concerning the inverse of a function.

Proposition 2.4 Let φ : X → Y , where X and Y are sets. Then, φ is
bijective if, and only if, ∃ψi : Y → X, i = 1, 2, such that φ ◦ ψ1 = idY and
ψ2 ◦ φ = idX . Furthermore, φinv = ψ1 = ψ2 .
Proof “Sufficiency” Let ψi : Y → X, i = 1, 2, exist. ∀y ∈ Y ,
φ ◦ ψ1 (y) = idY (y) = y, which implies that y ∈ range ( φ ), and hence, φ is
surjective. Suppose that φ is not injective, then ∃x1 , x2 ∈ X with x1 6= x2
such that φ(x1 ) = φ(x2 ). Then, we have
x1 = idX (x1 ) = ψ2 (φ(x1 )) = ψ2 (φ(x2 )) = idX (x2 ) = x2
which is a contradiction. Hence, φ is injective. This proves that φ is

bijective.
“Necessity” Let φ be bijective. Then, φinv : Y → X exists. ∀x ∈ X,
let y = φ(x), then x = φinv(y), hence φinv(φ(x)) = x. Therefore, we have
φinv ◦φ = idX . ∀y ∈ Y , let x = φinv(y), then y = φ(x), hence φ(φinv(y)) = y.
Therefore, we have φ ◦ φinv = idY . Hence, ψ1 = ψ2 = φinv.
Let ψ1 and ψ2 satisfy the assumption of the proposition, and φinv be

the inverse function of φ. Then, we have
ψ1 = idX ◦ ψ1 = (φinv ◦ φ) ◦ ψ1 = φinv ◦ (φ ◦ ψ1 ) = φinv ◦ idY = φinv

ψ2 = ψ2 ◦ idY = ψ2 ◦ (φ ◦ φinv) = (ψ2 ◦ φ) ◦ φinv = idX ◦ φinv = φinv
This completes the proof of the proposition. 2

For bijective functions f : X → Y and g : Y → Z, g ◦ f is also bijective
and (g ◦ f )inv = f inv ◦ g inv.
2.4 Set Operations

Let X be a set, X2 is the set consisting of all subsets of X. ∀A, B ⊆ X, we
will define
A∪B := { x ∈ X | x ∈ A or x ∈ B }
A ∩ B := { x ∈ X | x ∈ A and x ∈ B }
e := { x ∈ X | x 6∈ A }
A
e
A \ B := { x ∈ A | x 6∈ B } = A ∩ B
A△B := (A \ B) ∪ (B \ A)
We have the following results.
Proposition 2.5 Let A, B, D, Aλ ∈ X2, f : D → Y , C, E, Cλ ∈ Y 2, where

X and Y are sets, λ ∈ Λ, and Λ is an index set. Then, we have
1. A ∪ B = B ∪ A and A ∩ B = B ∩ A;
2. A ⊆ A ∪ B and A = A ∪ B if, and only if, B ⊆ A;
3. A ∪ ∅ = A, A ∩ ∅ = ∅, A ∪ X = X, and A ∩ X = A;
ee
4. e
∅ = X, A e = X, A ∩ A
= A, A ∪ A e = ∅, and A ⊆ B if, and only if,
e e
B ⊆ A;
5. The De Morgan’s Laws:

[ ∼ \ \ ∼ [
Aλ = fλ ;
A Aλ = fλ
A
λ∈Λ λ∈Λ λ∈Λ λ∈Λ
\ \ [ [
6. B ∪ Aλ = (B ∪ Aλ ) and B ∩ Aλ = (B ∩ Aλ );
[ [ \ \
7. f Aλ = f (Aλ ) and f Aλ ⊆ f (Aλ );
2.5. ALGEBRA OF SETS 21
[ [ \ \
8. f inv Cλ = f inv(Cλ ) and f inv Cλ = f inv(Cλ );
9. f inv(C \ E) = f inv(C) \ f inv(E), f (f inv(C)) = C ∩ range ( f ), and

f inv(f (A)) ⊇ A ∩ dom ( f ) = A ∩ D.
The proof of the above results are standard and is therefore omitted.
2.5 Algebra of Sets

Definition 2.6 A set X is said to be finite if it is either empty or the range
of a function on {1, 2, . . . , n}, with n ∈ IN. It is said to be countable if it
is either empty or the range of a function on IN.
Definition 2.7 Let X be a set and A ⊆ X2. A is said to be an algebra of

sets on X (or a Boolean algebra on X) if
(i) ∅, X ∈ A;
e ∈ A.
(ii) ∀A, B ∈ A, A ∪ B ∈ A and A
A is said to be a σ-algebra on X if it is an algebra on X and countable

unions of sets in A is again in A.
Let M ⊆ X2, where X is a set, then, there exists a smallest algebra on

X, A0 ⊆ X2, containing M, which means that any algebra on X, A1 ⊆ X2,
that contains M, we have A0 ⊆ A1 . This algebra A0 is said to be the
algebra on X generated by M. Also, there exists a smallest σ-algebra on
X, A ⊆ X2, containing M, which is said to be the σ-algebra on X generated
by M.
Proposition 2.8 Let X be a set, E be a nonempty collection of subsets of

X, A be the algebra on X generated by E, and

Ā := A ⊆ X ∃n, m ∈ IN, ∀i1 , . . . , i2n ∈ {1, . . . , m}, ∃Fi1 ,...,i2n ⊆ X
∼
with Fi1 ,...,i2n ∈ E or ( Fi1 ,...,i2n ) ∈ E, such that
m \
[ m \m
A= ··· Fi1 ,...,i2n
i1 =1 i2 =1 i2n =1
Then, A = Ā.
Proof ∀E ∈ E, let n = 1, m = 1, and F1,1 = E. Then, E =

S1 T1
i1 =1 i2 =1 i1 ,i2 ∈ Ā. Hence, we have E ⊆ Ā. It is clear that Ā ⊆ A. All
F
we need to show is that Ā is an algebra on X. Then, A ⊆ Ā and the result
follows.
Fix E ∈ E = 6 ∅. E ⊆ X. Let n = 1, m = 2, F1,1 = E, F1,2 = E, e

e Then, ∅ = S2 T2
F2,1 = E, and F2,2 = E. i1 =1 i2 =1 Fi1 ,i2 ∈ Ā. Let n = 1,
m = 2, F1,1 = E, F1,2 = E, F2,1 = E, e and F2,2 = E. e Then, X =
S2 T2
i1 =1 i2 =1 Fi1 ,i2 ∈ Ā.
hAi
∀A, B ∈ Ā, ∃nA , mA ∈ IN, ∀i1 , . . . , i2nA ∈ {1, . . . , mA }, ∃Fi1 ,...,i2n ⊆ X
∼ A
hAi hAi
with Fi1 ,...,i2n ∈ E or Fi1 ,...,i2n ∈ E such that A =
A A
SmA TmA TmA hAi
i1 =1 i2 =1 · · · F
i2nA =1 i1 ,...,i2nA , and ∃nB , mB ∈ IN, ∀i1 , . . . , i2nB ∈
∼
hBi hBi hBi
{1, . . . , mB }, ∃Fi1 ,...,i2n ⊆ X with Fi1 ,...,i2n ∈ E or Fi1 ,...,i2n ∈ E
B B B
SmB TmB TmB hBi
such that B = i1 =1 i2 =1 · · · i2n =1 Fi1 ,...,i2n .
T SmA
B
SmA B ∼
e = mA hAi
Note that A i1 =1 i2 =1 · · · i2nA =1 Fi1 ,...,i2nA . Let n = nA + 1,
∼
hAi
m = mA , ∀i1 , . . . , i2n ∈ {1, . . . , m}, Gi1 ,...,i2n = Fi2 ,...,i2n−1 . Then,
e = Sm Tm · · · Tm
A i1 =1 i2 =1 i2n =1 Gi1 ,...,i2n ∈ Ā.
Without loss of generality, assume nA ≥ nB . Let n = nA and m =
mA + mB . Define ī = 1 + (i mod mA ) and ĩ = 1 + (i mod mB ), ∀i ∈ IN.
∀i1 , . . . , i2n ∈ {1, . . . , m}, let

 F hAi if i1 ≤ mA
i1 ,ī2 ,...,ī2nA
Gi1 ,...,i2n = hBi
 F if i1 > mA
1 i −m ,ĩ ,...,ĩ
A 2 2nB
Tm SmTm
Then, it is easy to check that A∪B = i1 =1 i2 =1 · · · i2n =1 Gi1 ,...,i2n ∈ Ā.
Hence, Ā is an algebra on X.
2.6 Partial Ordering and Total Ordering

Definition 2.9 Let A be a set and be a relation on A. will be called
a partial ordering if it is reflexive and transitive. It will be called a total
ordering is it is an antisymmetric partial ordering and satisfies ∀x, y ∈ A
with x 6= y, we have either x y or y x (not both).
As an example, the set containment “⊆” is a partial ordering on any

collection of sets; while “≤” is a total ordering on any subset of IR.
Definition 2.10 Let A be a set with a partial ordering “”.

1. a ∈ A is said to be minimal if, ∀x ∈ A, x a implies a x;
2. a ∈ A is said to be the least element if, ∀x ∈ A, a x, and x a
implies that x = a.
3. a ∈ A is said to be maximal if, ∀x ∈ A, a x implies x a;
2.6. PARTIAL ORDERING AND TOTAL ORDERING 23
4. a ∈ A is said to be the greatest element if, ∀x ∈ A, x a, and a x

implies that x = a.
Definition 2.11 Let A be a set with a partial ordering “”, and E ⊆ A.

1. a ∈ A is said to be an upper bound of E if x a, ∀x ∈ E. It is the
least upper bound of E if it is the least element in the set of all upper
bounds of E;
2. a ∈ A is said to be a lower bound of E if a x, ∀x ∈ E. It is the
greatest lower bound of E if it is the greatest element in the set of all
lower bounds of E;

Proposition 2.12 Let A be a set with a partial ordering “”. Then, the
following holds.
(i) If a ∈ A is the least element, then it is minimal.
(ii) There is at most one least element in A.
(iii) Define a relation by ∀x, y ∈ A, x y if y x. Then, is
a partial ordering on A. Furthermore, is antisymmetric if is
antisymmetric.
1. a ∈ A is the least element for (E, ) if, and only if, it is the
greatest element for (E, ).
2. a ∈ A is minimal for (E, ) if, and only if, it is maximal for
(E, ).
(iv) If a ∈ A is the greatest element, then it is maximal.
(v) There is at most one greatest element in A.
(vi) If is antisymmetric, then a ∈ A is minimal if, and only if, there
does not exist x ∈ A such that x a and x 6= a.
(vii) If is antisymmetric, then a ∈ A is maximal if, and only if, there
does not exist x ∈ A such that a x and x 6= a.
(viii) If is antisymmetric, then it is a total ordering if, and only if,
∀x1 , x2 ∈ A, we have x1 x2 or x2 x1 .
Proof (i) is straightforward from Definition 2.10.
For (ii), let a1 and a2 be least elements of A. By a1 being the least
element, we have a1 a2 . By a2 being the least element, we then have
a1 = a2 . Hence, the least element is unique if it exists.
For (iii), ∀x, y, z ∈ A, Since x x implies x x, then is reflexive. If
x y and y z, we have y x and z y, which implies z x, and hence
x z. This shows that is transitive. Hence, is a partial ordering on

A.
When is antisymmetric, x y and y x implies that x y and
y x, and therefore x = y. Hence, is also antisymmetric.
For 1, “only if” let a ∈ A be the least element in (E, ). a x implies
x a, ∀x ∈ A. ∀x ∈ A with a x, we have x a, by a being the least
element in (E, ), we have x = a. Hence, a is the greatest element in
(E, ). The “if” part is similar to the “only if” part.
For 2, “only if” let a ∈ A be a minimal element for (E, ). Then,
∀x ∈ A with a x implies x a and hence a x, which yields x a.
Hence, a is a maximal element for (E, ). The “if” part is similar to the
“only if” part.
(iv) is straightforward from Definition 2.10.
For (v), Let a1 and a2 be greatest elements of A. By a1 being the
greatest element, we have a2 a1 . By a2 being the greatest element, we
then have a1 = a2 . Hence, the greatest element is unique if it exists.
For (vi), “if”, ∀x ∈ A with x a, then, we have a = x, which means
that a x; hence a is minimal. “Only if”, suppose that ∃x ∈ A such that
x a and x 6= a. Note that a x since a is minimal. Then, a = x, since
is antisymmetric, which is a contradiction.
For (vii), “if”, ∀x ∈ A with a x, then, we have a = x, which means
that x a; hence a is maximal. “Only if”, suppose that ∃x ∈ A such that
a x and x 6= a. Note that x a since a is maximal. Then, a = x, since
is antisymmetric, which is a contradiction.
For (viii), “if”, ∀x1 , x2 ∈ A with x1 6= x2 , we must have x1 x2 or
x2 x1 . They can not hold at the same time since, otherwise, x1 = x2 ,
which is a contradiction. “Only if”, ∀x1 , x2 ∈ A, when x1 = x2 , then
x1 x2 ; when x1 6= x2 , then x1 x2 or x2 x1 ; hence, in both cases, we
have x1 x2 or x2 x1 .
2.7 Basic Principles

Now, we introduce the last axiom in ZFC axiom system.
Axiom 9 (Axiom of Choice) Let ( Aλ )λ∈Λ be a collection of nonempty

sets, Λ is a set, (this
S collection is a set by Axiom 5), then, there exists a
function f : Λ → λ∈Λ Aλ , such that, ∀λ ∈ Λ, we have f (λ) ∈ Aλ .
With Axioms 1–8 holding, the Axiom of Choice is equivalent to the

following three results.
Theorem 2.13 (Hausdorff Maximal Principle) Let be a partial or-

dering on a set E. Then, there exists a maximal (with respect to set con-
tainment ⊆) subset F ⊆ E, such that is a total ordering on F .
2.7. BASIC PRINCIPLES 25
Theorem 2.14 (Zorn’s Lemma) Let be an antisymmetric partial or-

dering on a nonempty set E. If every nonempty totally order subset F of
E has an upper bound in E, then, there is a maximal element in E.
Definition 2.15 A well ordering of a set is a total ordering such that every
nonempty subset has a least element.
Theorem 2.16 (Well-Ordering Principle) Every set can be well or-

dered.
To prove the equivalence we described above, we need the following

result.
Lemma 2.17 Let E be a nonempty set and is an antisymmetric partial

ordering on E. Assume that every nonempty subset S of E, on which is
a total ordering, has a least upper bound in E. Let f : E → E be a mapping
such that x f (x), ∀x ∈ E. Then, f has a fixed point on E, i. e., ∃w ∈ E,
f (w) = w.
Proof Fix a point a ∈ E, since E 6= ∅. We define a collection of

“good” sets:

B = B ⊆ E (i) a ∈ B (ii) f (B) ⊆ B (iii) ∀F ⊆ B, F 6= ∅
F is totally ordered with implies that the least upper

bound of F belongs to B.
Consider the set

B0 := { x ∈ E | a x }
Clearly, B0 is nonempty since a ∈ B0 and
f (B0 ) = { f (x) ∈ E | a x f (x) } ⊆ B0
since f satisfies x f (x), ∀x ∈ E.

For any F ⊆ B0 , such that F is totally ordered with and F 6= ∅.
Let e0 be the least upper bound of F in E. Then, ∃x0 ∈ F such that
a x0 e0 , and therefore e0 ∈ B0 .
This shows that B0 ∈ B, and B is nonempty.
The following result holds for the collection B.
Claim
T 2.17.1 Let { Bα | α ∈ Λ } be any nonempty subcollection of B, then
α∈Λ α ∈ B.
B
T
Proof of claim: (i) a ∈ Bα , ∀α ∈ Λ. This
T implies a ∈ T α∈Λ Bα .
T (ii) By Proposition 2.5, we have f ( α∈Λ Bα ) ⊆ α∈Λ f (Bα ) ⊆
α∈Λ αB , where the
T last ⊆ follows from the fact f (Bα ) ⊆ Bα , ∀α ∈ Λ.
(iii) Let F ⊆ α∈Λ Bα , which is totally ordered by and F 6= ∅.
For any α ∈ Λ, F ⊆ Bα implies that the least upper bound of F is an

element
T of Bα . Therefore, the least upper bound of F is in the intersection
α∈Λ B α . T
This establishes α∈Λ Bα ∈ B, and completes the proof of the claim.
2
The claim shows that the collection B is closed under arbitraryT inter-
section, as long as the collection is nonempty. Define A := B∈B B. By
the above claim, we have A ∈ B, i. e., A is the smallest set in B.
Hence, A ⊆ B0 , i. e., the set A satisfies, in addition to (i) – (iii),
(iv) ∀x ∈ A, a x.
Define the relation ≺ on E as ∀x, y ∈ E, x ≺ y if, and only if, x y
and x 6= y.
Define the set P by
P = { x ∈ A | ∀y ∈ A, y ≺ x ⇒ f (y) x }
Clearly, a ∈ P , since there does not exists any y ∈ A such that y ≺ a,

by being antisymmetric. Therefore, P is nonempty.
We claim that
Claim 2.17.2 (v) ∀x ∈ P , ∀z ∈ A, then z x or f (x) z.
Proof of claim: Fix x ∈ P , and let
B := { z ∈ A | z x } ∪ { z ∈ A | f (x) z }
We will show that B ∈ B.

(i) a ∈ A, x ∈ P ⊆ A, by (iv), a x, which further implies that a ∈ B.
(ii) ∀z ∈ B ⊆ A, then f (z) ∈ A since A ∈ B. There are three exhaustive
scenarios. If z ≺ x, since x ∈ P and z ∈ B ⊆ A, then f (z) x. This
implies that f (z) ∈ B. If z = x, then f (x) f (x) = f (z). This implies
that f (z) ∈ B. If f (x) z, then f (x) z f (z). This again implies
that f (z) ∈ B. Hence, in all three scenarios, we have f (z) ∈ B. Then,
f (B) ⊆ B by the arbitraryness of z ∈ B.
(iii) Let F 6= ∅ be any totally ordered subset of B and e0 ∈ E be the least
upper bound of F . Since F ⊆ B ⊆ A and A ∈ B, then e0 ∈ A. There
are two exhaustive scenarios. If there exists y ∈ F such that f (x) y,
then, f (x) y e0 . This implies e0 ∈ B. If, for any y ∈ F , y x, then
F ⊆ { z ∈ A | z x }. This implies that x is an upper bound of F and
e0 x, since e0 is the least upper bound of F . Therefore, e0 ∈ B. In both
of the cases, we have e0 ∈ B.
This establishes that B ∈ B. By A being the smallest set in B, we have
A = B. Therefore, the claim is proven. 2
Now, we show that P ∈ B.
(i) a ∈ P and therefore P 6= ∅.
(ii) Fix an x ∈ P ⊆ A. Then, f (x) ∈ A. ∀y ∈ A such that y ≺ f (x).
We need to show that f (y) f (x), which then implies f (x) ∈ P . By (v),
there are two exhaustive scenarios. If y x, then y x. If f (x) y, then

f (x) y ≺ f (x) form a contradiction by being antisymmetric. Therefore,
we must have y x, which results in the following two exhaustive scenarios.
If y ≺ x, then f (y) x since x ∈ P . This implies that f (y) x f (x). If
y = x, then f (y) = f (x) f (x). In both cases, we have f (y) f (x). By
the arbitraryness of y, we have f (x) ∈ P , which further implies f (P ) ⊆ P
by the arbitraryness of x ∈ P .
(iii) Let F 6= ∅ be a totally ordered subset in P . Let e0 ∈ E be the least
upper bound of F . We have F ⊆ A implies that e0 ∈ A by A ∈ B. ∀z ∈ A
with z ≺ e0 , implies that z must not be an upper bound of F . Therefore,
∃x0 ∈ F such that x0 6 z. By (v), we have z ≺ x0 . Hence, by x0 ∈ F ⊆ P ,
z ∈ A, and z ≺ x0 , we have f (z) x0 . Therefore, f (z) e0 since e0 is an
upper bound of F . This further implies that e0 ∈ P by the arbitraryness
of z.
This proves that P ∈ B.
Since P ⊆ A and A is the smallest set in B, then, P = A.
The set A satisfies properties (i) – (v).
For any x1 , x2 ∈ A, by (v), there are two exhaustive scenarios. If
x1 x2 , then, x1 and x2 are related through . If f (x2 ) x1 , then, x2
f (x2 ) x1 , which implies that x1 and x2 are related through . Therefore,
x1 and x2 are related through in both cases. Then, by Proposition 2.12
(viii), A is totally ordered by and nonempty. Let w ∈ E be the least
upper bound of A. Then, w ∈ A, since A ∈ B.
Therefore, f (w) ∈ A by f (A) ⊆ A, which implies that f (w) w. This
coupled with w f (w) yields f (w) = w, since is antisymmetric.
This completes the proof of the lemma. 2
Theorem 2.18 Under the Axioms 1–8, the following are equivalent.
1. Axiom of Choice
2. Hausdorff Maximum Principle
3. Zorn’s Lemma
4. Well-ordering principle
Proof 1. ⇒ 2. Define
E := { A ⊆ E | defines a total ordering on A }
Clearly, ∅ ∈ E, then E =
6 ∅. Define a partial ordering on E by ⊆, which is
set containment. This partial ordering ⊆ is clearly reflexive, transitive, and
antisymmetric.
∀A ∈ E, define a collection

{ B ∈ E | A ⊂ B } if ∃B ∈ E such that A ⊂ B
AA :=
{A} otherwise
Clearly, AA 6= ∅. By Axiom of Choice, ∃T : E → E such that T (A) = B ∈

AA , ∀A ∈ E.
We will show that T admits a fixed point by Lemma 2.17. Let SB ⊆ E
be any nonempty subset on which ⊆ is a total ordering. Let C := B∈B B.
Clearly, C ⊆ E. We will show is a total ordering on C. Since is a
partial ordering on E, then it is a partial ordering on C. ∀x1 , x2 ∈ C,
∃B1 , B2 ∈ B such that x1 ∈ B1 and x2 ∈ B2 . Since ⊆ is a total ordering
on B, then, we may without loss of generality assume B1 ⊆ B2 . Then,
x1 , x2 ∈ B2 . Since B2 ∈ B ⊆ E, then is a total ordering on B2 , which
means that we have x1 x2 or x2 x1 . Furthermore, if x1 x2 and
x2 x1 , then x1 = x2 by being antisymmetric on B2 . Therefore, by
Proposition 2.12, is a total ordering on C. Hence, C ∈ E. This shows
that B admits least upper bound C in E with respect to ⊆. By the definition
of T , it is clear that A ⊆ T (A), ∀A ∈ E. By Lemma 2.17, T has a fixed
point on E, i. e., ∃A0 ∈ E such that T (A0 ) = A0 .
By the definitions of T and AA0 , there does not exist B ∈ E such that
A0 ⊂ B. Hence, by Proposition 2.12 (vii), A0 is maximal in E with respect
to ⊆.
2. ⇒ 3. Let E be a nonempty set with an antisymmetric partial ordering
. By Hausdorff Maximum Principle, there exists a maximal (with respect
to ⊆) totally ordered (with respect to ) subset F ⊆ E. We must have
F 6= ∅, otherwise, let x0 ∈ E (since E 6= ∅), F ⊂ {x0 } ⊆ E and {x0 }
is totally ordered by , which violates the fact that F is maximal (with
respect to ⊆). Then, F has an upper bound e0 ∈ E.
Claim 2.18.1 e0 ∈ F .
Proof of claim: Suppose e0 6∈ F . Define A := F ∪ {e0 } ⊆ E. Clearly,
F ⊆ A and F 6= A. We will show that is a total ordering on A. Clearly,
is an antisymmetric partial ordering on A since it is an antisymmetric
partial ordering on E. ∀x1 , x2 ∈ A, we will distinguish 4 exhaustive and
mutually exclusive cases: Case 1: x1 , x2 ∈ F ; Case 2: x1 ∈ F , x2 = e0 ;
Case 3: x1 = e0 , x2 ∈ F ; Case 4: x1 = x2 = e0 . In Case 1, we have x1 x2
or x2 x1 since is a total ordering on F . In Case 2, we have x1 x2 = e0
since e0 is an upper bound of F . In Case 3, we have x2 x1 = e0 . In Case
4, we have x1 = e0 e0 = x2 . Hence, is a total ordering on A. Note
that F ⊆ A and F 6= A. By Proposition 2.12 (vii), this contradicts with
the fact that F is maximal with respect to ⊆. Therefore, we must have
e0 ∈ F . This completes the proof of the claim. 2
∀e1 ∈ E such that e0 e1 . ∀x ∈ F , we have x e0 e1 . Hence, e1
is an upper bound of F . By Claim 2.18.1, we must have e1 ∈ F . Then,
e1 e0 since e0 is an upper bound of F . This shows that e0 is maximal in
E with respect to .
3. ⇒ 4. Let E be a set. It is clear that ∅ ⊆ E is well-ordered by the
empty relation. Define
E := { (Aα , α ) | Aα ⊆ E, Aα is well-ordered by α }
Then, E = 6 ∅. Define an ordering on E by ∀(A1 , 1 ), (A2 , 2 ) ∈ E, we say

(A1 , 1 ) (A2 , 2 ) if the following three conditions hold: (i) A1 ⊆ A2 ; (ii)
2 = 1 on A1 ; (iii) ∀x1 ∈ A1 , ∀x2 ∈ A2 \ A1 , we have x1 2 x2 .
Now, we will show that defines an antisymmetric partial ordering on
E. ∀(A1 , 1 ), (A2 , 2 ), (A3 , 3 ) ∈ E. Clearly, (A1 , 1 ) (A1 , 1 ). Hence,
is reflexive. If (A1 , 1 ) (A2 , 2 ) and (A2 , 2 ) (A3 , 3 ), we have
A1 ⊆ A2 ⊆ A3 , and (i) holds; (ii) 3 = 2 on A2 and 2 = 1 on A1
implies that 3 = 1 on A1 ; (iii) ∀x1 ∈ A1 , ∀x2 ∈ A3 \ A1 , we have 2
exhaustive senarios: if x2 ∈ A2 , then x2 ∈ A2 \ A1 which implies x1 2 x2
and hence x1 3 x2 ; if x2 ∈ A3 \ A2 , then we have x1 ∈ A2 and x1 3 x2 ,
thus, we have x1 3 x2 in both cases. Therefore, (A1 , 1 ) (A3 , 3 ) and
hence is transitive. If (A1 , 1 ) (A2 , 2 ) and (A2 , 2 ) (A1 , 1 ),
then A1 ⊆ A2 ⊆ A1 ⇒ A1 = A2 and 2 = 1 on A1 . Hence, (A1 , 1 ) =
(A2 , 2 ), which shows that is antisymmetric. Therefore, defines an
antisymmetric partial ordering on E.
Let A ⊆ E be any nonempty subset totally ordered by . Take S A=
{ (Aα , α ) | α ∈ Λ } where Λ 6= ∅ is an index set. Define A := α∈Λ Aα .
Define an ordering on A by: ∀x1 , x2 ∈ A, ∃(A1 , 1 ), (A2 , 2 ) ∈ A
such that x1 ∈ A1 and x2 ∈ A2 , without loss of generality, assume that
(A1 , 1 ) (A2 , 2 ) since A is totally ordered by , then x1 , x2 ∈ A2 , we
will say that x1 x2 if x1 2 x2 . We will now show that this ordering is
uniquely defined independent of (A2 , 2 ) ∈ A. Let (A3 , 3 ) ∈ A be such
that x1 , x2 ∈ A3 . Since A is totally ordered by , then there are two ex-
haustive cases: Case 1: (A3 , 3 ) (A2 , 2 ); Case 2: (A2 , 2 ) (A3 , 3 ).
In Case 1, we have A3 ⊆ A2 and 3 = 2 on A3 , which implies that x1 x2
⇔ x1 2 x2 ⇔ x1 3 x2 . In Case 2, we have A2 ⊆ A3 and 3 = 2 on A2 ,
which implies that x1 x2 ⇔ x1 2 x2 ⇔ x1 3 x2 . Hence, the ordering
is well-defined on A.
Next, we will show that is a total ordering on A. ∀x1 , x2 , x3 ∈ A.
∃(Ai , i ) ∈ A such that xi ∈ Ai , i = 1, 2, 3. Since A is totally ordered
by , then, without loss of generality, assume that (A1 , 1 ) (A2 , 2 )
(A3 , 3 ). Then, x1 , x2 , x3 ∈ A3 . Clearly, x1 x1 since x1 3 x1 , which
implies that is reflective. If x1 x2 and x2 x3 , then, x1 3 x2 3 x3 ,
which implies x1 3 x3 since 3 is transitive on A3 , and hence, x1 x3 .
This shows that is transitive. If x1 x2 and x2 x1 , then x1 3 x2 and
x2 3 x1 , which implies that x1 = x2 since 3 is antisymmetric on A3 . This
shows that is antisymmetric. Since 3 is a well-ordering on A3 , then we
must have x1 3 x2 ⇔ x1 x2 or x2 3 x1 ⇔ x2 x1 . Hence, defines a
total ordering on A.
Next, we will show that is a well-ordering on A. ∀B ⊆ A with
B 6= ∅. Fix x0 ∈ B. Then, ∃(A1 , 1 ) ∈ A such that x0 ∈ A1 . Note that
∅ 6= B ∩ A1 ⊆ A1 . Since A1 is well-ordered by 1 , then ∃e ∈ B ∩ A1 ,
which is the least element of B ∩ A1 . ∀y ∈ B ⊆ A, ∃(A2 , 2 ) ∈ A such
that y ∈ A2 . We have 2 exhaustive and mutually exclusive cases: Case 1:
y ∈ A1 ; Case 2: y ∈ A2 \ A1 . In Case 1, e 1 y since e is the least element
of B ∩ A1 , which implies that e y. In Case 2, since A is totally ordered

by , we must have (A1 , 1 ) (A2 , 2 ), which implies that e 2 y, by (iii)
in the definition of , and hence e y. In both cases, we have shown that
e y. Since is a total ordering on A, then e is the least element of B.
Therefore, is a well ordering on A, which implies (A, ) ∈ E.
∀(A1 , 1 ) ∈ A. (i) A1 ⊆ A. (ii) ∀x1 , x2 ∈ A1 , x1 1 x2 ⇔ x1 x2 ;
hence = 1 on A1 . (iii) ∀x1 ∈ A1 , ∀x2 ∈ A \ A1 , ∃(A2 , 2 ) ∈ A such
that x2 ∈ A2 \ A1 ; since A is totally ordered by , then, we must have
(A1 , 1 ) (A2 , 2 ); hence x1 2 x2 and x1 x2 . Therefore, we have shown
(A1 , 1 ) (A, ). Hence, (A, ) ∈ E is an upper bound of A.
By Zorn’s Lemma, there is a maximal element (F, F ) ∈ E. We claim
that F = E. We will prove this by an argument of contradiction. Suppose
F ⊂ E, then ∃x0 ∈ E \ F . Let H := F ∪ {x0 }. Define an ordering H on H
by: ∀x1 , x2 ∈ H, if x1 , x2 ∈ F , we say x1 H x2 if x1 F x2 ; if x1 ∈ F and
x2 = x0 , then we let x1 H x2 ; if x1 = x2 = x0 , we let x1 H x2 . Now, we
will show that H is a well ordering on H. ∀x1 , x2 , x3 ∈ H. If x1 ∈ F , then,
x1 F x1 and x1 H x1 ; if x1 = x0 , then x1 H x1 . Hence, H is reflexive.
If x1 H x2 and x2 H x3 . We have 4 exhaustive and mutually exclusive
cases: Case 1: x1 , x3 ∈ F ; Case 2: x1 ∈ F and x3 = x0 ; Case 3: x3 ∈ F and
x1 = x0 ; Case 4: x1 = x3 = x0 . In Case 1, we must have x2 ∈ F and then
x1 F x2 and x2 F x3 , which implies that x1 F x3 , and hence x1 H x3 .
In Case 2, we have x1 H x3 . In Case 3, we must have x2 = x0 , which leads
to a contradiction x0 H x3 , hence, this case is impossible. In Case 4, we
have x1 H x3 . In all cases except that is impossible, we have x1 H x3 .
Hence, H is transitive. If x1 H x2 and x2 H x1 . We have 4 exhaustive
and mutually exclusive cases: Case 1: x1 , x2 ∈ F ; Case 2: x1 ∈ F and
x2 = x0 ; Case 3: x2 ∈ F and x1 = x0 ; Case 4: x1 = x2 = x0 . In Case 1,
we have x1 F x2 and x2 F x1 , which implies that x1 = x2 since F is
antisymmetric on F . In Case 2, we have x0 H x1 , which is a contradiction,
and hence this case is impossible. In Case 3, we have x0 H x2 , which
is a contradiction, and hence this case is impossible. In Case 4, we have
x1 = x2 . In all cases except those impossible, we have x1 = x2 . Hence,
H is antisymmetric. When x1 , x2 ∈ F , then, we must have x1 F x2 or
x2 F x1 since F is a well ordering on F , and hence x1 H x2 or x2 H x1 .
When x1 ∈ F and x2 = x0 , then x1 H x2 . When x2 ∈ F and x1 = x0 ,
then x2 H x1 . When x1 = x2 = x0 , then x1 H x2 . This shows that
H is a total ordering on H. ∀B ⊆ H with B 6= ∅. We will distinguish
two exhaustive and mutually exclusive cases: Case 1: B = {x0 }; Case 2:
B 6= {x0 }. In Case 1, x0 is the least element of B. In Case 2, B \ {x0 } ⊆ F
and is nonempty, and hence admits a least element e0 ∈ B \ {x0 } ⊆ F with
respect to F . ∀x ∈ B, if x ∈ B \ {x0 }, then e0 F x and hence e0 H x; if
x = x0 , then e0 H x. Hence, e0 is the least element of B since H is a total
ordering on H. Therefore, H is a well ordering on H and (H, H ) ∈ E.
Clearly, F ⊂ H, F = H on F , and ∀x1 ∈ F and ∀x2 ∈ H \F , we have
x2 = x0 and x1 H x2 . This implies that (F, F ) (H, H ). Since (F, F )
is maximal in E with respect to , we must have (H, H ) (F, F ), and

hence, H ⊆ F . This is a contradiction. Therefore, F = E and E is well
ordered by F .
4. ⇒ 1.
S Let ( Aλ )λ∈Λ be a collection of nonempty sets, and Λ is a set.
Let A := λ∈Λ Aλ . By Well-Ordering Principle, A may be well ordered by
. ∀λ ∈ Λ, Aλ ⊆ A is nonempty and admits the least element eλ ∈ Aλ .
This defines a function f : Λ → A by f (λ) = eλ ∈ Aλ , ∀λ ∈ Λ.
This completes the proof of the theorem. 2
Example 2.19 Let Λ be an index set and ( Aα )α∈Λ be Q a collection of
sets. SWe will try to define the Cartesian (direct) product α∈Λ Aα . Let
A = α∈Λ Aα , which is a set by the Axiom of Union. Then, as we discussed
in Section 2.3, AΛ is a set, which consists of all functions of Λ to A. Define
the projection functions πα : AΛ → A, ∀α ∈ Λ, by, ∀f ∈ AΛ , πα (f ) = f (α).
Then, we may define the set
Y
Aα := f ∈ AΛ πα (f ) ∈ Aα , ∀α ∈ Λ
α∈Λ
Q When all of Aα ’s are nonempty, then, by Axiom of Choice, the product

α∈Λ Aα is also nonempty. ⋄
Chapter 3
Topological Spaces
3.1 Fundamental Notions

Definition 3.1 A topological space (X, O) consists of a set X and a col-
lection O of subsets (namely, open subsets) of X such that
(i) ∅, X ∈ O;
(ii) ∀O1 , O2 ∈ O, we have O1 ∩ O2 ∈ O;

S
(iii) ∀ ( Oα )α∈Λ ⊆ O, where Λ is an index set, we have α∈Λ Oα ∈ O.
The collection O is called a topology for the set X.
Definition 3.2 Let (X, O) be a topological space and F ⊆ X. The com-

plement of F is Fe := X \
\ F . F is said to be closed if Fe ∈ O. The closure
of F is given by F := B, which is clearly a closed set. The interior
F ⊆B
e
[
B∈O
of F is given by F ◦ := B, which is clearly an open set. A point of

B⊆F
B∈O
closure of F is a point in F . An interior point of F is a point in F ◦ . A

boundary point of F is a point x ∈ X such that ∀O ∈ O with x ∈ O, we
have O ∩ F 6= ∅ and O ∩ Fe 6= ∅. The boundary of F , denoted by ∂F , is
the set of all boundary points of F . An exterior point of F is a point in
Fe ◦ , where Fe ◦ is called the exterior of F . An accumulation point of F is a
point x ∈ X such that ∀O ∈ O with x ∈ O, we have O ∩ (F \ {x}) 6= ∅.
Clearly, ∅ and X are both closed and open.
Proposition 3.3 Let (X, O) be a topological space and A, B, E are subsets

of X. Then,
33
34 CHAPTER 3. TOPOLOGICAL SPACES
e
e ◦ = E;
(i) E ⊆ E, E = E, E ◦ ⊆ E, (E ◦ )◦ = E ◦ , and E
(ii) ∀x ∈ X, x is a point of closure of E if, and only if, ∀O ∈ O with
x ∈ O, we have O ∩ E 6= ∅;
(iii) ∀x ∈ X, x is an interior point of E if, and only if, ∃O ∈ O with
x ∈ O such that O ⊆ E;
(iv) A ∪ B = A ∪ B, (A ∩ B)◦ = A◦ ∩ B ◦ ;
(v) E is closed if, and only if, E = E;
(vi) E = E ◦ ∪ ∂E.
e◦ ;
(vii) X equals to the disjoint union E ◦ ∪ ∂E ∪ E
⊆ E. Then, e
Proof (i) Clearly, E\ \ E ⊆ E. ∀C ⊇ E with C ∈ O, we
have C ⊇ E. Then, E = C⊇ C = E. Hence, we have E = E.
C⊇E C⊇E
e
C∈O e
C∈O
Clearly, E ◦ ⊆ E. Note that
∼
e = \ B
E =
[
e=
B
[
e◦
O=E
B⊇E B⊇E e
O⊆E
e
B∈O e
B∈O O∈O
Furthermore,
◦ ◦ e ◦
◦ ◦ ee ◦ ee ee
e=E ee
(E ) = E = E =E = E = E◦
T
(ii) “Only if” ∀x ∈ E, we have x ∈ B⊇E B. ∀O ∈ O with x ∈ O, let
e
B∈O
O1 := O ∪ E e ∈ O. Note that x ∈ O and E ∩ E e = ∅. Suppose O ∩ E = ∅.

1
Then, E ∩ O1 = ∅, which further implies that E ⊆ O f1 . Then, E ⊆ O
f1 and
f
x ∈ O1 . This contradicts with x ∈ O. Hence, O ∩ E 6= ∅.
“If” ∀x ∈ E e =E e ◦ ∈ O. Then, ∃O := E e ◦ ∈ O such that E ∩ O = ∅.
Hence, the result holds.
(iii) “Only if” ∀x ∈ E ◦ ⊆ E, then E ◦ ∈ O. S
“If” ∀x ∈ X, ∃O ∈ O such that x ∈ O ⊆ E. Then, x ∈ O ⊆ B⊆E B =
B∈O
E ◦ . Hence, the result holds.
(iv) Let B := { O ∈ O | O ⊆ A ∩ B }, BA := { O ∈ O | O ⊆ A }, and
BB := { O ∈ O | O ⊆ B }. ∀O1 ∈ BA and ∀O2 ∈ BB , then, O1 ∩ O2 ∈ B.
On the other hand, ∀O ∈ B, we have O = O ∩ O and O ∈ BA and O ∈ BB .
Then,
[ [
(A ∩ B)◦ = O= (O1 ∩ O2 )
O⊆A∩B O1 ⊆A,O2 ⊆B
O∈O O1 ,O2 ∈O
[ [
= O1 ∩ O2 = A◦ ∩ B ◦
O1 ⊆A O2 ⊆B
O1 ∈O O2 ∈O
3.1. FUNDAMENTAL NOTIONS 35
We also have
◦ ∼ ◦ ∼ ◦ ◦ ∼
A∪B = ^
A ∪B = e∩B
A e = e ∩ B
A e
= e^
A e =A∪B
∩B
(v) “If” E is closed since E = E and E is closed.

“Only if” Since E is closed, then E ⊆ E. Then, we have E = E. Hence,
the result holds.
(vi) This result follows directly from (ii), (iii), and Definition 3.2.
(vii) Note that X = E ∪ E e = E ◦ ∪ ∂E ∪ E e ◦ . By (iii) and Definition 3.2,
e
E ◦ and ∂E are disjoint. It is obvious that E is disjoint with E ◦ ∪ ∂E = E.
Hence, the result holds. 2
To simplify notation in the theory, we will abuse the notation to write
x ∈ X when x ∈ X and A ⊆ X when A ⊆ X for a topological space
X := (X, O). We will later simply discuss a topological space X without
further reference to components of X , where the topology is understood to
be OX . When it is clear from the context, we will neglect the subscript X .
Proposition 3.4 Let (X, O) be a topological space and A ⊆ X. A admits

the subset topology OA := { O ∩ A | O ∈ O }.
Proof Clearly, OA is a collection of subsets of A. ∅ = ∅ ∩ A ∈ OA and

A = X ∩ A ∈ OA . ∀OA1 , OA2 ∈ OA , ∃O1 , O2 ∈ O such that OA1 = O1 ∩ A
and OA2 = O2 ∩ A. Then, O1 ∩ O2 ∈ O since O is a topology. Then,
OA1 ∩ OA2 = (O1 ∩ O2 ) ∩ A ∈ OA . ∀ ( OAα )α∈Λ ⊆ OA , where Λ S is an index
set, we have, ∀α ∈ Λ, ∃Oα ∈ O such that OAα = Oα ∩A. Then, α∈Λ Oα ∈
S S
O since O is a topology. Therefore, α∈Λ OAα = O
α∈Λ α ∩ A ∈ OA .
Hence, OA is a topology on A. 2
Let (X, O) be a topological space and A ⊆ X. The property of a set
E ⊆ A being open or closed is relative with respect to (X, O), that is, this
property may change if we consider the subset topology (A, OA ).
Proposition 3.5 Let X be a topological space, A ⊆ X be endowed with the

subset topology OA , and E ⊆ A. Then,
(1) E is closed in OA if, and only if, E = A ∩ F , where F ⊆ X is closed
in OX ;
(2) the closure of E relative to (A, OA ) (the closure of E in OA ) is equal
to E ∩ A, where E is the closure of E relative to X .
Proof Here, the set complementation and set closure operation are
relative to X .
^
(1) “If” A \ E = A \ (A ∩ F ) = A ∩ A ∩ F = A ∩ Fe . Since F is closed
in OX , then Fe ∈ OX . Then, A \ E ∈ OA . Hence, E is closed in OA .
“Only if” A \ E ∈ OA . Then, ∃O ∈ OX such that A \ E = A ∩ O. Then,

E = A \ (A \ E) = A ∩ A ^ ∩ O = A ∩ O. e Hence, the result holds.
(2) By (1), E ∩ A is closed in OA . Then, the closure of E relative to
(A, OA ) is contained in E ∩ A. On the other hand, by Proposition 3.3, if
x ∈ X is a point of closure of E relative to X , then it is a point of closure of
E in OA if x ∈ A. Then, E ∩ A is contained in in the closure of E relative
to (A, OA ). Hence, the result holds.
Definition 3.6 For two topologies over the same set X, O1 and O2 , we
will say that O1 is stronger (finer) than O2 if O1 ⊃ O2 , in which case, O2
is said to be weaker (coarser) than O1 .
Proposition 3.7 Let X be a set and A ⊆ X2. Then, there exists the
weakest topology O on X such that A ⊆ O. This topology is called the
topology generated by A.

Proof Let M := X ⊆ X2 | A ⊆ X and X is a topology on X } and
T
O = X ∈M X . Clearly, X2 ∈ M and hence O is well-defined. Then,
(i) ∅, X ∈ X , ∀X ∈ M. Hence, ∅, X ∈ O.
(ii) ∀A1 , A2 ∈ O, we have A1 , A2 ∈ X , ∀X ∈ M. Then, A1 ∩ A2 ∈ X ,
∀X ∈ M. Hence, A1 ∩ A2 ∈ O.
(iii) ∀ ( Aα )α∈Λ ⊆ O,Swhere Λ is an index set, we have, ∀α ∈ Λ,
S ∀X ∈ M,
Aα ∈ X . Then, α∈Λ Aα ∈ X , ∀X ∈ M. Hence, we have α∈Λ Aα ∈
O.
Therefore, O is a topology on X. Clearly, A ⊆ O since A ⊆ X , ∀X ∈ M.
Therefore, O is the weakest topology containing A. 2
3.2 Continuity
Definition 3.8 Let (X, OX ) and (Y, OY ) be topological spaces and f : X →
Y (or f : (X, OX ) → (Y, OY ) to be more specific). Then, f is said to
be continuous if, ∀OY ∈ OY , we have f inv(OY ) ∈ OX . f is said to be
continuous at x0 ∈ X if, ∀OY ∈ OY with f (x0 ) ∈ OY , ∃U ∈ OX with
x0 ∈ U such that f (U ) ⊆ OY .
Proposition 3.9 Let X and Y be topological spaces and f : X → Y. f is

continuous if, and only if, ∀x0 ∈ X , f is continuous at x0 .
Proof “If” ∀OY ∈ OY , ∀x ∈ f inv(OY ) ⊆ X . Since f is continuous

at x, then ∃Ux ∈ OX with x ∈ Ux suchSthat f (Ux ) ⊆ OY , which implies
that Ux ⊆ f inv(OY ). Then, f inv(OY ) = x∈f inv(OY ) Ux ∈ OX . Hence, f is
continuous.
3.2. CONTINUITY 37
“Only if” ∀x0 ∈ X . ∀OY ∈ OY with f (x0 ) ∈ OY . Let U = f inv(OY ) ∈

OX . Then, x0 ∈ U and, by Proposition 2.5, f (U ) ⊆ OY . Hence, f is
continuous at x0 .
Proposition 3.10 Let X and Y be topological spaces and f : X → Y. f is

continuous if, and only if, ∀B ⊆ Y with B e ∈ OY , we have f^ inv(B) ∈ OX ,
that is, the inverse image of any closed set in Y is closed in X .
Proof “If” ∀O ∈ OY , we have, by Proposition 2.5, f inv(O) =

^ e ∈ OX . Hence, f is continuous.
f inv(O)
“Only if” ∀B ⊆ Y with B e ∈ OY . Since f is continuous, then, by
Proposition 2.5, f^ e
inv(B) = f inv(B) ∈ OX . Hence, the result holds.
Theorem 3.11 Let X and Y be topological spaces, f : X → Y, and X =

X1 ∪ X2 , where X1 and X2 are both open or both closed. Let X1 and X2
be endowed with subset topologies OX1 and OX2 , respectively. Assume that
f |X1 : X1 → Y and f |X2 : X2 → Y are continuous. Then, f is continuous.
Proof Consider the case that X1 and X2 are both open. ∀x0 ∈ X .
Without loss of generality, assume x0 ∈ X1 . ∀O ∈ OY with f (x0 ) ∈ O.
Since f |X1 is continuous, then, by Proposition 3.9, ∃U ∈ OX1 with x0 ∈
U such that f |X1 (U ) ⊆ O. Since X1 ∈ OX , then U ∈ O. Note that
f (U ) = f |X1 (U ) ⊆ O, since U ⊆ X1 . Hence, f is continuous at x0 . By the
arbitraryness of x0 and Proposition 3.9, f is continuous.
Consider the case that X1 and X2 are both closed. ∀ closed subset
B ⊆ Y, we have f inv(B) ⊆ X. Then, f inv(B) ∩ X1 = ( f |X1 )inv(B) is
closed in OX1 , by Proposition 3.10 and the continuity of f |X1 . Similarly,
f inv(B) ∩ X2 = ( f |X2 )inv(B) is closed in OX2 . Since X1 and X2 are closed
sets in O, then, f inv(B) ∩ X1 and f inv(B) ∩ X2 are closed in O, by Propo-
sition 3.5. Then, f inv(B) = (f inv(B) ∩ X1 ) ∪ (f inv(B) ∩ X2 ) is closed in O.
By Proposition 3.10, f is continuous.
Proposition 3.12 Let X , Y, and Z be topological spaces, f : X → Y,

g : Y → Z, and x0 ∈ X . Assume that f is continuous at x0 and g is
continuous at y0 := f (x0 ). Then, g ◦ f : X → Z is continuous at x0 .
Proof ∀OZ ∈ OZ with g(f (x0 )) ∈ OZ . Since g is continuous at

f (x0 ), then ∃OY ∈ OY with f (x0 ) ∈ OY such that g(OY ) ⊆ OZ . Since f is
continuous at x0 , then ∃OX ∈ OX with x0 ∈ OX such that f (OX ) ⊆ OY .
Then, g(f (OX )) ⊆ OZ . Hence, g ◦ f is continuous at x0 . This completes
the proof of the proposition. 2
Definition 3.13 Let X and Y be topological spaces and f : X → Y. f

is said to be a homeomorphism between X and Y if it is bijective and
continuous and f inv : Y → X is also continuous. The spaces X and Y are
said to be homeomorphic if there exists a homeomorphism between them.
Any properties invariant under homeomorphisms are called topological

properties.
Homeomorphisms preserve topological properties in topological spaces.
Isomorphisms preserve algebraic properties in algebraic systems. Isometries
preserve metric properties in metric spaces.
Definition 3.14 Let X be a topological space and f : X → IR. f is said to

be upper semicontinuous if ∀a ∈ IR, f inv((−∞, a)) ∈ OX . f is said to be
upper semicontinuous at x0 ∈ X if ∀ǫ ∈ (0, ∞) ⊂ IR, ∃U ∈ OX with x0 ∈ U
such that f (x) < f (x0 ) + ǫ, ∀x ∈ U . f is said to be lower semicontinuous
if −f is upper semicontinuous.
Proposition 3.15 Let X be a topological space and f : X → IR. f is upper

semicontinuous if, and only if, f is upper semicontinuous at x0 , ∀x0 ∈ X .
Proof This is straightforward, and is therefore omitted. 2
Proposition 3.16 Let X and Y be topological spaces, f : X → IR and

g : X → IR be upper semicontinuous at x0 ∈ X , h : Y → X be continuous
at y0 ∈ Y, and h(y0 ) = x0 . Then, f + g is upper semicontinuous at x0
and f ◦ h is upper semicontinuous at y0 . Furthermore, if f is also lower
semicontinuous at x0 , then f is continuous at x0 .
Proof ∀ǫ ∈ (0, ∞) ⊂ IR, ∃Uf ∈ OX with x0 ∈ Uf such that f (x) <

f (x0 ) + ǫ, ∀x ∈ Uf , by the upper semicontinuity of f . By the upper
semicontinuity of g, ∃Ug ∈ OX with x0 ∈ Ug such that g(x) < g(x0 ) + ǫ,
∀x ∈ Ug . Then, x0 ∈ U := Uf ∩ Ug ∈ OX and (f + g)(x) = f (x) + g(x) <
f (x0 ) + ǫ + g(x0 ) + ǫ = (f + g)(x0 ) + 2ǫ, ∀x ∈ U . Hence, f + g is upper
semicontinuous at x0 .
∀ǫ ∈ (0, ∞) ⊂ IR, ∃Uf ∈ OX with x0 ∈ Uf such that f (x) < f (x0 ) + ǫ,
∀x ∈ Uf , by the upper semicontinuity of f . By the continuity of h, ∃Uh ∈
OY with y0 ∈ Uh such that h(y) ∈ Uf , ∀y ∈ Uh . Then, (f ◦ h)(y) <
f (h(y0 )) + ǫ, ∀y ∈ Uh . Hence, f ◦ h is upper semicontinuous at y0 .
∀ǫ ∈ (0, ∞) ⊂ IR, by the upper semicontinuity of f , ∃U1 ∈ OX with
x0 ∈ U1 such that f (x) < f (x0 ) + ǫ, ∀x ∈ U1 . By the lower semicontinuity
of f , ∃U2 ∈ OX with x0 ∈ U2 such that f (x) > f (x0 ) − ǫ, ∀x ∈ U2 . Then,
x0 ∈ U := U1 ∩ U2 ∈ OX and | f (x) − f (x0 ) | < ǫ, ∀x ∈ U . Hence, f is
continuous at x0 .
3.3. BASIS AND COUNTABILITY 39
3.3 Basis and Countability

Definition 3.17 Let (X, O) be a topological space and B ⊆ O. B is said
to be a basis of the topological space if, ∀O ∈ O, ∀x ∈ O, ∃B ∈ B such that
x ∈ B ⊆ O. Bx ⊆ O with x ∈ B, ∀B ∈ Bx , is said to be a basis at x ∈ X
if ∀O ∈ O with x ∈ O, ∃B ∈ Bx such that x ∈ B ⊆ O.
If B is a basis for the

S topology O, then the topology generated by B is
O and, ∀O ∈ O, O = x∈O Bx , where Bx ∈ B is such that x ∈ Bx ⊆ O.
Proposition 3.18 Let X be a set and B ⊆ X2. Then, B is a basis for

the topology generated by B, O, if, and only if, the following two conditions
hold:
S
(i) ∀x ∈ X, ∃B ∈ B such that x ∈ B; (that is, B∈B B = X;)
(ii) ∀B1 , B2 ∈ B, ∀x ∈ B1 ∩ B2 , ∃B3 ∈ B such that x ∈ B3 ⊆ B1 ∩ B2 .
Proof “Only if” Let B be a basis for O. Since X ∈ O, then ∀x ∈ X,

∃B ∈ B such that x ∈ B ⊆ X. So (i) is true. ∀B1 , B2 ∈ B ⊆ O, we have
B1 ∩ B2 ∈ O. ∀x ∈ B1 ∩ B2 , ∃B3 ∈ B such that x ∈ B3 ⊆ B1 ∩ B2 . Hence,
(ii) is also true.
“If” Define Ō := { O ⊆ X | ∀x ∈ O, ∃B ∈ B such that x ∈ B ⊆ O }.
Clearly, B ⊆ Ō and ∅ ∈ Ō. X ∈ Ō since (i). ∀O1 , O2 ∈ Ō, ∀x ∈ O1 ∩ O2 ,
we have x ∈ O1 and x ∈ O2 . Then, by the definition of Ō, ∃B1 , B2 ∈ B
such that x ∈ B1 ⊆ O1 and x ∈ B2 ⊆ O2 . Then, x ∈ B1 ∩ B2 . By (ii),
∃B3 ∈ B such that x ∈ B3 ⊆ B1 ∩ B2 ⊆ O1 ∩ O2 . Then, S O1 ∩ O2 ∈ Ō.
∀ ( Oα )α∈Λ ⊆ Ō, where Λ is an index set, let O = α∈Λ Oα . ∀x ∈ O,
∃α ∈ Λ such that x ∈ Oα . By the definition of Ō, ∃B ∈ B such that
x ∈ B ⊆ Oα ⊆ O. Hence, O ∈ Ō. Therefore, Ō is a topology on X. By the
definition of Ō, B is a basis for Ō. Note that Ō ⊇ O since O is the weakest
topology containing B. Then, B is a basis for O.
Example 3.19 For the real line IR, let A := { interval (a, b) | a, b ∈
IR, a < b }. Then, the topology generated by A, OIR , is the usual topology
on IR as we know before. By Proposition 3.18, A is a basis for this topology.
⋄
Definition 3.20 A topological space (X, O) is said to satisfy the first ax-
iom of countability if there exists a countable basis at each x ∈ X, i. e.,
∀x ∈ X, ∃Bx ⊆ O, which is countable, such that, ∀O ∈ O with x ∈ O, we
have ∃B ∈ Bx with x ∈ B ⊆ O; and ∀B ∈ Bx , we have x ∈ B. In this case,
we will say that the topological space is first countable. The topological space
is said to satisfy the second axiom of countability if there exists a countable
basis B for O, in which case, we will say that it is second countable.
Clearly, a second countable topological space is also first countable.

Example 3.21 The real line is first countable, where a countable basis
at any x ∈ IR consists of intervals of the form (x − r, x + r) with r ∈ Q and
r > 0. The real line is also second countable, where a countable basis for
the topology consists of intervals of the form (r1 , r2 ) with r1 , r2 ∈ Q and
r1 < r2 . ⋄
When basis are available on topological spaces X and Y, in Defini-
tions 3.8 and 3.14, we may restrict the open sets OY and U to be basis open
sets without changing the meaning of the definition. In Proposition 3.3, we
may restrict O to be a basis open set and the results still hold.
Definition 3.22 A collection ( Aα )α∈ΛSof sets, where Λ is an index set, is

said to be a covering of a set X if X ⊆ α∈Λ Aα . It is an open covering if
Aα ’s are open sets in a specific topological space.
Definition 3.23 A topological space X is said to be Lindelöf if any open

covering of X has a countable subcovering.
Proposition 3.24 A second countable topological space X is Lindelöf.
Proof Let ( Bi )i∈N be a countable basis for X , where N is a countable

index set. Let (SOα )α∈Λ be an open covering of X , whereS Λ isSan index set.
∀α ∈ Λ, Oα = i∈Nα Bi , where Nα ⊆ N . Then, X = α∈Λ i∈Nα Bi . We
may determine a subcollection ( Bi )i∈N̄ where N̄ ⊆ N such S that these Bi ’s
appears at least once in the previous union. Then, X = i∈N̄ Bi . ∀i ∈ N̄ ,
the collection Ai := { Oα | α ∈ Λ, Bi ⊆ Oα } is nonempty. Then, by
Axiom of Choice, there exists an assignment ( Oαi )i∈N̄ such that Oαi ∈ Ai ,
∀i ∈ N̄ . Then, we have ( Oαi )i∈N̄ is a countable subcover. This completes
3.4 Products of Topological Spaces

(Xα , Oα ) be a topological
Proposition 3.25 Let Λ be an index set, and Q
space, ∀α ∈ Λ. The product topology O on α∈Λ Xα is the topology
generated by
nY

B := Oα Oα ∈ Oα , ∀α ∈ Λ, and Oα = Xα for all but a finite
α∈Λ
o
number of α’s
Q collection B forms
The Q a basis for the topology O. We will also write
α∈Λ Xα , O = Q α∈Λ (Xα , Oα ). When (Xα , Oα ) = (X, O) =: X , ∀α ∈
Λ, we will denote α∈Λ (Xα , Oα ) by X Λ .
3.4. PRODUCTS OF TOPOLOGICAL SPACES 41
Q
Proof We will prove this by Proposition
Q 3.18. Since α∈Λ Xα ∈ B,
then (i) is true. ∀B1 , B2 ∈ B, B1 = α∈Λ O1α , O1α ∈ Oα , ∀αQ∈ Λ, and
O1α = Xα , ∀α ∈ Λ \ Λ1 , where Λ1 ⊆ Λ is a finite set; B2 = α∈Λ O2α ,
O2α ∈ Oα , ∀α ∈ Λ, and O2αQ= Xα , ∀α ∈ Λ \ Λ2 , where Λ2 ⊆ Λ is a finite
set. Let B3 = B1 ∩ B2 = α∈Λ (O1α ∩ O2α ). Clearly, O1α ∩ O2α ∈ Oα ,
∀α ∈ Λ, and O1α ∩ O2α = Xα , ∀α ∈ Λ \ (Λ1 ∪ Λ2 ), where Λ1 ∪ Λ2 ⊆ Λ is a
finite set. Hence, B3 ∈ B. Then, (ii) also holds. By Proposition 3.18, B is
a basis for O. This completes the proof of the proposition. 2
Definition 3.26 LetQXα be a topological space, ∀α ∈ Λ, where Λ is an
index set, and Y = α∈Λ Xα be the product topological space. Define a
collection of projection functions πα : Y → Xα , ∀α ∈ Λ, by πα (y) = yα for
y = ( yα )α∈Λ ∈ Y.
Proposition 3.27 Let (Xα , Oα )Qbe a topological space, ∀α ∈ Λ, where Λ
is an index set, and (Y, O) = α∈Λ (Xα , Oα ) be the product topological
space. Then, O is the weakest topology on which the projection functions
πα , ∀α ∈ Λ, are continuous.
Proof We will distinguish two exhaustive and mutually exclusive
cases: Case 1: Λ = ∅; Case 2: Λ 6= ∅. Case 1: Λ = ∅. (Y, O) =
({∅}, {∅, {∅}}). Then, O is the only topology on Y . Hence, the result
is true.
Case 2: Λ 6= ∅. Define
n Y

A := O⊆Y O= Oα , ∃α0 ∈ Λ such that Oα0 ∈ Oα0 and
α∈Λ
o
Oα = Xα , ∀α ∈ Λ \ {α0 }
Clearly, A 6= ∅ is the collection of inverse images of open sets under πα ,

∀α ∈ Λ. It is also clear that A ⊆ B ⊆ O, where B is the Tbasis for O that
we introduced in Proposition 3.25. ∀B ∈ B, we have B = ki=1 Ai for some
k ∈ IN and A1 , . . . , Ak ∈ A. Hence, the topology generated by A contains
B. Then, the topology generated by A equals to O. Hence, O is the weakest
topology containing A. This completes the proof of the proposition. 2
Proposition 3.28 Let Xi := (Xi , Oi ) be a second countable topological
space, ∀i ∈ N ⊆ IN, and N is aQcountable index set. Then, the product
topological space X := (X, O) := i∈N Xi is second countable.
Proof ∀i ∈ N , let Bi ⊆ Oi be a countable basis for Xi , without loss of
generality, assume Xi ∈ Bi . Let B be the basis for the product topological
space X as defined in Proposition 3.25. Define
nY

B̄ := Bi ⊆ X Bi ∈ Bi , ∀i ∈ N, and Bi = Xi for all but a finite
i∈N
o
number of i’s ⊆B⊆O
Since Bi ’s are countable, then B̄ is countable. We will show that B̄ is

a basis for O.Q ∀O ∈ O, ∀x ∈ O, ∃OB ∈ B such that x ∈ OB ⊆ O,
where OB = i∈N OBi , OBi ∈ Oi , ∀i ∈ N , OBi = Xi , ∀i ∈ N \ N̄ , and
N̄ ⊆ N is a finite set. ∀i ∈ N̄ , πi (x) ∈ OBi . Then, ∃Bi ∈QBi such that
πi (x) ∈ Bi ⊆ OBi . Let Bi := Xi , ∀i ∈ N \ N̄ . Let B := i∈N Bi ∈ B̄.
Clearly, x ∈ B ⊆ OB ⊆ O. Hence, B̄ is a basis for X . Then, X is second
countable. This completes the proof of the proposition. 2
Proposition 3.29 Let Xα := (Xα , Oα ) beQa topological space, ∀α ∈ Λ,

where Λ is an index set. Let X = (X, O) := α∈Λ Xα be the product space.
Q Q
Assume that Aα ⊆ Xα , ∀α ∈ Λ. Then, α∈Λ Aα = α∈Λ Aα .
Proof Note that

Y ∼ [
Aα = f)
παinv(Aα
α∈Λ α∈Λ
where πα : X → Xα is the projection function, ∀α ∈ Λ. ∀α ∈ Λ, by

f ∈ O . By Proposition 3.27, π is continuous. Then,
Definition 3.2, Aα α α
παinv(Af ) ∈ O. Then, Q A is a closed set in O.
Q
Clearly, α∈Λ Aα ⊆
α α∈Λ α
Q Q Q
α∈Λ Aα . Then, we have α∈Λ Aα ⊆ α∈Λ Aα .
Q
On the other hand, ∀x ∈ α∈Λ AQ α , ∀ basis open set O ∈ O with x ∈ O,
by Proposition 3.25, we have O = α∈Λ Oα , where Oα ∈ Oα , ∀α ∈ Λ,
and Oα = Xα for all but finitely many α’s. ∀α ∈ Λ, πα (x) ∈ Oα and
πα (x) ∈ Aα . By
Q PropositionQ3.3, Oα ∩ Aα 6= ∅. Then, by Axiom of Choice,
we have O ∩ ( α∈Λ Aα ) = α∈Λ (Oα ∩ Aα ) 6= ∅. Thus, by Proposition 3.3,
Q Q Q
x ∈ α∈Λ Aα . Hence, we have α∈Λ Aα ⊆ α∈Λ Aα .
Q Q
Therefore, α∈Λ Aα = α∈Λ Aα . This completes the proof of the
proposition. 2
An immediate consequence of the above proposition is thatQ if Aα ⊆ Xα
is closed, ∀α ∈ Λ, where Xα ’s are topological spaces, then α∈Λ Aα is
closed in the product topology.
Proposition 3.30 Let ( Λβ )β∈Γ be a collection of pairwise disjoint sets,

S
where Γ is an index set. Let (Xα , Oα ) be a topological space, ∀α ∈ β∈Γ Λβ .
Q
∀β ∈ Γ, ( α∈Λβ Xα , Ohβi ) is the product space with the product topol-
Q Q
ogy. ( β∈Γ α∈Λβ Xα , OhΓi ) is the product space of product spaces with
Q
the product topology. Let ( α∈S Xα , O) be the product space with the
β∈Γ Λβ
Q Q Q
product topology. Then, ( β∈Γ α∈Λβ Xα , OhΓi ) and ( α∈S Xα , O)
β∈Γ Λβ
are homeomorphic.
Q Q Q
Proof Define a mapping E : β∈Γ α∈Λβ Xα → α∈S Λβ Xα by,
Q Q S β∈Γ
∀x ∈ β∈Γ α∈Λβ Xα , ∀α ∈ β∈Γ Λβ , ∃! βα ∈ Γ ∋· α ∈ Λβα , πα (E(x)) =
hβ i hΓi
πα α (πβα (x)).
3.4. PRODUCTS OF TOPOLOGICAL SPACES 43
Q Q
∀y ∈ α∈
SXα . ∀β ∈ Γ, define xβ ∈ α∈Λβ Xα be such that
Λβ
β∈Γ
hβi Q Q hΓi
πα (xβ ) = πα (y), ∀α ∈ Λβ . Define x ∈ β∈Γ α∈Λβ Xα by πβ (x) =
S
xβ , ∀β ∈ Γ. Then, ∀α ∈ β∈Γ Λβ , ∃! βα ∋ · α ∈ Λβα , and πα (E(x)) =
hβ i hΓi
πα α (πβα (x)) = πα (y) and hence E(x) = y. Hence, E is surjective.
Q Q S
∀x, z ∈ β∈Γ α∈Λβ Xα with E(x) = E(z). ∀α ∈ β∈Γ Λβ , ∃! βα ∋ ·
hβ i hΓi hβ i hΓi
α ∈ Λβα . Then, πα α (πβα (x)) = πα (E(x)) = πα (E(z)) = πα α (πβα (z)).
hβi hΓi hβi hΓi
Hence, ∀β ∈ Γ, ∀α ∈ Λβ , πα (πβ (x)) = πα (πβ (z)) which implies that
hΓi hΓi
πβ (x) = πβ (z). Hence, x = z. This shows that E is injective.
Hence, E is bijective and admits an inverse E inv.
Next, we show
Q that
Q E is continuousQby showingQ that E is continuous
at x0 , ∀x0 ∈ β∈Γ α∈Λβ Xα . ∀x0 ∈ β∈Γ α∈Λβ Xα . Let y0 = E(x0 ).
Q
∀B ∈ O which is a basis open set with y0 ∈ B. Then, B = α∈S Λβ Bα ,
S β∈Γ
Bα ∈ Oα , ∀α ∈ β∈Γ S Λ β , and Bα = X α for all α’s except finitely many α’s,
say α ∈ ΛN . ∀α ∈ β∈Γ Λβ , ∃! βα ∈ Γ ∋ · α ∈ Λβα . Let ΓN = { βα | α ∈
ΛN }. Then, ΓN is a finite set. ∀β ∈ ΓN , let ΛN β := ΛN ∩ ΛβS, which is a
nonempty finite set. Then, ΛN equals to the disjoint union of β∈ΓN ΛN β .
Q
Define B hβi := α∈Λβ Bα , ∀β ∈ Γ. Then, ∀β ∈ Γ, B hβi is a basis open
Q Q
hβi
set in α∈Λβ Xα , O . Define B hΓi := β∈Γ B hβi . ∀β ∈ Γ \ ΓN ,
Q
B hβi = α∈Λβ Xα . Clearly, B hΓi is a basis open set in OhΓi . ∀β ∈ ΓN ,
hβi hΓi
∀α ∈ ΛN β , πα (πβ (x0 )) = πα (y0 ) ∈ πα (B) = Bα . Then, x0 ∈ B hΓi .
hβi hΓi
∀x ∈ B hΓi , ∀β ∈ ΓN , ∀α ∈ ΛN β , we have πα (E(x)) = πα (πβ (x)) ∈
hβi hΓi hβi
πα (πβ (B hΓi )) = πα (B hβi ) = Bα . Hence, E(x) ∈ B, which implies that
E(B hΓi ) ⊆ B. Hence, E is continuous at x0 . Then, by the arbitrariness of
x0 and Proposition 3.9, E is continuous.
Q Finally, we will show E inv is continuous by showing Q that, ∀y0 ∈
α∈ β∈Γ Λβ Xα , E inv is continuous at y0 . ∀y0 ∈
S S
α∈ β∈Γ Λβ Xα . Let
Q Q
x0 = E inv(y0 ) ∈ β∈Γ α∈Λβ Xα . For any basis open set B hΓi ∈ OhΓi
Q
with x0 ∈ B hΓi . Then, B hΓi = β∈Γ B̄
hβi
, B̄ hβi ∈ Ohβi , ∀β ∈ Γ,
Q
and B̄ hβi = α∈Λβ Xα for all β ∈ Γ except finitely many β’s, say
hΓi
β ∈ ΓN . ∀β ∈ ΓN , πβ (x0 ) ∈ B̄ hβi . Then, there exists a basis open set
hΓi Q
B hβi ∈ Ohβi such that πβ (x0 ) ∈ B hβi ⊆ B̄ hβi . Then, B hβi = α∈Λβ Bα ,
Bα ∈ Oα , ∀α ∈ Λβ , and Bα = Xα for all α ∈ Λβ except finitely many
hβi hΓi
S α ∈ ΛN β . ∀α ∈ ΛN β , πα (y0 ) = πα (πβ (x0 )) ∈ Bα . Let
α’s, say
ΛN = β∈ΓN ΛN β , which is a finite set and the unionQ is pairwise disjoint.
Let Bα = Xα , ∀α ∈ Λβ , ∀β ∈ Γ\ΓN . Define B := α∈S Λβ Bα . Clearly,
β∈Γ
B is a basis open set in O and y0 ∈ B. ∀y ∈ B. Let x = E inv(y), then,
hβi hΓi
y = E(x). ∀β ∈ Γ, ∀α ∈ Λβ , πα (y) = πα (E(x)) = πα (πβ (x)) ∈ Bα .
hΓi Q
Then, ∀β ∈ ΓN , πβ (x) ∈ α∈Λβ Bα = B hβi ⊆ B̄ hβi . Then, x ∈ B hΓi .
Hence, E inv(B) ⊆ B hΓi . Hence, E inv is continuous at y0 . By the arbitrari-

ness of y0 and Proposition 3.9, we have E inv is continuous.
Q Q
This shows that E is a homeomorphism of ( β∈Γ α∈Λβ Xα , OhΓi ) to
Q
( α∈S Λβ Xα , O), and completes the proof of the proposition. 2
β∈Γ
Proposition 3.31 Let Λ be an index set, Xα := (Xα , OXα ) and Yα :=

(Yα , OY α ) be topological spaces, α ∈ Λ. Assume that Xα and Yα are
homeomorphic,
Q ∀α Q ∈ Λ. Then, the product
Q spaces X =
topological Q
( α∈Λ Xα , OX ) := α∈Λ Xα and Y = ( α∈Λ Yα , OY ) := α∈Λ Yα are
homeomorphic.
Proof ∀α ∈ Λ, since Xα and Yα are homeomorphic, then, ∃Hα : Xα →

Yα such that Hα is bijective and both Hα and Hαinv are continuous. Define
Q hY i hXi
mapping H : X → Y by, ∀x ∈ α∈Λ Xα , πα (H(x)) = Hα (πα (x)),
∀α ∈ Λ.
hXi hY i
∀y ∈ Y, define x ∈ X by πα (x) = Hαinv(πα (y)), ∀α ∈ Λ. Then,
H(x) = y. Hence, H is surjective.
hXi
∀x1 , x2 ∈ X with x1 6= x2 . Then, ∃α0 ∈ Λ such that πα0 (x1 ) 6=
hXi hY i hXi hXi
πα0 (x2 ). Then, πα0 (H(x1 )) = Hα0 (πα0 (x1 )) 6= Hα0 (πα0 (x2 )) =
hY i
πα0 (H(x2 )), since Hα0 is injective. Hence, H(x1 ) 6= H(x2 ). Therefore,
H is injective. Therefore, H is invertible with inverse H inv.
Next, we show Q that H is continuous. For any basis open set OY ∈
OY . Then, OY = α∈Λ OY α with OY α ∈ OY α , ∀α ∈ Λ, and OY α = Yα
for all α’s except finitely many α’s, say α ∈ ΛN . Then, H inv(OY ) =
Q
α∈Λ Hαinv(OY α ) ∈ OX . Hence, H is continuous.
that H inv is continuous. For any basis open set OX ∈
Finally, we show Q
OX . Then, OX = α∈Λ OXα with OXα ∈ OXα , ∀α ∈ Λ, and OXα =
Xα for all α’s except finitely many α’s, say α ∈ ΛN . Then, H(OX ) =
Q
α∈Λ Hα (OXα ) ∈ OY . Hence, H inv is continuous.
Hence, H is a homeomorphism. This completes the proof of the propo-
sition. 2
Proposition 3.32 Let Λ be an index set, X be a topological space, Yα :=

(Yα , Oα ) be
Q a topological space, and fα : X → Yα , ∀α ∈ Λ. Let Y =
(Y, O) := α∈Λ Yα be the product topological space and f : X → Y be given
by, ∀x ∈ X , πα (f (x)) = fα (x), ∀α ∈ Λ. Then, f is continuous at x0 ∈ X
if, and only if, fα is continuous at x0 , ∀α ∈ Λ.
Proof “Sufficiency” ∀O ∈ O with f (x0 ) ∈QO. By Proposition 3.25

and Definition 3.17, ∃ a basis open set B = α∈Λ Bα ∈ O such that
f (x0 ) ∈ B ⊆ O, where Bα ∈ Oα , ∀α ∈ Λ, and Bα = Yα for all α’s except
finitely many α’s, say α ∈ ΛN . ∀α ∈ ΛN , fα (x0 ) = πα (f (x0 )) ∈ πα (B) =
Bα . By the continuity of fTα at x0 , ∃Uα ∈ OX with x0 ∈ Uα such that
fα (Uα ) ⊆ Bα . Let U := α∈ΛN Uα ∈ OX . Clearly x0 ∈ U . ∀x ∈ U ,
3.5. THE SEPARATION AXIOMS 45
∀α ∈ ΛN , πα (f (x)) = fα (x) ∈ fα (U ) ⊆ fα (Uα ) ⊆ Bα . Hence, f (x) ∈ B

and f (U ) ⊆ B ⊆ O. Then, f is continuous at x0 .
“Necessity” ∀α ∈ Λ, the projection function πα is continuous, by Propo-
sition 3.27. Note that fα = πα ◦ f . Then, fα is continuous at x0 by
Proposition 3.12.
3.5 The Separation Axioms

Definition 3.33 Let (X, O) be a topological space. It is said to be
T1 (Tychonoff ): ∀x, y ∈ X with x 6= y, ∃O ∈ O such that x ∈ O and
e
y ∈ O.
T2 (Hausdorff ): ∀x, y ∈ X with x 6= y, ∃O1 , O2 ∈ O such that x ∈ O1 ,
y ∈ O2 , and O1 ∩ O2 = ∅.
T3 (regular): it is Tychonoff and, ∀x ∈ X, ∀F ⊆ X with F being closed
and x 6∈ F , ∃O1 , O2 ∈ O such that x ∈ O1 , F ⊆ O2 , and O1 ∩ O2 = ∅.
T4 (normal): it is Tychonoff and, ∀F1 , F2 ⊆ X with F1 and F2 being
closed and F1 ∩ F2 = ∅, ∃O1 , O2 ∈ O such that F1 ⊆ O1 , F2 ⊆ O2 ,
and O1 ∩ O2 = ∅.
Note that (X, O) is Tychonoff implies that, ∀x ∈ X, the singleton set

g = S
{x} is closed since {x} y∈X,y6=x Oy , where Oy ∈ O and y ∈ Oy and
x 6∈ Oy . Then, it is clear that T4 ⇒ T3 ⇒ T2 ⇒ T1 .
Proposition 3.34 A topological space (X, O) is Tychonoff if, and only if,
∀x ∈ X, the singleton set {x} is closed.
Proof “Only if” ∀x ∈ X, ∀y ∈ X with y 6= x, we have ∃Oy ∈ O such

that y ∈ Oy and x ∈ O g = S g Oy ∈ O. Hence, {x} is
fy . Then, {x}
y∈{x}
closed.
“If” ∀x, y ∈ X with x 6= y, we have {y}g ∈ O. Then, x ∈ {y} g and
g Hence, (X, O) is Tychonoff.
y 6∈ {y}.
Proposition 3.35 Let (X, O) be a Tychonoff topological space. It is nor-

mal if, and only if, for all closed subset F ⊆ X and any open subset O ∈ O
with F ⊆ O, ∃U ∈ O such that F ⊆ U ⊆ U ⊆ O.
Proof e are closed, and F ∩

“Necessity” Since (X, O) is normal, F, O
e e
O = ∅, then ∃O1 , O2 ∈ O such that F ⊆ O1 , O ⊆ O2 , and O1 ∩ O2 = ∅.
Then, we have F ⊆ O1 ⊆ O f2 ⊆ O. Since O f2 is closed, then, O1 ⊆ Of2 .
f
Therefore, we have F ⊆ O1 ⊆ O1 ⊆ O2 ⊆ O. So, U = O1 .
“Sufficiency” For any closed subsets F1 , F2 ⊆ X with F1 ∩ F2 = ∅,

we have F1 ⊆ F f2 . Then, ∃U ∈ O such that F1 ⊆ U ⊆ U ⊆ F f2 . Let
O1 = U ∈ O and O2 = U e ∈ O. Clearly, O ∩ O = ∅, F ⊆ O , and
1 2 1 1
F2 ⊆ O2 . Hence, (X, O) is normal.
It is easy to show that the product topological space of Hausdorff topo-
logical spaces is Hausdorff.
3.6 Category Theory

Definition 3.36 In a topological space (X, O), a subset D ⊆ X is said to
be dense if D = X. (X, O) is said to be separable if there exists a countable
dense subset D ⊆ X. A subset M ⊆ X is said to be nowhere dense if
f◦ = M
M f is dense in X. A subset F ⊆ X is said to be of first category
(or meager) if F is the countable union of nowhere dense subsets of X. A
subset S ⊆ X is said to be of second category (or nonmeager) if S is not
e is
meager. A subset H ⊆ X is said to be a residual set (or comeager) if H
meager. (X, O) is said to be second category everywhere if every nonempty
open subset of X is of second category.
Proposition 3.37 Let X be a topological space and Y ⊆ X be dense.

Then, ∀O ∈ O, O ∩ Y = O.
Proof Clearly, O ⊇ O ∩ Y is closed. Then, we have O ∩ Y ⊆ O. ∀x ∈

O, ∀U ∈ O with x ∈ U , by Proposition 3.3, U ∩O 6= ∅. Then, (U ∩O)∩Y 6= ∅
since Y = X and U ∩ O ∈ O. Hence, we have U ∩ (O ∩ Y ) 6= ∅. This implies
that x ∈ O ∩ Y , by Proposition 3.3. Hence, we have O ⊆ O ∩ Y . Therefore,
O = O ∩ Y . This completes the proof of the proposition. 2
Proposition 3.38 Let X be a topological space. Then, X is second cate-

gory everywhere if, and only if, countable intersection of open dense subsets
is dense.
∞
Proof “Only if” Let ( On )n=1 be a sequence of open dense subsets of
X . Let Fn := Ofn , ∀n ∈ IN. Clearly, Fn is closed and nowhere dense, ∀n ∈
f
IN, since Fn =TFfn = On = X . Note that T∞ On = ( S∞ Fn )∼ . Now,
n=1 n=1
∞
Suppose thatT n=1 O n is not dense. Then, ∃O
S∞ ∈ O X which is nonempty
∼
such Sthat ( ∞ O
n=1 n ) ∩ O = ∅. Then, ( n=1 nF ) ∩ O = ∅. Hence,
∞
O = n=1 (Fn ∩ O) and is of first category. T∞ This contradicts with the fact
that O is of second category. Therefore, n=1 On must be dense.
The case of finite intersection can be converted to the above scenario
by padding X as additional open dense subsets.
“If” ∀O ∈ O with O 6= ∅. For any countable collection ( Eα )α∈Λ of
nowhere dense subsets of X . ∀α ∈ Λ, E f is open and dense. Then, T f
E
α α∈Λ α
3.6. CATEGORY THEORY 47
T
is dense. Then, O ∩ f 6= ∅, which further implies that O 6⊆
α∈Λ Eα
S S
α∈Λ Eα . Hence, O 6⊆ α∈Λ Eα . Hence, O is of second category by the
arbitraryness of ( Eα )α∈Λ . Hence, X is second category everywhere by the
arbitrariness of O.
Proposition 3.39 Let (X, O) be a topological space. F, O ⊆ X with

O, Fe ∈ O. Then,
(i) O \ O and F \ F ◦ are nowhere dense;
(ii) if (X, O) is second category everywhere, and F is of first category,
then F is nowhere dense.
Proof e is closed. Note that

(i) O \ O = O ∩ O
^ ê e e ∪O = X
O\O = O∩O =O∪O =O
where we have applied Proposition 3.3 in the above. Hence O\O is nowhere
dense.
F \ F◦ = F ∩ Ff◦ is closed. Note that
^
F^
\ F◦ = f◦ = Fe ∪ F ◦ = Fe ∪ F ◦ = F
F ∩F f◦ ∪ F ◦ = X
where we have applied Proposition 3.3 in the above. Hence F \F ◦ is nowhere

dense. S
(ii) Let F = ∞n=1 Fn , where Fn ’s are nowhere dense subsets of X. Then,
f T f is
F is open and dense in (X, O). By Proposition 3.38, we have ∞ F
n n=1 n
dense. Sm
Since F is closed, then F = F . ∀m ∈ IN. Note that F ⊇ n=1 Fn .
Sm Sm
Then, F ⊇ n=1 Fn = n=1 Fn , by Proposition 3.3. Therefore,
∞
[ ∞
[
F =F ⊇ Fn ⊇ Fn = F
n=1 n=1
S∞ e = T∞ Ff
This implies F = n=1 Fn . Hence, we have F n=1 n , which is dense.
Hence, F is nowhere dense.
Proposition 3.40 Let (X, O) be a topological space. Then,

(i) A closed set F ⊆ X is nowhere dense if, and only if, it contains no
nonempty open subset;
(ii) A subset E ⊆ X is nowhere dense if, and only if, ∀O ∈ O with O 6= ∅,
∃U ∈ O with U 6= ∅ such that U ⊆ O \ E.
Proof (i) “Only if” Suppose ∃U ∈ O with U 6= ∅ and U ⊆ F .

Then, Fe ∩ U = ∅. This contradicts with the fact that F e = Fe = X, by
Proposition 3.3. Hence, the result holds.
“If” ∀x ∈ X, ∀U ∈ O with x ∈ U . Then, U 6⊆ F implies U ∩ Fe 6= ∅.
This implies that x is a point of closure of Fe , by Proposition 3.3. Hence,
we have Fe = Fe = X. Hence, F is nowhere dense.
(ii) “Only if” ∀O ∈ O with O 6= ∅. Note that
e
e ⊇O∩E
O\E =O∩E
e is open and dense, and hence O ∩ E

Since E is nowhere dense, then E e is
open and nonempty by the nonemptyness of O and Proposition 3.3. Then,
∃U = O ∩ E.e
“If” ∀x ∈ X, ∀O ∈ O with x ∈ O.
Then,◦∃U ∈ O with U 6= ∅ such that
◦
U ⊆ O \ E. Note that U = U ⊆ O ∩ E e = O◦ ∩ E e where
e ◦ = O ∩ E,
we have made use of Proposition 3.3. Hence, O ∩ E e is nonempty. By the

e By the
arbitrariness of O and Proposition 3.3, x is a point of closure for E.
arbitrariness of x, E is nowhere dense.
Theorem 3.41 (Uniform Boundedness Principle) Let (X, O) be a

topological space that is second category everywhere. Let F be a family
of continuous real-valued functions on X. ∀x ∈ X, ∃Mx ∈ [0, ∞) ⊂ IR
such that | f (x) | ≤ Mx , ∀f ∈ F. Then, ∃U ∈ O with U 6= ∅ and
∃M ∈ [0, ∞) ⊂ IR such that | f (x) | ≤ M , ∀x ∈ U and ∀f ∈ F.
Proof Let Em,f := f inv([−m, m]) ⊆ X, ∀f ∈ F and ∀m ∈ Z+ . Since

f in continuous and [−m, m] is a closed interval,
T then, by Proposition 3.10,
Em,f ’s are closed. ∀m ∈ Z+ , let Em := f ∈F Em,f , which is closed. ∀x ∈
X, ∃m ∈ Z+ with m ≥ Mx such that | f (x) | ≤ m,S ∀f ∈ F. Then,
x ∈ Em,f , ∀f ∈ F, and hence x ∈ Em . Therefore, X = ∞ m=0 Em . Since X
is second category everywhere, then Em ’s are not all nowhere dense. Then,
∃n ∈ Z+ such that En is not nowhere dense, that is E f =E fn 6= X. Then,
n
by Proposition 3.40, En contains a nonempty open subset U ∈ O. Then,
U ⊆ En and U 6= ∅. ∀x ∈ U , ∀f ∈ F, we have | f (x) | ≤ n. This completes
the proof of the theorem. 2
3.7 Connectedness
Definition 3.42 A topological space X is said to be connected if there do
not exist nonempty open sets O1 , O2 such that X = O1 ∪O2 and O1 ∩O2 = ∅.
Such a pair of O1 and O2 is called a separation of X if it exists.
3.7. CONNECTEDNESS 49
Proposition 3.43 Let X and Y be topological spaces and f : X → Y be a

surjective continuous function. If X is connected then Y is connected.
Proof Suppose Y is not connected. Then, ∃O1 , O2 ∈ OY with O1 6= ∅

and O2 6= ∅ such that O1 ∪ O2 = Y and O1 ∩ O2 = ∅. Since f is
surjective, then f inv(O1 ) 6= ∅ and f inv(O2 ) 6= ∅. Since f is continuous,
then f inv(O1 ), f inv(O2 ) ∈ OX . By Proposition 2.5, f inv(O1 ) ∪ f inv(O2 ) =
f inv(O1 ∪ O2 ) = X and f inv(O1 ) ∩ f inv(O2 ) = f inv(O1 ∩ O2 ) = ∅. This
contradicts with the assumption that X is connected. Therefore, Y is con-
nected. This completes the proof of the proposition. 2
Theorem 3.44 (Mean Value Theorem) Let X be a topological space

and f : X → IR be a continuous function. Assume that X is connected
and ∃x, y ∈ X such that f (x) < c < f (y) for some c ∈ IR. Then, ∃z ∈ X
such that f (z) = c.
Proof Suppose the result is false. Then, f inv({c}) = ∅. Let O1 :=

f inv((c, ∞)) and O2 := f inv((−∞, c)). Then, x ∈ O2 ∈ OX and y ∈ O1 ∈
OX , by assumptions of the theorem. By Proposition 2.5, O1 ∩ O2 = ∅ and
O1 ∪ O2 = X . This contradicts with the assumption that X is connected.
Hence, the result is true. This completes the proof of the theorem. 2
Proposition 3.45 Let X be a topological space, U ⊆ V ⊆ U ⊆ X , and U

be connected in the subset topology OU . Then, V is connected in the subset
topology OV .
Proof Suppose V is not connected in its subset topology. Then,

∃OV 1 , OV 2 ∈ OV with OV 1 6= ∅ and OV 2 6= ∅, such that OV 1 ∪OV 2 = V and
OV 1 ∩ OV 2 = ∅. By Proposition 3.4, ∃O1 , O2 ∈ O such that OV 1 = O1 ∩ V
and OV 2 = O2 ∩ V . Let x1 ∈ OV 1 and x2 ∈ OV 2 . Then, xi ∈ U ∩ Oi ,
i = 1, 2. By Proposition 3.3, ∃x̄i ∈ U ∩ Oi =: OUi 6= ∅, i = 1, 2. By
Proposition 3.4, OU1 , OU2 ∈ OU . Note that OU1 ∩ OU2 = U ∩ O1 ∩ O2 =
U ∩ V ∩ O1 ∩ O2 = U ∩ (O1 ∩ V ) ∩ (O2 ∩ V ) = U ∩ OV 1 ∩ OV 2 = ∅ and
OU1 ∪OU2 = U ∩(O1 ∪O2 ) = U ∩V ∩(O1 ∪O2 ) = U ∩((V ∩O1 )∪(V ∩O2 )) =
U ∩ (OV 1 ∪ OV 2 ) = U ∩ V = U . Hence, the pair (OU1 , OU2 ) is a separation
of U . This implies that U is not connected in its subset topology. This
contradicts with the assumption. Hence, V is connected. 2
Definition 3.46 Let X be a topological space, x0 ∈ X . Let
M := { M ⊆ X | x0 ∈ M, M is connected in the subset topology. }

S
The component containing x0 is defined by A := M∈M M .
Clearly, X is the union of its components.
Proposition 3.47 Let X be a topological space and x0 ∈ X . Then, the

component A of X containing x0 is connected and closed.
Proof Let M be as defined in Definition 3.46. Suppose A is not

connected. Let OA be the subset topology on A. Then, ∃O1 , O2 ∈ OA with
O1 6= ∅ and O2 6= ∅ such that O1 ∪ O2 = A and O1 ∩ O2 = ∅. Without loss
of generality, assume that x0 ∈ O1 . By the definition of A, ∃A0 ∈ M such
that A0 ∩O2 6= ∅. Note that A0 = (O1 ∩A0 )∪(O2 ∩A0 ) and O1 ∩A0 ∋ x0 and
O2 ∩A0 are nonempty and open in the subset topology on A0 . Furthermore,
(O1 ∩ A0 ) ∩ (O2 ∩ A0 ) = ∅. This shows that A0 is not connected, which
contradicts with the fact that A0 ∈ M. Hence, A is connected.
By Proposition 3.45, A is connected. Then, we have A ∈ M and A = A.
By Proposition 3.3, A is closed in O.
Proposition 3.48 Let X := (X, O) be a topological space and Aα ⊆ X be

connected (in subset topology), ∀α ∈ Λ, where ΛSis an index set. Assume
that Aα1 ∩ Aα2 6= ∅, ∀α1 , α2 ∈ Λ. Then, A := α∈Λ Aα is connected (in
subset topology).
Proof Suppose A is not connected. Then, ∃O1 , O2 ∈ O such that

O1 ∩ A 6= ∅ 6= O2 ∩ A, (O1 ∩ A) ∩ (O2 ∩ A) = ∅, and (O1 ∩ A) ∪ (O2 ∩ A) =
(O1 ∪ O2 ) ∩ A = A. Let xi ∈ Oi ∩ A, i = 1, 2. Then, ∃αi ∈ Λ such
that xi ∈ Aαi , i = 1, 2. By the assumption, let x0 ∈ Aα1 ∩ Aα2 6= ∅.
Without loss of generality, assume x0 ∈ O1 . Then, x0 ∈ O1 ∩ Aα2 6= ∅,
x2 ∈ O2 ∩ Aα2 6= ∅, (O1 ∩ Aα2 ) ∩ (O2 ∩ Aα2 ) ⊆ (O1 ∩ A) ∩ (O2 ∩ A) = ∅, and
(O1 ∩ Aα2 ) ∪ (O2 ∩ Aα2 ) = (O1 ∪ O2 ) ∩ Aα2 = Aα2 . Hence, O1 ∩ Aα2 and
O2 ∩ Aα2 form a separation of Aα2 . This implies that Aα2 is not connected.
This is a contradiction. Therefore, A is connected. This completes the
proof of the proposition. 2
Definition 3.49 Let X be a topological space. It is said to be locally con-

nected if there exists a basis B such that B is connected (in the subset
topology), ∀B ∈ B.
Proposition 3.50 Any component of a locally connected topological space

is open.
Proof Let X be a locally connected topological space and B be a basis

made up of connected sets. ∀x0 ∈ X , let A be the component containing
x0 . By Proposition 3.47, A is closed and connected. ∀x ∈ A, ∃B ∈ B such
that x ∈ B. Since B is connected, then, by Definition 3.46, B ⊆ A. Hence,
A is open. This completes the proof of the proposition. 2
Proposition 3.51 Let (Xα , Oα ) be a connected topological space, ∀α ∈

Q where Γ is an index set. Let (X, O) be the product topological space
Γ,
α∈Γ (Xα , Oα ). Then, (X, O) is connected.
Proof Suppose that X is not connected. Then, ∃O1 , O2 ∈ O with

O1 6= ∅ and O2 6= ∅ such that O1 ∪ O2 = X and O1 ∩ O2 = ∅. Let B be
3.7. CONNECTEDNESS 51
the basis defined in Proposition 3.25. SThen, there exists nonempty

S disjoint
index sets Λ1 and Λ2 such that O1 = λ∈Λ1 Bλ and O2 =Q λ∈Λ2 Cλ , where
Bλ ∈ B, ∀λ ∈ Λ1 , and Cλ ∈ B, ∀λ ∈ Λ2 . ∀λ ∈ Λ1 , Bλ = α∈Γ Bλα , where
Bλα ∈ Oα , ∀α ∈ Γ, and Bλα = Xα for all except finitely many Q α’s, say
α ∈ Γλ . Note that Γλ 6= ∅, since Bλ ⊆ O1 ⊂ X. ∀λ ∈ Λ2 , Cλ = α∈Γ Cλα ,
where Cλα ∈ Oα , ∀α ∈ Γ, and Cλα = Xα for all except finitely many α’s,
say α ∈ Γλ . Note that Γλ 6= ∅, since Cλ ⊆ O2 ⊂ X. Note that
[ [
∅ = O1 ∩ O2 = (Bλ ∩ Cγ )
λ∈Λ1 γ∈Λ2
Therefore, Bλ ∩ Cγ = ∅, ∀λ ∈ Λ1 , ∀γ ∈ Λ2 , which implies that ∃αλγ ∈ Γ

∋· Bλαλγ ∩ Cγαλγ = ∅.
Fix x1 ∈ O1 and x2 ∈ O2 . Then, x1 6= x2 . ∃λ1 ∈ Λ1 such that x1 ∈ Bλ1 .
Let Γ1 := Γλ1 . ∃λ2 ∈ Λ2 such that x2 ∈ Cλ2 . Let Γ2 := Γλ2 . Note that
∀x ∈ X with πα (x) = πα (x1 ), ∀α ∈ Γ1 , we have x ∈ Bλ1 ⊆ O1 . Similarly,
∀x ∈ X with πα (x) = πα (x2 ), ∀α ∈ Γ2 , we have x ∈ Cλ2 ⊆ O2 . Therefore,
starting with x1 ∈ O1 and switch, one by one, its coordinate πα (x1 ) to
πα (x2 ), for all α ∈ Γ2 , we will end up with a point x3 ∈ O2 . Therefore,
there must exist a step in this process such that switching one coordinate
πα0 (x1 ) to πα0 (x2 ), for some α0 ∈ Γ2 , leads to the change of set membership
from x̄1 ∈ O1 before the switch to x̄2 ∈ O2 after the switch. In summary,
there exist x̄1 ∈ O1 , x̄2 ∈ O2 , and α0 ∈ Γ such that πα (x̄1 ) = πα (x̄2 ),
∀α ∈ Γ \ {α0 }. Since O1 ∩ O2 = ∅, we must have πα0 (x̄1 ) 6= πα0 (x̄2 ).
Define
Y
Λ1 0 := { λ ∈ Λ1 | Bλ = Bλα , πα (x̄1 ) ∈ Bλα , ∀α ∈ Γ \ {α0 } }
α∈Γ
and
Y
Λ2 0 := { λ ∈ Λ2 | Cλ = Cλα , πα (x̄2 ) ∈ Cλα , ∀α ∈ Γ \ {α0 } }
α∈Γ
Q
Let M := Mα ⊆ X where Mα = {πα (x̄1 )}, ∀α ∈ Γ\ {α0 }, and
α∈Γ
S S
Mα0 = Xα0 . Note that M ⊆ X = O1 ∪ O2 = λ∈Λ1 Bλ ∪ γ∈Λ2 Cγ
implies that
[ [ [ [
M ⊆ Bλ ∪ Cγ = (Bλ ∪ Cγ )
λ∈Λ1 0 γ∈Λ2 0 λ∈Λ1 0 γ∈Λ2 0
S S
S we have Xα0 = πα0 (M ) ⊆ λ∈Λ1 0 γ∈Λ2 0 (πα0 (Bλ )∪πα0 (Cγ )) =
Therefore,
S
λ∈Λ1 0 γ∈Λ2 0 (Bλα0 ∪ Cγα0 ) ⊆ Xα0 , by Proposition 2.5. Then,
[ [ [ [
Xα0 = (Bλα0 ∪ Cγα0 ) = Bλα0 ∪ Cγα0
λ∈Λ1 0 γ∈Λ2 0 λ∈Λ1 0 γ∈Λ2 0
=: D1 ∪ D2
By derivations in the Q first paragraph of this proof, we have ∀λ ∈ Λ1 0 ,

∀γ ∈ Λ2 0 , Bλ ∩ Cγ = α∈Γ (Bλα ∩ Cγα ) = ∅. Note that, ∀α ∈ Γ \ {α0 },
πα (x̄1 ) = πα (x̄2 ) ∈ Bλα ∩ Cγα 6= ∅. Then, we must have Bλα0 ∩ Cγα0 = ∅.
Therefore, we have
[ [
D1 ∩ D2 = (Bλα0 ∩ Cγα0 ) = ∅
λ∈Λ1 0 γ∈Λ2 0
Clearly, D1 , D2 ∈ Oα0 , πα0 (x̄1 ) ∈ D1 6= ∅, and πα0 (x̄2 ) ∈ D2 6= ∅ since

x̄1 ∈ O1 and x̄2 ∈ O2 . This shows that D1 and D2 form a separation of
Xα0 . This contradicts with the assumption that (Xα , Oα ) is connected,
∀α ∈ Γ. Therefore, (X, O) is connected.
Definition 3.52 Let X be a topological space and I := [0, 1] ⊂ IR be en-

dowed with the subset topology of IR. A curve in X is a continuous mapping
γ : I → X . γ(0) is called the beginning point and γ(1) is called the end
point. A closed curve is such that γ(0) = γ(1). Two closed curves γ1 and γ2
are said to be homotopic to each other if there exists a continuous function
φ : I ×I → X such that φ(t, 0) = γ1 (t), φ(t, 1) = γ2 (t), and φ(0, t) = φ(1, t),
∀t ∈ I.
Definition 3.53 Let X be a topological space. It is said to be arcwise

connected if ∀x1 , x2 ∈ X , there exists a curve γ in X such that γ(0) = x1
and γ(1) = x2 . X is said to be simply connected if it is arcwise connected
and any closed curve is homotopic to a single point (that is a degenerate
curve γ with γ(t) = x ∈ X , ∀t ∈ [0, 1] ⊂ IR.)
Proposition 3.54 Let (X, O) be a topological space. Then, it is connected

if it is arcwise connected.
Proof Suppose (X, O) is not connected. Then, ∃O1 , O2 ∈ O with

O1 6= ∅ and O2 6= ∅ such that O1 ∪ O2 = X and O1 ∩ O2 = ∅. Fix
x1 ∈ O1 and x2 ∈ O2 . Then, x1 6= x2 . Since (X, O) is arcwise connected,
then there exists a curve γ such that γ(0) = x1 and γ(1) = x2 . Define
t := sup { s ∈ [0, 1] ⊂ IR | γ([0, s]) ⊆ O1 }. Then, t ∈ [0, 1] ⊂ IR.
Claim 3.54.1 γ(t) ∈ O1 .
Proof of claim: Suppose γ(t) 6∈ O1 , then γ(t) ∈ O2 . Then, t > 0,

since γ(0) = x1 ∈ O1 . Since γ is continuous, then ∃t1 ∈ [0, t) ⊂ IR such
that γ((t1 , t]) ⊆ O2 . ∀s ∈ (t1 , 1] ⊂ IR, γ([0, s]) ∩ O2 6= ∅. Then, s 6∈ { s ∈
[0, 1] ⊂ IR | γ([0, s]) ⊆ O1 }. Hence, s ≥ t, which implies that t1 ≥ t.
This contradicts t1 < t. Hence, γ(t) ∈ O1 . This completes the proof of the
claim. 2
Since γ(1) = x2 ∈ O2 , then t < 1. By the continuity of γ, ∃t2 ∈
(t, 1] ⊂ IR such that γ([t, t2 )) ⊆ O1 . ∀s ∈ [0, t), ∃s1 ∈ (s, t] such that
3.8. CONTINUOUS REAL-VALUED FUNCTIONS 53
s1 ∈ { s ∈ [0, 1] ⊂ IR | γ([0, s]) ⊆ O1 }. Then, γ([0, s1 ]) ⊆ O1 and hence

γ(s) ∈ O1 . Therefore, γ([0, t)) ⊆ O1 . This coupled with γ([t, t2 )) ⊆ O1 , we
have γ([0, t2 )) ⊆ O1 . Then, t ≥ t2 . This contradicts with t < t2 .
Therefore, (X, O) is connected. This completes the proof of the propo-
sition. 2
3.8 Continuous Real-Valued Functions

Theorem 3.55 (Urysohn’s Lemma) Let (X, O) be a normal topological
space, A, B ⊆ X be closed subsets, and A ∩ B = ∅. Then, there exists a
continuous real-valued function f : X → [0, 1] ⊂ IR such that f (x) = 0,
∀x ∈ A, and f (x) = 1, ∀x ∈ B.
Proof Since the set Q := Q ∩ [0, 1] is countable, then, by recursively

applying Proposition 3.35, we may find ( Or )r∈Q ⊆ O such that the follow-
ing two properties are satisfied:
e
1. ∀r ∈ Q, A ⊆ Or ⊆ Or ⊆ B;
2. ∀r, s ∈ Q with r < s, Or ⊆ Os .
Define the real-valued function f : X → IR by
f (x) = inf({ r ∈ Q | x ∈ Or } ∪ {1})
Clearly, f : X → [0, 1], f (x) = 0, ∀x ∈ O0 , and f (x) = 1, ∀x ∈ O f1 . By

e
1, we have A ⊆ O0 and O1 ⊆ B. Hence, all we need to show is that f is
continuous. ∀x0 ∈ X, we will show that f is continuous at x0 . Let a0 =
f (x0 ) ∈ [0, 1]. ∀U ⊆ IR with U being open and a0 ∈ U , ∃a1 , a2 , a3 , a4 ∈ Q
such that a1 < a2 < a0 < a3 < a4 and (a1 , a4 ) ⊆ U . Let ā2 = max{a2 , 0}
and ā3 = min{a3 , 1}. Then, we must have a1 < ā2 ≤ a0 ≤ ā3 < a4 and
ā2 , ā3 ∈ Q. We will distinguish three exhaustive and mutually exclusive
cases: Case 1: a0 ∈ (0, 1); Case 2: a0 = 0; Case 3: a0 = 1.
Case 1: a0 ∈ (0, 1). Then, we must have a1 < ā2 < a0 < ā3 < a4 . Let
V = O g ∩ O ∈ O. ∀x ∈ V , we have x ∈ O and f (x) ≤ ā . Also,
ā2 ā3 ā3 3
x∈O g implies that f (x) ≥ ā . Hence, f (V ) ⊆ [ā , ā ] ⊂ (a , a ) ⊆ U .

ā2 2 2 3 1 4
f (x0 ) = a0 < ā3 implies that x0 ∈ Oā3 . f (x0 ) = a0 > ā2 implies that
∃ã2 ∈ (ā2 , a0 ) ∩ Q such that x0 ∈ O g g
ã2 ⊆ Oā2 . Therefore x0 ∈ V . This
shows that ∃V ∈ O with x0 ∈ V such that f (V ) ⊆ U .
Case 2: a0 = 0. Then, we must have a1 < 0 = a0 < ā3 < a4 . Take
V = Oā3 ∈ O. We must have x0 ∈ V . ∀x ∈ V , 0 ≤ f (x) ≤ ā3 . Hence,
f (V ) ⊆ [0, ā3 ] ⊂ (a1 , a4 ) ⊆ U . Hence, ∃V ∈ O with x0 ∈ V such that
f (V ) ⊆ U .
Case 3: a0 = 1. Then, we must have a1 < ā2 < a0 = 1 < a4 . Take
V =O g ∈ O. Since f (x ) = a = 1, then x ∈ O ^ g
1+ā2 ⊆ Oā = V . ∀x ∈ V ,
ā2 0 0 0 2
2
f (x) ≥ ā2 . Hence, f (V ) ⊆ [ā2 , 1] ⊂ (a1 , a4 ) ⊆ U . Hence, ∃V ∈ O with

x0 ∈ V such that f (V ) ⊆ U .
Therefore, in all cases, ∃V ∈ O with x0 ∈ V such that f (V ) ⊆ U . Hence,
f is continuous at x0 . By the arbitraryness of x0 and Proposition 3.9, f is
continuous. This completes the proof of the theorem. 2
Proposition 3.56 Let X and Y be topological spaces and Y be Hausdorff.

f1 : X → Y and f2 : X → Y are continuous. Let D ⊆ X be dense. Assume
that f1 |D = f2 |D . Then, f1 = f2 .
Proof Suppose f1 6= f2 . Then, ∃x ∈ X such that f1 (x) 6= f2 (x). Since

Y is Hausdorff, then ∃O1 , O2 ∈ OY such that f1 (x) ∈ O1 , f2 (x) ∈ O2 , and
O1 ∩O2 = ∅. Since f1 and f2 are continuous, we have U1 := f1inv(O1 ) ∈ OX
and U2 := f2inv(O2 ) ∈ OX . Note that x ∈ U1 ∩ U2 ∈ OX and x ∈ D, then,
by Proposition 3.3, ∃x̄ ∈ D ∩ U1 ∩ U2 . Then, f1 (x̄) ∈ O1 and f2 (x̄) ∈ O2 ,
which implies that f1 |D (x̄) 6= f2 |D (x̄). This is a contradiction. Hence, we
must have f1 = f2 .
Theorem 3.57 (Tietze’s Extension Theorem) Let (X, O) be a nor-

mal topological space, A ⊆ X be closed, and h : A → IR. Let A be endowed
with the subset topology OA . Assume that h is continuous. Then, there
exists a continuous function k : X → IR such that k|A = h.
h
Proof Let f := . Then, | f (x) | < 1, ∀x ∈ A, and by Proposi-
1 + |h|
tion 3.12, f is continuous.
Claim 3.57.1 Let l : A → IR be a continuous function such that | l(x) | ≤

c1 ∈ IR, ∀x ∈ A, where c1 > 0. Then, there exists a continuous function
g : X → IR such that | g(x) | ≤ c1 /3, ∀x ∈ X, and | l(x) − g(x) | ≤ 2c1 /3,
∀x ∈ A.
Proof of claim: Let B := { x ∈ A | l(x) ≤ −c1 /3 } and C := { x ∈ A |

l(x) ≥ c1 /3 }. Then, B anc C are closed sets in OA , by the continuity
of l and Proposition 3.10. Since A is closed, then B and C are closed
in O, by Proposition 3.5. Clearly, B ∩ C = ∅. By Urysohn’s Lemma,
there exists a continuous function g : X → IR such that | g(x) | ≤ c1 /3,
∀x ∈ X, g(x) = −c1 /3, ∀x ∈ B, and g(x) = c1 /3, ∀x ∈ C. Hence,
| l(x) − g(x) | ≤ 2c1 /3, ∀x ∈ A. This completes the proof of the claim. 2
By repeated application of Claim 3.57.1, we may define fi : X → IR,
i−1
∀i ∈ IN, such that fi is continuous, | fi (x) | ≤ 2 3i , ∀x ∈ X, and f (x) −
Pi
2i
k=1 fk (x) ≤ 3i , ∀x ∈ A.
P
Define g : X → IR by g(x) = limi∈IN ik=1 fk (x), ∀x ∈ X. Clearly, g
P∞ i−1
is well-defined, g|A = f , and | g(x) | ≤ i=1 2 3i = 1, ∀x ∈ X. ∀x0 ∈ X.
3.8. CONTINUOUS REAL-VALUED FUNCTIONS 55
P∞
∀ǫ ∈ (0, ∞) ⊂ IR. ∃N ∈ IN such that i=N +1 fi (x) < ǫ/3, ∀x ∈ X. By
the continuity
P of f1 , . . . , fN and Proposition 3.9, ∃U ∈ O with x0 ∈ U such
N PN
that i=1 fi (x) − i=1 fi (x0 ) < ǫ/3, ∀x ∈ U . Then, we have, ∀x ∈ U ,
N
X X N N
X

| g(x) − g(x0 ) | ≤ g(x) − fi (x) + fi (x) − fi (x0 )
i=1 i=1 i=1
XN

+ fi (x0 ) − g(x0 ) < ǫ
i=1
Therefore, g is continuous at x0 . Then, g is continuous, by the arbitrariness

of x0 and Proposition 3.9.
Let D := { x ∈ X | | g(x) | = 1 }. Clearly, D is a closed set, by
Proposition 3.10. Note that A ∩ D = ∅, since g|A = f and | f (x) | < 1,
∀x ∈ A. Then, by Urysohn’s Lemma, there exists a continuous function
ḡ : X → [0, 1] such that ḡ|A = 1 and ḡ|D = 0. Define k : X → IR by
ḡ(x)g(x)
k(x) = , ∀x ∈ X. By Propositions 3.12 and 3.32 and the
1 − ḡ(x) | g(x) |
fact that 1 − ḡ(x) | g(x) | =6 0, ∀x ∈ X, we have k is continuous. ∀x ∈ A,
g(x)
k(x) = = h(x). Hence, k|A = h.
1 − | g(x) |
Definition 3.58 Let X be a set and F be a collection of real-valued func-

tions on X. Then, there is the weakest topology on X such that all functions
in F are continuous. This topology is called the weak topology generated
by F .
Let X be a set, I := [0, 1] ⊂ IR, and F be a collection of functions of

X to I such that ∀x, y ∈ X with x 6= y, ∃f ∈ F, we have f (x) 6= f (y).
Each f ∈ F is a point in I X and F can be identified with a subset of I X .
The topology that F inherits as a subspace of I X is called the topology of
pointwise convergence. Now, X can be identified with a subset of I F by,
∀x ∈ X, πf (x) = f (x), ∀f ∈ F. Then, the topology of X as a subset of I F
is the weak topology generated by F .
Proposition 3.59 Let X be a topological space, I := [0, 1] ⊂ IR, and F

be a collection of continuous functions of X to I such that ∀x, y ∈ X with
x 6= y, ∃f ∈ F, we have f (x) 6= f (y). Let E : X → I F be the equivalence
map given by, ∀x ∈ X , πf (E(x)) = f (x), ∀f ∈ F. Then, E is continuous.
Furthermore, if ∀ closed set F ⊆ X and ∀x ∈ X with x 6∈ F , ∃f ∈ F with
f (x) = 1 and f |F = 0, then E : X → E(X ) is a homeomorphism.
Proof Fix a basis open set O in I F with E(x0 ) ∈ O. By

∀x0 ∈ X . Q
Proposition 3.25, O = f ∈F Of , where Of ∈ OI with OI being the subset
topology on I, ∀f ∈ F, and Of = I for all f ’s except finitely many f ’s, say
T
f ∈ FN . Let U = f ∈FN f inv(Of ) ∈ OX . By E(x0 ) ∈ O, we have x0 ∈ U .
∀x ∈ U , we have πf (E(x)) ∈ Of = I, ∀f ∈ F \ FN , and πf (E(x)) =
f (x) ∈ Of , ∀f ∈ FN . Hence, E(x) ∈ O. Then, E(U ) ⊆ O. Therefore, E
is continuous at x0 . By the arbitrariness of x0 and Proposition 3.9, E is
continuous.
Under the additional assumption on F , we need to show that E is a
homeomorphism between X and E(X ). ∀x, y ∈ X with x 6= y, ∃f ∈ F
such that πf (E(x)) = f (x) 6= f (y) = πf (E(y)). Then, E(x) 6= E(y).
Hence, E : X → E(X ) is injective. Clearly, E : X → E(X ) is surjective.
Then, E : X → E(X ) is bijective and admits inverse E inv : E(X ) → X .
∀x0 ∈ X , we will show that E inv is continuous at E(x0 ). ∀O ∈ OX with
x0 ∈ O. O e is closed and x0 6∈ O.
e Then, ∃f0 ∈ F such that f0 (x0 ) = 1
Q
and f0 |Oe = 0. Define U = f ∈F Uf ⊆ I F by Uf = I, ∀f ∈ F \ {f0 } and
Uf0 = (1/2, 1] ∈ OI . Clearly, U is open in I F . Clearly, E(x0 ) ∈ U . ∀x ∈ X
with E(x) ∈ U , we have πf0 (E(x)) = f0 (x) > 1/2. Then, x 6∈ O e and
x ∈ O. This shows that E inv(E(X ) ∩ U ) ⊆ O. Hence, E inv is continuous at
E(x0 ). By the arbitrariness of x0 and Proposition 3.9, E inv : E(X ) → X is
continuous. This implies that E : X → E(X ) is a homeomorphism.
Definition 3.60 A topological space X is said to be completely regular

(or T3 21 ) if it is Tychonoff and ∀x0 ∈ X and ∀ closed set F ⊆ X with
x0 6∈ F , there exists a continuous real-valued function f : X → [0, 1] such
that f (x0 ) = 1 and f |F = 0.
Proposition 3.61 A normal topological space is completely regular. A

completely regular topological space is regular.
Proof Let X be a normal topological space. Then, X is Tychonoff.

∀x0 ∈ X and ∀ closed set F ⊆ X with x0 6∈ F , we have {x0 } is closed,
by Proposition 3.34. By Urysohn’s Lemma, there exists a continuous real-
valued function f : X → [0, 1] such that f (x0 ) = 1 and f |F = 0. Hence, X
is completely regular.
Let X be a completely regular topological space. Then, X is Tychonoff.
∀x0 ∈ X and ∀ closed set F ⊆ X with x0 6∈ F , there exists a continuous
real-valued function f : X → [0, 1] such that f (x0 ) = 1 and f |F = 0.
Let O1 := { x ∈ X | f (x) > 1/2 } and O2 := { x ∈ X | f (x) < 1/2 }.
Then, O1 , O2 ∈ O by the continuity of f . Clearly, x0 ∈ O1 , F ⊆ O2 , and
O1 ∩ O2 = ∅. Hence, X is regular.
Corollary 3.62 Let X be a completely regular topological space, I =

[0, 1] ⊂ IR, and F := { f : X → I | f is continuous }. Then, the equiva-
lence map: E : X → I F defined by πf (E(x)) = f (x), ∀x ∈ X , ∀f ∈ F, is
a homeomorphism between X and E(X ) ⊆ I F .
3.9. NETS AND CONVERGENCE 57
Proof Since X is completely regular, then X is Tychonoff and all

singleton subset of X is closed. Then, it is easy to check that all assumptions
in Proposition 3.59 are satisfied. Then, the result follows. This completes
the proof of the corollary. 2
3.9 Nets and Convergence

Definition 3.63 A directed system is a nonempty set A and a relation on
A, ≺, such that
(i) ≺ is transitive;
(ii) ∀α, β ∈ A, ∃γ ∈ A such that α ≺ γ and β ≺ γ.
A net is a mapping of a directed system A := (A, ≺) to a topological
space X . ∀α ∈ A, the image is xα . The net is denoted by ( xα )α∈A , where
we have abuse the notation to say α ∈ A when α ∈ A. It is understood
that the relation for A is ≺A , where we will ignore the subscript A if no
confusion arises.
A point x ∈ X is a limit of the net ( xα )α∈A if ∀O ∈ O with x ∈ O,
∃α0 ∈ A ∋ · ∀α ∈ A with α0 ≺ α, we have xα ∈ O. We also say that
( xα )α∈A converges to x.
A point x ∈ X is a cluster point of ( xα )α∈A if ∀O ∈ O with x ∈ O,
∀α ∈ A, ∃β ∈ A with α ≺ β ∋· xβ ∈ O.
Clearly, a limit point of a net is a cluster point of the net.

In Definition 3.63, we may restrict O to be a basis open set without
changing the meaning of the definition.
Example 3.64 (IN, ≤) is a directed system. A net over (IN, ≤) corre-
sponds to a sequence. ⋄
Proposition 3.65 Let X be a topological space. Then, X is Hausdorff if,

and only if, for all net ( xα )α∈A ⊆ X , there exists at most one limit point
for the net. We then write x = limα∈A xα when the limit exists.
Proof “Only if” Suppose there exists a net ( xα )α∈A ⊆ X such that
∃xA , xB ∈ X with xA 6= xB and xA and xB are limit points of the net.
Since X is Hausdorff, then ∃O1 , O2 ∈ O such that xA ∈ O1 , xB ∈ O2 , and
O1 ∩ O2 = ∅. Since xA is the limit of the net, then ∃α1 ∈ A, ∀α ∈ A with
α1 ≺ α, we have xα ∈ O1 . Similarly, since xB is the limit of the net, then
∃α2 ∈ A, ∀α ∈ A with α2 ≺ α, we have xα ∈ O2 . Since A is a directed
system, ∃α3 ∈ A such that α1 ≺ α3 and α2 ≺ α3 . Then, we have xα3 ∈ O1
and xα3 ∈ O2 , which implies that O1 ∩ O2 6= ∅, which is a contradiction.
Therefore, every net in X has at most one limit point.
“If” Suppose X is not Hausdorff. Then, ∃xA , xB ∈ X with xA 6= xB
such that ∀OA , OB ∈ O with xA ∈ OA and xB ∈ OB , we have OA ∩OB 6= ∅.
Let Λ := { (OA , OB ) | xA ∈ OA ∈ O, xB ∈ OB ∈ O }. Clearly, (X , X ) ∈ Λ,

then Λ 6= ∅. Define a relation ≺ on Λ by, ∀(OA1 , OB1 ), (OA2 , OB2 ) ∈ Λ, we
say (OA1 , OB1 ) ≺ (OA2 , OB2 ) if OA1 ⊇ OA2 and OB1 ⊇ OB2 . Clearly, ≺ is
transitive on Λ. ∀(OA1 , OB1 ), (OA2 , OB2 ) ∈ Λ, we have xA ∈ OA3 := OA1 ∩
OA2 ∈ O and xB ∈ OB3 := OB1 ∩OB2 ∈ O. Then, we have (OA3 , OB3 ) ∈ Λ,
(OA1 , OB1 ) ≺ (OA3 , OB3 ), and (OA2 , OB2 ) ≺ (OA3 , OB3 ). Hence, A :=
(Λ, ≺) is a directed system. ∀(OA , OB ) ∈ Λ, OA ∩ OB 6= ∅. By Axiom
of Choice, we may have a mapping x(OA ,OB ) ∈ OA ∩ OB , ∀(OA , OB ) ∈ Λ.

Then, the net x(OA ,OB ) (OA ,OB )∈A ⊆ X . ∀OA1 ∈ O with xA ∈ OA1 . Fix
OB1 := X ∈ O with xB ∈ OB1 . Then, (OA1 , OB1 ) ∈ Λ. ∀(OA2 , OB2 ) ∈
Λ with (OA1 , OB1 ) ≺ (OA2 , OB2 ), we have x(OA2 ,OB2 ) ∈ OA2 ∩ OB2 ⊆
OA1 ∩ OB1 = OA1 . Hence, xA is a limit point of x(OA ,OB ) (OA ,OB )∈A .
∀OB1 ∈ O with xB ∈ OB1 . Fix OA1 := X ∈ O with xA ∈ OA1 . Then,
(OA1 , OB1 ) ∈ Λ. ∀(OA2 , OB2 ) ∈ Λ with (OA1 , OB1 ) ≺ (OA2 , OB2 ), we have
x(OA2 ,OB2 ) ∈ OA2 ∩ OB2 ⊆ OA1 ∩ OB1 = OB1 . Hence, xB is a limit point
of x(OA ,OB ) (O ,O )∈A . This contradicts with the assumption that every
A B
net has at most one limit point. Therefore, X is Hausdorff.
Proposition 3.66 Let X and Y be topological spaces and f : X → Y.

Then, the following are equivalent.
(i) f is continuous at x0 ∈ X ;
(ii) ∀ net ( xα )α∈A ⊆ X with x0 as a limit point, we have that the net
( f (xα ) )α∈A has a limit point f (x0 ).
(iii) ∀ net ( xα )α∈A ⊆ X with x0 as a cluster point, we have that the net
( f (xα ) )α∈A ⊆ Y has a cluster point f (x0 ).
Proof (i) ⇒ (ii). Fix a net ( xα )α∈A ⊆ X with x0 ∈ X as a limit point.

∀OY ∈ OY with f (x0 ) ∈ OY . By the continuity of f at x0 , ∃OX ∈ OX with
x0 ∈ OX such that f (OX ) ⊆ OY . Since x0 is a limit point of ( xα )α∈A ,
then ∃α0 ∈ A such that, ∀α ∈ A with α0 ≺ α, we have xα ∈ OX . Then,
f (xα ) ∈ OY . Hence, we have f (x0 ) is a limit point of ( f (xα ) )α∈A .
(ii) ⇒ (i). Suppose f is not continuous at x0 ∈ X . Then, ∃OY 0 ∈ OY
with f (x0 ) ∈ OY 0 such that, ∀OX ∈ OX with x0 ∈ OX , we have f (OX ) 6⊆
OY 0 . Let M := { O ∈ OX | x0 ∈ O }. Clearly, X ∈ M and M = 6 ∅. Define
a relation ≺ on M by, ∀O1 , O2 ∈ M, we say O1 ≺ O2 if O1 ⊇ O2 . Clearly,
≺ is transitive on M. ∀O1 , O2 ∈ M, let O3 = O1 ∩ O2 ∈ OX and x0 ∈ O3 .
Then, O3 ∈ M, O1 ≺ O3 , and O2 ≺ O3 . Hence, A := (M, ≺) is a directed
system. ∀O ∈ M, f (O) \ OY 0 6= ∅. By Axiom of Choice, we may define a
net ( xO )O∈A by xO ∈ O with f (xO ) 6∈ OY 0 . Clearly, x0 is a limit point
of ( xO )O∈A . Yet, f (x0 ) ∈ OY 0 ∈ OY and f (xO ) 6∈ OY 0 , ∀O ∈ M. Then,
f (x0 ) is not a limit point of the net ( f (xO ) )O∈A . This contradicts with
the assumption. Therefore, f is continuous at x0 .
(i) ⇒ (iii). Fix a net ( xα )α∈A ⊆ X with x0 as a cluster point. ∀OY ∈

OY with f (x0 ) ∈ OY , by the continuity of f at x0 , ∃U ∈ OX with x0 ∈ U
such that f (U ) ⊆ OY . By Definition 3.63, ∀α ∈ A, ∃α0 ∈ A with α ≺ α0 ,
xα0 ∈ U . Then, f (xα0 ) ∈ OY . Hence, f (x0 ) is a cluster point of the net
( f (xα ) )α∈A .
(iii) ⇒ (i). Suppose f is not continuous at x0 . Let M := { O ∈ OX |
x0 ∈ O }. Clearly, A := (M, ⊇) is a directed system. ∃OY 0 ∈ OY with
f (x0 ) ∈ OY 0 such that ∀U ∈ M, we have f (U ) 6⊆ OY 0 . By Axiom of
Choice, we may assign to each U ∈ M an xU ∈ U such that f (xU ) ∈
Og Y 0 . Consider the net ( xU )U∈A . Clearly, x0 is a limit point of the net,
and therefore is a cluster point of the net. Consider the net ( f (xU ) )U∈A .
For the open set OY 0 ∋ f (x0 ), ∀U ∈ A, f (xU ) ∈ O gY 0 . Then, f (x0 ) is
not a cluster point of ( f (xU ) )U∈A . This contradicts with the assumption.
Therefore, f must be continuous at x0 .
Proposition 3.67 Let (Xα , Oα ) be a topological space, Q ∀α ∈ Λ, where
Λ is an index set. Let (X, O) be the product space α∈Λ (Xα , Oα ). Let
( xβ )β∈A ⊆ X be a net. Then, x0 ∈ X is a limit point of ( xβ )β∈A if, and
only if, ∀α ∈ Λ, πα (x0 ) ∈ Xα is a limit point of ( πα (xβ ) )β∈A .
Proof “Only if” ∀α ∈ Λ, by Proposition 3.27, πα is continuous. Then,

πα is continuous at x0 ∈ X, by Proposition 3.9. By Proposition 3.66, πα (x0 )
is a limit point of the net ( πα (xβ ) )β∈A .
“If” Suppose that x0 ∈ X is not a limit point of the net ( xβ )β∈A .
Then, ∃ a basis open set B ∈ O with x0 ∈ BQsuch that, ∀β0 ∈ A, ∃β ∈ A
with β0 ≺ β, we have xβ 6∈ B. Then, B = α∈Λ Oα , Oα ∈ Oα , ∀α ∈ Λ,
and Oα = Xα for all α’s except finitely many α’s, say α ∈ ΛN . Then,
∀β0 ∈ A, ∃β ∈ A with β0 ≺ β, we have xβ 6∈ B. This implies that
παβ (xβ ) 6∈ Oαβ , for some αβ ∈ ΛN . Then, by an argument of contradiction,
we may show that ∃α0 ∈ ΛN such that, ∀β0 ∈ A, ∃β ∈ A with β0 ≺ β,
we have πα0 (xβ ) 6∈ Oα0 . Hence, πα0 (x0 ) ∈ Oα0 is not the limit of the net
( πα0 (xβ ) )β∈A . This contradicts with the assumption. Hence, we have x0
is a limit point of ( xβ )β∈A .
Proposition 3.68 Let (X, O) be a topological space, E ⊆ X, and x ∈ X.

x ∈ E if, and only if, ∃ a net ( xα )α∈A ⊆ E such that x is a limit point of
the net.
Proof “Only if” Let M := { O ∈ O | x ∈ O }. Clearly, X ∈ M, then

M = 6 ∅. Clearly, A := (M, ⊇) is a directed system. Since x ∈ E, then,
by Proposition 3.3, ∀O ∈ A, O ∩ E 6= ∅. By Axiom of Choice, ∃ a net
( xO )O∈A ⊆ E such that xO ∈ O ∩ E, ∀O ∈ A. ∀O ∈ O with x ∈ O, then
O ∈ A. ∀O1 ∈ A with O ⊇ O1 , we have xO1 ∈ O1 ∩ E ⊆ O. Hence, x is a
limit point of ( xO )O∈A .
“If” Let ( xα )α∈A ⊆ E be the net such that x is a limit point of the
net. ∀O ∈ O with x ∈ O, ∃α0 ∈ A, ∀α ∈ A with α0 ≺ α, we have
xα ∈ E ∩ O. Since ( xα )α∈A is a net, then ∃α1 ∈ A with α0 ≺ α1 . Then,
xα1 ∈ O ∩ E 6= ∅. By Proposition 3.3, x ∈ E.
Definition 3.69 Let (X, O) be a topological space, A := (A, ≺) be a di-

rected system, and ( xα )α∈A ⊆ X be a net. Let As ⊆ A be a subset with
the same relation ≺ as A such that ∀α ∈ A, ∃αs ∈ As such that α ≺ αs .
Then, As := (As , ≺) is a directed system and ( xα )α∈As is a net, which is
called a subnet of ( xα )α∈A .
Proposition 3.70 Let (X, O) be a topological space and ( xα )α∈A ⊆ X be

a net. Then, x0 ∈ X is a limit point of ( xα )α∈A if, and only if, any subnet
( xα )α∈As has a limit point x0 .
Proof “Only if” Since x0 ∈ X is a limit point of ( xα )α∈A , then

∀O ∈ O with x0 ∈ O, ∃α0 ∈ A such that, ∀α ∈ A with α0 ≺ α, we have
xα ∈ O. Let ( xα )α∈As be a subnet. Then, ∃αs0 ∈ As such that α0 ≺ αs0 .
∀αs ∈ As with αs0 ≺ αs , we have α0 ≺ αs and xαs ∈ O. Hence, x0 is a
limit point of the subnet.
“If” Since ( xα )α∈A is a subnet of itself, then it has limit x0 .
A cluster point of a subnet is clearly a cluster point of the net.
Proposition 3.71 Let (X, O) be a topological space and ( xα )α∈A be a net.

Then, x0 ∈ X is a limit point of ( xα )α∈A if, and only if, for every subnet
( xα )α∈As of ( xα )α∈A , there exists a subnet ( xα )α∈Ass that has a limit
point x0 .
Proof “Sufficiency” We assume that every subnet ( xα )α∈As of

( xα )α∈A , there exists a subnet ( xα )α∈Ass that has a limit point x0 . We
will prove the result using an argument of contradiction. Suppose x0 is not
a limit point of ( xα )α∈A . Then, ∃O0 ∈ O with xn0 ∈ O0 , ∀α
0 ∈ A, ∃α
o∈A
f f
with α0 ≺ α such that xα ∈ O0 . Define As := ( α ∈ A xα ∈ O0 , ≺).
Clearly, ( xα )α∈As is a subnet of ( xα )α∈A . Any subnet ( xα )α∈Ass of
( xα )α∈As , ∀αss ∈ Ass , we have xαss ∈ O f0 . Then, x0 is not a limit of
( xα )α∈Ass . This contradicts the assumption. Therefore, x0 is a limit point
of ( xα )α∈A .
“Necessity” Let x0 be a limit point of ( xα )α∈A and ( xα )α∈As be a
subnet. By Proposition 3.70, x0 is a limit point of ( xα )α∈As , which is a
subnet of itself. Then, the result holds.
Definition 3.72 Let X := (X, OX ) and Y := (Y, OY ) be topological spaces,

D ⊆ X , f : D → Y, and x0 ∈ X be an accumulation point of D. y0 ∈ Y
is said to be a limit point of f (x) as x → x0 if ∀OY ∈ OY with y0 ∈ OY ,

∃U ∈ OX with x0 ∈ U such that f (U \ {x0 }) = f ((D ∩ U ) \ {x0 }) ⊆ OY .
We will also say that f (x) converges to y0 as x → x0 .
When basis are available on topological spaces X and Y, in Definition 3.72,

we may restrict the open sets OY and U to be basis open sets without
changing the meaning of the definition.
Proposition 3.73 Let X := (X, OX ) and Y := (Y, OY ) be topological

spaces, D ⊆ X , f : D → Y, and x0 ∈ X be an accumulation point of D. If
Y is Hausdorff, then there is at most one limit point of f (x) as x → x0 . In
this case, we will write limx→x0 f (x) = y0 ∈ Y when the limit exists.
Proof Suppose f (x) admits limit points yA , yB ∈ Y as x → x0 with

yA 6= yB . Since Y is Hausdorff, then ∃UA , UB ∈ OY such that yA ∈ UA ,
yB ∈ UB , and UA ∩ UB = ∅. Since yA is a limit point of f (x) as x → x0 ,
then ∃VA ∈ OX with x0 ∈ VA such that f (VA \ {x0 }) ⊆ UA . Since yB
is a limit point of f (x) as x → x0 , then ∃VB ∈ OX with x0 ∈ VB such
that f (VB \ {x0 }) ⊆ UB . Then, x0 ∈ V := VA ∩ VB ∈ O. Since x0
is an accumulation point of D, then ∃x ∈ (D ∩ V ) \ {x0 }. Then, we have
f (x) ∈ UA since x ∈ (D∩VA )\{x0 } and f (x) ∈ UB since x ∈ (D∩VB )\{x0 }.
Then, f (x) ∈ UA ∩ UB 6= ∅. This contradicts with UA ∩ UB = ∅. Hence,
the result holds. This completes the proof of the proposition. 2

spaces, f : X → Y, and x0 ∈ X . Then, the following statements are
equivalent.
(i) f is continuous at x0 .
(ii) If x0 is an accumulation point of X , then f (x0 ) is a limit point of
f (x) as x → x0 .
Proof (i) ⇒ (ii). This is straightforward.

(ii) ⇒ (i). We will distinguish two exhaustive and mutually exclusive
cases: Case 1: x0 is not an accumulation point of X ; Case 2: x0 is an
accumulation point of X . Case 1: x0 is not an accumulation point of X .
∃V ∈ OX with x0 ∈ V such that V ∩ X = {x0 }. ∀U ∈ OY with f (x0 ) ∈ U ,
we have f (V ) = {f (x0 )} ⊆ U . Hence, f is continuous at x0 .
Case 2: x0 is an accumulation point of X . ∀U ∈ OY with f (x0 ) ∈ U ,
∃V ∈ OX with x0 ∈ V such that f (V \{x0 }) ⊆ U . Then, we have f (V ) ⊆ U .
Hence, f is continuous at x0 .
In both cases, f is continuous at x0 .
Proposition 3.75 Let X := (X, OX ), Y := (Y, OY ), and Z := (Z, OZ ) be

topological spaces, D ⊆ X , f : D → Y, x0 ∈ X be an accumulation point of
D, y0 ∈ Y be a limit point of f (x) as x → x0 , and g : Y → Z be continuous

at y0 . Then, g(y0 ) ∈ Z is a limit point of g(f (x)) as x → x0 . When Y and
Z are Hausdorff, then we may write limx→x0 g(f (x)) = g(limx→x0 f (x)).
Proof ∀OZ ∈ OZ with g(y0 ) ∈ OZ , by the continuity of g at y0 ,

∃OY ∈ OY with y0 ∈ OY such that g(OY ) ⊆ OZ . Since y0 is the limit of
f (x) as x → x0 , then ∃OX ∈ OX with x0 ∈ OX such that f (OX \ {x0 }) ⊆
OY . Then, g(f (OX \ {x0 })) ⊆ OZ . Hence, g(f (x)) converges to g(y0 ) as
x → x0 . This completes the proof of the proposition. 2
Proposition 3.76 Let X be a topological space, D̄ ⊆ X , x0 ∈ X be an

accumulation point of D̄, Y and Z be Hausdorff topological spaces, D ⊆ Y,
y0 ∈ Y be an accumulation point of D, f : D̄ → D, and g : D → Z.
Assume that
(i) ∃O0 ∈ OX with x0 ∈ O0 such that f (O0 \ {x0 }) ⊆ D \ {y0 };
(ii) limx→x0 f (x) = y0 and limy→y0 g(y) = z0 ∈ Z.
Then, limx→x0 g(f (x)) = z0 .
Proof ∀OZ ∈ OZ with z0 ∈ OZ , by limy→y0 g(y) = z0 , ∃OY ∈ OY

with y0 ∈ OY such that g(OY \ {y0 }) = g((OY ∩ D) \ {y0 }) ⊆ OZ . By
limx→x0 f (x) = y0 , ∃OX ∈ OX with x0 ∈ OX such that f (OX \ {x0 }) =
f ((OX ∩ D̄) \ {x0 }) ⊆ OY . Let O1 := O0 ∩ OX ∈ OX . Clearly, x0 ∈ O1 .
Then, ∀x ∈ (O1 ∩ D̄) \ {x0 }, we have f (x) ∈ OY ∩ (D \ {y0 }) = (OY ∩
D) \ {y0 } and g(f (x)) ∈ OZ . Hence, g(f ((O1 ∩ D̄) \ {x0 })) ⊆ OZ . Hence,
limx→x0 g(f (x)) = z0 . This completes the proof of the proposition. 2
Proposition 3.77 Let X , Y, and Z be Hausdorff topological spaces, D̄ ⊆

X , x0 ∈ X be an accumulation point of D̄, D ⊆ Y, y0 ∈ Y be an accumu-
lation point of D, f : D̄ → D be bijective, and g : D → Z. Assume that
limx→x0 f (x) = y0 and limy→y0 f inv(y) = x0 . Then, limx→x0 g(f (x)) =
limy→y0 g(y) whenever one of the limits exists in Z.
Proof We will prove the result by distinguishing two exhaustive cases:

Case 1: limy→y0 g(y) = z0 ∈ Z; Case 2: limx→x0 g(f (x)) = z0 ∈ Z.
Case 1: limy→y0 g(y) = z0 ∈ Z. We will further distinguish three
exhaustive and mutually exclusive subcases: Case 1a: y0 6∈ D; Case 1b:
y0 ∈ D and x0 = f inv(y0 ); Case 1c: y0 ∈ D and x0 6= x̄0 := f inv(y0 ). Case
1a: y0 6∈ D. Then, (i) of Proposition 3.76 is satisfied with O0 := X . By
Proposition 3.76, we have limx→x0 g(f (x)) = z0 ∈ Z. Case 1b: y0 ∈ D and
x0 = f inv(y0 ). Let O0 := X . ∀x ∈ (O0 ∩ D̄) \ {x0 }, we have D ∋ f (x) 6=
f (x0 ) = y0 by f being bijective. This implies that f (O0 \ {x0 }) ⊆ D \ {y0}.
Then, limx→x0 g(f (x)) = z0 ∈ Z by Proposition 3.76. Case 1c: y0 ∈ D
and x0 6= x̄0 := f inv(y0 ). By X being Hausdorff, ∃O0 ∈ OX such that
x0 ∈ O0 and x̄0 6∈ O0 . This leads to ∀x ∈ (O0 ∩ D̄) \ {x0 }, we have
D ∋ f (x) 6= f (x̄0 ) = y0 by f being bijective. This implies that f (O0 \

{x0 }) ⊆ D \ {y0 }. Then, limx→x0 g(f (x)) = z0 ∈ Z by Proposition 3.76.
Hence, limx→x0 g(f (x)) = limy→y0 g(y) = z0 ∈ Z in all three subcases.
Hence, the result holds in this case.
Case 2: limx→x0 g(f (x)) = z0 ∈ Z. Define h : D̄ → Z by h(x) =
g(f (x)), ∀x ∈ D̄. Then, limx→x0 h(x) = z0 . By Case 1, we have
limy→y0 h(f inv(y)) = z0 ∈ Z. Then, limy→y0 g(f (f inv(y))) = limy→y0 g(y) =
z0 . Hence, the result holds in this case.
Example 3.78 Let g : IR → IR. It is desired to calculate limy→+∞ g(y).
We will apply Proposition 3.77 to this calculation. Take X = IR, Y =
IRe , and Z = IRe . Let D̄ := (−∞, −1] ∪ (0, +∞) ⊂ IR = X , x0 = 0,
D := IR ⊂ IRe = Y, and y0 = +∞. Then, g : D → Z. Define f : D̄ →
1/x x>0
D by f (x) = , ∀x ∈ D̄. Clearly, f is bijective with
x + 1 x ≤ −1

1/y y>0
f inv : D → D̄ given by f inv(y) = , ∀y ∈ D. Clearly,
y−1 y ≤0
limx→0 f (x) = +∞ and limy→+∞ f inv(y) = 0. Then, by Proposition 3.77,
limy→+∞ g(y) = limx→0 g(f (x)) whenever one of the limits exists in Z. ⋄

spaces, D ⊆ X , x0 ∈ X be an accumulation point of D, y0 ∈ Y, and
f : D → Y. Then, the following statements are equivalent.
(i) y0 is a limit point of f (x) as x → x0 .
(ii) ∀ net ( xα )α∈A ⊆ D \ {x0 } with x0 as a limit, we have y0 is a limit

point of the net ( f (xα ) )α∈A .
Proof (i) ⇒ (ii). Fix any net ( xα )α∈A ⊆ D \ {x0 } with x0 as a

limit. ∀U ∈ OY with y0 ∈ U , by (i), ∃V ∈ OX with x0 ∈ V such that
f (V \ {x0 }) ⊆ U . ∃α0 ∈ A such that ∀α ∈ A with α0 ≺ α, we have xα ∈ V .
Then, xα ∈ (D ∩ V ) \ {x0 } and f (xα ) ∈ U . Hence, ( f (xα ) )α∈A has a limit
y0 .
(ii) ⇒ (i). Suppose y0 is not a limit point of f (x) as x → x0 . Then,
∃U0 ∈ OY with y0 ∈ U0 , ∀V ∈ OX with x0 ∈ V , we have f (V \ {x0 }) 6⊆ U0 .
Then, ∃xV ∈ (D ∩ V ) \ {x0 } such that f (xV ) 6∈ U0 . Let M := { V ∈
OX | x0 ∈ V } and A := (M, ⊇). Clearly, A is a directed system. By
Axiom of Choice, we may construct a net ( xV )V ∈A ⊆ D \ {x0 }. Clearly,
x0 is a limit point of this net. But, ∀V ∈ A, f (xV ) 6∈ U0 . Hence, y0 is not
a limit point of the net ( f (xV ) )V ∈A . This contradicts with (ii). Therefore,
y0 is a limit point of f (x) as x → x0 .
Example 3.80 The extended real line is IRe := IR ∪ {∞} ∪ {−∞}. We
assume that ∀x ∈ IR, −∞ < x < ∞. We define the usual operations:
∀x ∈ IR,
x+∞=∞ x − ∞ = −∞
x · ∞ = ∞; if x > 0
x · (−∞) = −∞; if x > 0
∞+∞= ∞ − ∞ − ∞ = −∞
∞·∞=∞ ∞ · (−∞) = −∞
The operations ∞ − ∞ and 0 · ∞ are undefined.

On IRe , we introduce the countable collection of subsets of IRe , BIRe ,
as follows. ∅, IR, IRe ∈ BIRe . ∀r1 , r2 ∈ Q with r1 < r2 , [−∞, r1 ), (r1 , r2 ),
(r2 , +∞] ∈ BIRe .
By Proposition 3.18, it is easy to show that BIRe is a basis for a topology
on IRe . This topology is denoted OIRe , which is the usual topology on IRe .
It is easy to show that (IRe , OIRe ) is an arcwise connected second countable
Hausdorff topological space.
An important property of IRe is that ∀E ⊆ IRe , supx∈E x ∈ IRe and
inf x∈E x ∈ IRe .
It is easy to see that IR as a subset of IRe admits the subset topology O
that equals to the usual topology OIR on IR. ⋄
Proposition 3.81 Let X be a set, f1 : X → IR, f2 : X → IR, g1 : X → IRe ,

and g2 : X → IRe . Assume that g1 (x) + g2 (x) ∈ IRe is well defined, ∀x ∈ X.
Then,
(i) supx∈X g1 (x) ≤ M ∈ IRe if, and only if, ∀x ∈ X, g1 (x) ≤ M ;
(ii) inf x∈X g1 (x) ≥ m ∈ IRe if, and only if, ∀x ∈ X, g1 (x) ≥ m;
(iii) supx∈X g1 (x) > M ∈ IRe if, and only if, ∃x ∈ X, g1 (x) > M ;
(iv) inf x∈X g1 (x) < m ∈ IRe if, and only if, ∃x ∈ X, g1 (x) < m;
(v) supx∈X (−g1 )(x) = − inf x∈X g1 (x);
(vi) supx∈X (f1 + f2 )(x) ≤ supx∈X f1 (x) + supx∈X f2 (x);
(vii) ∀α ∈ (0, ∞) ⊂ IR, supx∈X (αg1 (x)) = α supx∈X g1 (x); ∀α ∈ [0, ∞) ⊂

IR, supx∈X (αf1 (x)) = α supx∈X f1 (x) when supx∈X f1 (x) ∈ IR;
(viii) supx∈X (g1 + g2 )(x) ≤ supx∈X g1 (x) + supx∈X g2 (x), when the right-
hand-side is well defined.

Definition 3.82 Let ( xα )α∈A ⊆ IRe be a net. The limit superior and limit
inferior of the net are defined by
lim sup xα = inf sup xβ ∈ IRe

α∈A α∈A β∈A with α≺β
lim inf xα = sup inf xβ ∈ IRe
Proposition 3.83 Let ( xα )α∈A ⊆ IRe , ( yα )α∈A ⊆ IR, and ( zα )α∈A ⊆ IR

be nets over the same directed system. Then, we have
(i) lim inf α∈A xα ≤ lim supα∈A xα ;
(ii) − lim inf α∈A xα = lim supα∈A (−xα );
(iii) lim inf α∈A xα = lim supα∈A xα = L ∈ IRe if, and only if, limα∈A xα =
L;
(iv) lim supα∈A (yα +zα ) ≤ lim supα∈A yα +lim supα∈A zα , when the right-
hand-side makes sense;
(v) if limα∈A yα = y ∈ IR, then lim supα∈A (yα + zα ) = y + lim supα∈A zα .
Proof Let Vα := { β ∈ A | α ≺ β }, ∀α ∈ A. Then, Vα 6= ∅, ∀α ∈ A,

since A is a directed system, and Vα ⊇ Vβ , ∀α, β ∈ A with α ≺ β.
(i) Let l := lim inf α∈A xα ∈ IRe and L := lim supα∈A xα ∈ IRe . ∀m ∈ IR
with m < l, supα∈A inf β∈A with α≺β xβ > m implies that, by Proposi-
tion 3.81, ∃α0 ∈ A such that inf β∈Vα0 xβ > m. Then, ∀α ∈ A, ∃α1 ∈ A
such that α0 ≺ α1 and α ≺ α1 . Then, m < inf β∈Vα0 xβ ≤ inf β∈Vα1 xβ ≤
supβ∈Vα1 xβ ≤ supβ∈Vα xβ . Hence, L ≥ m. By the arbitrariness of m, we
have L ≥ l.
(ii) Note that, by Proposition 3.81,
lim sup(−xα ) = inf sup (−xβ ) = inf ( − inf xβ )

α∈A α∈A β∈Vα α∈A β∈Vα
= − sup inf xβ = − lim inf xα

α∈A β∈Vα α∈A
(iii) “If” ∀m ∈ IR with m > L, ∃α0 ∈ A such that xα ∈ (−∞, m),

∀α ∈ A with α0 ≺ α. Then, supβ∈Vα0 xβ ≤ m and lim supα∈A xα ≤ m.
By the arbitrariness of m, we have lim supα∈A xα ≤ L. By (ii), we have
−L = limα∈A (−xα ) ≥ lim supα∈A (−xα ) = − lim inf α∈A xα . Then, by (i),
we have L ≤ lim inf α∈A xα ≤ lim supα∈A xα ≤ L.
“Only if” We will distinguish three exhaustive and mutually exclusive
cases: Case 1: L = −∞; Case 2: L ∈ IR; Case 3: L = +∞. Case
1: L = −∞. ∀m ∈ IR, lim supα∈A xα < m implies that ∃α0 ∈ A such
that supβ∈Vα0 xβ < m. Then, xβ ∈ (−∞, m), ∀β ∈ Vα0 . Hence, we
have limα∈A xα = −∞ = L. Case 2: L ∈ IR. ∀ǫ ∈ (0, ∞) ⊂ IR, L =
lim inf α∈A xα implies that ∃α1 ∈ A such that inf β∈Vα1 xβ > L − ǫ. Then,
xβ ∈ (L − ǫ, +∞) ⊂ IR, ∀β ∈ Vα1 . L = lim supα∈A xα implies that ∃α2 ∈ A

such that supβ∈Vα2 xβ < L + ǫ. Then, xβ ∈ (−∞, L + ǫ) ⊂ IR, ∀β ∈ Vα2 .
Let α0 ∈ A with α1 ≺ α0 and α2 ≺ α0 . Then, xβ ∈ (L − ǫ, L + ǫ), ∀β ∈ A
with α0 ≺ β. Therefore, limα∈A xα = L. Case 3: L = +∞. ∀M ∈ IR,
lim inf α∈A xα > M implies that ∃α0 ∈ A such that inf β∈Vα0 xβ > M .
Then, xβ ∈ (M, ∞), ∀β ∈ Vα0 . Hence, we have limα∈A xα = +∞ = L.
(iv) Note that, ∀α ∈ A, by Proposition 3.81,
sup (yβ + zβ ) ≤ sup yβ + sup zβ

β∈Vα β∈Vα β∈Vα
Then, by Proposition 3.81, we have, ∀α ∈ A,
lim sup(yα + zα ) ≤ sup yβ + sup zβ

α∈A β∈Vα β∈Vα
∀γ ∈ A, ∃α0 ∈ A with α ≺ α0 and γ ≺ α0 . Then,
lim sup(yα + zα ) ≤ sup yβ + sup zβ ≤ sup yβ + sup zβ

α∈A β∈Vα0 β∈Vα0 β∈Vα β∈Vγ
Hence, we have lim supα∈A (yα +zα ) ≤ lim supα∈A yα +lim supα∈A zα , when
the right-hand-side makes sense.
(v) By (iv) and (iii), we have lim supα∈A (yα + zα ) ≤ y + lim supα∈A zα .
Note that lim supα∈A zα = lim supα∈A (yα + zα − yα ) ≤ lim supα∈A (yα +
zα ) + lim supα∈A (−yα ). Then, we have lim supα∈A (yα + zα ) ≥ y +
lim supα∈A zα . Hence, we have lim supα∈A (yα + zα ) = y + lim supα∈A zα .
Definition 3.84 Let X := (X, OX ) be topological spaces, D ⊆ X , f : D →

IR, and x0 ∈ X be an accumulation point of D. Then the limit superior
and limit inferior of f (x) as x → x0 are defined by
lim sup f (x) = inf sup f (x) ∈ IRe

x→x0 O∈O with x0 ∈O x∈(D∩O)\{x0 }
lim inf f (x) = sup inf f (x) ∈ IRe

x→x0
O∈O with x0 ∈O x∈(D∩O)\{x0 }
Proposition 3.85 Let X be a topological space, D ⊆ X , x0 ∈ X be an

accumulation point of D, f : D → IR, and g : D → IR. Then, we have
(i) lim inf x→x0 f (x) ≤ lim supx→x0 f (x);
(ii) − lim inf x→x0 f (x) = lim supx→x0 (−f )(x);
(iii) lim inf x→x0 f (x) = lim supx→x0 f (x) = L ∈ IRe if, and only if,
limx→x0 f (x) = L;
(iv) lim supx→x0 (f + g)(x) ≤ lim supx→x0 f (x) + lim supx→x0 g(x), when
the right-hand-side makes sense;
(v) if limx→x0 f (x) = y ∈ IR, then lim supx→x0 (f + g)(x) = y +

lim supx→x0 g(x).
Proof (i) Let l := lim inf x→x0 f (x) ∈ IRe and L := lim supx→x0 f (x) ∈
IRe . ∀m ∈ IR with m < l, supO∈O with x0 ∈O inf x∈(D∩O)\{x0 } f (x) > m
implies that ∃U ∈ O with x0 ∈ U such that inf x∈(D∩U)\{x0 } f (x) >
m. ∀O ∈ O with x0 ∈ O, we have x0 ∈ V := O ∩ U ∈ O and
(D ∩ V ) \ {x0 } = 6 ∅, since x0 is an accumulation point of D. Then, m <
inf x∈(D∩U)\{x0 } f (x) ≤ inf x∈(D∩V )\{x0 } f (x) ≤ supx∈(D∩V )\{x0 } f (x) ≤
supx∈(D∩O)\{x0 } f (x). Hence, L ≥ m. By the arbitrariness of m, we have
L ≥ l.
(ii) Note that, by Proposition 3.81,
lim sup(−f )(x) = inf sup (−f (x))

x→x0 O∈O with x0 ∈O x∈(D∩O)\{x0 }

= inf − inf f (x)
= − sup inf f (x)

= − lim inf f (x)
x→x0
(iii) “If” ∀m ∈ IR with m > L, ∃V ∈ O with x0 ∈ V such that f (V \

{x0 }) ⊆ (−∞, m). Then, sup f (x) ≤ m and lim sup f (x) ≤ m.
x∈(D∩V )\{x0 } x→x0
By the arbitrariness of m, we have lim sup f (x) ≤ L. By (ii), we have
x→x0
−L = lim (−f )(x) ≥ lim sup(−f )(x) = − lim inf f (x). Then, by (i), we
x→x0 x→x0 x→x0
have L ≤ lim inf f (x) ≤ lim sup f (x) ≤ L.
x→x0 x→x0
“Only if” We will distinguish three exhaustive and mutually exclusive
cases: Case 1: L = −∞; Case 2: L ∈ IR; Case 3: L = +∞. Case 1:
L = −∞. ∀m ∈ IR, lim supx→x0 f (x) < m implies that ∃V ∈ O with x0 ∈ V
such that supx∈(D∩V )\{x0 } f (x) < m. Then, f (V \ {x0 }) ⊆ (−∞, m).
Hence, we have limx→x0 f (x) = −∞ = L. Case 2: L ∈ IR. ∀ǫ ∈ (0, ∞) ⊂
IR, L = lim inf x→x0 f (x) implies that ∃V1 ∈ O with x0 ∈ V1 such that
inf x∈(D∩V1 )\{x0 } f (x) > L − ǫ. Then, f (V1 \ {x0 }) ⊆ (L − ǫ, +∞) ⊆ IR.
L = lim supx→x0 f (x) implies that ∃V2 ∈ O with x0 ∈ V2 such that
supx∈(D∩V2 )\{x0 } f (x) < L + ǫ. Then, f (V2 \ {x0 }) ⊆ (−∞, L + ǫ).
Let V := V1 ∩ V2 ∈ O. Clearly, x0 ∈ V and, by Proposition 2.5,
f (V \ {x0 }) ⊆ f (V1 \ {x0 }) ∩ f (V2 \ {x0 }) ⊆ (L − ǫ, L + ǫ). Therefore,
limx→x0 f (x) = L. Case 3: L = +∞. ∀M ∈ IR, lim inf x→x0 f (x) > M
implies that ∃V ∈ O with x0 ∈ V such that inf x∈(D∩V )\{x0 } f (x) > M .
Then, f (V \ {x0 }) ⊆ (M, +∞). Hence, we have limx→x0 f (x) = +∞ = L.
(iv) Note that, ∀O ∈ O with x0 ∈ O, by Proposition 3.81,
sup (f + g)(x) ≤ ( sup f (x)) + ( sup g(x))

x∈(D∩O)\{x0 } x∈(D∩O)\{x0 } x∈(D∩O)\{x0 }
Then, by Proposition 3.81, we have, ∀O ∈ O with x0 ∈ O,

lim sup(f + g)(x) ≤ ( sup f (x)) + ( sup g(x))
x→x0 x∈(D∩O)\{x0 } x∈(D∩O)\{x0 }
∀U ∈ O with x0 ∈ U , we have x0 ∈ V := U ∩ O ∈ O. Then,

lim sup(f + g)(x) ≤ ( sup f (x)) + ( sup g(x))
x→x0 x∈(D∩V )\{x0 } x∈(D∩V )\{x0 }
≤ ( sup f (x)) + ( sup g(x))

x∈(D∩O)\{x0 } x∈(D∩U)\{x0 }
Hence, we have lim supx→x0 (f +g)(x) ≤ lim supx→x0 f (x)+lim supx→x0 g(x),
when the right-hand-side makes sense.
(v) By (iv) and (iii), lim supx→x0 (f + g)(x) ≤ y + lim supx→x0 g(x).
Note that lim supx→x0 g(x) = lim supx→x0 (f + g − f )(x) ≤ lim supx→x0 (f +
g)(x) + lim supx→x0 (−f )(x). Then, we have lim supx→x0 (f + g)(x) ≥
y + lim supx→x0 g(x). Hence, we have lim supx→x0 (f + g)(x) = y +
lim supx→x0 g(x).
Proposition 3.86 Let X := (X, OX ) be a topological space, f : X → IR,
and x0 ∈ X . Then, the following statements are equivalent.
(i) f is upper semicontinuous at x0 .
(ii) If x0 is an accumulation point of X , then lim supx→x0 f (x) ≤ f (x0 ).
Proof (i) ⇒ (ii). Let x0 be an accumulation point of X . By the upper
semicontinuity of f at x0 , ∀ǫ ∈ (0, ∞) ⊂ IR, ∃O ∈ O with x0 ∈ O such
that f (x) < f (x0 ) + ǫ, ∀x ∈ O. Then, supx∈O\{x0 } f (x) ≤ f (x0 ) + ǫ,
and lim supx→x0 f (x) ≤ f (x0 ) + ǫ. By the arbitrariness of ǫ, we have
lim supx→x0 f (x) ≤ f (x0 ).
(ii) ⇒ (i). We will distinguish two exhaustive and mutually exclusive
cases: Case 1: x0 is not an accumulation point of X ; Case 2: x0 is an
accumulation point of X . Case 1: x0 is not an accumulation point of X .
∃V ∈ OX with x0 ∈ V such that V ∩ X = {x0 }. ∀ǫ ∈ (0, ∞) ⊂ IR, we have
f (x) = f (x0 ) < f (x0 ) + ǫ, ∀x ∈ V . Hence, f is upper semicontinuous at
x0 .
Case 2: x0 is an accumulation point of X . ∀ǫ ∈ (0, ∞) ⊂ IR,
lim supx→x0 f (x) < f (x0 ) + ǫ implies that ∃O ∈ O with x0 ∈ O such that
supx∈O\{x0 } f (x) < f (x0 ) + ǫ. Then, f (x) < f (x0 ) + ǫ, ∀x ∈ O. Hence, f
is upper semicontinuous at x0 .
In both cases, f is upper semicontinuous at x0 .
Proposition 3.87 Let X be a topological space, D ⊆ X , x0 ∈ X be an
accumulation point of D, and f : D → IR. Assume there exists a net
( xα )α∈A ⊆ D \ { x0 } such that limα∈A xα = x0 and lim inf α∈A f (xα ) = c ∈
IRe . Then, lim inf x→x0 f (x) ≤ c.
Proof By Definitions 3.84 and 3.82, we have
lim inf f (x) = sup inf f (x)

x→x0
lim inf f (xα ) = sup inf f (xβ ) = c
∀O ∈ O with x0 ∈ O, since limα∈A xα = x0 , then ∃α0 ∈ A such that

∀α ∈ A with α0 ≺ α, we have xα ∈ O. Then, xα ∈ (O ∩ D) \ { x0 }. This
leads to
inf f (x) ≤ inf f (xβ ) ≤ c
x∈(D∩O)\{x0 } β∈A with α0 ≺β
Hence, we have lim inf x→x0 f (x) ≤ c. This completes the proof of the
proposition. 2
Definition 3.88 Let Ai := (Ai , ≺i ) be a directed system, i = 1, 2, and

X := (X, O) be a topological space. Define a relation ≺ on A1 × A2 by,
∀(α1 , β1 ), (α2 , β2 ) ∈ A1 × A2 , we say (α1 , β1 ) ≺ (α2 , β2 ) if α1 ≺1 α2 and
β1 ≺2 β2 . It is easy to verify that A := (A1 × A2 , ≺) =: A1 × A2 is a
directed system. A joint net is a mapping of the directed system A1 × A2 to
X , denoted by ( xα,β )(α,β)∈A1 ×A2 . The joint net is said to admit a (joint)
limit point x̂ ∈ X if it admits a limit point x̂ when viewed as a net over
the directed system A. When X is Hausdorff, by Proposition 3.65, the
joint net admits at most one joint limit point, which will be denoted by
lim(α,β)∈A1 ×A2 xα,β ∈ X if it exists.
Proposition 3.89 Let X := [0, ∞] ⊂ IRe with subset topology O, X :=

(X, O), and c ∈ (0, ∞) ⊂ IR. Then, + : X × X → X and c· : X → X are
continuous.
Proof We will prove this using Proposition 3.9. ∀(x1 , x2 ) ∈ X×X. We

will distinguish four exhaustive and mutually exclusive cases. Case 1: x1 <
∞ and x2 < ∞. Then, x1 + x2 < ∞. ∀ basis open set U := (r1 , r2 ) ∩ X ∈ O
with x1 +x2 ∈ U , take V1 := (x1 −(x1 +x2 −r1 )/2, x1 +(r2 −x1 −x2 )/2)∩X ∈
O and V2 := (x2 − (x1 + x2 − r1 )/2, x2 + (r2 − x1 − x2 )/2) ∩ X ∈ O. Then,
V1 ×V2 is an open set in X ×X with (x1 , x2 ) ∈ V1 ×V2 and ∀(x̄1 , x̄2 ) ∈ V1 ×V2 ,
we have x̄1 + x̄2 ∈ U . Hence, + : X × X → X is continuous at (x1 , x2 ).
Case 2: x1 < ∞ and x2 = ∞. Then, x1 + x2 = ∞. ∀ basis open set
U := (r1 , ∞] ∩ X ∈ O with x1 + x2 ∈ U , take V1 := (x1 − 1, x1 + 1) ∩ X ∈ O
and V2 := (r1 − x1 + 1, ∞] ∩ X ∈ O. Then, V1 × V2 is an open set in X × X
with (x1 , x2 ) ∈ V1 × V2 and ∀(x̄1 , x̄2 ) ∈ V1 × V2 , we have x̄1 + x̄2 ∈ U .
Hence, + : X × X → X is continuous at (x1 , x2 ).
Case 3: x1 = ∞ and x2 < ∞. By Case 2 and symmetry, + : X ×X → X
is continuous at (x1 , x2 ).
Case 4: x1 = ∞ and x2 = ∞. Then, x1 + x2 = ∞. ∀ basis open set
U := (r1 , ∞] ∩ X ∈ O with x1 + x2 ∈ U , take V1 := (r1 /2, ∞] ∩ X ∈ O
and V2 := (r1 /2, ∞] ∩ X ∈ O. Then, V1 × V2 is an open set in X × X with
(x1 , x2 ) ∈ V1 × V2 and ∀(x̄1 , x̄2 ) ∈ V1 × V2 , we have x̄1 + x̄2 ∈ U . Hence,

+ : X × X → X is continuous at (x1 , x2 ).
In all cases, we have + : X × X → X is continuous at (x1 , x2 ). By
Proposition 3.9, + : X × X → X is continuous.
∀x ∈ X. We will distinguish two exhaustive and mutually exclusive
cases. Case 1: x < ∞. Then, cx < ∞. ∀ basis open set U := (r1 , r2 ) ∩ X ∈
O with cx ∈ U , take V := (r1 /c, r2 /c) ∩ X ∈ O. Then, x ∈ V and ∀x̄ ∈ V ,
we have cx̄ ∈ U . Hence, c· : X → X is continuous at x.
Case 2: x = ∞. Then, cx = ∞. ∀ basis open set U := (r1 , ∞] ∩ X ∈ O
with cx ∈ U , take V := (r1 /c, ∞] ∩ X ∈ O. Then, x ∈ V and ∀x̄ ∈ V , we
have cx̄ ∈ U . Hence, c· : X → X is continuous at x.
In both cases, we have c· : X → X is continuous at x. By Propo-
sition 3.9, c· : X → X is continuous. This completes the proof of the
proposition. 2
Chapter 4
Metric Spaces
4.1 Fundamental Notions

Definition 4.1 A metric space (X, ρ) is a set X together with a metric
ρ : X × X → IR such that, ∀x, y, z ∈ X,
(i) ρ(x, y) ≥ 0;
(ii) ρ(x, y) = 0 ⇔ x = y;
(iii) ρ(x, y) = ρ(y, x);
(iv) ρ(x, y) ≤ ρ(x, z) + ρ(z, y).
Let S ⊆ X. Then, (S, ρ|S×S ) is also a metric space.

Example 4.2 (IR, ρ), with ρ(x, Pn y) = |x − y|, ∀x, y ∈ IR, is a metric
space. (IRn , ρ), with ρ(x, y) = ( i=1 |xi − yi |2 )1/2 , ∀x = (x1 , . . . , xn ), y =
n n
P1n, . . . , yn ) ∈ IR , is a metric space, where n ∈ IN. (IRn , ρ), with ρ(x, y) =
(y
i=1 |xi − yi |, ∀x = (x1 , . . . , xn ), y = (y1 , . . . , yn ) ∈ IR , is a metric space,
where n ∈ IN. ⋄
Proposition 4.3 Let X := (X, ρ) be a metric space, an open ball centered

at x0 ∈ X with radius r ∈ (0, ∞) ⊂ IR is defined by BX ( x0 , r ) := { x ∈
X | ρ(x, x0 ) < r }.
The metric space generates a natural topology O on X with the basis
collection B given by B := { BX (x0 , r) | x0 ∈ X, r ∈ (0, ∞) ⊂ IR }.
The closed ball centered at x0 ∈ X with radius r ∈ [0, ∞) ⊂ IR is
defined by BX ( x0 , r ) := { x ∈ X | ρ(x, x0 ) ≤ r }, which is closed.
Proof We will show that B is the basis for its generated topology by
Proposition 3.18. (i) ∀x ∈ X, x ∈ BX ( x, 1 ). (ii) ∀BX ( x1 , r1 ) , BX ( x2 , r2 ) ∈
B, let x ∈ BX ( x1 , r1 ) ∩ BX ( x2 , r2 ). Then, we have ρ(x, x1 ) < r1 and
ρ(x, x2 ) < r2 . Let r := min{r1 − ρ(x, x1 ), r2 − ρ(x, x2 )} ∈ (0, ∞) ⊂ IR.
71
72 CHAPTER 4. METRIC SPACES
Then, x ∈ BX ( x, r ) ∈ B. ∀x3 ∈ BX ( x, r ), we have ρ(x3 , x1 ) ≤

ρ(x3 , x) + ρ(x, x1 ) < r1 and ρ(x3 , x2 ) ≤ ρ(x3 , x) + ρ(x, x2 ) < r2 . Hence,
we have x3 ∈ BX ( x1 , r1 ) ∩ BX ( x2 , r2 ). Therefore, we have BX ( x, r ) ⊆
BX ( x1 , r1 ) ∩ BX ( x2 , r2 ). Hence, the assumptions of Proposition 3.18 are
satisfied, and then B is a basis for O. ∼
Next, we show that BX ( x0 , r ) is a closed set. ∀x ∈ BX ( x0 , r ) ,
we have ρ(x, x0 ) > r. Let r1 := ρ(x, x0 ) − r ∈ (0, ∞) ⊂ IR. ∀x1 ∈
BX ( x, r1 ), we have ρ(x1 , x0 ) ≥ ∼ρ(x, x0 ) − ρ(x, x1 ) > r. Hence,
∼ we have
x ∈ BX ( x, r1 ) ⊆ BX ( x0 , r ) . Therefore, BX ( x0 , r ) is open and
BX ( x0 , r ) is closed.
We will some times talk about a metric space X := (X, ρ) without
referring the the components of X , where the metric is understood to be
ρX the natural topology is understood to be OX . When it is clear from the
context, we will also neglect the subscript X . We will abuse the notation
and say x ∈ X and A ⊆ X when x ∈ X and A ⊆ X.
On a metric space, we can talk about open and closed sets, and all those
concepts defined in Chapter 3, all with respect to the natural topology.
A metric space is clearly first countable, where a countable basis at
x0 ∈ X is { B ( x0 , r ) | r ∈ Q, r > 0 }.
Proposition 4.4 A metric space (X, ρ) is separable if, and only if, it is
second countable.
Proof “Only if” Let D ⊆ X be a countable dense set. Let M :=

{ B ( x, r ) | x ∈ D, r ∈ Q, and r > 0 }. Clearly, M is countable and
M ⊆ O. ∀O ∈ O, ∀x ∈ O. ∃r ∈ (0, ∞) ∩ Q such that B ( x, r ) ⊆ O. Since
D is dense, then ∃x1 ∈ B ( x, r/2 ) ∩ D. Let r1 = r/2 ∈ (0, ∞) ∩ Q. Then,
we have x ∈ B ( x1 , r1 ) ⊆ B ( x, r ) ⊆ O and B ( x1 , r1 ) ∈ M. Hence, M is a
basis for O. Hence, (X, O) is second countable.
“If” Let O has a countable basis B. By Axiom of Choice, we may assign
a xB ∈ B, ∀B ∈ B with B 6= ∅. Let D = { xB ∈ X | B ∈ B, B 6= ∅ }.
Then, D is countable. ∀x ∈ X, ∀O ∈ O with x ∈ O, ∃B ∈ B such that
x ∈ B ⊆ O. Then, xB ∈ D ∩ B ⊆ D ∩ O 6= ∅. Hence, by Proposition 3.3,
we have x ∈ D. Therefore, by the arbitrariness of x, we have D is dense.
Hence, (X, O) is separable.
Proposition 4.5 Let X be a topological space and Y and Z be metric

spaces. Let f : X → Y, g : Y → Z, h : Y → X , x0 ∈ X , and y0 ∈ Y. Then,
the following statements hold.
1. f is continuous at x0 if, and only if, ∀ǫ ∈ (0, ∞) ⊂ IR, ∃U ∈ OX with
x0 ∈ U such that ρY (f (x), f (x0 )) < ǫ, ∀x ∈ U .
2. g is continuous at y0 if, and only if, ∀ǫ ∈ (0, ∞) ⊂ IR, ∃δ ∈ (0, ∞) ⊂
IR such that ρZ (g(y), g(y0 )) < ǫ, ∀y ∈ BY ( y0 , δ ).
4.2. CONVERGENCE AND COMPLETENESS 73
3. h is continuous at y0 if, and only if, ∀U ∈ OX with h(y0 ) ∈ U ,

∃δ ∈ (0, ∞) ⊂ IR such that h(y) ∈ U , ∀y ∈ BY ( y0 , δ ).
Proof The proof is straightforward, and is therefore omitted. 2
Definition 4.6 Let X and Y be metric spaces and f : X → Y be

a homeomorphism. f is said to be an isometry between X and Y if
ρY (f (x1 ), f (x2 )) = ρX (x1 , x2 ), ∀x1 , x2 ∈ X . Then, the two metric spaces
are said to be isometric.
Definition 4.7 Let X be a set and ρ1 and ρ2 be two metric on X. ρ1 and

ρ2 are said to be equivalent if the identity map from (X, ρ1 ) to (X, ρ2 ) is a
homeomorphism.
When two metrics are equivalent, then the natural topologies generated
by them are equal to each other.
Clearly, a metric space is Hausdorff.
4.2 Convergence and Completeness

Proposition 4.8 Let X be a metric space and ( xα )α∈A ⊆ X be a net.
Then, limα∈A xα = x ∈ X if, and only if, ∀ǫ ∈ (0, ∞) ⊂ IR, ∃α0 ∈ A,
∀α ∈ A with α0 ≺ α, we have ρ(xα , x) < ǫ.
Proof This is straightforward, and is omitted. 2

Since metric spaces are Hausdorff, then the limit is unique if it exists.
Definition 4.9 Let X be a metric space, x0 ∈ X , and S ⊆ X . The distance

from x0 to S is dist(x0 , S) := inf s∈S ρ(x0 , s) ∈ [0, ∞] ⊂ IRe .
dist(x0 , S) = ∞ if, and only if, S = ∅.
Proposition 4.10 Let X be a metric space, x0 ∈ X , S ⊆ X , and S is

closed. Then, x0 ∈ S if, and only if, dist(x0 , S) = 0.
Proof “Only if” This is obvious.

“If” By the fact that dist(x0 , S) = 0, ∀n ∈ IN, ∃xn ∈ S such that
ρ(x0 , xn ) < 1/n. Then, limn∈IN xn = x0 . By Proposition 3.68, x0 ∈ S.
Since S is closed, then, by Proposition 3.3, S = S. Hence, x0 ∈ S.
Proposition 4.11 A metric space with its natural topology is normal.
Proof Let X be the metric space. Clearly, X is Hausdorff. ∀ closed

sets F1 , F2 ⊆ X with F1 ∩ F2 = ∅. We will distinguish two exhaus-
tive and mutually exclusive cases: Case 1: F1 = ∅ or F2 = ∅; Case
2: F1 6= ∅ and F2 6= ∅. Case 1: F1 = ∅ or F2 = ∅. Without loss
of generality, assume F1 = ∅. Take O1 = ∅ ∈ O and O2 = X ∈ O,

then F1 ⊆ O1 , F2 ⊆ O2 , O1 ∩ O2 = ∅. Case 2: F1 6= ∅ and F2 6= ∅.
∀x ∈ F1 , dist(x,
S F2 ) ∈ (0, ∞) ⊂ IR, by Proposition 4.10. Define O1 ∈ O
by O1 := x∈F1 B ( x, dist(x, F2 ) /3). ∀x ∈ F2 ,Sdist(x, F1 ) ∈ (0, ∞) ⊂ IR
by Proposition 4.10. Define O2 ∈ O by O2 := x∈F2 B ( x, dist(x, F1 ) /3).
Clearly, F1 ⊆ O1 and F2 ⊆ O2 . Note that O1 ∩ O2 = ∅, since other-
wise, ∃x0 ∈ O1 ∩ O2 , ∃x1 ∈ F1 such that x0 ∈ B ( x1 , dist(x1 , F2 ) /3),
∃x2 ∈ F2 such that x0 ∈ B ( x2 , dist(x2 , F1 ) /3), without loss of gener-
ality, assume dist(x1 , F2 ) ≤ dist(x2 , F1 ), then dist(x2 , F1 ) ≤ ρ(x2 , x1 ) ≤
ρ(x2 , x0 ) + ρ(x0 , x1 ) < dist(x2 , F1 )/3 + dist(x1 , F2 )/3 ≤ 2 dist(x2 , F1 )/3,
which is a contradiction.
Hence, in both cases, ∃O1 , O2 ∈ O such that F1 ⊆ O1 , F2 ⊆ O2 , O1 ∩
O2 = ∅. Hence, X is normal. This completes the proof of the proposition.
2
∞
Definition 4.12 Let X be a metric space and ( xn )n=1 ⊆ X . The sequence
is said to be a Cauchy sequence if ∀ǫ ∈ (0, ∞) ⊂ IR, ∃N ∈ IN, ∀n, m ≥ N ,
ρ(xn , xm ) < ǫ.
Clearly, every convergent sequence in a metric space is a Cauchy se-

quence.
Proposition 4.13 Let X be a metric space, E ⊆ X , and x0 ∈ X . Then,

∞
x0 ∈ E if, and only if, ∃ ( xn )n=1 ⊆ E such that limn∈IN xn = x0 .
Proof “Only if” ∀n ∈ IN, since x0 ∈ E, then, by Proposition 3.3,

∃xn ∈ E ∩ B ( x0 , 1/n ). Clearly, ( xn )∞
n=1 ⊆ E and limn∈IN xn = x0 .
“If” This is immediate by Proposition 3.68.
Definition 4.14 A metric space is said to be complete if every Cauchy

sequence in the metric space converges to a point in the space.
Proposition 4.15 Let X := (X, ρ) be a metric space, Y := (Y, O) be a

topological space, f : X → Y, and x0 ∈ X . Then, the following statements
are equivalent.
(i) f is continuous at x0 ;
(ii) if x0 is an accumulation point of X , then f (x) converges to f (x0 ) as

x → x0 ;
∞ ∞
(iii) ∀ ( xn )n=1 ⊆ X with limn∈IN xn = x0 , we have ( f (xn ) )n=1 ⊆ Y con-
verges to f (x0 );
∞ ∞
(iv) ∀ ( xn )n=1 ⊆ X with x0 as a cluster point, we have that ( f (xn ) )n=1 ⊆
Y admits a cluster point f (x0 ).
4.2. CONVERGENCE AND COMPLETENESS 75
Proof (i) ⇔ (ii). This follows from Proposition 3.74.

(i) ⇒ (iii). This follows from Proposition 3.66.
(iii) ⇒ (iv). ∀ ( xn )∞n=1 ⊆ X with x0 as a cluster point. Since X is a
∞
metric space and therefore first countable, then ∃ a subsequence ( xni )i=1 of
∞ ∞
( xn )n=1 such that limi∈IN xni = x0 . Then, by (iii), ( f (xni ) )i=1 converges
∞
to f (x0 ). Then, f (x0 ) is a cluster point of ( f (xni ) )i=1 and therefore a
∞
cluster point of ( f (xn ) )n=1 .
(iv) ⇒ (i). Suppose f is not continuous at x0 . ∃OY 0 ∈ OY with
f (x0 ) ∈ OY 0 such that ∀n ∈ IN, we have f (B ( x0 , 1/n )) 6⊆ OY 0 . Then,
g ∞
∃xn ∈ B ( x0 , 1/n ) such that f (xn ) ∈ OY 0 . Consider the sequence ( xn )n=1 .
Clearly, x0 = limn∈IN xn and therefore is a cluster point of the sequence.
∞
Consider the sequence ( f (xn ) )n=1 . For the open set OY 0 ∋ f (x0 ), ∀n ∈ IN,
g ∞
f (xn ) ∈ O Y 0 . Then, f (x0 ) is not a cluster point of ( f (xn ) )n=1 . This
contradicts with the assumption. Therefore, f must be continuous at x0 .
Proposition 4.16 Let X := (X, ρ) be a metric space, Y := (Y, O) be a

topological space, D ⊆ X , f : D → Y, x0 ∈ X be an accumulation point of
D, and y0 ∈ Y. Then, the following statements are equivalent.
(i) f (x) converges to y0 as x → x0 .

∞
(ii) ∀ ( xn )n=1 ⊆ D \ { x0 } with limn∈IN xn = x0 , we have that y0 is a
limit point of ( f (xn ) )∞
n=1 .
Proof (i) ⇒ (ii). By (i), ∀O ∈ O with y0 ∈ O, ∃δ ∈ (0, ∞) ⊂ IR

∞
such that ∀x ∈ (D ∩ BX ( x0 , δ )) \ { x0 }, f (x) ∈ O. ∀ ( xn )n=1 ⊆ D \ { x0 }
with limn∈IN xn = x0 , ∃N ∈ IN such that ∀n ≥ N , xn ∈ BX ( x0 , δ ). Then,
xn ∈ (D ∩ BX ( x0 , δ )) \ { x0 } and f (xn ) ∈ O. Hence, y0 is a limit point of
∞
( f (xn ) )n=1 .
(ii) ⇒ (i). We will show this by an argument of contradiction. Suppose
(i) does not hold. Then, ∃O0 ∈ O with y0 ∈ O0 , ∀n ∈ IN, ∃xn ∈ (D ∩
BX ( x0 , 1/n )) \ { x0 } such that f (xn ) ∈ X \ O0 . Clearly, the sequence
∞
( xn )n=1 ⊆ D \ { x0 } and limn∈IN xn = x0 . But, f (xn ) 6∈ O0 , ∀n ∈ IN.
∞
Then, y0 is not a limit point of ( f (xn ) )n=1 . This contradicts (ii). Hence,
(i) must hold.
Proposition 4.17 Let X be a metric space, D ⊆ X , f : D → IR, and

x0 ∈ X be an accumulation point of D. Then, we have
lim sup f (x) = inf sup f (x)

x→x0 ǫ∈(0,∞)⊂IR x∈(D∩B(x0 ,ǫ))\{x0 }
lim inf f (x) = sup inf f (x)

x→x0 ǫ∈(0,∞)⊂IR x∈(D∩B(x0 ,ǫ))\{x0 }
Proof Let L = lim supx→x0 f (x) ∈ IRe and L̄ := inf ǫ∈(0,∞)⊂IR

supx∈(D∩B(x0 ,ǫ))\{x0 } f (x) ∈ IRe . ∀m ∈ IR with m < L, we have m <
supx∈(D∩V )\{x0 } f (x), ∀V ∈ OX with x0 ∈ V . Then, ∀ǫ ∈ (0, ∞) ⊂ IR,
supx∈(D∩B(x0 ,ǫ))\{x0 } f (x) > m. Hence, m ≤ L̄. By the arbitrariness of m,
we have L ≤ L̄. ∀m ∈ IR with m > L, ∃V ∈ OX with x0 ∈ V such that
supx∈(D∩V )\{x0 } f (x) < m. Then, ∃ǫ ∈ (0, ∞) ⊂ IR such that B ( x0 , ǫ ) ⊆
V . Then, supx∈(D∩B(x0 ,ǫ))\{x0 } f (x) ≤ supx∈(D∩V )\{x0 } f (x) < m. Then,
we have L̄ < m. By the arbitrariness of m, we have L̄ ≤ L. Hence, L = L̄.
Note that, by Propositions 3.85 and 3.81,
lim inf f (x) = − lim sup(−f )(x) = − inf sup (−f )(x)
x→x0 x→x0 ǫ∈(0,∞)⊂IR x∈(D∩B(x0 ,ǫ))\{x0 }
= sup inf f (x)

ǫ∈(0,∞)⊂IR x∈(D∩B(x0 ,ǫ))\{x0 }
4.3 Uniform Continuity and Uniformity

Definition 4.18 Let X and Y be metric spaces and f : X → Y. f is said
to be uniformly continuous if ∀ǫ ∈ (0, ∞) ⊂ IR, ∃δ ∈ (0, ∞) ⊂ IR such that
ρY (f (x1 ), f (x2 )) < ǫ, ∀x1 , x2 ∈ X with ρX (x1 , x2 ) < δ.
Clearly, a function f is uniformly continuous implies that it is continu-

ous.
Definition 4.19 Let X and Y be metric spaces and f : X → Y. f is said

to be a uniform homeomorphism if f is bijective and both f and f inv are
uniformly continuous.
Properties preserved under uniform homeomorphisms are called uni-

form properties. These includes Cauchy sequences, completeness, uniform
continuity, and total boundedness.
Definition 4.20 Let X be a set and ρ1 and ρ2 be two metrics defined on

X. Then, the two metrics are said to be uniformly equivalent if the identity
map from (X, ρ1 ) to (X, ρ2 ) is a uniform homeomorphism.
Proposition 4.21 Let (X, ρ) be a metric space. Define σ : X × X → IR

ρ(x1 , x2 )
by σ(x1 , x2 ) = , ∀x1 , x2 ∈ X. Then, σ is a metric on X and
1 + ρ(x1 , x2 )
ρ and σ are uniformly equivalent.
Proof ∀x1 , x2 , x3 ∈ X, σ(x1 , x2 ) ∈ [0, 1); σ(x1 , x2 ) = 0 ⇔ ρ(x1 , x2 ) =

s
0 ⇔ x1 = x2 ; σ(x1 , x2 ) = σ(x2 , x1 ); by the monotonicity of 1+s on s > −1,
4.3. UNIFORM CONTINUITY AND UNIFORMITY 77
we have
ρ(x1 , x3 ) + ρ(x3 , x2 ) ρ(x1 , x3 ) ρ(x3 , x2 )
σ(x1 , x2 ) ≤ ≤ +
1 + ρ(x1 , x3 ) + ρ(x3 , x2 ) 1 + ρ(x1 , x3 ) 1 + ρ(x3 , x2 )
= σ(x1 , x3 ) + σ(x3 , x2 )
Hence, σ defines a metric on X.

∀ǫ ∈ (0, ∞) ⊂ IR, ∀x1 , x2 ∈ X with ρ(x1 , x2 ) < ǫ, we have σ(x1 , x2 ) ≤
ρ(x1 , x2 ) < ǫ. Hence, idX : (X, ρ) → (X, σ) is uniformly continuous.
On the other hand, ∀ǫ ∈ (0, ∞) ⊂ IR, ∀x1 , x2 ∈ X with σ(x1 , x2 ) <
ǫ
1+ǫ , we have ρ(x1 , x2 ) < ǫ. Hence, idX : (X, σ) → (X, ρ) is uniformly
continuous.
Therefore, ρ and σ are uniformly equivalent. 2
Definition 4.22 A metric space X is said to be totally bounded if ∀ǫ ∈

(0, ∞) ⊂ IR, there exist finitely many open balls with radius ǫ that cover X .
∞
Proposition 4.23 Let X , Y, W, and Z be metric spaces, ( xn )n=1 ⊆ X
be a Cauchy sequence, f : X → Y and g : Y → Z be uniformly continuous
functions, and h : X → W be a uniform homeomorphism. Then, the
following statements hold.
∞
(i) ( f (xn ) )n=1 is a Cauchy sequence.
(ii) g ◦ f is uniformly continuous.
(iii) If X is complete, then W is complete.
(iv) If X is totally bounded and f is surjective, then Y is totally bounded.
Proof (i) ∀ǫ ∈ (0, ∞) ⊂ IR, by the uniform continuity of f , ∃δ ∈

(0, ∞) ⊂ IR such that ρY (f (xa ), f (xb )) < ǫ, ∀xa , xb ∈ X with ρX (xa , xb ) <
δ. Since ( xi )∞ i=1 is Cauchy, then ∃N ∈ IN such that ρX (xn , xm ) < δ,
∞
∀n, m ≥ N . Then, ρY (f (xn ), f (xm )) < ǫ. Hence, ( f (xi ) )i=1 is a Cauchy
sequence.
(ii) ∀ǫ ∈ (0, ∞) ⊂ IR, by the uniform continuity of g, ∃δ1 ∈ (0, ∞) ⊂ IR
such that ρZ (g(y1 ), g(y2 )) < ǫ, ∀y1 , y2 ∈ Y with ρY (y1 , y2 ) < δ1 . By the
uniform continuity of f , ∃δ ∈ (0, ∞) ⊂ IR such that ρY (f (xa ), f (xb )) < δ1 ,
∀xa , xb ∈ X with ρX (xa , xb ) < δ. Then, we have ρZ (g(f (xa )), g(f (xb ))) <
ǫ. Hence, g ◦ f is uniformly continuous.
∞ ∞
(iii) ∀ Cauchy sequence ( wi )i=1 ⊆ W. By (i), ( hinv(wi ) )i=1 ⊆ X is a
Cauchy sequence. Since X is complete, then limi∈IN hinv(wi ) = x0 ∈ X . By
Proposition 3.66, we have limi∈IN wi = limi∈IN h(hinv(wi )) = h(x0 ) ∈ W.
Hence, W is complete.
(iv) ∀ǫ ∈ (0, ∞) ⊂ IR, by the uniform continuity of f , ∃δ ∈ (0, ∞) ⊂ IR
such that ρY (f (xa ), f (xb )) < ǫ, ∀xa , xb ∈ X with ρX (xa , xb ) < δ. By
the total boundedness of X , there exists a finite set XN ⊆ X , such that
S
x∈XN BX ( x, δ ) = S X . Then, by the surjectiveness of f and Proposi-
tion 2.5, we have x∈XN f (BX ( x, δ ))S= Y. Note that f (BX ( x, δ )) ⊆
BY ( f (x), ǫ ), ∀x ∈ X . Then, we have x∈XN BY ( f (x), ǫ ) = Y. Hence, Y
is totally bounded.
Definition 4.24 Let X be a set and Y := (Y, ρ) be a metric space. Let
( fα )α∈A be a net of functions of X to Y. Then, the net is said to converge
uniformly to a function f : X → Y if ∀ǫ ∈ (0, ∞) ⊂ IR, ∃α0 ∈ A, ∀α ∈ A
with α0 ≺ α, we have ρ(fα (x), f (x)) < ǫ, ∀x ∈ X.
Definition 4.25 Let X be a set and Y := (Y, ρ) be a metric space. Let
∞
( fn )n=1 be a sequence of functions of X to Y. Then, the sequence is said
to be a uniform Cauchy sequence if ∀ǫ ∈ (0, ∞) ⊂ IR, ∃N ∈ IN, ∀n, m ∈ IN
with n, m ≥ N , we have ρ(fn (x), fm (x)) < ǫ, ∀x ∈ X.
∞
A uniformly convergent sequence ( fn )n=1 is a uniform Cauchy sequence.
A uniform Cauchy sequence in a complete metric space is uniformly con-
vergent.
Proposition 4.26 Let X := (X, O) be a topological space and Y := (Y, ρ)
∞
be a metric space. Let ( fn )n=1 be a uniformly convergent sequence of func-
tions of X to Y whose limit is f : X → Y. Assume that, ∀n ∈ IN, fn is
continuous at x0 ∈ X . Then, f is continuous at x0 .
Proof ∀ǫ ∈ (0, ∞) ⊂ IR, ∃N ∈ IN, we have ρ(fN (x), f (x)) < ǫ/3,
∀x ∈ X . Since fN is continuous at x0 , then ∃U ∈ O with x0 ∈ U , ∀x ∈ U ,
we have ρ(fN (x), fN (x0 )) < ǫ/3. Then, ∀x ∈ U , we have
ρ(f (x), f (x0 )) ≤ ρ(f (x), fN (x)) + ρ(fN (x), fN (x0 )) + ρ(fN (x0 ), f (x0 ))
< ǫ
Therefore, f is continuous at x0 .
Definition 4.27 Let X := (X, O) be a topological space and Y := (Y, ρ) be
a metric space. Let F be a family of continuous functions of X to Y. F
is said to be equicontinuous at x0 ∈ X if ∀ǫ ∈ (0, ∞) ⊂ IR, ∃U ∈ O with
x0 ∈ U , ∀x ∈ U , we have ρ(f (x), f (x0 )) < ǫ, ∀f ∈ F. F is said to be
equicontinuous if it is equicontinuous at x0 , ∀x0 ∈ X .
4.4 Product Metric Spaces

Definition 4.28 Let (X, ρX ) and (Y, ρY ) be metric spaces. Then, the
product metric space (X × Y, ρ) := (X, ρX ) × (Y, ρY ) is defined by
ρ((x1 , y1 ), (x2 , y2 )) := ((ρX (x1 , x2 ))2 + (ρY (y1 , y2 ))2 )1/2
∀x1 , x2 ∈ X, ∀y1 , y2 ∈ Y . ρ is called the Cartesian metric.
4.4. PRODUCT METRIC SPACES 79
In the above definition, it is straightforward to show that ρ defines a

metric on X × Y .
Proposition 4.29 Let X := (X, ρX ) be a metric space with natural topol-

ogy OX . Let Y := (Y, ρY ) be a metric space with natural topology OY . Let
X × Y := (X × Y, ρ) be the product metric space with the natural topology
Om . Let (X × Y, O) be the product topological space (X, OX ) × (Y, OY ).
Then, O = Om .
Proof A basis for O is M := { OX × OY | OX ∈ OX , OY ∈ OY }. A

basis for Om is Mm := { BX ×Y ( (x, y), r ) | x ∈ X, y ∈ Y, r ∈ (0, ∞) ⊂ IR }.
∀BX ×Y ( (x0 , y0 ), r ) ∈ Mm . ∀(x, y) ∈ BX ×Y ( (x0√, y0), r ). Let d :=
√ r −
ρ((x, y), (x0 , y0 )) ∈ (0, ∞) ⊂ IR. ∀(x̄, ȳ) ∈ BX x, d/ 2 × BY y, d/ 2 ∈
M, we have ρ((x̄, ȳ), (x0 , y0 )) ≤ ρ((x̄, ȳ), (x, y)) + ρ((x, y), (x0 , y0 )) =
((ρX (x̄, x))2 +(ρY√(ȳ, y))2 )1/2 +r −d
√ < r. Then, (x̄, ȳ) ∈ BX ×Y ( (x0 , y0 ), r ).
Then, BX x, d/ 2 × BY y, d/ 2 ⊆ BX ×Y ( (x0 , y0 ), r ). This implies
that BX ×Y ( (x0 , y0 ), r ) ∈ O. Then, we have Om ⊆ O.
On the other hand, ∀OX × OY ∈ M. ∀(x, y) ∈ OX × OY , we have
x ∈ OX and y ∈ OY . Then, ∃d1 ∈ (0, ∞) ⊂ IR such that BX ( x, d1 ) ⊆ OX
and ∃d2 ∈ (0, ∞) ⊂ IR such that BY ( y, d2 ) ⊆ OY . Let d = min{d1 , d2 } ∈
(0, ∞) ⊂ IR. ∀(x̄, ȳ) ∈ BX ×Y ( (x, y), d ) ∈ Mm , we have ρX (x̄, x) < d and
ρY (ȳ, y) < d, which implies that x̄ ∈ BX ( x, d1 ) and ȳ ∈ BY ( y, d2 ). Then,
BX ×Y ( (x, y), d ) ⊆ OX × OY . Hence, we have OX × OY ∈ Om . Then,
O ⊆ Om .
Hence, O = Om . This completes the proof of the proposition. 2
The above proposition shows that the natural topology induced by the
product metric defined in Definition 4.28 is the product topology on X × Y .
Proposition 4.30 Let X be a metric space. Then the metric ρX is a

uniformly continuous function on X × X .
√
Proof ∀ǫ ∈ (0, ∞) ⊂ IR. Let δ = ǫ/ 2 ∈ (0, ∞) ⊂ IR. ∀(x1 , x2 ),
(y1 , y2 ) ∈ X × X with ρX ×X ((x1 , x2 ), (y1 , y2 )) < δ. Then, we√have δ >
((ρX (x1 , y1 ))2 + (ρX (x2 , y2 ))2 )1/2 ≥ (ρX (x1 , y1 ) + ρX (x2 , y2 ))/ 2. Note
that
ρX (x1 , x2 ) ≤ ρX (x1 , y1 ) + ρX (y1 , x2 )

ρX (y1 , x2 ) ≤ ρX (x1 , x2 ) + ρX (x1 , y1 )
ρX (y1 , x2 ) ≤ ρX (y1 , y2 ) + ρX (x2 , y2 )
ρX (y1 , y2 ) ≤ ρX (x2 , y1 ) + ρX (y2 , x2 )
This implies that

√
−ǫ = − 2δ < −ρX (x1 , y1 ) − ρX (x2 , y2 ) ≤ ρX (x1 , x2 ) − ρX (x2 , y1 )
+ρX (x2 , y1 ) − ρX (y1 , y2 ) = ρX (x1 , x2 ) − ρX (y1 , y2 ) ≤ ρX (x1 , y1 )
+ρX (x2 , y1 ) + ρX (x2 , y2 ) − ρX (x2 , y1 ) = ρX (x1 , y1 ) + ρX (x2 , y2 ) < ǫ
Hence, we have | ρX (x1 , x2 ) − ρX (y1 , y2 ) | < ǫ. Hence, ρX is uniformly

continuous on X × X . This completes the proof of the proposition. 2
Proposition 4.31 Let X and Y be complete metric spaces and Z = X ×

Y be the product metric space with the cartesian metric ρ. Then, Z is
complete.
∞
Proof Fix any Cauchy sequence ( (xn , yn ) )n=1 ⊆ Z. ∀ǫ ∈ (0, ∞) ⊂ IR,
∃N ∈ IN such that ρ((xn , yn ), (xm , ym )) < ǫ, ∀n, m ≥ N . Then, we
∞
have ρX (xn , xm ) < ǫ and ρY (yn , ym ) < ǫ. Hence, ( xn )n=1 ⊆ X and
∞
( yn )n=1 ⊆ Y are Cauchy sequences. By the completeness of X and Y,
∃x0 ∈ X and ∃y0 ∈ Y such that limn∈IN xn = x0 and limn∈IN yn = y0 .
By Proposition 3.67, we have limn∈IN (xn , yn ) = (x0 , y0 ) ∈ Z. Hence, Z is
complete. This completes the proof of the proposition. 2
Clearly, Definition 4.28 and Propositions 4.29 and 4.31 may be easily
generalized to the case of X1 × · · · × Xn , where n ∈ IN and XiQare metric
spaces, i = 1, . . . , n. When n = 0, it should be noted that α∈∅ Xα =
({∅}, ρ), where ρ(∅, ∅) = 0.
Proposition S 4.32 Let Xα be a metric space, α ∈ Λ, where Λ is a finite

set. Let Λ = β∈Γ Λβ , where Λβ ’s are pairwise disjoint and finite and Γ
Q
is also finite. ∀β ∈ Γ, let X hβi := α∈Λβ Xα be the product metric space.
Q Q
Let X hΓi := β∈Γ α∈Λβ Xα be the product metric space of product metric
Q
spaces, and X := α∈Λ Xα be the product metric space. Then, X and X hΓi
are isometric.
Q Q Q
Proof Define E : β∈Γ α∈Λβ Xα → α∈Λ Xα by, ∀x ∈ X hΓi , ∀α ∈
hβ i hΓi
Λ, ∃! βα ∈ Γ ∋· α ∈ Λβα , πα (E(x)) = πα α (πβα (x)). By Proposition 3.30,
E is a homeomorphism. ∀x, y ∈ X hΓi , we have
X 1/2
ρ(E(x), E(y)) = (ρα (πα (E(x)), πα (E(y))))2
α∈Λ
X X 1/2
= (ρα (πα (E(x)), πα (E(y))))2
β∈Γ α∈Λβ
X X 1/2
hΓi hΓi
= (ρα (παhβi (πβ (x)), παhβi (πβ (y))))2
β∈Γ α∈Λβ
!1/2
X X hΓi hΓi
1/2 2
= (ρα (παhβi (πβ (x)), παhβi (πβ (y))))2
β∈Γ α∈Λβ
X 1/2
hΓi hΓi
= (ρhβi (πβ (x), πβ (y)))2 = ρhΓi (x, y)
β∈Γ
Hence, E is an isometry. This completes the proof of the proposition. 2

4.4. PRODUCT METRIC SPACES 81
Proposition 4.33 Let Xα := (Xα , ρXα ) and Yα := (Yα , ρY α ) be uniformly

homeomorphic metric spaces, ∀α ∈ Λ, whereQΛ is a finite index set. Define
Q product metric spaces X := (X, ρX ) := α∈Λ Xα and Y := (Y, ρY ) :=
the
α∈Λ Yα , where ρX and ρY are the Cartesian metric. Then, X and Y are
uniformly homeomorphic.
Proof Let Fα : Xα → Yα be a uniform homeomorphism, ∀α ∈ Λ.

hY i hXi
Define F : X → Y by, ∀x ∈ X , πα (F (x)) = Fα (πα (x)), ∀α ∈ Λ. By
Propositions 4.29 and 3.31, F is a homeomorphism between X and Y. We
need only to show that F and F inv are uniformly continuous.
Let m ∈ Z+ be the number of elements in Λ. ∀ǫ ∈ (0, ∞) ⊂ IR, ∀α ∈ Λ,
∃δα ∈ (0, ∞) ⊂ IR such that, ∀xα1√, xα2 ∈ Xα with ρXα (xα1 , xα2 ) < δα , we
have ρY α (Fα (xα1 ), Fα (xα2 )) < ǫ/ 1 + m, by the uniform continuity of Fα .
Let δ = min{inf α∈Λ δα , 1} ∈ (0, ∞) ⊂ IR. ∀x1 , x2 ∈ X with ρX (x1 , x2 ) < δ,
we have, ∀α ∈ Λ,
ρXα (παhXi (x1 ), παhXi (x2 )) < δ ≤ δα

hXi hXi √
This implies that ρY α (Fα (πα (x1 )), Fα (πα (x2 ))) < ǫ/ 1 + m. Hence,
we have
X 1/2
ρY (F (x1 ), F (x2 )) = (ρY α (παhY i (F (x1 )), παhY i (F (x2 ))))2
α∈Λ
X 1/2
= (ρY α (Fα (παhXi (x1 )), Fα (παhXi (x2 ))))2 <ǫ
α∈Λ
Hence, F is uniformly continuous.

hXi
It is easy to see that F inv : Y → X is given by, ∀y ∈ Y, πα (F inv(y)) =
hY i
Fαinv(πα (y)), ∀α ∈ Λ. Then, it is straightforward to apply a similar
argument as above to show that F inv is uniformly continuous.
Proposition 4.34 Let Xi Q:= (Xi , ρi ) be a metric space with natural topol-
ogy Oi , ∀i ∈ IN. On X := ∞i=1 Xi define the metric, ∀x, y ∈ X,
∞
X ρi (πi (x), πi (y))
ρ(x, y) = 2−i
i=1
1 + ρi (πi (x), πi (y))
Then, the natural topology, Om , on X := (X, ρ) Q

induced by the metric ρ
∞
equals to the product topology O, where (X, O) = i=1 (Xi , Oi ).
Proof We will first show that ρ defines a metric on X. ∀x, y, z ∈ X.

Clearly, we have 0 ≤ ρ(x, y) < 1 and ρ(x, y) = ρ(y, x). When x = y,
we have ρ(x, y) = 0. If ρ(x, y) = 0, then ρi (πi (x), πi (y)) = 0, ∀i ∈ IN,
which implies that πi (x) = πi (y), ∀i ∈ IN, and hence x = y. Note that the
s 1
function 1+s = 1 − 1+s is strictly increasing on s > −1. Then, we have
∞
X ρi (πi (x), πi (z)) + ρi (πi (z), πi (y))
ρ(x, y) ≤ 2−i
i=1
1 + ρi (πi (x), πi (z)) + ρi (πi (z), πi (y))
∞
X X ∞
ρi (πi (x), πi (z)) ρi (πi (z), πi (y))
≤ 2−i + 2−i
i=1
1 + ρi (πi (x), πi (z)) i=1 1 + ρi (πi (z), πi (y))
= ρ(x, z) + ρ(z, y)
Hence, ρ is a metric on X.
Fix any basis open set B = BX ( x, r ) ∈ Om , where x ∈ X and r ∈
(0, ∞) ⊂ IR. ∀y ∈ B. Let δ := r − ρ(x,Qy) > 0 and N ∈ IN be such
∞
that 2−N < δ/2. Consider the set Cy = i=1 Cyi ⊆ X given by Cyi =
BXi ( πi (y), δ/2 ), i = 1, . . . , N , and Cyi = Xi , i = N + 1, N + 2, . . .. Clearly,
PN P∞
y ∈ Cy ∈ O. ∀z ∈ Cy , we have ρ(y, z) < i=1 2−i−1 δ + i=N +1 2−i <
δ/2 + 2−N < δ. Then, ρ(x, z) ≤ ρ(x, y) + ρ(y, z) < r. Hence, z ∈ B. Then,
Cy ⊆ B. This shows that B ∈ O. Hence, Om ⊆ O. Q∞
Fix any basis open set C ∈ O. Then, C = i=1 Ci , where Ci ∈ Oi ,
i = 1, . . . , N , and Ci = Xi , i = N + 1, N + 2, . . ., for some N ∈ IN. ∀x ∈ C,
we have πi (x) ∈ Ci , ∀i ∈ IN. Then, ∀i = 1, . . . , N , ∃δi ∈ (0, ∞) ⊂ IR
δi
such that BXi ( πi (x), δi ) ⊆ Ci . Let δx := min1≤i≤N 2−i 1+δ i
> 0. Let B =
ρi (πi (x),πi (y))
BX ( x, δx ) ∈ Om . ∀y ∈ B, ρ(x, y) < δx implies that 2−i 1+ρ i (πi (x),πi (y))
<
δi
2−i 1+δ i
and ρi (πi (x), πi (y)) < δi , i = 1, . . . , N . Hence, y ∈ C. Then, we
have x ∈ B ⊆ C. This shows that C ∈ Om . Hence, O ⊆ Om .
Hence, O = Om . This completes the proof of the proposition. 2
Q∞4.35 Let Xi := (Xi , ρi ) be a complete metric space, ∀i ∈ IN.

Proposition
On X := i=1 Xi define the metric ρ as in Proposition 4.34. Then, the
product metric space X := (X, ρ) is complete.
∞ ∞
Proof ∀ Cauchy sequence ( xn )n=1 ⊆ X , clearly, ( πi (xn ) )n=1 ⊆ Xi
is a Cauchy sequence, ∀i ∈ IN. By the completeness of Xi , ∃yi ∈ Xi such
that limn∈IN πi (xn ) = yi , ∀i ∈ IN. Define y ∈ X by πi (y) = yi , ∀i ∈ IN. By
∞
Propositions 3.67 and 4.34, we have y is the limit of ( xn )n=1 . Hence, X is
complete. This completes the proof of the proposition. 2
Proposition 4.36 Let Xi := (Xi , ρXi ) and Yi := (Yi , ρY i ) be uniformly

Q ∀i ∈ IN. Define the infinite product
homeomorphic metric spaces, Q∞ metric
spaces X := (X, ρX ) := ( ∞
i=1 X i , ρ X ) and Y := (Y, ρ Y ) := ( i=1 Yi , ρY ),
where ρX and ρY are defined as in Proposition 4.34. Then, X and Y are
uniformly homeomorphic.
Proof Let Fi : Xi → Yi be a uniform homeomorphism, ∀i ∈ IN.

hY i hXi
Define F : X → Y by, ∀x ∈ X , πi (F (x)) = Fi (πi (x)), ∀i ∈ IN. By
4.5. SUBSPACES 83
Propositions 4.34 and 3.31, F is a homeomorphism between X and Y. We

need only to show that F and F inv are uniformly continuous.
∀ǫ ∈ (0, ∞) ⊂ IR, ∃N ∈ IN such that 2−N < ǫ/2. ∀i = 1, . . . , N ,
∃δi ∈ (0, ∞) ⊂ IR such that, ∀xi1 , xi2 ∈ Xi with ρXi (xi1 , xi2 ) < δi , we
have ρY i (Fi (xi1 ), Fi (xi2 )) < ǫ/2, by the uniform continuity of Fi . Let
δi
δ = min1≤i≤N 2−i 1+δ i
> 0. ∀x1 , x2 ∈ X with ρX (x1 , x2 ) < δ, we have,
∀i = 1, . . . , N ,
hXi hXi
ρXi (πi (x2 ))
(x1 ), πi δi
hXi hXi
< 2i δ ≤
1+ ρXi (πi (x1 ), πi (x2 )) 1 + δi
hXi hXi
This implies that ρXi (πi (x1 ), πi (x2 )) < δi , which further implies that
hXi hXi
ρY i (Fi (πi (x1 )), Fi (πi (x2 ))) < ǫ/2. Hence, we have
∞
X hY i hY i
ρY i (πi (F (x2 )))
(F (x1 )), πi
ρY (F (x1 ), F (x2 )) = 2−i hY i hY i
i=1 1 + ρY i (πi (F (x1 )), πi (F (x2 )))
X∞ hXi hXi
ρY i (Fi (πi (x1 )), Fi (πi (x2 )))
= 2−i hXi hXi
i=1 1 + ρY i (Fi (πi (x1 )), Fi (πi (x2 )))
N
X ǫ
< 2−i + 2−N < ǫ
i=1
2
Hence, F is uniformly continuous.

hXi
It is easy to see that F inv : Y → X is given by, ∀y ∈ Y, πi (F inv(y)) =
hY i
Fiinv(πi (y)), ∀i ∈ IN. Then, it is straightforward to apply a similar
argument as above to show that F inv is uniformly continuous.
4.5 Subspaces
Proposition 4.37 Let X := (X, ρ) be a metric space with natural topology
O and A ⊆ X be a subset. A := (A, ρ) is a metric space with natural
topology OA . A may also be endowed with the subset topology Os with
respect to (X, O). Then, OA = Os .
Proof A basis for the natural topology OA is
B := { BA ( x, r ) | x ∈ A, r ∈ (0, ∞) ⊆ IR }
= { BX ( x, r ) ∩ A | x ∈ A, r ∈ (0, ∞) ⊆ IR }
Os = { O ∩ A | O ∈ O }. Clearly, we have B ⊆ Os . Then, OA ⊆ Os . On
the other hand, ∀Os ∈ Os , Os = O ∩ A with O ∈ O. ∀x ∈ Os , x ∈ A and
∃r ∈ (0, ∞) ⊂ IR such that BX ( x, r ) ⊆ O. Then, BA ( x, r ) ⊆ Os . Then,
Os ∈ OA . Then, Os ⊆ OA . Hence, OA = Os .
Proposition 4.38 Let X be a metric space and S ⊆ X . If X is separable

then S := (S, ρ) is separable.
Proof Since X is separable, by Proposition 4.4, there exists a count-

able basis B for X . Let BS := { B ∩ S | B ∈ B }, which is a countable basis
for S. By Proposition 4.4, S is separable. 2
Proposition 4.39 Let X := (X, ρ) be a metric space and S ⊆ X.

(i) If (S, ρ) is complete then S is closed in X .
(ii) If X is complete and S is closed in X , then (S, ρ) is complete.
Proof (i) Any convergent sequence is Cauchy. Then, by Proposi-

tion 4.13, (S, ρ) is complete implies that any point of closure of S is in S.
Then, S = S and S is closed. (ii) Any Cauchy sequence in S will converge
in X since X is complete. Then, by Proposition 4.13, the limit lies in S
since S is closed. Hence, (S, ρ) is complete. This completes the proof of
the proposition. 2
4.6 Baire Category

Theorem 4.40 (Baire) Let X be a completeTmetric space and ( Ok )∞ k=1
∞
be a sequence of open dense sets in X . Then, k=1 Ok is dense in X .
Proof ∀U ∈ O with U 6= ∅. Since O1 is dense, then ∃x1 ∈ O1 ∩ U . By

the openness of U and O1 , ∃r1 ∈ (0, ∞) ⊂ IR such that B ( x1 , r1 ) ⊆ O1 ∩U .
∀n ∈ IN with n > 1, since On is dense, then ∃xn ∈ On ∩ B ( xn−1 , rn−1 /2 ).
Since On , B ( xn−1 , rn−1 ) ∈ O, then ∃rn ∈ (0, rn−1 /2] ⊆ IR such that
B ( xn , rn ) ⊆ On ∩ B ( xn−1 , rn−1 ).
Note that ∀n ∈ IN, rn ≤ 21−n r1 and, ∀m > n,
1
ρ(xn , xm ) ≤ ρ(xn , xn+1 ) + · · · + ρ(xm−1 , xm ) < (rn + · · · + rm−1 )
2
≤ 2−n r1 + · · · + 21−m r1 < 21−n r1
∞
Hence, ( xn )n=1 is a Cauchy sequence, which converges to x0 ∈ X , by the
completeness of X . By Propositions 3.66, 3.67, and 4.30, we have, ∀n ∈ IN,
1
ρ(xn , x0 ) = (rn + 2−1 rn + 2−2 rn + · · ·) = rn
lim ρ(xn , xm ) <
m∈IN 2
T
Then, x0 ∈ B ( xn , rn ) ⊆ On . Hence, x0 ∈ ( ∞
T k=1 Ok ) ∩ U 6= ∅. Hence,
∞
O
k=1 k is dense in X . This completes the proof of the theorem. 2
Theorem 4.41 (Baire Category Theorem) Let X be a complete met-

ric space, then it is second category everywhere, that is no nonempty open
subset of X is of first category.
4.7. COMPLETION OF METRIC SPACES 85
Proof We will prove this theorem by using Proposition 3.38. Let

( Oα )α∈Λ be a countable collection of open dense sets in X . When Λ is
finite, we may add the open dense set X into the collection Tto make it
infinite and countable. By Baire’s Theorem, we then have α∈Λ Oα is
dense in X . Then, by Proposition 3.38, X is second category everywhere.
4.7 Completion of Metric Spaces

Proposition 4.42 Let X := (X, O) be a topological space and Y := (Y, ρ)
∞
be a complete metric space. Let ( fn )n=1 be a uniform Cauchy sequence of
continuous functions of X to Y. Then, there exists a continuous function
∞
f : X → Y such that ( fn )n=1 converges uniformly to f .
∞
Proof ∀x ∈ X , ( fn (x) )n=1 is a Cauchy sequence in Y. By the com-
pleteness of Y and Proposition 3.65, ∃! y ∈ Y such that limn∈IN fn (x) = y.
This defines a function f : X → Y.
∞
Since ( fn )n=1 is a uniform Cauchy sequence, then, ∀ǫ ∈ (0, ∞) ⊂ IR,
∃N ∈ IN, ∀n, m ∈ IN with n, m ≥ N , we have ρ(fn (x), fm (x)) < ǫ,
∀x ∈ X . By Propositions 4.30, 3.66, and 3.67, we have ρ(fn (x), f (x)) =
∞
limm∈IN ρ(fn (x), fm (x)) ≤ ǫ, ∀x ∈ X . Hence, ( fn )n=1 converges uniformly
to f . By Proposition 4.26, f is continuous.
Definition 4.43 Let X be a metric space. A net ( xα )α∈A ⊆ X is said to

be Cauchy if ∀ǫ ∈ (0, ∞) ⊂ IR, ∃α0 ∈ A, ∀α1 , α2 ∈ A with α0 ≺ α1 and
α0 ≺ α2 , we have ρ(xα1 , xα2 ) < ǫ.
Any convergent net in a metric space is Cauchy.
Proposition 4.44 Let X be a metric space. Then, X is complete if, and

only if, every Cauchy net has a limit in X .
Proof “If” A Cauchy sequence is a Cauchy net and admits a limit in

X . Hence, X is complete.
“Only if” Let ( xα )α∈A ⊆ X be a Cauchy net. ∃α1 ∈ A ∋· ∀ᾱ1 , ᾱ2 ∈ A
with α1 ≺ ᾱ1 and α1 ≺ ᾱ2 , we have ρ(xᾱ1 , xᾱ2 ) < 1. ∀n ∈ IN with n > 1,
∃αn ∈ A with αn−1 ≺ αn , ∀ᾱ1 , ᾱ2 ∈ A with αn ≺ ᾱ1 and αn ≺ ᾱ2 ,
we have ρ(xᾱ1 , xᾱ2 ) < 1/n. ∀n ∈ IN, ∀m1 , m2 ∈ IN with m1 , m2 > n,
we have αn ≺ αn+1 ≺ · · · ≺ αm1 and αn ≺ αn+1 ≺ · · · ≺ αm2 . Then,
∞
ρ(xαm1 , xαm2 ) < 1/n. Hence, ( xαn )n=1 ⊆ X is a Cauchy sequence. By the
completeness of X , ∃x0 ∈ X such that limn∈IN xαn = x0 . ∀n ∈ IN, ∀α ∈ A
with αn ≺ α, ∀m ∈ IN with m > n, we have αn ≺ αn+1 ≺ · · · ≺ αm and
ρ(xα , xαm ) < 1/n. Then, by Propositions 4.30, 3.66, and 3.67, we have
ρ(xα , x0 ) = limm∈IN ρ(xα , xαm ) ≤ 1/n. Hence, we have limα∈A xα = x0 .
Proposition 4.45 Let X := (X, O) be a topological space, Y := (Y, ρ) be

a complete metric space, D ⊆ X, x0 ∈ X be an accumulation point of D,
and f : D → Y. Then, limx→x0 f (x) ∈ Y if, and only if, ∀ǫ ∈ (0, ∞) ⊂ IR,
∃O ∈ O with x0 ∈ O, ∀x̄, x̂ ∈ (D ∩ O) \ {x0 }, we have ρ(f (x̄), f (x̂)) < ǫ.
Proof “Sufficiency” Assume that ∀ǫ ∈ (0, ∞) ⊂ IR, ∃O ∈ O with

x0 ∈ O, ∀x̄, x̂ ∈ (D ∩ O) \ {x0 }, we have ρ(f (x̄), f (x̂)) < ǫ. Define M :=
{ O ∈ O | x0 ∈ O }. Clearly, X ∈ M and M = 6 ∅. It is easy to see
that A := (M, ⊇) is a directed system. Since x0 is an accumulation point
of D, then ∀O ∈ A, (D ∩ O) \ {x0 } = 6 ∅. By Axiom of Choice, ∃ a net
( xO )O∈A ⊆ X such that xO ∈ (D ∩ O) \ {x0 }, ∀O ∈ A. This also defines a
net ( f (xO ) )O∈A ⊆ Y by Axiom of Replacement. ∀ǫ ∈ (0, ∞) ⊂ IR, by the
assumption, ∃Ô ∈ A, ∀x̄, x̂ ∈ (D ∩ Ô) \ {x0 }, we have ρ(f (x̄), f (x̂)) < ǫ.
∀O1 , O2 ∈ A with Ô ⊇ O1 and Ô ⊇ O2 , xOi ∈ (D ∩ Oi ) \ {x0 } ⊆ (D ∩ Ô) \
{x0 }, i = 1, 2. This implies that ρ(f (xO1 ), f (xO2 )) < ǫ. This shows that
the net ( f (xO ) )O∈A ⊆ Y is Cauchy. By Proposition 4.44, limO∈A f (xO ) =
y0 ∈ Y . ∀ǫ ∈ (0, ∞) ⊂ IR, ∃O1 ∈ A, ∀O ∈ A with O1 ⊇ O, we have
ρ(y0 , f (xO )) < ǫ/2. By the assumption, ∃O2 ∈ A, ∀x̄, x̂ ∈ (D ∩ O2 ) \ {x0 },
we have ρ(f (x̄), f (x̂)) < ǫ/2. Let O3 := O1 ∩ O2 ∈ A. Then, O1 ⊇ O3
and xO3 ∈ (D ∩ O3 ) \ {x0 } ⊆ (D ∩ O2 ) \ {x0 }. ∀x ∈ (D ∩ O3 ) \ {x0 },
we have ρ(y0 , f (x)) ≤ ρ(y0 , f (xO3 )) + ρ(f (xO3 ), f (x)) < ǫ. Hence, we have
limx→x0 f (x) = y0 ∈ Y.
“Necessity” Let limx→x0 f (x) = y0 ∈ Y. Then, ∀ǫ ∈ (0, ∞) ⊂ IR,
∃O ∈ O with x0 ∈ O, ∀x ∈ (D ∩ O) \ {x0 }, we have ρ(f (x), y0 ) < ǫ/2.
Hence, ∀x̄, x̂ ∈ (D ∩ O) \ {x0 }, ρ(f (x̄), f (x̂)) ≤ ρ(f (x̄), y0 ) + ρ(y0 , f (x̂)) < ǫ.
Proposition 4.46 Let (X, ρX ) and (Y, ρY ) be metric spaces, (Y, ρY ) be

complete, E ⊆ X, and f : E → Y be uniformly continuous. Then, there
is a unique continuous extension g : E → Y . Furthermore, g is uniformly
continuous.
∞
Proof ∀ ( xi )i=1 ⊆ E with limi∈IN xi = x0 ∈ X, by Proposition 4.23
and the uniform continuity of f , ( f (xi ) )∞ i=1 is a Cauchy sequence in Y .
Since (Y, ρY ) is complete, then ∃y0 ∈ Y such that limi∈IN f (xi ) = y0 . Let
∞
( x̄i )i=1 ⊆ E be any other sequence with limi∈IN x̄i = x0 . Then, the se-
quence (x1 , x̄1 , x2 , x̄2 , . . .) converges to x0 . By Proposition 4.23 and the uni-
form continuity of f , (f (x1 ), f (x̄1 ), f (x2 ), f (x̄2 ), . . .) is a Cauchy sequence
in Y , which converges since (Y, ρY ) is complete. The limit for this Cauchy
sequence must be y0 by Proposition 3.70. Hence, we have limi∈IN f (x̄i ) = y0 .
∞
Hence, y0 is dependent only on x0 but not on the sequence ( xi )i=1 .
By Proposition 4.13, we may define a function g : E → Y by g(x0 ) = y0 ,
∀x0 ∈ E. ∀x0 ∈ E, choose a sequence (x0 , x0 , . . .), which converges to x0 ,
then y0 = f (x0 ). Hence, we have g|E = f .
Next, we show that g is uniformly continuous. ∀ǫ ∈ (0, ∞) ⊂ IR,
by the uniform continuity of f on E, ∃δ ∈ (0, ∞) ⊂ IR such that
ρY (f (x1 ), f (x2 )) < ǫ, ∀x1 , x2 ∈ E with ρX (x1 ,x2 ) <∞δ. ∀x1 , x2∞∈ E
h1i h2i
with ρX (x1 , x2 ) < δ. By Proposition 4.13, ∃ xi , xi ⊆
i=1 i=1
hji
E such that limi∈IN xi = xj , j = 1, 2. By the definition of g, we
hji
have limi∈IN f (xi ) = g(xj ), j = 1, 2. By Proposition 3.67, we have
h1i h2i
limi∈IN (f (xi ), f (xi )) = (g(x1 ), g(x2 )). By Propositions 3.66 and 4.30,
h1i h2i
we have limi∈IN ρY (f (xi ), f (xi )) = ρY (g(x1 ), g(x2 )). Hence, we have
ρY (g(x1 ), g(x2 )) ≤ ǫ. Hence, g is uniformly continuous.
Let h : E → Y be any continuous mapping such that h|E = f . ∀x̄ ∈ E,
∞
by Proposition 4.13, ∃ ( xi )i=1 ⊆ E such that limi∈IN xi = x̄. By conti-
nuity of h and g and Proposition 3.66, we have h(x̄) = limi∈IN h(xi ) =
limi∈IN f (xi ) = limi∈IN g(xi ) = g(x̄). Then, h = g. This shows that g is
unique in the class of continuous functions that extends f .
Definition 4.47 A pseudo-metric ρ on a set X satisfies (i), (iii), and (iv)

in Definition 4.1 and ρ(x, x) = 0, ∀x ∈ X, but not necessarily (ii).
Lemma 4.48 Let X be a set and ρ be a pseudo-metric on X. Define an

equivalence relation ≡ on X by x1 ≡ x2 if ρ(x1 , x2 ) = 0, ∀x1 , x2 ∈ X.
Let Y be the quotient set X/ ≡, that is Y := { F ⊆ X | F 6= ∅, ∀x1 , x2 ∈
F, x1 ≡ x2 , ∀x3 ∈ X \ F, x1 6≡ x3 }. Define a mapping ρY : Y × Y → IR
by ρY (Y1 , Y2 ) = ρ(x1 , x2 ), ∀Y1 , Y2 ∈ Y and x1 ∈ Y1 and x2 ∈ Y2 . Then,
(Y, ρY ) is a metric space and said to be the quotient space of (X, ρ) modulo
ρ.
Proof We first show that ≡ is an equivalence relation. Clearly, ≡ is

reflexive and symmetric.
Claim 4.48.1 ∀x, y, z ∈ X, if ρ(y, z) = 0, then ρ(x, y) = ρ(x, z).
Proof of claim: ρ(x, z) ≤ ρ(x, y)+ρ(y, z) = ρ(x, y) ≤ ρ(x, z)+ρ(y, z) =

ρ(x, z). This completes the proof of the claim. 2
By Claim 4.48.1, ≡ is transitive. Hence, ≡ is a equivalence relation.
Again by Claim 4.48.1, the mapping ρY is well-defined.
To show that ρY is a metric on Y, we note that, ∀Y1 , Y2 , Y3 ∈ Y, (i)
0 ≤ ρY (Y1 , Y2 ) < ∞; (ii) ρY (Y1 , Y2 ) = 0 ⇔ ∀x1 ∈ Y1 , ∀x2 ∈ Y2 , ρ(x1 , x2 ) =
0 and x1 ≡ x2 ⇔ Y1 = Y2 ; (iii) ρY (Y1 , Y2 ) = ρ(x1 , x2 ) = ρ(x2 , x1 ) =
ρY (Y2 , Y1 ), for some x1 ∈ Y1 and x2 ∈ Y2 ; (iv) ρY (Y1 , Y2 ) = ρ(x1 , x2 ) ≤
ρ(x1 , x3 ) + ρ(x3 , x2 ) = ρY (Y1 , Y3 ) + ρY (Y3 , Y2 ), for some x1 ∈ Y1 , x2 ∈ Y2 ,
and x3 ∈ Y3 . Hence, ρY is a metric on Y.
Theorem 4.49 Let (X, ρ) be an metric space. Then,

(i) there exists a complete metric space (X̄, ρ̄) such that X is isometri-
cally embedded as a dense subset in X̄;
(ii) let (Y, ρY ) be any complete metric space with X ⊆ Y and ρY |X×X =
ρ. Then, (X̄, ρ̄) is isometric with X in Y .
∞ ∞
Proof (i) Let X := { ( xn)n=1 ⊆X | (xn )n=1 ∞is a Cauchy sequence }.
∞
h1i h2i
Define σ : X × X → IR by σ xn , xn = lim ρ(xh1i h2i
n , xn ),
∞ ∞ n=1 n=1 n∈IN
h1i h2i
∀ xn , xn ∈ X . The mapping σ is well defined by Proposi-
n=1 n=1 ∞
h1i h2i
tions 4.30 and 4.23 and the fact that (xn , xn ) is a Cauchy sequence.
∞ ∞ ∞ n=1
h1i h2i h3i
∀ xn , xn , xn ∈ X,
∞ n=1 ∞
n=1 n=1 ∞ ∞
h1i h2i
σ xn , xn ∈ [0, ∞) ⊂ IR; σ xh1i
n , xh2i
n =
n=1 n=1 ∞
n=1 ∞
n=1
lim ρ(xh1i h2i
n , xn ) = lim ρ(xh2i h1i
n , xn ) = σ xh2i
n , xh1i
n ;
n∈IN
∞ n∈I
∞ N n=1 n=1
σ xh1i
n , xh2i
n = lim ρ(xh1i h2i h1i
n , xn ) ≤ lim (ρ(xn , xn ) +
h3i
n=1 n=1
∞ n∈I N
∞ n∈IN
∞ ∞
ρ(xh3i h2i
n , xn )) = σ xh1i
n , xh3i
n +σ xh3i
n , xh2i
n ;
n=1 n=1
∞ n=1
∞
n=1
and also 0 = lim ρ(xh1i h1i
n , xn ) = σ xh1i
n , xh1i
n . Hence, σ
n∈IN n=1 n=1
defines a pseudo-metric on X .
By∞ Lemma 4.48, we∞ can define the equivalence relation ≡ on X∞ by
h1i h2i h1i h2i h1i
xn ≡ xn if lim ρ(xn , xn ) = 0, ∀ xn ,
n=1 n=1 n∈IN n=1
∞
h2i
xn ∈ X . Then, define the set X̄ := X / ≡:= F ⊆ X F 6=
n=1∞ ∞ ∞ ∞ ∞
h1i h2i h1i h2i h3i
∅, ∀ xn , xn ∈ F, xn ≡ xn , ∀ xn ∈
n=1 ∞ n=1
∞ n=1 n=1 n=1
h1i h3i
X \ F, xn 6≡ xn . A metric on X̄ is ρ̄, defined by
n=1
∞ n=1 ∞
h1i h2i
ρ̄(F1 , F2 ) = σ xn , xn , ∀F1 , F2 ∈ X̄, for some
∞ ∞
n=1 n=1
h1i h2i
xn ∈ F1 and xn ∈ F2 .
n=1 n=1
Define mapping T : X → X̄ by, ∀x ∈ X, T (x) = F ∈ X̄ such that
the Cauchy sequence (x, x, . . .) ∈ F . Let XI be the image of X under T .
Then, T : X → XI is surjective. ∀x1 , x2 ∈ X with T (x1 ) = T (x2 ), we have
(x1 , x1 , . . .) ≡ (x2 , x2 , . . .), which implies that σ((x1 , x1 , . . .), (x2 , x2 , . . .)) =
ρ(x1 , x2 ) = 0, and hence x1 = x2 . Therefore, T is injective. Hence, T :
X → XI is bijective and admits an inverse T inv : XI → X. ∀x1 , x2 ∈
X, ρ̄(T (x1 ), T (x2 )) = σ((x1 , x1 , . . .), (x2 , x2 , . . .)) = ρ(x1 , x2 ). Hence, T is
metric preserving. Then, both T and T inv are uniformly continuous. Hence,
T is an isometry between X and XI .
Therefore, (X, ρ) is isometrically embeded in (X̄, ρ̄).
∞
Next, we show that(X̄, ρ̄) is complete. Fix a Cauchy sequence
( Fn )n=1
∞ ∞
hni hni
⊆ X̄. ∀n ∈ IN, let xi ∈ Fn . Note that xi ⊆ X is a
i=1 i=1
∞ ∞
hni hmi
Cauchy sequence. ∀n, m ∈ IN, ρ̄(Fn , Fm ) = σ xi , xi =
∞ i=1 i=1
hni hmi h0i
limi∈IN ρ(xi , xi ). Define a sequence xi ⊆ X as following. Set
i=1
n0 = 0. ∀i ∈ IN, choose ni ∈ IN with ni > ni−1 such that ∀m1 , m2 ≥ ni , we
hii hii h0i hii
have ρ(xm1 , xm2 ) < 1/i; and set xi = xni .
∞
h0i
Claim 4.49.1 xi ∈ X.
i=1
Proof of claim: ∀ǫ ∈ (0, ∞) ⊂ IR, ∃N1 ∈ IN such that ∀n, m ≥ N1 ,

∞
we have ρ̄(Fn , Fm ) < ǫ. This is valid since ( Fn )n=1 is Cauchy in X̄. Let
N2 ∈ IN be such that 1/N2 < ǫ. Let N = max{N1 , N2 } ∈ IN. ∀i, j ≥ N ,
h0i h0i hii hji hii hji
ρ(xi , xj ) = ρ(xni , xnj ). Since ρ̄(Fi , Fj ) = liml∈IN ρ(xl , xl ) < ǫ, then
hii hji
∃i0 ∈ IN with i0 ≥ max{ni , nj } such that 0 ≤ ρ(xi0 , xi0 ) < ρ̄(Fi , Fj ) + ǫ <
2ǫ. Then, we have
h0i h0i hii hii hji hji
ρ(xi , xj ) ≤ ρ(xhii hji
ni , xi0 ) + ρ(xi0 , xi0 ) + ρ(xi0 , xnj )
< 1/i + 2ǫ + 1/j < 4ǫ
∞
h0i
Hence, xi ∈ X . This completes the proof of the claim. 2
i=1 ∞
h0i
Let F0 ∈ X̄ be such that xi ∈ F0 .
i=1
Claim 4.49.2 limn∈IN Fn = F0 .
Proof of claim: ∀ǫ ∈ (0, ∞) ⊂ IR, ∃N1 ∈ IN such that ∀n, m ≥

N1 , we have ρ̄(Fn , Fm ) < ǫ. Let N2 ∈ IN be such that 1/N2 < ǫ. Let
N := max{N1 , N2 } ∈ IN. ∀m ≥ N , fix i0 := nm ≥ m ≥ N . ∀i ≥ i0 ,
hmi hii
∃i1 > ni ≥ i ≥ nm such that 0 ≤ ρ(xi1 , xi1 ) < ρ̄(Fm , Fi ) + ǫ < 2ǫ. Then,
hmi h0i hmi
0 ≤ ρ(xi , xi ) = ρ(xi , xhii
ni )
hmi hmi hmi hii hii
≤ ρ(xi , xi1 ) + ρ(xi1 , xi1 ) + ρ(xi1 , xhii
ni )
< 1/m + 2ǫ + 1/i < 4ǫ
hmi h0i
Hence, 0 ≤ ρ̄(Fm , F0 ) = lim ρ(xi , xi ) ≤ 4ǫ. Therefore, we have
i∈IN
lim ρ̄(Fn , F0 ) = 0. This completes the proof of the claim. 2
n∈IN
∞
Hence, we have shown that any Cauchy sequence ⊆ X̄ admits( Fn )n=1
a limit F0 ∈ X̄. Hence, (X̄, ρ̄) is complete.
To complete the proof of (i), we need only to show that XI is dense in
X̄. ∀F ∈ X̄, let ( xn )∞
n=1 ∈ F . ∀ǫ ∈ (0, ∞) ⊂ IR, ∃N ∈ IN such that ∀n ∈ IN
with n ≥ N , we have ρ(xN , xn ) < ǫ/2. Let FN := T (xN ) ∈ XI . Then,
by Propositions 4.30, 3.66, and 3.67, 0 ≤ ρ̄(FN , F ) = limn∈IN ρ(xN , xn ) ≤
ǫ/2 < ǫ. Hence, FN ∈ B(X̄,ρ̄) ( F, ǫ ) ∩ XI 6= ∅. Hence, XI is dense in X̄, by
Proposition 3.3.
(ii) Let Xc be the closure of X in (Y, ρY ). Since T is an isometry between

X and XI , then T : X → X̄ is uniformly continuous. By Proposition 4.46,
∃G : Xc → X̄ such that G|X = T and G is uniformly continuous. Note
that T inv : XI → X ⊆ Y is also uniformly continuous, since T inv is metric
preserving. Then, by Propositions 4.39 and 4.46, ∃H : X̄ → Xc such that
H|XI = T inv and H is uniformly continuous. G ◦ H : X̄ → X̄ is uni-
formly continuous, by Proposition 4.23. Note that (G ◦ H)|XI = idX̄ |XI .
By Proposition 3.56, we have G ◦ H = idX̄ . H ◦ G : Xc → Xc is uni-
formly continuous, by Proposition 4.23. Note that (H ◦ G)|X = idXc |X .
By Proposition 3.56, we have H ◦ G = idXc . Therefore, G : Xc → X̄ is
bijective with inverse H : X̄ → Xc , by Proposition 2.4. Hence, Xc and X̄
are uniformly homeomorphic.
∞ ∞
h1i h2i hji
∀y1 , y2 ∈ Xc , ∃ xi , xi ∈ X such that limi∈IN xi = yj ,
i=1 i=1
j = 1, 2, by Proposition 4.13. Then, by Proposition 3.66, we have
hji hji
G(yj ) = limi∈IN G(xi ) = limi∈IN T (xi ), j = 1, 2. By Propositions 3.66,
3.67, and 4.30 and the fact that T is metric preserving on X, we have
h1i h2i h1i h2i
ρ̄(G(y1 ), G(y2 )) = limi∈IN ρ̄(T (xi ), T (xi )) = limi∈IN ρ(xi , xi ) =
h1i h2i
limi∈IN ρY (xi , xi ) = ρY (y1 , y2 ). Hence, G : Xc → X̄ is also metric
preserving. Hence, G is an isometry between Xc and X̄.
4.8 Metrization of Topological Spaces

Definition 4.50 A topological space (X, O) is said to be metrizable if there
is a metric ρ on X whose natural topology is exactly the same as O.
Proposition 4.51 Let Xα := (Xα , Oα ) be metrizable topological spaces,
∀α ∈ Λ, where Q
Λ is a countable set. Then, the product topological space
X = (X, O) := α∈Λ Xα is metrizable.
Proof ∀α ∈ Λ, let ρα be a metric on Xα whose natural topology is
exactly Oα . We will distinguish three exhaustive and mutually exclusive
cases: Case 1: Λ = ∅; Case 2: Λ 6= ∅ and is finite; Case 3: Λ is countably
infinite.
Case 1: Λ = ∅. Then, (X, O) = ({∅}, {∅, {∅}}). It is clearly metrizable,
where the metric ρ may be defined by ρ(∅, ∅) = 0.
Case 2: Λ 6= ∅ and is finite. We may define a metric ρ on X be to the
Cartesian metric as in Definition 4.28. By Proposition 4.29, the natural
topology induced by ρ is exactly the same as the product topology O.
Hence, X is metrizable.
Case 3: Λ is countable infinite. The result follows by Proposition 4.34.
Definition 4.52 Let I := [0, 1] ⊂ IR and A be a set. I A is called a cube.
Associate with I the subset topology of IR. Denote X IN the countably infinite
4.9. INTERCHANGE LIMITS 91
product space of X . The cube I IN is metrizable, by Proposition 4.51, and

is called a Hilbert cube.
Theorem 4.53 (Urysohn Metrization Theorem) Every normal topo-

logical space satisfying the second axiom of countability is metrizable.
Proof Let X := (X, O) be a second countable normal topological

space. Let ( Bα )α∈Λ be a countable basis for the topology O. ∀α1 , α2 ∈ Λ,
g
if B α1 ∩ Bα2 = ∅, then, by Urysohn’s Lemma, ∃ a continuous function
fα1 α2 : X → [0, 1] =: I ⊂ IR such that fα1 α2 |Bg = 0 and fα1 α2 |Bα = 1.
n α1
o 2
g
Define F := fα1 α2 : X → I α1 , α2 ∈ Λ, Bα1 ∩ Bα2 = ∅ . Clearly,
F is a countable set. ∀x0 ∈ X , ∀ closed set F ⊆ X with x0 6∈ F , we have
∃α1 ∈ Λ such that x0 ∈ Bα1 ⊆ Fe. By Definition 3.33 and Propositions 3.34
and 3.35, ∃U ∈ O such that {x0 } ⊆ U ⊆ U ⊆ Bα1 . Then, ∃α2 ∈ Λ such
that x0 ∈ Bα2 ⊆ U . Then, we have {x0 } ⊆ Bα2 ⊆ Bα2 ⊆ U ⊆ Bα1 , and
hence B g α1 ∩ Bα2 = ∅. Then, ∃fα1 α2 ∈ F such that fα1 α2 |B g = 0 and
α1
fα1 α2 |Bα = 1, which implies that fα1 α2 |F = 0 and fα1 α2 (x0 ) = 1. Hence,
2
F is a countable collection of continuous [0, 1]-valued functions and satisfies
∀x0 ∈ X , ∀ closed set F ⊆ X with x0 6∈ F , ∃f ∈ F ∋ · f (x0 ) = 1 and
f |F = 0. Since X is normal, then it is Tychonoff and any singleton subset is
closed. ∀x, y ∈ X with x 6= y, we have {y} is closed and therefore, ∃f ∈ F
∋· f (x) = 1 6= 0 = f (y).
By Proposition 3.59, the equivalence map E : X → I F is a homeomor-
phism between X and E(X ). Since I is metrizable and F is countable,
then, by Proposition 4.51, I F is metrizable with a metric ρI F . By Propo-
sition 4.37, the metric ρI F generates the subset topology on E(X ). Since
E is a homeomorphism between X and E(X ), then X is metrizable with a
metric ρX : X × X → IR given by ρX (x, y) := ρI F (E(x), E(y)), ∀x, y ∈ X .
4.9 Interchange Limits

Theorem 4.54 (Joint Limit Theorem) Let Y := (Y, ρ) be a metric
space and ( yα,β )(α,β)∈A1 ×A2 ⊆ Y be a joint net. Assume that
lim(α,β)∈A1 ×A2 yα,β = ŷ ∈ Y and, ∀α ∈ A1 , limβ∈A2 yα,β = ȳα ∈ Y.
Then, limα∈A1 ȳα = limα∈A1 limβ∈A2 yα,β = lim(α,β)∈A1 ×A2 yα,β .
Proof ∀ǫ ∈ (0, ∞) ⊂ IR, by Definition 3.88 and Proposition 4.8,

∃(α0 , β0 ) ∈ A1 × A2 , ∀(α, β) ∈ A1 × A2 with (α0 , β0 ) ≺ (α, β), we have
ρ(yα,β , ŷ) < ǫ/2. Fix any α ∈ A1 with α0 ≺1 α. By the fact that
limβ∈A2 yα,β = ȳα ∈ Y, ∃βα ∈ A2 , ∀β ∈ A2 with βα ≺2 β, we have
ρ(yα,β , ȳα ) < ǫ/2. Since A2 is a directed system, then ∃β1 ∈ A2 such
that β0 ≺2 β1 and βα ≺2 β1 . Then, we have ρ(ȳα , ŷ) ≤ ρ(ȳα , yα,β1 ) +
ρ(yα,β1 , ŷ) < ǫ. This shows that limα∈A1 ȳα = ŷ. Hence, we have
limα∈A1 ȳα = limα∈A1 limβ∈A2 yα,β = lim(α,β)∈A1 ×A2 yα,β . This completes
Corollary 4.55 Let Y := (Y, ρ) be a metric space and ( yα,β )(α,β)∈A1 ×A2 ⊆
Y be a joint net. Assume that lim(α,β)∈A1 ×A2 yα,β = ŷ ∈ Y, ∀α ∈ A1 ,
limβ∈A2 yα,β = ȳα ∈ Y, and, ∀β ∈ A2 , limα∈A1 yα,β = ỹβ ∈ Y. Then,
limα∈A1 ȳα = limα∈A1 limβ∈A2 yα,β = lim(α,β)∈A1 ×A2 yα,β = limβ∈A2 ỹβ =
limβ∈A2 limα∈A1 yα,β .
Proof This is straightforward by Joint Limit Theorem 4.54. 2
Theorem 4.56 (Iterated Limit Theorem) Let Y := (Y, ρ) be a com-

plete metric space and ( yα,β )(α,β)∈A1 ×A2 ⊆ Y be a joint net. Assume that
(i) ∀α ∈ A1 , limβ∈A2 yα,β = ȳα ∈ Y;

(ii) the nets ( yα,β )α∈A1 converge uniformly to ỹβ ∈ Y, ∀β ∈ A2 .
Then, limα∈A1 ȳα = limα∈A1 limβ∈A2 yα,β = lim(α,β)∈A1 ×A2 yα,β =
limβ∈A2 ỹβ = limβ∈A2 limα∈A1 yα,β .
Proof By (ii), ∀ǫ ∈ (0, ∞) ⊂ IR, ∃α0 ∈ A1 , ∀α ∈ A1 with

α0 ≺1 α, ∀β ∈ A2 , we have ρ(yα,β , ỹβ ) < ǫ/4. Fix an α1 ∈ A1 with
α0 ≺1 α1 . Since limβ∈A2 yα1 ,β = ȳα1 , then ∃β0 ∈ A2 , ∀β ∈ A2 with
β0 ≺2 β, we have ρ(yα1 ,β , ȳα1 ) < ǫ/4. Then, ∀β1 , β2 ∈ A2 with β0 ≺2 β1
and β0 ≺2 β2 , we have ρ(ỹβ1 , ỹβ2 ) ≤ ρ(ỹβ1 , yα1 ,β1 ) + ρ(yα1 ,β1 , ȳα1 ) +
ρ(ȳα1 , yα1 ,β2 ) + ρ(yα1 ,β2 , ỹβ2 ) < ǫ. Hence, the net ( ỹβ )β∈A2 is a Cauchy
net. By Proposition 4.44, limβ∈A2 ỹβ = ŷ ∈ Y.
Then, ∃β̄ ∈ A2 , ∀β ∈ A2 with β̄ ≺2 β, we have ρ(ỹβ , ŷ) < ǫ/2. Note that
∀(α, β) ∈ A1 × A2 with (α0 , β̄) ≺ (α, β), we have ρ(yα,β , ŷ) ≤ ρ(yα,β , ỹβ ) +
ρ(ỹβ , ŷ) < ǫ. Hence, lim(α,β)∈A1 ×A2 yα,β = ŷ. Finally, by Joint Limit
Theorem 4.54, we have limα∈A1 limβ∈A2 yα,β = limα∈A1 ȳα = ŷ.
Proposition 4.57 Let X := (X, O) be a topological space, Y := (Y, ρ) be a

complete metric space, D ⊆ X , x0 ∈ X \ D be an accumulation point of D,
and ( fα )α∈A be a net of functions of D to Y. Assume that ( fα )α∈A con-
verges uniformly to function f : D → Y and limx→x0 fα (x) = yα ∈ Y, ∀α ∈
A. Then, limα∈A yα = limα∈A limx→x0 fα (x) = limx→x0 limα∈A fα (x) =
limx→x0 f (x) ∈ Y.
Proof Fix any net ( xβ )β∈Â ⊆ D with x0 as a limit. Such net exists by
Proposition 3.68. By the assumption that ( fα )α∈A converges uniformly to
f , then, for the joint net ( fα (xβ ) )(α,β)∈A×Â , we have the nets ( fα (xβ ) )α∈A
converge uniformly to f (xβ ) ∈ Y, ∀β ∈ Â. By Proposition 3.79, we
have limβ∈Â fα (xβ ) = yα , ∀α ∈ A. By Iterated Limit Theorem 4.56,
we have limα∈A yα = limα∈A limβ∈Â fα (xβ ) = lim(α,β)∈A×Â fα (xβ ) =
4.9. INTERCHANGE LIMITS 93
limβ∈Â limα∈A fα (xβ ) = limβ∈Â f (xβ ) = ŷ ∈ Y. By the arbitrariness

of ( xβ )β∈Â and Proposition 3.79, we have ŷ = limx→x0 f (x). Hence,
we have limα∈A yα = limα∈A limx→x0 fα (x) = ŷ = limx→x0 f (x) =
limx→x0 limα∈A fα (x) ∈ Y. This completes the proof of the proposition.
2
Chapter 5
Compact and Locally

Compact Spaces
5.1 Compact Spaces

Definition 5.1 A topological space (X, O) is called compact if every open
covering
S has a finite subcovering, that is ∀ ( Oα )α∈Λ ⊆ O with X ⊆
α∈ΛS α where Λ is an index set, ∃ a finite set ΛN ⊆ Λ such that
O ,
X ⊆ α∈ΛN Oα .
A subset K ⊆ X is called compact if it is compact in its subset topology.

This is equivalent to any open covering of K in X has a finite subcovering
of K.
Definition 5.2 Let X be a set and F be a collection of subsets in X. F

is said to admit the finite intersection property if any finite subcollection of
F has a nonempty intersection.
Proposition 5.3 A topological space X is compact if, and only if, any col-
lection of closed sets F with the finite intersection property has a nonempty
intersection.
Proof “If” Suppose X is not compact. Then, there exists an open

covering
( O )α∈Λ ⊆ O of X , which does not have any finite subcovering.
α
Then, Oα f is a collection of closed sets with the finite intersection

α∈Λ ∼
T fα = S
property. Yet, α∈Λ O α∈Λ Oα = ∅. This contradicts the as-
sumption. Hence, X is compact.
“Only if” Suppose that the result does not hold. Then, there ex-
ists aTcollection of closed sets F with S finite intersection
T property such
∼
that F ∈F F = ∅. Then, we have F ∈F Fe = F ∈F F = X . By
the compactness of X , there exists a finite collection FN ⊆ F such that
95
96 CHAPTER 5. COMPACT AND LOCALLY COMPACT SPACES
S T
F ∈FN Fe = X . Then, F ∈FN F = ∅. This contradicts with the assump-
tion that F has finite intersection property. Hence, the result holds.
Proposition 5.4 A topological space X is compact if, and only if, ∀ net
( xα )α∈A ⊆ X has a cluster point in X .
Proof “Only if” Fix any net ( xα )α∈A ⊆ X . ∀α ∈ A, let Fα :=

{ xβ | β ∈ A, α ≺ β }. Let Fα be the closure of Fα . For any finite set A ⊆ A,
∃α0 ∈ A such that α ≺ α0 , ∀α ∈ A, sinceTA is a directed system. Then,
xα0 ∈ Fα , ∀α ∈ A. Hence, we have xα0 ∈ α∈A Fα 6= ∅. Hence, Fα α∈A
is a collection of closed sets in X with the finite intersection
T property. By
Proposition 5.3 and the compactness of X , we have α∈A Fα 6= ∅. Fix
T
an x ∈ α∈A Fα . ∀O ∈ O with x ∈ O, ∀α0 ∈ A, we have x ∈ Fα0 and
O ∩ Fα0 6= ∅. Hence, ∃α ∈ A with α0 ≺ α such that xα ∈ O ∩ Fα0 ⊆ O.
Hence, x is a cluster point of the net ( xα )α∈A .
“If” Suppose X is not compact. Then, there exists an open cover-
ing ( Oα )α∈Λ ⊆ O of X , where Λ is an index set, such that X is not
covered by any finite subcollection of sets in ( Oα )α∈Λ . Let Γ := { B ⊆
Λ | B is a finite set }. Define a relation ≺ on Γ by ∀B1 , B2 ∈ Γ, B1 ≺ B2
if B1 ⊆SB2 . Clearly,
∼ A := (Γ, ≺) is a directed system. ∀B ∈ Γ, let
xB ∈ α∈B Oα . This constructs a net ( xB )B∈A ⊆ X . By the as-
sumption, ∃x0 ∈ X such that x0 is a cluster point of the net. ∀α0 ∈ Λ,
{α0 } ∈ Γ. ∀O ∈ O with x0 ∈ O, ∃B ∈ Γ with {α0 } ≺ B such that
S ∼
xB ∈ O. Then, xB ∈ O ∩ ⊆ O∩O gα0 6= ∅. Hence, by the
α∈B Oα
arbitrariness of O and Proposition 3.3, x0 ∈ O g g
α0 = Oα0 . Then, we have
T S ∼
g
x0 ∈ α0 ∈Λ Oα0 = = ∅. This is a contradiction. Hence, X
α∈Λ Oα
must be compact.
Proposition 5.5 A closed subset of a compact space is compact. A com-

pact subset of a Hausdorff space is closed.
Proof Let (X, O) be a compact topological space and K ⊆ X be

closed. ∀ open covering ( Oα )α∈Λ ⊆ O of K, where Λ is an index set.
S
e
We have X = α∈Λ Oα ∪ K, which forms an open covering of X.
By theScompactness of X, there exists a finiteS set ΛN ⊆ Λ such that
e
X = α∈ΛN Oα ∪ K. Then, we have K ⊆ α∈ΛN Oα . Therefore, K
is compact.
Let (X, O) be a Hausdorff space and K ⊆ X be compact. Suppose that
K is not closed. Then, by Proposition 3.3, ∃x0 ∈ K \ K. ∀x ∈ K, we have
hxi hxi hxi
x 6= x0 . Since (X, O) is Hausdorff, ∃O
1 ,O 2 ∈ O such that x0 ∈ O1 ,
hxi hxi hxi hxi
x ∈ O2 , and O1 ∩O2 = ∅. Then, O2 forms an open covering of
x∈K
hxi
K. By the compactness of K, ∃ a finite set KN ⊆ K such that O2
x∈KN
5.1. COMPACT SPACES 97
T hxi
forms an open covering of K. Then, x0 ∈ O := x∈KN O1 ∈ O, and
S
hxi
O∩K ⊆ O∩ x∈KN O2 = ∅. This contradicts with x0 ∈ K, by
Proposition 3.3. Hence, K is closed.
Theorem 5.6 (Heine-Borel) Let A be a subset of IR. A is compact if,

and only if, A is closed and bounded.
Proof “If” Consider first the special case A = [a, b], where a, b ∈ IR
and a < b. Let ( Oα )α∈Λ ⊆ OIR be an arbitrary open covering of A, where
Λ is an index set. Let B := { x ∈ A | The interval [a, x] can be covered by
finitely many sets in ( Oα )α∈Λ }. Clearly, a ∈ B. Let c = sup B. Then,
c ∈ A. ∃α0 ∈ Λ such that c ∈ Oα0 . ∃δ ∈ (0, ∞) ⊂ IR such that [c−δ, c+δ] ⊆
Oα0 . By the definition of c, ∃d ∈ B such that d ∈ [c − δ, c]. By d ∈ B,
[a, d] can be covered by finitely many sets in ( Oα )α∈Λ . Now, adding Oα0
to this finitely many sets, then [a, c + δ] is covered by finitely many sets in
( Oα )α∈Λ . Hence, c ∈ B. Note that we must have c = b since otherwise
c < b and min{c+δ, b} ∈ B which contradicts the definition of c. Therefore,
there exists a finite subcovering of [a, b] = A. This shows that A is compact.
Now, let A be any closed and bounded subset of IR. Let ( Oα )α∈Λ ⊆ OIR
be an arbitrary open covering of A, where Λ is an index set. Since A
is bounded, then A ⊆ [a, b], for some a, b ∈ IR with a < b. Note that
S
e
α∈Λ Oα ∪ A ⊇ [a, b]. By the compactness
of [a, b], there exists a finite
S e S
set ΛN ⊆ Λ such that [a, b] ⊆ α∈ΛN Oα ∪ A. Then, A ⊆ α∈ΛN Oα .
Hence, A is compact.
“Only if” Since IR is Hausdorff, Sby Proposition 5.5, A is closed. Let
In := (−n, n) ⊂ IR, ∀n ∈ IN. S Then, n∈IN In ⊇ A. By the compactness of
A, ∃N ∈ IN such that A ⊆ 1≤n≤N In = IN . Hence, A is bounded.
Proposition 5.7 Let X and Y be topological spaces, X be compact, and

f : X → Y be continuous. Then, f (X ) ⊆ Y is compact.
Proof Let ( OY α )α∈Λ ⊆ OY be an arbitrary open covering of f (X ),

where Λ is an index set. Then, ( f inv(OY α ) )α∈Λ ⊆ OX is an open covering
of X , by the continuity of f . By the compactness of X , there exists a finite
set ΛN ⊆ Λ such that ( f inv(OY α ) )α∈ΛN is a subcovering of X . Then, by
Proposition 2.5, ( OY α )α∈ΛN is a finite subcovering of f (X ). Hence, f (X )
is compact. This completes the proof of the proposition. 2
Proposition 5.8 Let X be a compact space, Y be a Hausdorff topological

space, and f : X → Y be a bijective continuous function. Then, f is a
homeomorphism.
Proof By Proposition 5.7, Y is compact. By the assumption of the

proposition, f is invertible with inverse f inv : Y → X . ∀ closed set F ⊆ X .
By Proposition 5.5, F is compact. By Proposition 5.7, f (F ) is compact.

By Proposition 5.5, f (F ) is closed. By Proposition 3.10, f inv is continuous.
Hence, f is a homeomorphism. This completes the proof of the proposition.
2
Definition 5.9 Let (X, O) be a topological space and U ⊆ O be an open
covering of X. V ⊆ O is said to be an open refinement of U (or to refine
U) if V is an open covering of X and ∀V ∈ V, ∃U ∈ U such that V ⊆ U .
Proposition 5.10 Let X := (X, O) be a topological space. X is compact
if, and only if, any open covering U ⊆ O has a finite open refinement V.
Proof “Only if” Let U ⊆ O be an open covering of X. By the
compactness of X , there exists a finite set V ⊆ U that covers X. Then, V
is a finite open refinement of U.
“If” Let U ⊆ O be an arbitrary open covering of X. Then, there
exists a finite open refinement V of U. ∀V ∈ V, ∃UV ∈ U such that
V ⊆ UV . By Axiom of Choice and Axiom of Replacement, we may define
a set Ū := { UV ∈ U | V ∈ V }. Clearly, Ū ⊆ U is a finite subcovering of
X. Hence, X is compact.
∞
Proposition 5.11 Let (X, O) be a Hausdorff topological space and ( Kn )n=1
be a sequence
T of compact subsets of X with Kn+1 ⊆ Kn , ∀n ∈ IN. Let O ∈ O
and n∈IN Kn ⊆ O. Then, ∃n0 ∈ IN such that Kn0 ⊆ O.
Proof fn ,
By Proposition 5.5, Kn is closed, ∀n ∈ IN. Let On := O ∪ K
∀n ∈ IN. Then, we have
∞
[ [
∞ ∞
\
fn = O ∪ ( ∼
On = O ∪ K Kn ) = X ⊇ K1
n=1 n=1 n=1
S
By the compactness
of K1 , ∃N ∈ IN such that K1 ⊆ N n=1 On = O ∪
TN ∼
g
n=1 Kn = O∪K N . Then, KN ⊆ O. This completes the proof of the
proposition. 2
Proposition 5.12 Let X be a Hausdorff topological space and KTα ⊆ X be a
compact subset, ∀α ∈ Λ, where Λ is an index set. Assume
T that α∈Λ Kα =
∅. Then, there exists a finite set ΛN ⊆ Λ such that α∈ΛN Kα = ∅.
cases: Case 1: Λ is finite; Case 2: Λ is infinite. Case 1: Λ is finite. Choose
ΛN := Λ and the result follows.
Case 2:SΛ is infinite. T∀α ∈ Λ,Kα is closed in X by Proposition 5.5.
fα = ∼
Note that α∈Λ K α∈Λ Kα = X ⊇ Kα0 , for some α0 ∈ Λ. By
the compactness of Kα0 , there exists a finite set Λ̄N ⊆ Λ such that Kα0 ⊆
S fα . Let ΛN := Λ̄N ∪{α0 }, which is a finite set. Then, T
α∈Λ̄N K
T α∈ΛN Kα =
Kα0 ∩ α∈Λ̄N K α = ∅. This completes the proof of the proposition. 2
5.1. COMPACT SPACES 99
Proposition 5.13 Let X := (X, O) be a Hausdorff topological space,

K1 , K2 ⊆ X be compact subsets, and K1 ∩ K2 = ∅. Then, ∃O1 , O2 ∈ O
such that K1 ⊆ O1 , K2 ⊆ O2 , and O1 ∩ O2 = ∅.
Proof Since (X, O) is Hausdorff, then, ∀x1 ∈ K1 and ∀x2 ∈ K2 , we

h1i h2i hji
must have x1 6= x2 and ∃Ox1 ,x2 , Ox1 ,x2 ∈ O such that xj ∈ Ox1 ,x2 , j = 1, 2,
h1i h2i S h2i
and Ox1 ,x2 ∩ Ox1 ,x2 = ∅. Then, ∀x1 ∈ K1 , K2 ⊆ x2 ∈K2 Ox1 ,x2 . By the
compactness of K2 , there exists a finite set K2,x1 ⊆ K2 such that K2 ⊆
S h2i h2i T h1i
x2 ∈K2,x1 Ox1 ,x2 =: Ox1 ∈ O. It is clear that x1 ∈ x2 ∈K2,x1 Ox1 ,x2 =:
h1i h1i h2i S h1i
Ox1 ∈ O and Ox1 ∩ Ox1 = ∅. Then, K1 ⊆ x1 ∈K1 Ox1 . By the
compactness of K1 , there exists a finite set K1N ⊆ K1 such that K1 ⊆
S h1i T h2i
x1 ∈K1N Ox1 =: O1 ∈ O. Note that K2 ⊆ x1 ∈K1N Ox1 =: O2 ∈ O.
Clearly, O1 ∩ O2 = ∅. This completes the proof of the proposition. 2
Proposition 5.14 A compact Hausdorff topological space is normal.
Proof Let (X, O) be a compact Hausdorff topological space. Fix any

closed sets F1 , F2 ⊆ X with F1 ∩ F2 = ∅. By Proposition 5.5, F1 and F2 are
compact. By Proposition 5.13, ∃O1 , O2 ∈ O such that F1 ⊆ O1 , F2 ⊆ O2 ,
and O1 ∩ O2 = ∅. Hence, (X, O) is normal. This completes the proof of the
proposition. 2
Proposition 5.15 Let X be a set and O and O1 be topologies on X. As-

sume that O1 is weaker than O, that is O1 ⊂ O, and (X, O) is compact.
Then, (X, O1 ) is compact.
Proof Let U1 ⊆ O1 be any open covering of (X, O1 ). Then, it is an

open covering of (X, O). By the compactness of (X, O), there exists finite
subcovering UN ⊆ U1 of (X, O). Clearly UN ⊆ O1 is a finite subcovering
of (X, O1 ). Therefore, (X, O1 ) is compact. This completes the proof of the
proposition. 2
Proposition 5.16 Let X be a set and O and O1 be topologies on X. As-

sume that O1 is stronger than O, that is O ⊂ O1 , and (X, O) is Hausdorff.
Then, (X, O1 ) is Hausdorff.
Proof ∀x, y ∈ X with x 6= y, ∃O1 , O2 ∈ O such that x ∈ O1 , y ∈ O2 ,

and O1 ∩ O2 = ∅, since (X, O) is Hausdorff. Note that O1 , O2 ∈ O1 since
O ⊆ O1 . Hence, (X, O1 ) is Hausdorff. This completes the proof of the
proposition. 2
Proposition 5.17 Let (X, O) be a compact Hausdorff space. Then, any

weaker topology O1 ⊂ O is not Hausdorff, and any stronger topology O2 ⊃
O is not compact.
Proof Since O1 ⊂ O, then ∃O0 ∈ O \ O1 . Then, O f0 is closed in

(X, O). By Proposition 5.5, Of0 is compact in (X, O). By Proposition 5.15,
f
O0 is compact in (X, O1 ). Suppose (X, O1 ) is Hausdorff. Then, by Propo-
f0 is closed in (X, O1 ). This implies that O0 ∈ O1 , which
sition 5.5, O
contradicts with O0 ∈ O \ O1 . Hence, (X, O1 ) is not Hausdorff.
Since O2 ⊃ O, then ∃O0 ∈ O2 \ O. Suppose (X, O2 ) is compact. Then,
by Proposition 5.5, Of0 is compact in (X, O2 ). By Proposition 5.15, O f0
f
is compact in (X, O). By Proposition 5.5, O0 is closed in (X, O). Then,
O0 ∈ O, which contradicts with O0 ∈ O2 \ O. Hence, (X, O2 ) is not
compact.
Proposition 5.18 Let X be a compact topological space, Y be a Hausdorff

topological space, Z be a topological space, f : X → Y be surjective and
continuous, and g : Y → Z be such that T := g ◦ f : X → Z is continuous.
Then, g is continuous.
Proof By Proposition 5.7 and the compactness of X , Y = f (X ) is

compact. Then, Y is compact and Hausdorff.
Claim 5.18.1 ∀OZ ⊆ Z, g inv(OZ ) = f (T inv(OZ )).
Proof of claim: ∀y0 ∈ g inv(OZ ) ⊆ Y, ∃x0 ∈ X such that y0 =

f (x0 ) since f is surjective. Then, g(y0 ) = g(f (x0 )) = T (x0 ) ∈ OZ . This
implies that x0 ∈ T inv(OZ ). Then, y0 ∈ f (T inv(OZ )). Hence, g inv(OZ ) ⊆
f (T inv(OZ )).
On the other hand, ∀y0 ∈ f (T inv(OZ )), ∃x0 ∈ T inv(OZ ) such that
y0 = f (x0 ). Then, OZ ∋ T (x0 ) = g(f (x0 )) = g(y0 ). This implies that
y0 ∈ g inv(OZ ). Hence, f (T inv(OZ )) ⊆ g inv(OZ ).
Therefore, we have g inv(OZ ) = f (T inv(OZ )). This completes the proof
of the claim. 2
∀ closed set F ⊆ Z. T inv(F ) is closed in X by Proposition 3.10 and the
continuity of f . Then, T inv(F ) is compact by Proposition 5.5. This im-
plies that, by Proposition 5.7, f (T inv(F )) is compact. By Proposition 5.5,
g inv(F ) = f (T inv(F )) is closed. Then, by Proposition 3.10 and the arbi-
trariness of F , g is continuous.
Definition 5.19 A compact and connected Hausdorff topological space con-

taining more than one point is called a continuum.
Proposition 5.20 Let X := (X, O) be a Hausdorff topological space,

( Kn )∞ compact and connected subsets of X , and
n=1 be a sequence of T
∞
Kn+1 ⊆ Kn , ∀n ∈ IN. Then, n=1 Kn =: K is compact and connected.
5.2. COUNTABLE AND SEQUENTIAL COMPACTNESS 101
Proof By Proposition 5.5, Kn is closed, ∀n ∈ IN. Then, K is closed.

Then, K is closed in the subset topology of K1 by Proposition 3.5. By
Proposition 5.5, K is compact.
Suppose K is not connected. Then, ∃O1 , O2 ∈ O such that K = OK1 ∪
OK2 := (O1 ∩ K) ∪ (O2 ∩ K), OK1 6= ∅, OK2 6= ∅, and OK1 ∩ OK2 = ∅.
fi , which is closed
Define K̄i := K \ OKi , i = 1, 2. Then, i = 1, 2, K̄i = K ∩ O
and therefore compact by Proposition 5.5. Note that OK1 = K̄2 and OK2 =
K̄1 . Then, OK1 and OK2 are disjoint compact sets. By Proposition 5.13,
∃Ō1 , Ō2 ∈ O such that OKi ⊆ Ōi , i = 1, 2, and Ō1 ∩ Ō2 = ∅. Then,
Ō1 ∪ Ō2 ⊇ K, by Proposition 5.11, ∃n0 ∈ IN such that Ō1 ∪ Ō2 ⊇ Kn0 .
Note that Ōi ∩ Kn0 ⊇ OKi 6= ∅ and is open in the subset topology of
Kn0 , i = 1, 2, then, Ō1 ∩ Kn0 and Ō2 ∩ Kn0 form a separation of Kn0 .
This contradicts with the assumption that Kn0 is connected. Hence, K is
connected.
We note that the union of finitely many compact subsets of a topological
space is compact.
5.2 Countable and Sequential Compactness

Definition 5.21 Let (X, O) be a topological space. A subset K ⊆ X is
said to be countably compact if any countable open covering of K admits
a finite subcovering.
Proposition 5.22 A topological space is compact if, and only if, it is Lin-
delöf and countably compact.
Proof This is straightforward and therefore omitted. 2
Proposition 5.23 A second countable topological space is compact if, and

only if, it is countably compact.
Proof A second countable topological space is Lindelöf, by Proposi-

tion 3.24. Then, the result follows from Proposition 5.22. 2
Proposition 5.24 Let X be a countably compact topological space, Y be a

topological space, and f : X → Y be continuous. Then, f (X ) is countably
compact.
Proof Fix any countable open covering ( Oα )α∈Λ ⊆ OY of f (X ),

where Λ is a countable index set. By Proposition 2.5 and the conti-
nuity of f , ( f inv(Oα ) )α∈Λ is a countable open covering of X . By the
countable compactness of X , there exists
S S a finite setS ΛN ⊆ Λ such that
f (O ) = X . Then, we have O ⊇ α∈ΛN f (f inv(Oα )) =
S N inv α
α∈Λ α∈ΛN α
f f
α∈ΛN inv (O α ) = f (X ), by Proposition 2.5. Hence, f (X ) is countably
compact. This completes the proof of the proposition. 2
Definition 5.25 Let X be a topological space. It is said to have the

∞
Bolzano-Weierstrass property if ∀ ( xn )n=1 ⊆ X , there exists a cluster point
x ∈ X of the sequence.
Proposition 5.26 A topological space X is countably compact if, and only

if, it has the Bolzano-Weierstrass property.
Proof “If” Suppose X is not countably compact. Then, there exists

∞
an open covering ( On )n=1 ⊆ O of X which does not have any finite sub-
Sn Tn f
covering. ∀n ∈ IN, ∃xn ∈ ^
∞
Oi =
i=1 Oi . Then, ( xn )
i=1 ⊆ X . By the
n=1
Bolzano-Weierstrass property, ∃x0 ∈ X such that x0 is a cluster point of
∞ ∞ ∞
( xn )n=1 . By Proposition 3.3, x0 ∈ ( xn )n=1 . ∀n ∈ IN, since x0 ∈ ( xi )i=n ,
∞ T n T T
( xi )i=n ⊆ i=1 O fi , and n O f n f
T∞ f i=1 i is closed, then x0 ∈ i=1 Oi . Then,
∞
x0 ∈ n=1 Oi , which contradicts with the fact that ( On )n=1 is an open
covering of X . Therefore, X is countably compact.
“Only if” Fix any sequence( xn)∞ ∞
n=1 ⊆ X . Let Bn := ( xi )i=n , ∀n ∈ IN.
T f
Suppose ∞ B = ∅. Then, B
n=1 n n form a countable open covering of
n∈IN
SN f
X . By the countable compactness of X , ∃N ∈ IN such that n=1 B n = X.
TN
Hence, we have n=1 Bn = ∅. This contradicts with the fact that xN +1 ∈
TN T∞ T∞
n=1 Bn . Therefore, n=1 Bn 6= ∅. Let x0 ∈ n=1 Bn ⊆ X . ∀O ∈ O with
x0 ∈ O, ∀n ∈ IN, x0 ∈ Bn implies that O ∩ Bn 6= ∅ by Proposition 3.3.
Then, ∃m ∈ IN with m ≥ n such that xm ∈ O. This shows that x0 is a
cluster point of ( xn )∞
n=1 . Hence, X has the Bolzano-Weierstrass property.
Definition 5.27 A topological space X is said to be sequentially compact

∞ ∞
if ∀ ( xn )n=1 ⊆ X , there exists a subsequence ( xni )i=1 that converges to
some x0 ∈ X .
Proposition 5.28 Let X be a topological space. Then, the following state-

ments hold.
(i) If it is sequentially compact, then X is countably compact.
(ii) If it is first countable and countably compact, then X is sequentially
compact.
Proof (i) X is sequentially compact implies that X has the Bolzano-

Weierstrass property since the limit of a convergent subsequence is a clus-
ter point for the subsequence and hence a cluster point for the original
sequence. Then, X is countably compact by Proposition 5.26.
∞
(ii) Let X be countably compact and first countable. Fix any ( xn )n=1 ⊆
X . By Proposition 5.26, X has the Bolzano-Weierstrass property. Then,
∃x0 ∈ X such that x0 is a cluster point of ( xn )∞ ∞
n=1 . Let Bx0 := ( Bn )n=1 ⊆
O be a countable basis at x0 . (In case Bx0 is finite, we will pad X as
5.3. REAL-VALUED FUNCTIONS AND COMPACTNESS 103
additional basis sets to make it countably infinite.) Let n0 = 0. ∀i ∈ IN,

T
∃ni ∈ IN with ni > ni−1 such that xni ∈ ij=1 Bj ∈ O. Clearly, ( xni )∞ i=1
∞
is a subsequence of ( xn )n=1 and admits a limit point x0 . Hence, X is
sequentially compact.
The relationships between different compactness concepts are: compact-
ness implies countable compactness, which is equivalent to the Bolzano-
Weierstrass property; sequential compactness implies countable compact-
ness.
5.3 Real-Valued Functions and Compactness

Proposition 5.29 Let X be a countably compact topological space and f :
X → IR be continuous. Then, f is bounded, that is, ∃a, b ∈ IR such that
a ≤ f (x) ≤ b, ∀x ∈ X . Furthermore, if X 6= ∅, ∃xm , xM ∈ X such that
f (xm ) = minx̄∈X f (x̄) ≤ f (x) ≤ maxx̄∈X f (x̄) = f (xM ), ∀x ∈ X , i. e., f
achieves its minimum and maximum on X .
S S
Proof Note that IR = n∈IN (−n, n). Then, X = n∈IN f inv((−n, n)),
by Proposition 2.5. By the continuity of f , f inv((−n, n)) is open, ∀n ∈
N. By the countable compactness of X , ∃N ∈ IN such that X =
IS
N
n=1 f inv((−n, n)) = f inv((−N, N )). By Proposition 2.5, f (X ) ⊆ (−N, N ).
Hence, f is bounded.
Let X 6= ∅. Define M := supx∈X f (x) and m := inf x∈X f (x). Then,
−N ≤ m ≤ M ≤ N . ∀n ∈ IN, ∃xn ∈ X such that M − 1/n < f (xn ) ≤ M .
∞
We thus obtain a sequence ( xn )n=1 ⊆ X . By Proposition 5.26 and the
countable compactness of X , ( xn )∞ n=1 admits a cluster point xM ∈ X . By
∞
Proposition 3.66, the sequence ( f (xn ) )n=1 admits a cluster point f (xM ).
By construction, limn∈IN f (xn ) = M , which is the only cluster point of
∞
( f (xn ) )n=1 . Then, we have f (xM ) = M . By an argument that is similar
to the above, ∃xm ∈ X such that f (xm ) = m. This completes the proof of
the proposition. 2
Proposition 5.30 Let X be a countably compact topological space and f :

X → IR be upper semicontinuous. Then, f is bounded from above, that is,
∃b ∈ IR such that f (x) ≤ b, ∀x ∈ X . Furthermore, if X 6= ∅, then ∃xM ∈ X
such that f (x) ≤ maxx̄∈X f (x̄) = f (xM ), ∀x ∈ X , i. e., f achieves its
maximum on X .
S S
Proof Note that IR = n∈IN (−∞, n). Then, X = n∈IN f inv((−∞, n)),
by Proposition 2.5. By the upper semicontinuity of f , f inv((−∞, n)) is
open, ∀n ∈SIN. By the countable compactness of X , ∃N ∈ IN such
that X = N n=1 f inv((−∞, n)) = f inv((−∞, N )). By Proposition 2.5,
f (X ) ⊆ (−∞, N ).
Let X 6= ∅. Define M := supx∈X f (x). Then, −∞ < M ≤ N .

∀n ∈ IN, ∃xn ∈ X such that M − 1/n < f (xn ) ≤ M . We thus obtain
a sequence ( xn )∞n=1 ⊆ X . By Proposition 5.26 and the countable compact-
∞
ness of X , ( xn )n=1 admits a cluster point xM ∈ X . By Proposition 3.66,
∞
the sequence ( f (xn ) )n=1 admits a cluster point f (xM ). By construction,
∞
limn∈IN f (xn ) = M , which is the only cluster point of ( f (xn ) )n=1 . Then,
we have f (xM ) = M . This completes the proof of the proposition. 2
Lemma 5.31 (Dini’s Lemma) Let X := (X, O) be a countably compact

∞
topological space and ( fn )n=1 be a sequence of upper semicontinuous real-
∞
valued functions on X . Assume that ∀x ∈ X , ( fn (x) )n=1 ⊆ IR is nonin-
∞
creasing and converges to 0. Then, ( fn )n=1 converges to the zero function
uniformly on X .
Proof ∀ǫ ∈ (0, ∞) ⊂ IR, let On := { x ∈ X | fn (x) < ǫ }, ∀n ∈ IN. By

the upper semicontinuity
S of fn , On ∈ O, ∀n ∈ IN. Since limn∈IN fn (x) = 0,
∀x ∈ X , then X = n∈IN On . By the countable compactness of X , ∃N ∈ IN
SN
such that X = n=1 On . ∀n ∈ IN with n ≥ N , ∀x ∈ X , ∃i ∈ {1, . . . , N }
such that x ∈ Oi , then 0 ≤ fn (x) ≤ fi (x) < ǫ. Hence, the result is
established. This completes the proof of the lemma. 2
∞
Proposition 5.32 Let X := (X, O) be a topological space and ( fn )n=1 be
a sequence of upper semicontinuous real-valued functions on X . Assume
∞
that ∀x ∈ X , ( fn (x) )n=1 ⊆ IR is nonincreasing and converges to f0 (x).
Then,
(i) f0 is upper semicontinuous;
(ii) if, in addition, X is countably compact and f0 is lower semicontinu-

ous, then, ( fn )∞
n=1 converges to f0 uniformly on X .
Proof (i) ∀a ∈ IR, since, ∀x ∈ X , f0 (x) < a ⇔ fn (x) < a for all
n ≥ m, for some m S∈ IN; and fiinv((−∞, a)) ⊆ fj inv((−∞, a)), ∀i ≤ j, then
f0inv((−∞, a)) = n∈IN fninv((−∞, a)). By the upper semicontinuity of fn ,
fninv((−∞, a)) ∈ O, ∀n ∈ IN. Hence, f0inv((−∞, a)) ∈ O. Therefore, f0 is
upper semicontinuous.
(ii) f0 is continuous by Proposition 3.16. Then, by Proposition 3.16,
∞
( fn − f0 )n=1 is a sequence of upper semicontinuous functions, which is
nonincreasing and coverges to 0 pointwise. By Dini’s Lemma, ( fn − f0 )∞ n=1
∞
converges to the zero function uniformly. Then, ( fn )n=1 coverges to f0
uniformly.
∞
Proposition 5.33 Let X be a topological space and ( fn )n=1 be a sequence
of upper semicontinuous real-valued functions on X that converges uni-
formly to f : X → IR. Then, f is upper semicontinuous.
5.4. COMPACTNESS IN METRIC SPACES 105
Proof ∀x0 ∈ X . ∀ǫ ∈ (0, ∞) ⊂ IR, ∃N ∈ IN, we have | fN (x)−f (x) | <

ǫ/3, ∀x ∈ X . Since fN is upper semicontinuous, then, by Proposition 3.15,
∃U ∈ O with x0 ∈ U , ∀x ∈ U , we have fN (x) < fN (x0 )) + ǫ/3. Then,
∀x ∈ U , we have
f (x) − f (x0 ) = f (x) − fN (x) + fN (x) − fN (x0 ) + fN (x0 ) − f (x0 ) < ǫ
Therefore, f is upper semicontinuous at x0 . By Proposition 3.15, f is upper

semicontinuous.
5.4 Compactness in Metric Spaces

Lemma 5.34 A sequentially compact metric space is totally bounded.
Proof Let X be a sequentially compact metric space. Suppose X is not

totally bounded. Then, ∃ǫ0 ∈ (0, ∞) ⊂ IR, X can not be covered by finitely
S ǫ0 . Clearly,X 6= ∅. Fix an x1 ∈ X . ∀n ∈ IN
many open balls with radius
n−1 ∞
with n ≥ 2, ∃xn ∈ X \ i=1 B ( xi , ǫ0 ) . The sequence ( xn )n=1 is such
that ρ(xn , xm ) ≥ ǫ0 , ∀n, m ∈ IN with n 6= m. Clearly, this sequence does
not have any convergent subsequence. This contradicts with the assumption
that X is sequentially compact. Therefore, X must be totally bounded.
Definition 5.35 Let X be a sequentially compact metric space and

( Oα )α∈Λ be an open covering of X , where Λ is an index set. The Lebesgue
number of ( Oα )α∈Λ is defined by
ǫ := sup { δ ∈ (0, ∞) ⊂ IR | ∀x ∈ X , ∃x̄ ∈ X ∋· ρ(x, x̄) ≥ δ

and B ( x, δ ) ⊆ Oα for some α ∈ Λ }
Lemma 5.36 Let X be a sequentially compact metric space containing at

least two distinct points and ( Oα )α∈Λ be an open covering of X , where Λ
is an index set. Then, the Lebesgue number ǫ of ( Oα )α∈Λ is positive and
belongs to IR.
Proof Define a function φ : X → IR by, ∀x ∈ X ,
φ(x) = sup { c ∈ (0, ∞) ⊂ IR | B ( x, c ) ⊆ Oα for some α ∈ Λ and

∃x̄ ∈ X ∋· ρ(x̄, x) ≥ c }
By Proposition 5.34, X is totally bounded. Then, ∀x ∈ X , ∃cx ∈ (0, ∞) ⊂

IR, such that 6 ∃x̄ ∈ X with ρ(x̄, x) ≥ cx . Then, φ(x) ≤ cx . Since ( Oα )α∈Λ
is an open cover of X , ∃c1 ∈ (0, ∞) ⊂ IR such that B ( x, c1 ) ⊆ Oα for
some α ∈ Λ. Since X contains at least two distinct points, then ∃x̄ ∈ X
with x̄ 6= x such that ρ(x̄, x) =: c2 > 0. Then, c := min{c1 , c2 } > 0 and

φ(x) ≥ c. Hence, 0 < φ(x) < +∞, ∀x ∈ X .
Next, we will show that φ is continuous. ∀x, y ∈ X , we will distinguish
two exhaustive and mutually exclusive cases: Case 1: φ(x) − ρ(x, y) ≤ 0;
Case 2: φ(x) − ρ(x, y) =: l > 0. Case 1: φ(x) − ρ(x, y) ≤ 0. Then, we have
φ(y) > 0 ≥ φ(x)−ρ(x, y). Case 2: φ(x)−ρ(x, y) =: l > 0. Then, ∀δ ∈ (0, l),
∃α ∈ Λ and ∃x̄ ∈ X such that B ( x, φ(x ) − δ) ⊆ Oα and ρ(x, x̄) ≥ φ(x) − δ.
Then, ρ(x̄, y) ≥ ρ(x, x̄)−ρ(x, y) ≥ φ(x)−δ−ρ(x, y) = l−δ. ∀ȳ ∈ B ( y, l−δ ),
we have ρ(x, ȳ) ≤ ρ(x, y) + ρ(y, ȳ) < l − δ + ρ(x, y) = φ(x) − δ. Then, ȳ ∈
B ( x, φ(x ) − δ) ⊆ Oα . This implies that B ( y, l − δ ) ⊆ Oα . Hence, we have
φ(y) ≥ l − δ. By the arbitrariness of δ, we have φ(y) ≥ l = φ(x) − ρ(x, y).
Hence, in both cases, we have arrived at φ(y) ≥ φ(x) − ρ(x, y). Then,
φ(x) − φ(y) ≤ ρ(x, y). This further implies that φ(y) − φ(x) ≤ ρ(y, x)
Hence, we have | φ(x) − φ(y) | ≤ ρ(x, y). Hence, φ is continuous.
By the sequential compactness of X , X 6= ∅, and Propositions 5.28 and
5.29, ∃xm ∈ X such that φ(xm ) = minx∈X φ(x) ∈ (0, ∞) ⊂ IR. Then, the
Lebesgue number ǫ = φ(xm ) is positive and belongs to IR. This completes
the proof of the lemma. 2
Theorem 5.37 (Borel-Lebesgue Theorem) Let X be a metric space.
Then, the following are equivalent.
(i) X is compact.
(ii) X is countably compact.
(iii) X is sequentially compact.
(iv) X has the Bolzano-Weierstrass property.
Proof (i) ⇒ (ii). This follows directly from Definitions 5.1 and 5.21.
(ii) ⇒ (iii). Clearly, X is first countable. By Proposition 5.28, X is
(iii) ⇒ (i). We will distinguish three exhaustive and mutually exclusive
cases: Case 1: X = ∅; Case 2: X is a singleton set; Case 3: X contains
at least two distinct points. Case 1: X = ∅. Clearly, X is compact. Case
2: X is a singleton set. Clearly, X is compact. Case 3: X contains at
least two distinct points. Fix any open covering ( Oα )α∈Λ ⊆ O of X . Let
ǫ be the Lebesgue number of the covering, which is a positive real number
by Lemma 5.36. By Proposition 5.34, X is S totally bounded. Then, there
exists a finite set XN ⊆ X such that X = x∈XNSB ( x, ǫ/2 ). ∀x ∈ XN ,
B ( x, ǫ/2 ) ⊆ Oαx for some αx ∈ Λ. Hence, X = x∈XN Oαx , which is a
finite subcovering. Therefore, X is compact.
(ii) ⇔ (iv). This is proved in Proposition 5.26.
Proposition 5.38 A metric space X is compact if, and only if, it is com-
plete and totally bounded.
5.5. THE ASCOLI-ARZELÁ THEOREM 107
∞
Proof “Only if” Fix any Cauchy sequence ( xn )n=1 ⊆ X . By the
compactness of X and Borel-Lebesgue Theorem, there exists a subsequence
( xni )∞
i=1 that converges to x0 ∈ X . Then, it is straightforward to show that
limn∈IN xn = x0 . (Here, the notation limn∈IN xn makes sense since metric
spaces are Hausdorff.) Hence, X is complete. By Borel-Lebesgue Theorem
and Proposition 5.34, X is totally bounded.
∞
“If” Fix any sequence
( xn )n=1 ⊆ X . We will construct subsequences
∞
h1i
as following. Take xn = ( xn )∞
n=1 . ∀m ∈ IN with m ≥ 2, since
n=1
X is covered
by finite many balls
∞ of radius 1/m, we may find a subse-
hmi
∞
hm−1i hmi
∞
quence xn of xn such that xn ⊆ B xhmi , 1/m
n=1 n=1 n=1
hmi
for
some ∞ x ∈ X . Now, consider the sequence of diagonal elements
hni ∞
xn ⊆ X , which is a subsequence of the original sequence ( xn )n=1 .
n=1
Clearly, this sequence is Cauchy by construction. By the completeness of
hni
X , limn∈IN xn = x0 ∈ X . Hence, we have shown that X is sequentially
compact. By Borel-Lebesgue Theorem, X is compact.
Proposition 5.39 Let X := (X, ρ) be a compact metric space, Y := (Y, σ)

be a metric space, and f : X → Y be continuous. Then, f is uniformly
continuous.
Proof ∀ǫ ∈ (0, ∞) ⊂ IR, ∀x ∈ X , by the continuity of f , ∃δx ∈

(0,
S ∞) ⊂ I
R such that σ(f (x), f (x̄)) < ǫ/2, ∀x̄ ∈ B ( x, δx ). Then, X =
x∈X B ( x, δ x /2 ). S the compactness of X , there exists a finite set XN ⊆
By
X such that X = x∈XN B ( x, δx /2 ). Let δ = min{inf x∈XN δx /2, 1} ∈
(0, ∞) ⊂ IR. ∀x1 , x2 ∈ X with ρ(x1 , x2 ) < δ, ∃x0 ∈ XN such that
x1 ∈ B ( x0 , δx0 /2 ). Then, x2 ∈ B ( x0 , δx0 ). This implies that x1 , x2 ∈
B ( x0 , δx0 ). Then, σ(f (x1 ), f (x2 )) ≤ σ(f (x1 ), f (x0 )) + σ(f (x0 ), f (x2 )) < ǫ.
Hence, f is uniformly continuous. This completes the proof of the proposi-
tion. 2
Proposition 5.40 Let n ∈ Z+ and K ⊆ IRn . K is compact if, and only

if, K is closed and bounded.
Proof When n ∈ IN, note that IRn is a complete metric space. Then,
the result follows from Propositions 5.38 and 4.39. When n = 0, note that
IRn is a singleton set and is compact. Then, the result follows immediately.
2
5.5 The Ascoli-Arzelá Theorem

∞
Lemma 5.41 Let ( fn )n=1 be a sequence of functions of a countable set D
to a metric space Y such that ∀x ∈ D, ( fn (x) )n∈IN is compact. Then, there
∞ ∞
exists a subsequence ( fnk )k=1 such that ∀x ∈ D, the sequence ( fnk (x) )k=1
converges to some point f0 (x) ∈ Y.
Proof We will distinguish three exhaustive and mutually exclusive

cases: Case 1: D = ∅; Case 2: D 6= ∅ and is finite; Case 3: D is countably
∞
infinite. Case 1: D = ∅. Then, ( fn )n=1 is the subsequence we seek. Case
2: D 6= ∅ and is finite. Take D = {x1 , . . . , xm } for some m ∈ IN. Let
∞
h0i hk−1i
fn = ( fn )∞
n=1 . ∀k = 1, . . . , m, fn (xk ) ⊆ ( fn (xk ) )n∈IN
n=1 n∈IN
is a closed set and therefore a compact set by Proposition
∞ 5.5.
By Borel-
∞
hki hk−1i
Lebesgue Theorem, there exists a subsequence fn of fn
∞ n=1 ∞ n=1
hki hmi
such that fn (xk ) converges. Hence, the sequence fn is the
n=1 n=1
∞
subsequence we seek. Case 3: D is countably infinite. Take D = ( xm )m=1 .
∞
h0i ∞ hk−1i
Let fn = ( fn )n=1 . ∀k ∈ IN, fn (xk ) ⊆ ( fn (xk ) )n∈IN
n=1 n∈IN
is a closed set and therefore a compact set by Proposition
∞ 5.5.
By Borel-
∞
hki hk−1i
Lebesgue Theorem, there exists a subsequence fn of fn
∞ n=1 n=1
∞
hki hki
such that fn (xk ) converges. Now, the diagonal sequence fk
n=1 k=1
is the subsequence we seek. This completes the proof of the lemma. 2
Lemma 5.42 Let X := (X, O) be a compact topological space, Y := (Y, ρ)

be a metric space, F be an equicontinuous family of functions of X to Y,
and ( fn )∞
n=1 ⊆ F be such that limn∈IN fn (x) = f0 (x), ∀x ∈ X , for some
∞
f0 : X → Y. Then, f0 is continuous and ( fn )n=1 converges to f0 uniformly.
Proof ∀ǫ ∈ (0, ∞) ⊂ IR, ∀x0 ∈ X , by the equicontinuity of F , ∃Ux0 ,ǫ ∈

O with x0 ∈ Ux0 ,ǫ such that ∀x ∈ Ux0 ,ǫ , ∀f ∈ F, ρ(f (x), f (x0 )) < ǫ.
By limn∈IN fn (x0 ) = f0 (x0 ), ∃Nx0 ,ǫ ∈ IN, ∀n ∈ IN with n ≥ Nx0 ,ǫ , we
have ρ(fn (x0 ), f0 (x0 )) < ǫ.
∀x0 ∈ X , ∀ǫ ∈ (0, ∞) ⊂ IR, ∀x ∈ Ux0 ,ǫ , we have, by Propositions 4.30,
3.66, and 3.67,
ρ(f0 (x), f0 (x0 )) = lim ρ(fn (x), fn (x0 )) ≤ ǫ

n∈IN
Hence, f0 is continuous at x0 . By the arbitrariness of x0 and Proposi-

tion 3.9, f0 is continuous. S
∀ǫ ∈ (0, ∞) ⊂ IR, X ⊆ x∈X Ux,ǫ . By the compactness
S of X ,
there exists a finite set XN ⊆ X such that X ⊆ U
x∈XN x,ǫ . Let
N := max{supx∈XN Nx,ǫ , 1} ∈ IN, ∀n ∈ IN with n ≥ N , ∀x ∈ X , ∃x0 ∈ XN
such that x ∈ Ux0 ,ǫ . Then, we have
ρ(fn (x), f0 (x)) ≤ ρ(fn (x), fn (x0 ))+ρ(fn (x0 ), f0 (x0 ))+ρ(f0 (x0 ), f0 (x)) < 3ǫ
Hence, we have ( fn )∞
n=1 converges to f0 uniformly.
5.6. PRODUCT SPACES 109
Lemma 5.43 Let X := (X, O) be a topological space, Y := (Y, ρ) be a

∞
metric space, ( fn )n=1 be an equicontinuous sequence of functions of X
∞
to Y, and ( fn (x) )n=1 converge at every x ∈ D, where D ⊆ X is dense.
∞
Assume that ∀x ∈ X , ( fn (x) )n=1 ⊆ Y is complete. Then, ∃ continuous
function f0 : X → Y such that limn∈IN fn (x) = f0 (x), ∀x ∈ X .
∞
Proof ∀ǫ ∈ (0, ∞) ⊂ IR, ∀x ∈ X , since ( fn )n=1 is equicontinuous,
then ∃O ∈ O with x ∈ O such that, ∀x̄ ∈ O, ρ(fn (x), fn (x̄)) < ǫ, ∀n ∈ IN.
∞
Since D is dense, then, ∃x0 ∈ D∩O. ( fn (x0 ) )n=1 ⊆ Y is Cauchy since it
is convergent. Then, ∃N ∈ IN, ∀n, m ≥ N , we have ρ(fn (x0 ), fm (x0 )) < ǫ.
Note that
ρ(fn (x), fm (x)) ≤ ρ(fn (x), fn (x0 )) + ρ(fn (x0 ), fm (x0 ))
+ρ(fm (x0 ), fm (x)) < 3ǫ
∞ ∞
Therefore, ( fn (x) )n=1 ⊆ ( fn (x) )n=1 ⊆ Y is a Cauchy sequence, which
converges since ( fn (x) )∞
n=1 is complete. Then, we may define f0 : X → Y
by f0 (x) = limn∈IN fn (x).
By Proposition 4.30, 3.66, and 3.67, we have, ∀x̄ ∈ O,
ρ(f0 (x), f0 (x̄)) = lim ρ(fn (x), fn (x̄)) ≤ ǫ
n∈IN
Hence, f0 is continuous at x. By the arbitrariness of x and Proposition 3.9,

f0 is continuous. This completes the proof of the lemma. 2
Theorem 5.44 (Ascoli-Arzelá Theorem) Let X := (X, O) be a sepa-
rable topological space, Y := (Y, ρ) be a metric space, F be an equicon-
tinuous family of functions of X to Y, and ( fn )∞ n=1 ⊆ F be such that
( fn (x) )n∈IN ⊆ Y is compact, ∀x ∈ X . Then, there exists a subsequence
∞ ∞
( fnk )k=1 of ( fn )n=1 that converges pointwise to a continuous function
f0 : X → Y and the convergence is uniform on any compact subset of
X.
Proof Let D ⊆ X be a countable dense set. By Proposition 5.41,
∞ ∞
there exists a subsequence ( fnk )k=1 of ( fn )n=1 that converges pointwise
on D to a function f¯ : D → Y. Note that ∀x ∈ X , ( fn (x) )n∈IN ⊆ Y is
compact implies that ( fn (x) )n∈IN is complete by Proposition 5.38. Then,
by Proposition 5.43, there exists a continuous function f0 : X → Y to which
( fnk )∞ ∞
k=1 converges pointwise. By Proposition 5.42, ( fnk )k=1 converges to
f0 uniformly on compact subsets of X . This completes the proof of the
theorem. 2
5.6 Product Spaces

Lemma 5.45 Let A be a collection of subsets of a set X with the finite
intersection property. Then, there is a collection M of subsets in X such
that A ⊆ M, M has the finite intersection property, and M is maximal

with respect to this property, that is ∀C ⊆ X2 with the finite intersection
property and M ⊆ C, we have C = M.
Proof Clearly, X 6= ∅ by the fact that A has the finite intersection
property. Define M := { C ⊆ X2 | A ⊆ C and C has the finite intersection
property. } Set containment ⊆ forms a antisymmetric partial ordering on
M and A ∈ S M 6= ∅. Let N ⊆ M be any nonempty totally ordered subset.
Let B := C∈N C ⊆ X2. Fix any finite subcollection BN ⊆ B. We will
distinguish two exhaustive and mutually exclusive T cases: BN = ∅; Case
2: BN 6= ∅. Case 1: BN = ∅. Then, B̄ := B∈BN B = X 6= ∅. Case
2: BN 6= ∅. Take BN = {B1 , . . . , Bn } for some n ∈ IN. ∀Bi ∈ BN ,
∃Ci ∈ N such that Bi ∈ Ci . Since N is totally ordered by ⊆, without loss
of generality, , assume that C1 ⊆ C2 ⊆ · · · ⊆
TnCn . Then, Bi ∈ Cn , ∀Bi ∈ BN .
By the definitionTof the set M , we have i=1 Bi 6= ∅. In both cases, we
have arrived at B∈BN B 6= ∅. Hence, B has finite intersection property.
Since N 6= ∅, then A ⊆ B. Hence, B ∈ M and is an upper bound of N . By
Zorn’s Lemma, there exists a maximal element M of M . This completes
Lemma 5.46 Let B be a collection of subsets of a set X that is maximal
with respect to the finite intersection property. Then, each intersection of
finite number of sets in B is again in B, and each set that meets every set
in B is itself in B.
T
Proof Fix any finite subcollection BN ⊆ B. Let B̄ := B∈BN B.
Then, B̄ 6= ∅. Let B̄ := B ∪ {B̄} ⊇ B. It is easy to see that B̄ has the finite
intersection property. Then, by maximality of B, we have B̄ = B. Hence,
B̄ ∈ B.
Let C ⊆ X be such that C ∩ B 6= ∅, ∀B ∈ B. Let B̄ := B ∪ {C} ⊇ B.
Fix any finite subcollection M ⊆ B̄. We will distinguish two exhausitive
and mutually exclusive cases: Case 1: T C 6∈ M; Case 2: C ∈ M. Case
1: C 6∈ M. Then, M ⊆ B. Then, B∈M B 6= ∅ since B has the finite
T Case 2: C ∈ M. Then,
intersection property. T M̄ := M \ {C}T ⊆ B and is
a finite set. Then, B∈M̄ B ∈ B. T Then, B∈M B = C ∩ B∈M̄ B 6= ∅.
Hence, in both cases, we have B∈M B 6= ∅. This shows that B̄ has the
finite intersection property. By the maximality of B, we have B̄ = B. Hence,
C ∈ B.
Theorem 5.47 (Tychonoff Theorem) Let Xα := (Xα , Oα ) be a com-
pact topological space, ∀α ∈ Λ, where
Q Λ is an index set. Then, the product
topological space X := (X, O) := α∈Λ Xα is compact.
Proof (Bourbaki) We will distinguish two exhaustive and mutually
exclusive cases: Case 1: Λ = ∅; Case 2: Λ 6= ∅. Case 1: Λ = ∅. Then, X is
a singleton set, which is clearly compact.
Case 2: Λ 6= ∅. We will prove thisQcase by Proposition 5.3. Note that

the a basis for X is given by B := { α∈Λ Oα ⊆ X | Oα ∈ Oα , ∀α ∈ Λ,
and Oα = Xα for all α’s except finitely many α’s }. Fix a collection A of
closed sets in X with the finite intersection property. By Lemma 5.45, let
C be a collection of subsets of X such that A ⊆ C and C is maximal with
respect to the finite intersection property.
∀α ∈ Λ, let Cα := { Cα ⊆ Xα | ∃C ∈ C ∋·πα (C) = Cα }. ∀ finite subcol-
lection CαN ⊆ Cα , ∀Cα ∈ CαN , ∃CCα ∈ C such T that Cα = πα (CCα ). Since
C has the finite intersection property, then Cα ∈CαN CCα 6= ∅. Then, by
T T T
Proposition 2.5, Cα ∈CαN Cα = Cα ∈CαN πα (CCα ) ⊇ πα C ∈C CCα 6=
α αN
∅. Hence, Cα has finite intersection property. Let C¯α := Cα Cα ∈ Cα .
Then, C¯α has finite intersection
T property. By the compactness of Xα and
Proposition 5.3, ∃xα ∈ Cα ∈Cα Cα .
Let x ∈ X be given by πα (x) = xα , ∀α ∈ Λ. Consider a set S of the form
S = παinv(Oα ) for some α ∈ Λ and for some Oα ∈ Oα with xα ∈ Oα . Then,
S ∩ C 6= ∅, ∀C ∈ C, since xα ∈ πα (C). Hence, S ∈ C by Lemma 5.46 and
the maximality of C. ∀B ∈ B with x ∈ B, ∃n ∈ IN, ∃α1 ,T . . . , αn ∈ Λ, and
∃Oαi ∈ Oαi , i = 1, . . . , n, such that xαi ∈ Oαi and B = ni=1 παi inv(Oαi ).
Then, B ∈ C by Lemma 5.46.
∀F ∈ A, F is closed. Then, F ∩ B 6= ∅, ∀B ∈ B with x ∈ B, by the
finiteTintersection property of C. By Proposition 3.3, x ∈ F = F . Hence,
x ∈ F ∈A F 6= ∅. By Proposition 5.3, X is compact.
Proposition 5.48 Let Xα := (Xα , Oα ) be a sequentially compact topolog-

ical space, ∀α ∈ Λ, where Λ is aQcountable index set. Then, the product
topological space X := (X, O) := α∈Λ Xα is sequentially compact.

cases: Case 1: Λ = ∅; Case 2: Λ 6= ∅ and is finite; Case 3: Λ is countably
infinite. Case 1: Λ = ∅. Then, X = {∅} is a singleton set. Clearly, X is
Case 2: Λ 6= ∅ and is finite. Without loss of generality, assume
∞ that
h0i
Λ = {1, . . . , m} for some m ∈ IN. Fix a sequence xn ⊆ X.
∞ n=1
hk−1i
∀k ∈ {1, . . . , m}, πk (xn ) ⊆ Xk . By the sequential compactness
n=1 ∞ ∞
hki hk−1i
of Xk , there exists a subsequence xn of xn such that
∞ n=1 n=1
hki
πk (xn ) converges to xk ∈ Xk . Let x ∈ X be given by πk (x) = xk ,
n=1 ∞
hmi
∀k ∈ {1, . . . , m}. The sequence xn ⊆ X is a subsequence of
∞ n=1 ∞
h0i hmi
xn . Clearly, ∀k ∈ {1, . . . , m}, πk (xn ) converges to xk .
n=1 ∞ n=1
hmi
By Proposition 3.67, xn converges to x. Hence, X is sequentially
n=1
compact.
Case 3: Λ is countably
infinite.
∞ Without loss ofgenerality, assume
∞ that
h0i hk−1i
Λ = IN. Fix a sequence xn ⊆ X . ∀k ∈ IN, πk (xn ) ⊆ Xk .
n=1 n=1 ∞
hki
By the sequential compactness of Xk , there exists a subsequence xn
∞ ∞ n=1
hk−1i hki
of xn such that πk (xn ) converges to xk ∈ Xk . Let x ∈ X
n=1 n=1
be
given∞ by πk (x) = xk , ∀k ∈ IN. Now consider
the diagonal sequence
∞
hni h0i
xn ⊆ X , which is a subsequence of xn . Clearly, ∀k ∈ IN,
n=1
∞
n=1 ∞
hni hni
πk (xn ) converges to xk . By Proposition 3.67, xn converges
n=1 n=1
to x. Hence, X is sequentially compact.
5.7 Locally Compact Spaces

5.7.1 Fundamental notion
Definition 5.49 A topological space X is locally compact if ∀x ∈ X , ∃O ∈
O with x ∈ O such that O is compact.
Clearly, a compact space is locally compact.
Example 5.50 IRn is a locally compact space but not a compact space,
∀n ∈ IN. ⋄
Proposition 5.51 A topological

space X is locally compact if, and only if,
the collection Bl := O ∈ O O is compact forms a basis for O.
Proof “Only if” Let X be locally compact. ∀x ∈ X , ∃B ∈ Bl such
that x ∈ B. ∀O ∈ O, ∀x ∈ O, ∃B ∈ Bl such that x ∈ B and B is compact.
Let B1 := O ∩ B. Then, x ∈ B1 ∈ O and B1 ⊆ O. Note that B1 ⊆ B and
is closed. By Proposition 5.5, B1 is compact. Then, B1 ∈ Bl . Therefore,
Bl is a basis for O.
“If” This is straightforward.
Proposition 5.52 Let X be a locally compact topological space and K ⊆ X
be compact. Then, ∃O ∈ O, such that K ⊆ O ⊆ O and O is compact.
Proof ∀x ∈ K, by the local compactness
S of X , ∃Ox ∈ O such that x ∈
Ox ⊆ Ox and Ox is compact. Then, K ⊆ x∈K Ox . By S the compactness of
K, there exists a finite set KN ⊆ K such that K ⊆ x∈KN Ox =: O ∈ O.
S S
By Proposition 3.3, O = x∈KN Ox = x∈KN Ox , which is compact. This
completes the proof of the proposition. 2
Proposition 5.53 Let X be a locally compact Hausdorff topological space
and Bl be the basis of X defined in Proposition 5.51. ∀O ∈ O, ∀x ∈ O,
∃B ∈ Bl such that x ∈ B ⊆ B ⊆ O and B is compact.
5.7. LOCALLY COMPACT SPACES 113
Proof ∀O ∈ O, ∀x ∈ O, we will distinguish two exhaustive and

mutually exclusive cases: Case 1: O = X ; Case 2: O ⊂ X . Case 1: O = X .
The result holds by Definition 5.49. Case 2: O ⊂ X . ∀y ∈ O, e since X
h1i h2i h1i h2i
is Hausdorff, then ∃Oy , Oy ∈ O such that x ∈ Oy , y ∈ Oy , and
h1i h2i
Oy ∩ Oy = ∅. By Proposition 5.51 and Definition 3.17, ∃By ∈ Bl such
h1i gh2i gh2i gh2i
that x ∈ By ⊆ Oy . Then, By ⊆ Oy and By ⊆ Oy , since Oy is closed
in X . This implies that y 6∈ By . Note that Oe is closed in X , then Oe ∩ By is
closed in X . Since By is compact, then, by Propositions 3.5 and 5.5, O e ∩By
T
is compact. Note that y∈Oe (O e ∩By ) = ∅. By Proposition 5.12, there exists
a finite set DN ⊆ O e such that T e
y∈DN (O ∩ By ) = ∅. Clearly, DN 6= ∅ since
T T
O ⊂ X 6= ∅. Then, we have x ∈ y∈DN By ⊆ y∈DN By ⊆ O. Since
T T
y∈DN By ∈ O, then ∃B ∈ Bl such that x ∈ B ⊆ y∈DN By and B is
T
compact. Note that B ⊆ y∈DN By ⊆ O. This completes the proof of the
proposition. 2
Proposition 5.54 Let X be a locally compact Hausdorff topological space,

U ∈ O, and K ⊆ U be compact. Then, ∃V ∈ O such that K ⊆ V ⊆ V ⊆ U
and V is compact.
Proof ∀x ∈ K, by Proposition 5.53,

S ∃Vx ∈ O such that x ∈ Vx ⊆
Vx ⊆ U and Vx is compact. Then, K ⊆ x∈K Vx . By S the compactness of
K, there exists a finite set KN ⊆ K such that K ⊆ x∈KN Vx =: V ∈ O.
S
By Proposition 3.3, V = x∈KN Vx ⊆ U and is compact. This completes
Proposition 5.55 Let X be a locally compact space and F ⊆ X . Then, F

is closed if, and only if, for any closed and compact set K ⊆ X , we have
F ∩ K is closed.
Proof “Only if” Let F be closed. For any closed and compact K ⊆ X ,
F ∩ K is closed.
“If” ∀x ∈ F . By local compactness of X , ∃O ∈ O such that x ∈ O ⊆ O
and O is compact. By the assumption, O ∩F is closed. ∀U ∈ O with x ∈ U ,
we have x ∈ O ∩ U ∈ O. By Proposition 3.3, (O ∩ U ) ∩ F 6= ∅, since x ∈ F .
Then, we have U ∩ (O ∩ F ) 6= ∅. Hence, we have x ∈ O ∩ F = O ∩ F ⊆ F ,
by Proposition 3.3. Hence, F ⊆ F and F is closed.
Proposition 5.56 Let X be a locally compact Hausdorff topological space

∞
and ( On )n=1 ⊆ O be a sequence of open dense subsets in X . Then,
T ∞
n=1 On is dense. Therefore, X is second category everywhere.
Proof ∀U ∈ O with U 6= ∅, since O1 is dense, then ∃x1 ∈ U ∩ O1 .

By Proposition 5.53, ∃V1 ∈ O such that x1 ∈ V1 ⊆ V1 ⊆ U ∩ O1 and V1 is
compact. ∀n ∈ IN with n ≥ 2, since On is dense, then ∃xn ∈ Vn−1 ∩ On . By

Proposition 5.53, ∃Vn ∈ O such that xn ∈ Vn ⊆ Vn ⊆ Vn−1 ∩ On and Vn is
∞
compact. Hence, Vn n=1 is a sequence of nonempty closed sets which is
nonincreasing (that is Vn+1 ⊆ Vn , ∀n ∈ IN). Clearly, this sequence have the
finite intersection property.
T T∞ By the compactness
T∞ of V1 and Proposition
T∞ 5.3,
∞
n=1 nV 6
= ∅. Clearly, V
n=1 n ⊆ U ∩( O
n=1 n ) 6
= ∅. Therefore, n=1 On
is dense in X , by the arbitrariness of U .
By Proposition 3.38, X is second category everywhere. This completes
Proposition 5.57 Let X := (X, O) be a Hausdorff space, Y ⊆ X be a

dense subset, and OY be the subset topology on Y . Assume that Y :=
(Y, OY ) is locally compact. Then, Y is open in X .
Proof ∀y ∈ Y , by the local compactness of Y, ∃Uy ∈ OY such that

y ∈ Uy ⊆ Uyc ⊆ Y , where Uyc is the closure of Uy in Y, and Uyc is
compact. Then, Uyc is compact in X and is closed, by Proposition 5.5.
Then, Uyc ⊇ Uy . On the other hand, by Proposition 3.5, Uyc = Uy ∩Y ⊆ Uy .
Hence, we have Uyc = Uy . Since Uy ∈ OY , ∃O ∈ O such that Uy = O ∩ Y .
By Proposition 3.37, we have Uyc = O ∩ Y = O. Hence, we have y ∈ Uy ⊆
O ⊆ O = Uyc ⊆ Y . Hence, Y is open in X . This completes the proof of
the proposition. 2
Lemma 5.58 Let X := (X, O) be a locally compact Hausdorff topological

space, Y ∈ O, and OY be the subset topology on Y . Then, Y := (Y, OY ) is
locally compact.
Proof ∀x ∈ Y , by Proposition 5.53, ∃U ∈ O such that x ∈ U ⊆ U ⊆ Y

and U is compact. Then, U ∈ OY and the closure of U in Y is U , by
Proposition 3.5. Then, U is compact in Y. Hence, Y is locally compact.
Lemma 5.59 Let X := (X, O) be a locally compact Hausdorff topological

space, Y ⊆ X be closed, and OY be the subset topology on Y . Then,
Y := (Y, OY ) is locally compact.
Proof ∀x ∈ Y , by the local compactness of X , ∃U ∈ O such that

x ∈ U ⊆ U and U is compact. Then, Ū := U ∩ Y ∈ OY . Let Ūc be the
closure of Ū in Y. Then, Ūc ⊆ U ∩ Y ⊆ U . Note that Ūc is a closed set in Y
and therefore a closed set in X since Y is closed in X and Proposition 3.5.
Then, Ūc is compact by Proposition 5.5. Thus, we have x ∈ Ū ⊆ Ūc ⊆ Y
and Ūc is compact. Hence, Y is locally compact. This completes the proof
of the lemma. 2
Proposition 5.60 Let X := (X, O) be a locally compact Hausdorff topo-

logical space, Y ⊆ X, and OY be the subset topology on Y . Y := (Y, OY )
is locally compact if, and only if, Y is relatively open in Y .
Proof “Only if” Let OY be the subset topology on Y . Then, (Y , OY )

is Hausdorff. By Proposition 5.57, Y is relative open in OY .
“If” Since Y is closed in X , then, by Lemma 5.59, (Y , OY ) is locally
compact. Clearly, (Y , OY ) is Hausdorff. In (Y , OY ), by Lemma 5.58, Y is
locally compact.
5.7.2 Partition of unity

Definition 5.61 Let X be a topological space. For a function f : X → IR,
the support of f is the set supp f := { x ∈ X | f (x) 6= 0 }. A collection of
real-valued functions ( φα )α∈Γ on X is said to be subordinate to a collection
of open sets ( Oλ )λ∈Λ , if ∀α ∈ Γ, ∃λ ∈ Λ such that supp φα ⊆ Oλ .
Proposition 5.62 Let X be a locally compact Hausdorff topological space,

U ∈ O, and K ⊆ U be compact. Then, there exists a continuous function
f : X → [0, 1] ⊂ IR such that f |K = 1 and f |Ue = 0. Furthermore,
supp f ⊆ U is compact.
Proof Since the set Q := Q ∩ [0, 1] is countable, then, by recursively

applying Proposition 5.54, we may find ( Or )r∈Q ⊆ O such that the follow-
ing two properties are satisfied:
1. ∀r ∈ Q, K ⊆ Or ⊆ Or ⊆ U and Or is compact;
2. ∀r, s ∈ Q with r < s, Or ⊆ Os .
Define the real-valued function f¯ : X → IR by
f¯(x) = inf({ r ∈ Q | x ∈ Or } ∪ {1})
Clearly, f¯ : X → [0, 1], f¯(x) = 0, ∀x ∈ O0 , and f¯(x) = 1, ∀x ∈ O f1 . By 1,

¯
we have K ⊆ O0 and O1 ⊆ U . Next, we will show that f is continuous.
∀x0 ∈ X, we will show that f¯ is continuous at x0 . Let a0 = f¯(x0 ) ∈ [0, 1].
∀B ⊆ IR with B being open and a0 ∈ B, ∃a1 , a2 , a3 , a4 ∈ Q such that
a1 < a2 < a0 < a3 < a4 and (a1 , a4 ) ⊆ B. Let ā2 = max{a2 , 0} and
ā3 = min{a3 , 1}. Then, we must have a1 < ā2 ≤ a0 ≤ ā3 < a4 and
ā2 , ā3 ∈ Q. We will distinguish three exhaustive and mutually exclusive
cases: Case 1: a0 ∈ (0, 1); Case 2: a0 = 0; Case 3: a0 = 1.
Case 1: a0 ∈ (0, 1). Then, we must have a1 < ā2 < a0 < ā3 < a4 . Let
V = O g ∩ O ∈ O. ∀x ∈ V , we have x ∈ O and f¯(x) ≤ ā . Also,
ā2 ā3 ā3 3
g ¯ ¯
x ∈ Oā2 implies that f (x) ≥ ā2 . Hence, f (V ) ⊆ [ā2 , ā3 ] ⊂ (a1 , a4 ) ⊆ B.
f¯(x0 ) = a0 < ā3 implies that x0 ∈ Oā3 . f¯(x0 ) = a0 > ā2 implies that
∃ã2 ∈ (ā2 , a0 ) ∩ Q such that x0 ∈ Og g
ã2 ⊆ Oā2 . Therefore x0 ∈ V . This
shows that ∃V ∈ O with x0 ∈ V such that f¯(V ) ⊆ B.
Case 2: a0 = 0. Then, we must have a1 < 0 = a0 < ā3 < a4 . Take
V = Oā3 ∈ O. We must have x0 ∈ V . ∀x ∈ V , 0 ≤ f¯(x) ≤ ā3 . Hence,
f¯(V ) ⊆ [0, ā3 ] ⊂ (a1 , a4 ) ⊆ B. Hence, ∃V ∈ O with x0 ∈ V such that

f¯(V ) ⊆ B.
Case 3: a0 = 1. Then, we must have a1 < ā2 < a0 = 1 < a4 . Take
V =O g ∈ O. Since f¯(x ) = a = 1, then x ∈ O ^ g
1+ā2 ⊆ Oā = V . ∀x ∈ V ,
ā2 0 0 0 2
2
¯ ¯
f (x) ≥ ā2 . Hence, f (V ) ⊆ [ā2 , 1] ⊂ (a1 , a4 ) ⊆ B. Hence, ∃V ∈ O with
x0 ∈ V such that f¯(V ) ⊆ B.
Therefore, in all cases, ∃V ∈ O with x0 ∈ V such that f¯(V ) ⊆ B. Then,
f is continuous at x0 . By the arbitraryness of x0 and Proposition 3.9, f¯
¯
is continuous. Define f : X → [0, 1] ⊂ IR by f (x) = 1 − f¯(x), ∀x ∈
X . Clearly, f is continuous by Proposition 3.12, f |K = 1, and f |Ue = 0.

Note that supp f = x ∈ X f¯(x) < 1 ⊆ O1 ⊆ U and is compact by
Proposition 5.5. This completes the proof of the proposition. 2
Theorem 5.63 (Partition of Unity) Let X be a locally compact Haus-

dorff topological space, K ⊆ X be compact, and ( Oλ )λ∈Λ ⊆ O be an open
covering of K, where Λ is an index set. Let F be a collection of continuous
real-valued functions on X such that
(i) the constantly zero function is in F ;
(ii) ∀f, g ∈ F, f + g ∈ F;
(iii) ∀f, g ∈ F with supp f ⊆ M := { x ∈ X | g(x) 6= 0 }, define f /g :

X → IR by
(
f (x)/g(x) ∀x ∈ supp f
(f /g)(x) =
0 ^f
∀x ∈ supp
then f /g ∈ F;
(iv) ∀O ∈ O, ∀x0 ∈ O, ∃f ∈ F such that f (x0 ) = 1, f |Oe = 0, and

f : X → [0, 1].
Then, there exists a finite collection Φ ⊆ F of continuous nonnegative

real-valued
P functionsPon X , which is subordinate to ( Oλ )λ∈Λ , such that

φ∈Φ φ = 1, φ∈Φ φ(x) ∈ [0, 1] ⊂ IR, ∀x ∈ X , and supp φ is com-
K
pact, ∀φ ∈ Φ.
Remark 5.64 Note that in (iii) above f /g is always continuous since

(f /g)|supp ^
^f = 0 is continuous, (f /g)|M is continuous, supp f and M are
^f ∪ M = X , and Theorem 3.11 implies the result.
open, supp ⋄
S
Proof Let O := λ∈Λ Oλ ⊇ K. By Proposition 5.54, there exists
U ∈ O such that K ⊆ U ⊆ U S ⊆ O and U is compact. ∀λ ∈ Λ, let
Uλ := U ∩ Oλ ∈ O. Then, K ⊆ λ∈Λ Uλ = U .
∀x0 ∈ K, ∃λ0 ∈ Λ such that x0 ∈ Uλ0 . By Proposition 5.53, ∃Ūλ0 ∈ O

such that x0 ∈ Ūλ0 ⊆ Ūλ0 ⊆ Uλ0 and Ūλ0 is compact. By (iv), there exists
a continuous function fx0 : X → [0, 1] in F such that fx0 (x0 ) = 1 and
fx0 |Ūg = 0. Let Vx0 := { x ∈ X | fx0 (x) > 0 }. Then, x0 ∈ Vx0 ∈ O since
λ0
fx0 is continuous. Note that Vx0 ⊆ Ūλ0 , which implies that supp fx0 =
Vx0 ⊆ Ūλ0 ⊆ Uλ0 ⊆ Oλ0 , which is compact by Proposition 5.5. Hence, fx0
has compact support.
∀x0 ∈ U \ K, K e ∈ O, by Proposition 5.5. By (iv), there exists a
continuous function gx0 : X → [0, 1] in F such that gx0 (x0 ) = 1 and
gx0 |K = 0. Let Wx0 := { x ∈ X | gx0 (x) > 0 }. Then, x0 ∈ Wx0 ∈ O

Clearly, Wx0 ⊆ K.e Note that U ⊆ S
S gx0 is continuous.
since x∈K Vx ∪
x∈U\K Wx . By the compactness of U, there exist finite sets KN ⊆ K

S S
and UN ⊆ U \ K such that S U ⊆ x∈KN Vx ∪ P x∈UN Wx . By the
construction
P of Wx ’s, K ⊆ x∈KN Vx . Let f := x∈KN fx ∈ F and
g := x∈UN gx ∈ F (here f, g ∈ F by (i) and (ii)). Then, f is nonnegative,
f (x) > 0, ∀x ∈ K, g is nonnegative, f (x) + g(x) > 0, ∀x ∈ U .
Define Φ := { φ : X → [0, 1] | φ = fx /(f + g), x ∈ KN }, which is a
finite set. Note that ∀x ∈ KN , supp fx ⊆ Uλ0 ⊆ U ⊆ U ⊆ { x ∈ X |
(f + g)(x) 6= 0 }, for some λ0 ∈ Λ. Then, fx /(f + g) ∈ F. Hence, Φ ⊆ F.
∀φ ∈ Φ, ∃x ∈ KN such that φ = fx /(f + g). Then, φ is continuous by the
fact that φ ∈ F. supp φ = supp fx is compact and supp φ ⊆ Oλ , for some
λ ∈ Λ. Hence, Φ is subordinate to ( Oλ )λ∈Λ . Clearly, φ is nonnegative,
∀φ ∈ Φ. ∀x ∈ K, we have
X f (x) f (x)
φ(x) = = =1
f (x) + g(x) f (x)
φ∈Φ
∀x ∈ X , we have
X
0≤ φ(x) = (f /(f + g))(x) ≤ 1
φ∈Φ

Corollary 5.65 Let X be a locally compact Hausdorff topological space,
K ⊆ X be compact, and ( Oλ )λ∈Λ ⊆ O be an open covering of K, where
Λ is an index set. Then, there exists a finite collection Φ of continuous
nonnegative
Preal-valued
functions on X , which is subordinate to ( Oλ )λ∈Λ ,
P
such that φ∈Φ φ = 1, φ∈Φ φ(x) ∈ [0, 1] ⊂ IR, ∀x ∈ X , and supp φ
K
is compact, ∀φ ∈ Φ.
Proof Let F be the collection of continuous real-valued functions
on X . Clearly, F satisfies (i) – (iii) in Theorem 5.63. Note that {x0 } is
compact, by Proposition 5.62, (iv) of Theorem 5.63 is also satisfied by F .
Then, the result follows. 2
5.7.3 The Alexandroff one-point compactification

Theorem 5.66 (Alexandroff One-Point Compactification) Let X
:= (X, O) be a locally compact Hausdorff topological space. The Alexan-
droff one-point compactification of X is the set Xc := X ∪ {ω} with
the topology Oc := { Oc ⊆ Xc | Oc ∈ O or Xc \ Oc is compact in X }.
Then, Xc := (Xc , Oc ) is a compact Hausdorff space and the identity map
id : X → Xc \ {ω} is a homeomorphism. The element ω is called the point
at infinity in Xc .
Proof We first show that Oc is a topology on Xc . (i) ∅ ∈ O, then

∅ ∈ Oc ; Xc \ Xc = ∅ is compact in X , then Xc ∈ Oc . (ii) ∀Oc1 , Oc2 ∈ Oc ,
we will distinguish four exhaustive and mutually exclusive cases: Case 1:
Oc1 , Oc2 ∈ O; Case 2: Xc \ Oc1 and Xc \ Oc2 are compact in X ; Case 3:
Xc \ Oc1 is compact in X and Oc2 ∈ O; Case 4: Oc1 ∈ O and Xc \ Oc2
is compact in X . Case 1: Oc1 , Oc2 ∈ O. Then, Oc1 ∩ Oc2 ∈ O and hence
Oc1 ∩ Oc2 ∈ Oc . Case 2: Xc \ Oc1 and Xc \ Oc2 are compact in X . Then,
Xc \ (Oc1 ∩ Oc2 ) = (Xc \ Oc1 ) ∪ (Xc \ Oc2 ), which is compact in X . This
implies that Oc1 ∩ Oc2 ∈ Oc . Case 3: Xc \ Oc1 is compact in X and
Oc2 ∈ O. Let Ōc1 := Oc1 \ {ω}, then Ōc1 = X \ (Xc \ Oc1 ). Since Xc \ Oc1
is compact in X and X is Hausdorff, then, by Proposition 5.5, Xc \ Oc1 is
closed in X . Then, Ōc1 ∈ O. Note that Oc1 ∩ Oc2 = Ōc1 ∩ Oc2 ∈ O. Then,
Oc1 ∩ Oc2 ∈ Oc . Case 4: Oc1 ∈ O and Xc \ Oc2 is compact in X . By an
argument that is similar to Case 3, we have Oc1 ∩ Oc2 ∈ Oc . Hence, in all
four cases, we have Oc1 ∩ Oc2 ∈ Oc .
(iii) ∀ ( Ocλ )λ∈Λ ⊆ Oc , where Λ is an index set, we will distinguish two
exhaustive and mutually exclusive cases: Case A: ( Ocλ )λ∈ΛS⊆ O; Case B:
∃λ0 ∈ Λ such S that ω ∈ Ocλ0 . Case A: ( Ocλ )λ∈Λ ⊆ O. Then, λ∈Λ Ocλ ∈ O
and hence λ∈Λ Ocλ ∈ Oc . Case B: ∃λ0 ∈ Λ such that ω ∈ Ocλ0 . Then,
Xc \ Ocλ0 is compact in X . We may partition Λ into two disjoint set Λ1
and Λ2 such that Λ = Λ1 ∪ Λ2 , Λ1 ∩ Λ2 = ∅, ∀λ ∈ Λ1 , Ocλ ∈ O, ∀λ ∈ Λ2 ,
Xc \ Ocλ is compact in X . Note that
[ \ \
Xc \ Ocλ = (Xc \ Ocλ ) ∩ (Xc \ Ocλ )
λ∈Λ λ∈Λ1 λ∈Λ2
\ \
= (X \ Ocλ ) ∩ (Xc \ Ocλ ) ∩ (Xc \ Ocλ0 )
λ∈Λ1 λ∈Λ2
∀λ ∈ Λ1 , X \ Ocλ is a closed set in X . ∀λ ∈ Λ2 , Xc \ Ocλ is compact

S in X
and therefore closed in X by Proposition 5.5. Hence, Xc \ λ∈Λ Ocλ is
a closedSsubset of Xc \ Ocλ0 and hence compact in X by SProposition 5.5.
Then, λ∈Λ Ocλ ∈ Oc . Hence, in both cases, we have λ∈Λ Ocλ ∈ Oc .
Summarizing the above, Oc is a topology on Xc .
Next, we show that Xc is compact. Fix an open covering ( Ocλ )λ∈Λ ⊆ Oc
of Xc . We may partition Λ into two disjoint set Λ1 and Λ2 such that
Λ = Λ1 ∪ Λ2 , Λ1 ∩ Λ2 = ∅, ∀λ ∈ Λ1 , Ocλ ∈ O, ∀λ ∈ Λ2 , Xc \ Ocλ is compact
in X . Since ω ∈ Xc , then ∃λ0 ∈ Λ2 such that ω ∈ Ocλ0 . Then, Xc \ Ocλ0 is

compact in X . ∀λ ∈ Λ2 , let Ōcλ := Ocλ \ {ω}, then Ōcλ = X \ (Xc \ Ocλ ).
By Proposition 5.5 and the compactness of Xc \ Ocλ , Ōcλ ∈ O. Note that
[ [
Xc = Ocλ ∪ Ocλ ∪ Ocλ0 = Ocλ0 ∪ (Xc \ Ocλ0 )
λ∈Λ1 λ∈Λ2
S S
Then, Xc \ Ocλ0 ⊆ λ∈Λ1 Ocλ ∪ λ∈Λ2 Ōcλ . By the compactness
of Xc \ Ocλ0 , Sthere exist finiteSsets ΛN 1 ⊆ Λ1 and ΛN 2 ⊆S Λ2 such that

Xc \ Ocλ0 ⊆ λ∈Λ Ocλ ∪ λ∈Λ Ōcλ . Then, Xc = λ∈Λ Ocλ ∪
S N 1 N 2 N 1
λ∈ΛN 2 Ocλ ∪ Ocλ0 . Hence, Xc is compact.

Next, we show that Xc is Hausdorff. ∀x1 , x2 ∈ Xc with x1 6= x2 . We will
distinguish two exhaustive and mutually exclusive cases: Case 1: x1 , x2 ∈
X ; Case 2: x1 = ω or x2 = ω. Case 1: x1 , x2 ∈ X . Since X is Hausdorff,
then ∃O1 , O2 ∈ O such that x1 ∈ O1 , x2 ∈ O2 , and O1 ∩ O2 = ∅. Clearly,
O1 , O2 ∈ Oc . Case 2: x1 = ω or x2 = ω. Without loss of generality,
assume x2 = ω. Then, x1 ∈ X . By local compactness of X , ∃O1 ∈ O
such that x1 ∈ O1 ⊆ O1 ⊆ X and O1 is compact. Then, O1 ∈ Oc and
O2 := Xc \ O1 ∈ Oc . Clearly, x2 ∈ O2 and O1 ∩ O2 = ∅. Hence, in both
cases, we have obtained O1 , O2 ∈ Oc such that x1 ∈ O1 , x2 ∈ O2 , and
O1 ∩ O2 = ∅. Hence, Xc is Hausdorff.
Finally, we show that id : X → Xc \ {ω} is a homeomorphism. Clearly,
id is bijective. ∀Oc ∈ Oc , we either have Oc ∈ O, which implies that
Oc ∩ (Xc \ {ω}) = Oc ∈ O; or we have Xc \ Oc is compact, which implies
that Ōc := Oc \ {ω} = X \ (Xc \ Oc ) ∈ O, by Proposition 5.5, and hence
Oc ∩ (Xc \ {ω}) = Ōc ∈ O. Hence, the subset topology Oc̄ on Xc \ {ω}
with respect to Xc is contained in O. It is easy to see that O ⊆ Oc̄ . Then,
O = Oc̄ . Hence, id : X → Xc \ {ω} is a homeomorphism.
5.7.4 Proper functions

Definition 5.67 Let X and Y be topological spaces and f : X → Y be
continuous. f is said to be proper if ∀ compact set K ⊆ Y, we have
f inv(K) ⊆ X is compact. f is said to be countably proper if ∀ compact
set K ⊆ Y, we have f inv(K) ⊆ X is countably compact.
Proposition 5.68 Let X := (X, OX ) and Y := (Y, OY ) be locally com-

pact Hausdorff topological spaces and f : X → Y be continuous. Let
Xc := (Xc , OXc ) and Yc := (Yc , OY c ) be the Alexandroff one-point compact-
ifications of X and Y, respectively, where Xc = X ∪{ωx } and Yc = Y ∪{ωy }.
Define a function fc : Xc → Yc by fc (x) = f (x), ∀x ∈ X, and fc (ωx ) = ωy .
Then, f is proper if, and only if, fc is continuous.
Proof “Only if” Let f be proper. ∀OY c ∈ OY c , we will distinguish

two exhaustive and mutually exclusive cases: Case 1: OY c ∈ OY ; Case
2: Yc \ OY c is compact in Y. Case 1: OY c ∈ OY . Then, fcinv(OY c ) =

f inv(OY c ) ∈ OX . This implies that fcinv(OY c ) ∈ OXc . Case 2: Yc \ OY c is
compact in Y. Then, fcinv(Yc \ OY c ) = f inv(Yc \ OY c ) is compact in X by
the properness of f . Then, by Proposition 2.5, fcinv(OY c ) = Xc \ fcinv(Yc \
OY c ) ∈ OXc . Hence, in both cases, we have fcinv(OY c ) ∈ OXc . Hence, fc
is continuous.
“If” Let fc be continuous. Fix a compact set K ⊆ Y. Then, ωy ∈
Yc \ K ∈ OY c . By the continuity of fc , we have ωx ∈ fcinv(Yc \ K) ∈ OXc .
This implies that Xc \ fcinv(Yc \ K) is compact in X . By Proposition 2.5,
f inv(K) = fcinv(K) = Xc \ fcinv(Yc \ K). Hence, f is proper.
Proposition 5.69 Let X be a topological space, Y be a metric space, F ⊆

X be closed, and f : X → Y be continuous and proper. Then, f (F ) ⊆ Y is
closed.
∞
Proof ∀y ∈ f (F ), by Proposition 4.13, ∃ ( yn )n=1 ⊆ f (F ) such that
limn∈IN yn = y. Then, ∀n ∈ IN, ∃xn ∈ F such that f (xn ) = yn . Let
∞
K = {y} ∪ ( yn )n=1 . Then, K is compact. By the properness of f , f inv(K)
is compact. By Propositions 3.5 and 5.5, F ∩f inv(K) is compact. Note that
∞ ∞
( xn )n=1 ⊆ F ∩f inv(K). Then, by Proposition 5.4, ( xn )n=1 admits a cluster
point x ∈ F ∩f inv(K). By the continuity of f and Propositions 3.66, we have
the sequence ( f (xn ) )∞ ∞
n=1 = ( yn )n=1 admits a cluster point f (x). Since Y
is Hausdorff and limn∈IN yn = y, then y = f (x) ∈ f (F ). Therefore, f (F ) ⊆
f (F ) and f (F ) is closed. This completes the proof of the proposition. 2
In the above proposition, the assumption on Y may be relaxed to first
countable Hausdorff space.
Proposition 5.70 Let X be a topological space, Y be a locally compact

Hausdorff topological space, F ⊆ X be closed, and f : X → Y be continuous
and proper. Then, f (F ) ⊆ Y is closed.
Proof ∀y ∈ f (F ), by the local compactness of Y, ∃O ∈ OY such

that y ∈ O and O is compact in Y. Then, y ∈ f (F ) ∩ O. ∀U ∈ OY
with y ∈ U , by Proposition 3.3, we have ∅ 6= (U ∩ O) ∩ f (F ) = U ∩ (O ∩
f (F )). Hence, y ∈ f (F ) ∩ O by Proposition 3.3. By Proposition 3.68,
there exists a net ( yα )α∈A ⊆ f (F ) ∩ O such that limα∈A yα = y. ∀α ∈ A,
∃xα ∈ F such that yα = f (xα ). Then, xα ∈ F ∩ f inv(O). Then, the net
( xα )α∈A ⊆ F ∩ f inv(O). By the properness of f , we have f inv(O) ⊆ X
is compact. By Proposition 3.5, F ∩ f inv(O) is closed relative to f inv(O),
which further implies that F ∩ f inv(O) is compact by Proposition 5.5. By
Proposition 5.4, the net ( xα )α∈A admits a cluster point x ∈ F ∩ f inv(O).
By the continuity of f and Proposition 3.66, f (x) is a cluster point of the
net ( f (xα ) )α∈A = ( yα )α∈A . Since Y is Hausdorff and limα∈A yα = y, then
y = f (x) ∈ f (F ). Hence, f (F ) ⊆ f (F ) and f (F ) is closed. This completes
5.8. σ-COMPACT SPACES 121
5.8 σ-Compact Spaces

Definition 5.71 A topological space is said to be σ-compact if it is the
union of countably infinitely many compact sets.
Proposition 5.72 Let X be a locally compact topological space. Then, the

following statements are equivalent.
(i) X is Lindelöf.
(ii) X is σ-compact.
∞
(iii) ∃
S(∞On )n=1 ⊆ O such that ∀n ∈ IN, On ⊆ On+1 is compact and X =
n=1 On . This sequence is called an exhaustion of X .
Furthermore, if X is Hausdorff, then the above is equivalent to
(iv) ∃φ : X → [0, ∞) ⊂ IR that is proper and continuous.
Proof (i) ⇒ (ii). ∀x ∈ X , by local compactness S of X , ∃Ox ∈ O

such that x ∈ Ox ⊆ Ox and Ox is compact. X = x∈X OxS . Since X
is Lindelöf, then ∃ a countable set XC ⊆ X such that X = x∈XC Ox .
We will distinguish three exhaustive and mutually exclusive cases: Case
1: XC = ∅; Case 2: XC 6= ∅ is finite; Case 3: XC is countably infinite.
Case 1: XC = ∅. S∞Let Kn = ∅, ∀n ∈ IN, which are clearly compact.
Then, X = ∅ = n=1 Kn . Hence, X is σ-compact. Case 2: XC 6= ∅ is
finite. Without loss of generality, assume that XC = {x1 , . . . , xn } for some
n ∈ IN. Let Ki = Oxi , i = 1, . . . , n, S and Ki = ∅, i = n + 1, n + 2, . . ..
Clearly, Ki ’s are compact and X = ∞ i=1 Ki . Hence, X is σ-compact.
Case 3: XC is countably infinite. Without loss of generality, assume that
XC =S{x1 , x2 , . . .}. Let Ki = Oxi , ∀i ∈ IN. Clearly, Ki ’s are compact and
X = ∞ i=1 Ki . Hence, X Sis σ-compact. In all cases, X is σ-compact.
∞
(ii) ⇒ (iii). Let X = n=1 Kn , where Kn is compact, ∀n ∈ IN. Without
loss of generality, S we assume that Kn ⊆ Kn+1S, ∀n ∈ IN, since, otherwise,
n ∞
we may let K̄n = i=1 Kn and consider X = n=1 K̄n instead. Let O0 :=
∅ ∈ O. Then, O0 = ∅ is compact. ∀n ∈ IN, Kn ∪ On−1 is compact, by
Proposition 5.52, ∃On ∈ O such that Kn ∪ On−1 ⊆ On ⊆ On and On is
∞
compact. Then, ( On )n=1 is an exhaustion of X that we seek.
∞
(iii) ⇒ (i). Let ( Un )n=1 be an exhaustion of X . Fix any openScovering
( Oα )α∈Λ ⊆ O of X , where Λ is an index set. ∀n ∈ IN, Un ⊆ α∈Λ Oα .
By theScompactness of Un , there S∞ exists a finite
S∞ setS ΛN n ⊆ Λ such that
Un ⊆ α∈ΛN n Oα . Then, X = n=1 Un ⊆ n=1 α∈ΛN n Oα , which is a
countable subcovering. Hence, X is Lindelöf.
Now, assume that X is Hausdorff.
∞
(iii) ⇒ (iv). Let ( On )n=1 be an exhaustion of X . ∀n ∈ IN, On ⊆ On+1 is
compact. Then, by Proposition 5.62, there exists a continuous Pfunction φn :
∞
X → [0, 1] such that φn |On = 1 and φn |O ^ = 0. Let φ := n=1 (1 − φn ).
n+1
Clearly, φ : X → [0, ∞) ⊂ IR. ∀x0 ∈ X , ∃n0 ∈ IN such that x0 ∈ On0 .

Pn0 −1
Then, φ|On = i=1 (1 − φi ) , which is clearly continuous. ∀U ∈ OIR
0 On0
with φ(x0 ) ∈ U , ∃V ∈ O with x0 ∈ V ⊆ On0 such that φ|On (V ) ⊆ U .
0
Then, φ(V ) ⊆ U . Hence, φ is continuous at x0 . By the arbitrariness of
x0 and Proposition 3.9, φ is continuous. Fix any compact subset K ⊆ IR.
Then, K is closed and bounded, by Heine-Borel Theorem. ∃N ∈ IN such
that K ⊆ [−N, N ] ⊂ IR. ∀x ∈ O ^ f
N +2 , we have x ∈ On , n = 1, . . . , N + 2,
and hence φn (x) = 0, n = 1, . . . , N + 1, and φ(x) ≥ N + 1 > N . Then,
φinv(K) ⊆ ON +2 ⊆ ON +2 . By Proposition 3.10, φinv(K) is closed in X . By
the compactness of ON +2 and Proposition 5.5, φinv(K) is compact. Hence,
φ is proper.
(iv) ⇒ (ii).
S∞Let Kn = [−n, n] ⊂ IR, ∀n ∈ IN. Then, Kn ’s are compact in
IR and IR ⊆ n=1 Kn . By the properness
S of φ, φinv(Kn ) is compact in X ,
∀n ∈ IN. By Proposition 2.5, X = ∞ n=1 φinv (Kn ). Hence, X is σ-compact.
5.9 Paracompact Spaces

Definition 5.73 Let X be a topological space and A be a collection of sub-
sets in X . A is said to be locally finite if ∀x ∈ X , ∃U ∈ O with x ∈ U
such that U meets only finitely many members of A, that is U ∩ A 6= ∅ for
finitely many A ∈ A.
Proposition 5.74 Let X be a topological space and ( Eλ )λ∈Λ be a locally

finite collection of subsets of X , where Λ is an index set.
S S
(i) Let E = λ∈Λ Eλ . Then, E = λ∈Λ Eλ .
(ii) Let K ⊆ X be compact. Then, K meets only finitely many members
of ( Eλ )λ∈Λ .
Proof (i). ∀x ∈ E, by local finiteness of ( Eλ )λ∈Λ , ∃U ∈ O with

x ∈ U , then U meets only finitely many members of ( Eλ )λ∈Λ . Let ΛN ⊆ Λ
S
be the finite set such that U ∩ Eλ 6= ∅, ∀λ ∈ ΛN . Suppose x 6∈ λ∈Λ Eλ .
Then, ∀λ ∈ ΛN , x 6∈ Eλ . ∃Uλ ∈TO with x ∈ Uλ such that Uλ ∩ Eλ = ∅,
by Proposition 3.3. Let O := λ∈ΛN Uλ ∩ U ∈ O. Then, x ∈ O and
O ∩ Eλ = ∅, ∀λ ∈ Λ. Then, S O ∩ E = ∅. This contradicts
S with x ∈ E, by
Proposition 3.3. Hence, x ∈ λ∈Λ Eλ . Then, E ⊆ λ∈Λ Eλ .
S
On the other hand, ∀x ∈ λ∈Λ Eλ , ∃λ0 ∈ Λ such that x ∈ Eλ0 . ∀O ∈ O
with x ∈SO, O ∩ Eλ0 6= ∅. Then, O ∩ E 6= ∅ and hence x ∈ E. Therefore,
we have λ∈Λ Eλ ⊆ E.
S
Hence, E = λ∈Λ Eλ .
(ii). Let K ⊆ X be compact. ∀x ∈ K, by the local finiteness of ( Eλ )λ∈Λ ,
∃Ux ∈ O with x ∈ Ux such that Ux meets only finitely many members of
5.9. PARACOMPACT SPACES 123
S
( Eλ )λ∈Λ . Then, K ⊆ x∈K Ux . BySthe compactness of S
K, there exists a
finite set KN ⊆ K such that K ⊆ x∈KN Ux . Clearly, x∈KN Ux meets
only finitely many members in ( Eλ )λ∈Λ . Hence, K meets only finitely
many members in ( Eλ )λ∈Λ .
Definition 5.75 A topological space X is said to be paracompact if every

open covering of X has a locally finite open refinement.
Proposition 5.76 A closed subset of a paracompact space is paracompact

in the subset topology.
Proof Let X be a paracompact space, F ⊆ X be closed, and OF

be the subset topology on F . Let ( OF α )α∈Λ ⊆ OF be any open cover-
ing of F , where Λ is an index set (open in the subset topology OF ). By
Proposition
S 3.4, ∀α ∈ Λ, S∃Oα ∈ O such that OF α = Oα ∩ F . Then,
F ⊆ α∈Λ Oα and X ⊆ e
α∈Λ α ∪ F . By the paracompactness of X ,
O
there exists a locally finite open refinement V of ( Oα )α∈Λ ∪ {F e
S}. Let
V̄ := { V ∈ V | V ⊆ Oα , for some α ∈ Λ }. Then, F ⊆ V ∈V̄ V ,
e
since
V ’s in V are subset of F . Clearly, V̄ is locally finite. Then,
other

V ∩ F V ∈ V̄ ⊆ OF is a locally finite open refinement of ( OF α )α∈Λ
(open in the subset topology OF ). Hence, (F, OF ) is paracompact. This
Theorem 5.77 Metric spaces are paracompact.
Proof Let X be a metric space. Let ( Oα )α∈Λ be any open covering

of X , where Λ is an index set. By Well-Ordering Principle, Λ may be well-
ordered by . We will construct an open refinement of ( Oα )α∈Λ in the
following steps. Let X0 = X .
Step n (n ∈ IN): ∀α ∈ Λ, let Pαn := { x ∈ Oα ∩ Xn−1 | α is the least
element of { β ∈ S Λ | x ∈ Oβ } }. Let Qαn := { x ∈ Pαn | BS ( x, 3/2n ) ⊆

n
Oα } and Dαn := x∈Qαn B ( x, 1/2 ) ∈ O. Let Xn := Xn−1 \ α∈Λ Dαn .
We will now show that V := { Dαn | α ∈ Λ, n ∈ IN } is a locally finite
open refinement of ( Oα )α∈Λ . ∀x0 ∈ X . Then, { β ∈ Λ | x0 ∈ Oβ } = 6 ∅.
Let α0 be the least element of the set, which exists since Λ is well-ordered.
Then, x0 ∈ Oα0 . Then, ∃n0 ∈ IN such that B ( x0 , 3/2n0 ) ⊆ Oα0 , since Oα0
is open. Then, x0 ∈ Dα0 n0 or x0 ∈ Dβn for some β ∈ Λ and for some
n ∈ IN with n < n0 . Hence, V covers X . Clearly, Dαn ⊆ Oα and is open
by construction, ∀α ∈ Λ and ∀n ∈ IN. Then, V is an open refinement of
( Oα )α∈Λ .
Fix any x0 ∈ X . Consider the set { β ∈ Λ | ∃n ∈ IN, x0 ∈ Dβn } = 6 ∅.
Let α1 be the least element of this set. Then, x0 ∈ Dα1 n0 for some n0 ∈ IN.
Furthermore, ∃j0 ∈ IN such that B x0 , 2−j0 ⊆ Dα1 n0 . Consider the open
set B x0 , 2−j0 −n0 ∋ x0 .

∀n ≥ n0 + j0 , ∀α ∈ Λ, since B x0 , 2−j0 ⊆ Dα1 n0 ⊆ Oα1 ,then ∀x ∈
B x0 , 2−j0 −n0 , we have B x, 2−j0 − 2−j0 −n0 ⊆ B x0 , 2−j0 ⊆ Dα1 n0 .
∀y ∈ Dαn , since n > n0 , then ∃x̄ ∈ Qαn with x̄ 6∈ Dα1 n0 such that y ∈
B ( x̄, 2−n ). Then, ∃x̄ ∈ B ( y, 2−n ) such that x̄ ∈ Dαn \ Dα1 n0 . Note
that 2−n ≤ 2−j
0 −n0
≤ 2−j0 − 2−j0 −n0 . Therefore,
x 6∈ Dαn . Hence,
−j0 −n0
B x0 , 2 ∩ Dαn = ∅. Thus, B x0 , 2−j0 −n0 does not intersect any
Dαn , ∀α ∈ Λ, ∀n ≥ n0 + j0 .

Claim 5.77.1 ∀n < n0 + j0 , B x0 , 2−j0 −n0 intersects at most one of the
set Dαn ’s, α ∈ Λ.
Proof of claim: Suppose the result is not true. Then, ∃α, β ∈ Λ such
that B x0 , 2−j0 −n0 ∩ Dαn 6= ∅, B x0 , 2−j0 −n0 ∩ Dβn 6= ∅, and α 6= β.
−j0 −n0
Without loss of generality, assume that αβ. Let p ∈ B x 0 , 2 ∩Dαn
−j0 −n0
and q ∈ B x0 , 2 ∩ Dβn . By the definition of Dαn , ∃p̄ ∈ Qαn ⊆
Dαn such that p ∈ B ( p̄, 2−n ) ⊆ Dαn . Similarly, ∃q̄ ∈ Qβn ⊆ Dβn such
that q ∈ B ( q̄, 2−n ) ⊆ Dβn . Then, by the definition of Qαn , we have
B ( p̄, 3/2n ) ⊆ Oα . Similarly, B ( q̄, 3/2n ) ⊆ Oβ . Note that
ρ(p̄, q̄) ≤ ρ(p̄, p) + ρ(p, x0 ) + ρ(x0 , q) + ρ(q, q̄)

< 2−n + 2−j0 −n0 + 2−j0 −n0 + 2−n ≤ 3/2n
Then, q̄ ∈ Oα . But, q̄ ∈ Qβn ⊆ Pβn , α β, and α 6= β implies that q̄ 6∈ Oα .

This is a contradiction. Therefore, the result must hold. This completes
the proof of the claim. 2
Hence, B x0 , 2−j0 −n0 can meet at most n0 + j0 − 1 sets in V. Hence,
V is locally finite.
Therefore, we have obtained a locally finite open refinement of ( Oα )α∈Λ .
Hence, X is paracompact. This completes the proof of the theorem. 2
Definition 5.78 Let X be a topological space and ( Eα )α∈Λ be a collection

of subsets of X , where Λ is an index set. ( Eα )α∈Λ is said to be star-finite
if ∀α0 ∈ Λ, Eα0 meets only finitely many members in the collection.
It is easy to see that a star-finite open covering of X is locally finite.

But the converse need not hold.
Proposition 5.79 A σ-compact locally compact space is paracompact.
Proof Let X be a σ-compact locally compact space. Fix any open

covering ( Oα )α∈Λ of X , where Λ is an index set. By Proposition 5.72,
∞
there exists an exhaustion ( Un )n=1 of X . Let U−1 = ∅ and U0 = ∅. Let
Vαn := Oα ∩ (Un+1 \ Un−2 ) ∈ O, ∀α ∈ Λ, ∀n ∈ IN. It is easy to see
that V := { Vαn | α ∈ Λ, n ∈ IN } is an open refinement of ( Oα )α∈Λ
that covers X S
. ∀n ∈ IN, by the compactness of Un and Proposition 5.5,
Un \ Un−1 ⊆ α∈Λ Vαn is compact. Then, there exists a finite set Vn ⊆
5.9. PARACOMPACT SPACES 125
S S∞
{ Vαn | α ∈ Λ } such that Un \ Un−1 ⊆ V ∈Vn V . Then, VL := n=1 Vn is
S∞
an open refinement of ( Oα )α∈Λ that covers X since n=1 (Un \ Un−1 ) = X .
∀V ∈ VL , ∃n0 ∈ IN such that V ∈ Vn0 . Then, V does not intersect any
member of Vn with n ∈ IN and | n − n0 | > 2. Hence, VL is star-finite. Then,
VL is a locally finite open refinement of ( Oα )α∈Λ . Then, X is paracompact.
This completes the poof of the proposition. 2
Proposition 5.80 Let X be a locally compact Hausdorff topological space.

X is paracompact if, and only if, any open covering of X has a star-finite
open refinement (that covers X ).
Proof “Only if” Let U be any open covering of X . ∀x ∈ X , ∃Ux ∈ U

such that x ∈ Ux ∈ O. By Proposition 5.53, ∃Ox ∈ O such that x ∈
Ox ⊆ Ox ⊆ Ux and Ox is compact. Hence, ( Ox )x∈X is an open refinement
of U. By the paracompactness of X , there exists a locally finite open
refinement V of ( Ox )x∈X that covers X . ∀V ∈ V, ∃x ∈ X such that
V ⊆ Ox . Then, V ⊆ Ox . By Propositions 5.5 and 3.5, we have V is
compact. By Proposition 5.74, V meets only finitely many members of V.
Hence, V is star-finite. Therefore, V is a star-finite open refinement of U.
“If” Let U be any open covering of X . Then, there is a star-finite open
refinement V of U. Then, V is a locally finite open refinement of U. Hence,
X is paracompact.
Proposition 5.81 A paracompact Hausdorff topological space is normal.
Proof Let X be a paracompact Hausdorff topological space. Clearly,

X is Tychonoff. ∀x0 ∈ X and ∀ closed set F ⊆ X with x0 6∈ F , we will show
that ∃O1 , O2 ∈ O such that x0 ∈ O1 , F ⊆ O2 , and O1 ∩ O2 = ∅. ∀x ∈ F ,
h1i h2i h1i
then x 6= x0 . Since X is Hausdorff, ∃Ox , Ox ∈ O S such that x0 ∈ Ox ,
h2i h1i h2i h2i
x ∈ Ox , and Ox ∩ Ox = ∅. Then, X ⊆ Fe ∪ x∈F Ox . By the
paracompactness
n of X ,othere exists n
a locally finite
open refinement V ⊆ O o of
h2i h2i
{Fe} ∪ Ox x ∈ F . Let V̄ := V ∈ V V ⊆ Ox , for some x ∈ F .
Then, V̄ is an open covering of F , since ∀V ∈ V \ V̄ we have V ⊆ Fe .
h2i
Furthermore, V̄ is locally finite. ∀V ∈ V̄, ∃x ∈ F such that V ⊆ Ox ,
h1i h2i h1i h2i g h1i
x0 ∈ Ox , and Ox ∩ Ox = ∅. Then, V ⊆ Ox ⊆ Ox . Hence, we have
gh1i S S f1 .
V ⊆ Ox and x0 6∈ V . By Proposition 5.74, V ∈V̄ V = V ∈V̄ V =: O
S f
Then, O1 ∈ O, F ⊆ V ∈V̄ V =: O2 ∈ O, O2 ⊆ O1 , and x0 ∈ O1 . Hence,
∃O1 , O2 ∈ O such that x0 ∈ O1 , F ⊆ O2 , and O1 ∩ O2 = ∅. Then, X is
regular.
Next, we show that X is normal. Fix any closed sets F1 , F2 ⊆ X with
h1i h2i
F1 ∩ F2 = ∅. ∀x ∈ F2 , then x 6∈ F1 . Since X is regular, ∃Ox , Ox ∈ O
h1i h2i h1i h2i f2 ∪
such that F1 ⊆ Ox , x ∈ Ox , and Ox ∩ Ox = ∅. Then, X ⊆ F
S
h2i
x∈F2 Ox. By the paracompactness of X , there exists a locally finite
n o n
open refinement V ⊆ O of {F f2 } ∪ Oxh2i x ∈ F2 . Let V̄ := V ∈
o
h2i
V V ⊆ Ox , for some x ∈ F2 . Then, V̄ is an open covering of F2 , since
∀V ∈ V \ V̄ we have V ⊆ F f2 . Furthermore, V̄ is locally finite. ∀V ∈ V̄,
h2i h1i h2i h1i
∃x ∈ F2 such that V ⊆ Ox , F1 ⊆ Ox , and Ox ∩ Ox = ∅. Then, V ⊆
h2i gh1i g h1i
Sx ⊆ Ox .SHence, we have V ⊆ Ox and F1 ∩V = ∅.SBy Proposition 5.74,
O
f
V ∈V̄ V = V ∈V̄ V =: O1 . Then, O1 ∈ O, F2 ⊆ V ∈V̄ V =: O2 ∈ O,
O2 ⊆ O f1 , and F1 ∩ Of1 = ∅. Hence, ∃O1 , O2 ∈ O such that F1 ⊆ O1 ,
F2 ⊆ O2 , and O1 ∩ O2 = ∅. Then, X is normal.
5.10 The Stone-Čech Compactification

Definition 5.82 Let X := (X, O) be a completely regular topological space,
I = [0, 1] ⊆ IR, and F be the family of continuous functions of X to I. By
Corollary 3.62, X is homeomorphic to E(X ) ⊆ I F , where E is the equiv-
alence map. Let F = E(X ) and OF be the subset topology of F . Then,
β(X ) := (F, OF ) is a compact Hausdorff topological space, by Tychonoff
Theorem and Proposition 5.5. β(X ) is said to be the Stone-Čech compact-
ification of X .
Proposition 5.83 Let X := (X, O) be a completely regular topological

space, I = [0, 1] ⊆ IR, F be the family of continuous functions of X to
I, and E : X → E(X ) ⊆ I F be the equivalence map. Then, there ex-
ists a unique compact Hausdorff topological space β(X ) with the following
properties:
(i) the space E(X ) is dense in β(X );
(ii) each bounded continuous real-valued function on E(X ) extends to a
bounded continuous real-valued function on β(X );
(iii) if X is a dense subset of a compact Hausdorff topological space Y,
then, there exists a unique continuous mapping φ : β(X ) → Y such
that φ is surjective and φ|E(X ) = E inv.
Furthermore, if X is locally compact, then E(X ) is an open subset of β(X ).
Proof We will first show that β(X ) defined in Definition 5.82 satisfies
properties (i), (ii), and (iii). (i). By Proposition 3.5, E(X ) is dense in
F = E(X ) = β(X ). (ii). Fix any bounded continuous real-valued function
g : E(X ) → IR. Then, ∃N ∈ IN such that g : E(X ) → [−N, N ] ⊂ IR.
Then, ḡ := ((g + N )/(2N )) ◦ E ∈ F by Proposition 3.12. Now, consider
the function h̄ := πḡ |β(X ) : β(X ) → [0, 1] ⊂ IR, which is continuous by
5.10. THE STONE-ČECH COMPACTIFICATION 127

Proposition 3.27. Note that h̄E(X ) = ḡ ◦ E inv = (g + N )/(2N ). Then,
by Proposition 3.12, h := 2N h̄ − N is a continuous function of β(X ) to
[−N, N ]. Furthermore, h|E(X ) = g. Hence, h is the desired extension that
we seek. Clearly, h : β(X ) → [−N, N ] ⊂ IR.
(iii). Let Y := (Y, OY ) be a compact Hausdorff space such that X is
dense in Y. Let G be the family of continuous real-valued functions of
hGi
Y to I. Let E hYi : Y → I G be the equivalence map and πg : I G →
I be the projection function, ∀g ∈ G. By Propositions 5.14 and 3.61,
Y is completely regular. By Corollary 3.62, E hYi : Y → E hYi (Y) ⊆ I G
is a homeomorphism. Define a mapping ψ : G → F by ψ(g) = g|X ,
∀g ∈ G. By Proposition 3.56, ψ is injective. By Tychonoff Theorem,
I G is a compact Hausdorff space. Define a mapping Ψ : I F → I G by
hGi
πg (Ψ(if )) = πψ(g) (if ), ∀if ∈ I F , ∀g ∈ G. ∀x ∈ X , E hYi (x) ∈ I G satisfies
hGi
πg (E hYi (x)) = g(x) = g|X (x) = ψ(g)(x) = πψ(g) (E(x)), ∀g ∈ G. Then,
hYi hYi
we have E (x) = Ψ(E(x)), ∀x ∈ X . Hence, Ψ ◦ E = E X
.
Claim 5.83.1 Ψ is continuous.

Q
Proof of claim: Fix any basis open set U ⊆ I G . Then, U = g∈G Ug ,
where Ug ⊆ I is open, ∀g ∈ G, and U Qg = I for all g’s except finitely many
g’s, say g ∈ GN ⊆ G. Let V := f ∈F Vf ⊆ I F be given by Vf = I,
∀f 6∈ range ( ψ ), and Vf = Ug , ∀f ∈ range ( ψ ) and f = ψ(g). The set
hGi
V is well defined since ψ is injective. ∀if ∈ V , ∀g ∈ G, πg (Ψ(if )) =
πψ(g) (if ) ∈ Vψ(g) = Ug . Hence, we have Ψ(if ) ∈ U . Then, V ⊆ Ψinv(U ).
∀if ∈ I F \ V , ∃f0 ∈ range ( ψ ) such that πf0 (if ) 6∈ Vf0 . Then, f0 = ψ(g0 ),
hGi
where g0 ∈ GN . Note that πg0 (Ψ(if )) = πψ(g0 ) (if ) 6∈ Vψ(g0 ) = Ug0 . Then,
Ψ(if ) 6∈ U . This shows that I F \ V ⊆ Ψinv(I G \ U ). Hence, we have
V = Ψinv(U ), by Proposition 2.5. Clearly, V is a basis open set in I F .
Hence, Ψ is continuous. This completes the proof of the claim. 2
Since X is dense in Y and E hYi is a homeomorphism between Y and
E hYi (Y), then E hYi (X ) is dense in E hYi (Y). Since Y is compact and E hYi
is continuous, then E hYi (Y) is compact in I G , by Proposition 5.7. Fur-
thermore, by Proposition 5.5, E hYi (Y) is closed in I G . Then, E hYi (X ) =
E hYi (Y), where E hYi (X ) is the closure of E hYi (X ) in I G . By the compact-
ness of β(X ), the continuity of Ψ, and Proposition 5.7, Ψ(β(X )) ⊆ I G is
compact. Furthermore, by Proposition 5.5, Ψ(β(X )) is closed in I G . Note
that E hYi (X ) = Ψ(E(X )) ⊆ Ψ(β(X )). Then, Ψ(β(X )) ⊇ E hYi (Y).
Claim 5.83.2 Ψ(β(X )) = E hYi (Y).

Proof of claim: Suppose E hYi (Y) ⊂ Ψ(β(X )), then Ψinv(E hYi (Y)) ⊂
β(X ) and β(X ) ∩ (I \ Ψinv(E hYi (Y))) 6= ∅. Note that Ψinv(E hYi (Y)) is
F
closed in I F by the closedness of E hYi (Y), the continuity of Ψ, and Propo-

sition 3.10, which further implies that I F \ Ψinv(E hYi (Y)) ∈ OI F . By the
denseness of E(X ) in β(X ), we have E(X ) ∩ (I F \ Ψinv(E hYi (Y))) 6= ∅ and
hence ∃x ∈ X such that E(x) ∈ I F \ Ψinv(E hYi (Y)). By Proposition 2.5,

I F \ Ψinv(E hYi (Y)) = Ψinv(I G \ E hYi (Y)). Then, Ψ(E(x)) ∈ I G \ E hYi (Y).
This contradicts with the fact that Ψ(E(x)) = E hYi (x) ∈ E hYi (Y). There-
fore, we must have Ψ(β(X )) = E hYi (Y). This completes the proof of the
claim. 2
Define φ : β(X ) → Y by φ = E hYi inv ◦ Ψ|β(X ) . Clearly, φ is continuous

and surjective by Proposition 3.12. Clearly, φ◦E = E hYi inv◦ E hYi X = id|X .
Hence φ|E(X ) = E inv.
Let φ̄ : β(X ) → Y be any continuous and surjective mapping such that
φ̄E(X ) = E inv = φ|E(X ) . By Proposition 3.56 and the denseness of E(X )
in β(X ), we have φ = φ̄. Hence, φ is unique.
Thus, we have shown that the Stone-Čech compactification β(X ) sat-
isfies (i), (ii), and (iii). Next, we will show that β(X ) is unique. Let Y
be any compact Hausdorff space that satisfies (i), (ii), and (iii). Since X
and E(X ) are homeomorphic, we may identify X as E(X ). Then, by (iii),
∃! φ : β(X ) → Y, which is continuous and surjective, such that φ|X = idX .
Since Y satisfies (iii), then ∃! λ : Y → β(X ), which is continuous and surjec-
tive, such that λ|X = idX . Then, φ ◦ λ : Y → Y is continuous and satisfies
(φ ◦ λ)|X = idX . By Proposition 3.56, we have φ ◦ λ = idY . On the other
hand, λ ◦ φ : β(X ) → β(X ) is continuous and satisfies (λ ◦ φ)|X = idX .
Then, by Proposition 3.56, we have λ ◦ φ = idβ(X ). By Proposition 2.4,
we have λ = φinv. Hence, β(X ) and Y are homeomorphic. Hence, β(X ) is
unique.
If, in addition, X is locally compact, then, by Proposition 5.57, X is
open in β(X ). This completes the proof of the proposition. 2
Chapter 6
Vector Spaces
6.1 Group
Definition 6.1 A group is the triple (G, +, e), which consists a nonempty
set G, an operation + : G × G → G, and a unit element e ∈ G, satisfying,
∀g1 , g2 , g3 ∈ G,
(i) (g1 + g2 ) + g3 = g1 + (g2 + g3 ); (associativeness)
(ii) e + g1 = g1 + e = g1 ; (unit element)
(iii) ∃(−g1 ) ∈ G such that g1 + (−g1 ) = e = (−g1 ) + g1 . (existence of
inverse, which is clearly unique)
We have the following result.

Proposition 6.2 Let (G, +, e) be a group and H ⊆ G be nonempty. Then,
(H, +, e) is a group (which will be called a subgroup of (G, +, e)) if, and
only if, ∀g1 , g2 ∈ H, we have g1 + (−g2 ) ∈ H.
Proof “Necessity” This is obvious.
“Sufficiency” Since H 6= ∅, then ∃g ∈ H. Then, e = g + (−g) ∈ H.
∀g1 , g2 ∈ H, e + (−g2 ) = (−g2 ) ∈ H. Then, g1 + g2 = g1 + (−(−g2 )) ∈ H.
Hence, H is closed under +. Then, it is straightforward to check that
(H, +, e) satisfies all the properties of Definition 6.1. Hence, it is a group.
Proposition 6.3 Let (G, +, e) be a group and g1 , g2 , g3 ∈ G. If g1 + g2 =

g1 + g3 then g2 = g3 . On the other hand, if g1 + g3 = g2 + g3 then g1 = g2 .
Proof If g1 + g2 = g1 + g3 , then we have
g2 = e + g2 = ((−g1 ) + g1 ) + g2 = (−g1 ) + (g1 + g2 )

= (−g1 ) + (g1 + g3 ) = ((−g1 ) + g1 ) + g3 = e + g3 = g3
129
130 CHAPTER 6. VECTOR SPACES
If g1 + g3 = g2 + g3 , then we have
g1 = g1 + e = g1 + (g3 + (−g3 )) = (g1 + g3 ) + (−g3 )

= (g2 + g3 ) + (−g3 ) = g2 + (g3 + (−g3 )) = g2 + e = g2
Definition 6.4 Let (G, +, e) be a group, the order of the group is the num-
ber of elements in G, if G is finite. ∀g ∈ G, the order of g is the integer
n > 0 such that g + · · · + g = e.
| {z }
n
Definition 6.5 Let (G, +G , eG ) and (H, +H , eH ) be two groups, and T :

G → H. T is said to be a homomorphism if, ∀g1 , g2 ∈ G, we have T (g1 )+H
T (g2 ) = T (g1 +G g2 ). T is said to be an isomorphism if it is bijective and
a homomorphism, in this case, the two groups are said to be isomorphic.
Let T : G → H be a homomorphism, then T (eG) = eH .
Definition 6.6 Let (G, +, e) be a group. g1 , g2 ∈ G are said to be conjugate

if ∃g3 ∈ G such that g2 = (−g3 ) + g1 + g3 . Let (H, +, e) be a subgroup of
(G, +, e). It is said to be normal (self-conjugate) if, ∀h ∈ H, ∀g ∈ G, we
have (−g) + h + g ∈ H.
Definition 6.7 Let (G, +, 0) be a group. It is said to be abelian if,

∀g1 , g2 ∈ G, we have g1 + g2 = g2 + g1 (commutativeness). Then, the
unit element 0 is also called the zero-element.
Sometimes, we are interested in an algebraic structure that is weaker

than a group. For example, the structure of functions f : X → X with
respect to the function composition operation. This leads us to the following
definition.
Definition 6.8 A semigroup is the triple (G, ◦, e), which consists a

nonempty set G, an operation ◦ : G × G → G, and a unit element e ∈ G,
satisfying, ∀g1 , g2 , g3 ∈ G,
(i) (g1 ◦ g2 ) ◦ g3 = g1 ◦ (g2 ◦ g3 ); (associativeness)
(ii) e ◦ g1 = g1 = g1 ◦ e. (unit element)
Furthermore, a semigroup that satisfies g1 ◦ g2 = g2 ◦ g1 , ∀g1 , g2 ∈ G, is

called an abelian semigroup.
6.2. RING 131
6.2 Ring
Definition 6.9 A ring (R, +, ×, 0) is an abelian group (R, +, 0) with an
operation × : R × R → R such that, ∀r1 , r2 , r3 ∈ R,
(i) (r1 × r2 ) × r3 = r1 × (r2 × r3 ); (associativeness)
(ii) r1 × (r2 + r3 ) = r1 × r2 + r1 × r3 ; (right distributiveness)
(iii) (r1 + r2 ) × r3 = r1 × r3 + r2 × r3 . (left distributiveness)
A ring is commutative if, ∀r1 , r2 ∈ R, we have r1 × r2 = r2 × r1 . A ring

is with identity element if ∃1 ∈ R such that, ∀r ∈ R, 1 × r = r × 1 = r.
(The identity element is unique if it exists.)
Proposition 6.10 Let (R, +, ×, 0) be a ring. S ⊆ R. Then, (S, +, ×, 0) is

a ring (which will be called a subring) if (S, +, 0) is a subgroup of (R, +, 0)
and s1 × s2 ∈ S, ∀s1 , s2 ∈ S.
Proof Clearly, (S, +, 0) is an albelian group. Then, it is straightfor-

ward to show that (S, +, ×, 0) is a ring. 2
Proposition 6.11 Let (R, +, ×, 0) be a ring, and r1 , r2 ∈ R, then, we have
(i) r1 × 0 = 0 × r1 = 0;
(ii) r1 × (−r2 ) = (−r1 ) × r2 = −(r1 × r2 );
(iii) (−r1 ) × (−r2 ) = r1 × r2 .
Proof Note that 0+0×r1 = 0×r1 = (0+0)×r1 = 0×r1 +0×r1. By

Proposition 6.3, we have 0×r1 = 0. Similarly, we can show that r1 ×0 = 0.
Note that r1 × r2 + r1 × (−r2 ) = r1 × (r2 + (−r2 )) = r1 × 0 = 0.
Then, we have r1 × (−r2 ) = −(r1 × r2 ). Similarly, we can show that
(−r1 ) × r2 = −(r1 × r2 ).
Note that (−r1 ) × (−r2 ) + (−(r1 × r2 )) = (−r1 ) × (−r2 ) + r1 × (−r2 ) =
((−r1 )+r1 )×(−r2 ) = 0×(−r2 ) = 0. Then, we have (−r1 )×(−r2 ) = r1 ×r2 .
Definition 6.12 Let (R, +, ×, 0) be a ring and S ⊆ R. Then, S is said

to be an ideal if (S, +, 0) is a subgroup of (R, +, 0) and r × s, s × r ∈ S,
∀r ∈ R and ∀s ∈ S.
Definition 6.13 Let (R, +R , ×R , 0R ) and (S, +S , ×S , 0S ) be two rings and

T : R → S. T is said to be a ring-homomorphism if it is a homomorphism
and T (r1 ) ×S T (r2 ) = T (r1 ×R r2 ), ∀r1 , r2 ∈ R. T is said to be a ring-
isomorphism if it is a bijective ring-homomorphism, in this case, the two
rings are said to be isomorphic.
6.3 Field
Definition 6.14 Let (F, +, ×, 0) be a commutative ring with identity el-
ement 1. Then, the quintuple (F, +, ×, 0, 1) is said to be a field if
(F \ {0}, ×, 1) form an abelian group.
Proposition 6.15 Let (F, +, ×, 0, 1) be a field, A ⊆ F , and 0, 1 ∈ A.

Then, (A, +, ×, 0, 1) is a field (which will be called a subfield) if, and only
if, ∀a1 , a2 ∈ A, a1 + (−a2 ) ∈ A, and a1 × a−1
2 ∈ A when a2 6= 0, where a2
−1
denotes the multiplicative inverse of a2 .
Proof “Necessity” This is straightforward.

“Sufficiency” By Proposition 6.2, (A, +, 0) is a group. Since (F, +, 0) is
albelian, then (A, +, 0) is also an albelian group. ∀a1 ∈ A with a1 6= 0. By
the assumption of the proposition, we have 1 ∈ A, by the property of field,
we have 1 6= 0. Then, a−1 −1
1 = 1 × a1 ∈ A. ∀a1 , a2 ∈ A. If a2 = 0, then,
by Proposition 6.11, a1 × a2 = 0 ∈ A. On the other hand, if a2 6= 0, we
have a−1
2 ∈ A and a1 × a2 = a1 × (a2 )
−1 −1
∈ A. Hence, by Proposition 6.10,
(A, +, ×, 0) is a ring. Since (F, +, ×, 0) is a commutative ring with identity
element 1 and 1 ∈ A, then (A, +, ×, 0) is also a commutative ring with
identity element 1. Note that 1 ∈ A \ {0}, then, A \ {0} 6= ∅ and A \ {0} ⊆
F \ {0}. ∀a1 , a2 ∈ A \ {0}, a1 × a2−1 ∈ A. We claim that a1 × a−1 2 6= 0
since, otherwise, a1 = a1 × 1 = a1 × (a−1 2 × a 2 ) = (a 1 × a −1
2 ) × a 2 = 0 by
Proposition 6.11, which is a contradiction. Hence, a1 ×a−1 2 ∈ A\{0}. Since
(F \ {0}, ×, 1) is an albelian group, then, by Proposition 6.2, (A \ {0}, ×, 1)
is also a group and is further albelian. Therefore, (A, +, ×, 0, 1) is a field.
6.4 Vector Spaces

Associated with every vector space is a set of scalars. This set of scalars can
be any algebraic field F := (F, +, ·, 0, 1). Examples of fields are the rational
numbers Q, the real numbers IR, and the complex numbers C. Here, we
will abuse the notation to say x ∈ F when x ∈ F .
Definition 6.16 A vector space X over a field F := (F, +, ·, 0, 1) is a

set X of elements called vectors together with two operations ⊕ and ⊗.
⊕ : X × X → X is called vector addition. It associates any two vectors
x, y ∈ X with a vector x ⊕ y ∈ X, the sum of x and y. ⊗ : F × X → X
is called scalar multiplication. It associates a scalar α ∈ F and a vector
x ∈ X with a vector α ⊗ x ∈ X, the scalar multiple of x by α. Furthermore,
the following properties hold for ∀x, y, z ∈ X and ∀α, β ∈ F
(i) x ⊕ y = y ⊕ x; (commutative law)
(ii) (x ⊕ y) ⊕ z = x ⊕ (y ⊕ z); (associative law)

6.4. VECTOR SPACES 133
(iii) ∃ a null vector ϑ ∈ X such that x ⊕ ϑ = x, ∀x ∈ X;

(iv) α ⊗ (x ⊕ y) = (α ⊗ x) ⊕ (α ⊗ y) = α ⊗ x ⊕ α ⊗ y, where we ne-
glected the parenthesis in the last equality since we assume that ⊗
takes precedence over ⊕; (distributive law)
(v) (α + β) ⊗ x = α ⊗ x ⊕ β ⊗ x; (distributive law)
(vi) (αβ) ⊗ x = α ⊗ (β ⊗ x); (associative law)
(vii) 0 ⊗ x = ϑ and 1 ⊗ x = x.
We thus denote the quadruple (X, ⊕, ⊗, ϑ) by X . The vector space is de-
noted by (X , F ).
For convenience, (−1) ⊗ x =: ⊖x and called the negative of the vector x.
Note that
(⊖x) ⊕ x = x ⊕ (⊖x) = 1 ⊗ x ⊕ (−1) ⊗ x = (1 + (−1)) ⊗ x = 0 ⊗ x = ϑ
We will also denote x ⊖ y := x ⊕ (⊖y). We will abuse the notation to say
x ∈ X when x ∈ X. Note that (X , ⊕, ϑ) forms an abelian group.
Proposition 6.17 Let X := (X, ⊕, ⊗, ϑ) be a vector space over the field
F := (F, +, ·, 0, 1). ∀x, y, z ∈ X , ∀α, β ∈ F, we have
1. x ⊕ y = x ⊕ z ⇒ y = z; (cancellation law)
2. α ⊗ x = α ⊗ y and α 6= 0 ⇒ x = y; (cancellation law)
3. α ⊗ x = β ⊗ x and x 6= ϑ ⇒ α = β; (cancellation law)
4. (α − β) ⊗ x = α ⊗ x ⊖ β ⊗ x; (distributive law)
5. α ⊗ (x ⊖ y) = α ⊗ x ⊖ α ⊗ y; (distributive law)
6. α ⊗ ϑ = ϑ.
We will call ϑ the origin.
Example 6.18 X = {ϑ} with ϑ ⊕ ϑ = ϑ and α ⊗ ϑ = ϑ, ∀α ∈ F. Then,
(X, ⊕, ⊗, ϑ) is a vector space over F . ⋄
Example 6.19 Let F := (F, +, ·, 0, 1) be a field. Then, (F, +, ·, 0) is a
vector space over F . We will abuse the notation and say that F is a vector
space over F . ⋄
Example 6.20 Let F := (F, +, ·, 0, 1) be a field, Y := (Y, ⊕Y , ⊗Y , ϑY )
be a vector space over F , and A be a set. X = {f : A → Y}, that is,
X is the set of all Y-valued functions on A. Define vector addition and
scalar multiplication by, ∀x, y ∈ X, ∀α ∈ F, za := x ⊕ y ∈ X is given by
za (u) = x(u)⊕Y y(u), ∀u ∈ A, zs := α⊗x ∈ X is given by zs (u) = α⊗Y x(u),
∀u ∈ A. Let ϑ ∈ X be given by ϑ(u) = ϑY , ∀u ∈ A.
Now, we will show that X := (X, ⊕, ⊗, ϑ) is a vector space over F .
∀x, y, z ∈ X, ∀α, β ∈ F, ∀u ∈ A, we have
(i) (x⊕y)(u) = x(u)⊕Y y(u) = y(u)⊕Y x(u) = (y⊕x)(u) ⇒ x⊕y = y⊕x;
(ii) ((x ⊕ y) ⊕ z)(u) = (x ⊕ y)(u) ⊕Y z(u) = (x(u) ⊕Y y(u)) ⊕Y z(u) =

x(u) ⊕Y (y(u) ⊕Y z(u)) = x(u) ⊕Y (y ⊕ z)(u) = (x ⊕ (y ⊕ z))(u) ⇒
(x ⊕ y) ⊕ z = x ⊕ (y ⊕ z);
(iii) (x ⊕ ϑ)(u) = x(u) ⊕Y ϑY = x(u) ⇒ x ⊕ ϑ = x;
(iv) (α ⊗ (x ⊕ y))(u) = α ⊗Y (x ⊕ y)(u) = α ⊗Y (x(u) ⊕Y y(u)) = α ⊗Y

x(u) ⊕Y α ⊗Y y(u) = (α ⊗ x)(u) ⊕Y (α ⊗ y)(u) = (α ⊗ x ⊕ α ⊗ y)(u)
⇒ α ⊗ (x ⊕ y) = α ⊗ x ⊕ α ⊗ y;
(v) ((α + β) ⊗ x)(u) = (α + β) ⊗Y x(u) = α ⊗Y x(u) ⊕Y β ⊗Y x(u) =

(α⊗x)(u)⊕Y (β⊗x)(u) = (α⊗x⊕β⊗x)(u) ⇒ (α+β)⊗x = α⊗x⊕β⊗x;
(vi) ((αβ)⊗x)(u) = (αβ)⊗Y x(u) = α⊗Y (β ⊗Y x(u)) = α⊗Y (β ⊗x)(u) =

(α ⊗ (β ⊗ x))(u) ⇒ (αβ) ⊗ x = α ⊗ (β ⊗ x);
(vii) (0 ⊗ x)(u) = 0 ⊗Y x(u) = ϑY = ϑ(u) ⇒ 0 ⊗ x = ϑ; (1 ⊗ x)(u) =

1 ⊗Y x(u) = x(u) ⇒ 1 ⊗ x = x.
Therefore, X is a vector space over F . This vector space will be denoted

by (M(A, Y), F ). ⋄
Example 6.21 Let F := (F, +, ·, 0, 1) be a field. X = F n with n ∈ IN.
Define vector addition and scalar multiplication by x⊕y := (ξ1 +η1 , . . . , ξn +
ηn ) ∈ X, α ⊗ x := (αξ1 , . . . , αξn ) ∈ X, ∀x = (ξ1 , . . . , ξn ), y = (η1 , . . . , ηn ) ∈
X, ∀α ∈ F. Let ϑ := (0, . . . , 0) ∈ X. Then, it is straightforward to check
that F n := (X, ⊕, ⊗, ϑ) is a vector space over F . ⋄
Example 6.22 Let F := (F, +, ·, 0, 1) be a field. X = F m×n := {m × n-
dimensional F valued matrices} with m, n ∈ IN. Define vector addition and
scalar multiplication by x ⊕ y := (ξij + ηij )m×n ∈ X, α ⊗ x := (αξij )m×n ∈
X, ∀x = (ξij )m×n , y = (ηij )m×n ∈ X, ∀α ∈ F. Let ϑ := (0)m×n ∈ X.
Then, it is straightforward to check that F m×n := (X, ⊕, ⊗, ϑ) is a vector
space over F . ⋄
∞
Example 6.23 Let F := (F, +, ·, 0, 1) be a field. X = { ( ξk )k=1 |
ξk ∈ F, ∀k ∈ IN }. Define vector addition and scalar multiplication by
∞ ∞ ∞
x ⊕ y := ( ξk + ηk )k=1 ∈ X, α ⊗ x := ( αξk )k=1 ∈ X, ∀x = ( ξk )k=1 , y =
∞
( ηk )k=1 ∈ X, ∀α ∈ F. Let ϑ := (0, 0, . . .) ∈ X. Then, it is straightforward
to check that (X, ⊕, ⊗, ϑ) is a vector space over F . ⋄
6.5 Product Spaces

Proposition 6.24 Let X := (X, ⊕X , ⊗X , ϑX ) and Y := (Y, ⊕Y , ⊗Y , ϑY )
be vector spaces over the field F := (F, +, ·, 0, 1). The Cartesian product
of X and Y, denoted by X × Y, is the quadruple (X × Y, ⊕, ⊗, (ϑX , ϑY )),
6.6. SUBSPACES 135
where the vector addition ⊕ : (X × Y ) × (X × Y ) → X × Y and the scalar

multiplication ⊗ : F × (X × Y ) → X × Y are given by, ∀(x1 , y1 ), (x2 , y2 ) ∈
X ×Y , ∀α ∈ F, (x1 , y1 )⊕(x2 , y2 ) := (x1 ⊕X x2 , y1 ⊕Y y2 ) and α⊗(x1 , y1 ) :=
(α ⊗X x1 , α ⊗Y y1 ). Then, (X × Y, F ) is a vector space.
Proof Let ϑ := (ϑX , ϑY ) ∈ X ×Y . ∀(x1 , y1 ), (x2 , y2 ), (x3 , y3 ) ∈ X ×Y ,

∀α, β ∈ F.
(i) (x1 , y1 ) ⊕ (x2 , y2 ) = (x1 ⊕X x2 , y1 ⊕Y y2 ) = (x2 ⊕X x1 , y2 ⊕Y y1 ) =

(x2 , y2 ) ⊕ (x1 , y1 );
(ii) ((x1 , y1 )⊕(x2 , y2 ))⊕(x3 , y3 ) = (x1 ⊕X x2 , y1 ⊕Y y2 )⊕(x3 , y3 ) = ((x1 ⊕X

x2 ) ⊕X x3 , (y1 ⊕Y y2 ) ⊕Y y3 ) = (x1 ⊕X (x2 ⊕X x3 ), y1 ⊕Y (y2 ⊕Y y3 )) =
(x1 , y1 ) ⊕ (x2 ⊕X x3 , y2 ⊕Y y3 ) = (x1 , y1 ) ⊕ ((x2 , y2 ) ⊕ (x3 , y3 ));
(iii) (x1 , y1 ) ⊕ ϑ = (x1 ⊕X ϑX , y1 ⊕Y ϑY ) = (x1 , y1 );
(iv) α ⊗ ((x1 , y1 ) ⊕ (x2 , y2 )) = α ⊗ (x1 ⊕X x2 , y1 ⊕Y y2 ) = (α ⊗X (x1 ⊕X

x2 ), α ⊗Y (y1 ⊕Y y2 )) = (α ⊗X x1 ⊕X α ⊗X x2 , α ⊗Y y1 ⊕Y α ⊗Y y2 ) =
(α ⊗X x1 , α ⊗Y y1 ) ⊕ (α ⊗X x2 , α ⊗Y y2 ) = α ⊗ (x1 , y1 ) ⊕ α ⊗ (x2 , y2 );
(v) (α+β)⊗(x1 , y1 ) = ((α+β)⊗X x1 , (α+β)⊗Y y1 ) = (α⊗X x1 ⊕X β ⊗X

x1 , α ⊗Y y1 ⊕Y β ⊗Y y1 ) = (α ⊗X x1 , α ⊗Y y1 ) ⊕ (β ⊗X x1 , β ⊗Y y1 ) =
α ⊗ (x1 , y1 ) ⊕ β ⊗ (x1 , y1 );
(vi) (αβ) ⊗ (x1 , y1 ) = ((αβ) ⊗X x1 , (αβ) ⊗Y y1 ) = (α ⊗X (β ⊗X x1 ), α ⊗Y

(β ⊗Y y1 )) = α ⊗ (β ⊗X x1 , β ⊗Y y1 ) = α ⊗ (β ⊗ (x1 , y1 ));
(vii) 0 ⊗ (x1 , y1 ) = (0 ⊗X x1 , 0 ⊗Y y1 ) = (ϑX , ϑY ) = ϑ; 1 ⊗ (x1 , y1 ) =

(1 ⊗X x1 , 1 ⊗Y y1 ) = (x1 , y1 ).
Hence, X × Y is a vector space over F . 2

With the above definition, it is easy to generalize to X1 × X2 × · · · × Xn ,
where n ∈ IN. We will also write X n = X × · · · × X , where n ∈ IN. When
| {z }
Qn n
n = 0, i=1 Xi is given by the vector space defined in Example 6.18.
6.6 Subspaces
Proposition 6.25 Let X := (X, ⊕, ⊗, ϑ) be a vector space over the field
F := (F, +, ·, 0, 1), and M ⊆ X with M 6= ∅. Then, M := (M, ⊕, ⊗, ϑ) is
a vector space over F (which will be called a subspace of (X , F )) if, and
only if, , ∀x, y ∈ M , ∀α, β ∈ F, we have α ⊗ x ⊕ β ⊗ y ∈ M . We will also
abuse the notation to say M is a subspace of (X , F ). M is said to be a
proper subspace of (X , F ) if M ⊂ X.
Proof “If” Since M 6= ∅, then ∃x0 ∈ M . ϑ = ϑ⊕ϑ = 0⊗x0 ⊕0⊗x0 ∈

M . ∀x, y ∈ M , ∀α, β ∈ F. x ⊕ y = 1 ⊗ x ⊕ 1 ⊗ y ∈ M . Hence, M is closed
under vector addition. α ⊗ x = (α + 0) ⊗ x = α ⊗ x ⊕ 0 ⊗ x ∈ M . Hence, M
is closed under scalar multiplication. Then, it is straightforward to show
that M is a vector space over F . “Only if” This is straightforward. This
Example 6.26 We present the following list of examples of subspaces.
1. Let (X , F ) be a vector space. Then, the singleton set M = {ϑ} is a

subspace.
2. Consider the vector space (IR3 , IR). Any straight line or plane that
passes through the origin is a subspace.
3. Consider the vector space (IRn , IR), n ∈ IN. Let a ∈ IRn . The set
M := { x ∈ IRn | h a, x i = 0 } is a subspace.
4. Let X := { ( ξk )∞
k=1 | ξk ∈ IR, k ∈ IN }, ⊕ and ⊗ be the usual addi-
tion and scalar multiplication, and ϑ = (0, 0, . . .). By Example 6.23,
∞
X := (X, ⊕, ⊗, ϑ) is a vector space over IR. Let M := { ( ξk )k=1 ∈
X | limk∈IN ξk ∈ IR } is a subspace.
5. Let X := {f : (0, 1] → IRn }, ⊕ and ⊗ be the usual addition and

scalar multiplication, and ϑ : (0, 1] → IRn be given by ϑ(t) = ϑIRn ,
∀t ∈ (0, 1]. By Example 6.20, X := (X, ⊕, ⊗, ϑ) is a vector space over
IR. Let M := { f ∈ X | f is continuous } is a subspace.
⋄
To simplify notation in the theory, we will later simply discuss a vector
space (X , F ) without further reference to components of X , where the op-
erations are understood to be ⊕X and ⊗X and the null vector is understood
to be ϑX . When it is clear from the context, we will neglect the subscript
X . Also, we will write x1 + x2 for x1 ⊕ x2 and αx1 for α ⊗ x1 , ∀x1 , x2 ∈ X ,
∀α ∈ F.
Definition 6.27 Let X be a vector space over the field F . f : X → F is

said to be a functional.
Definition 6.28 Let X and Y be vector spaces over the field F . A : X → Y

is said to be linear if ∀x1 , x2 ∈ X , ∀α, β ∈ F, A(αx1 + βx2 ) = αA(x1 ) +
βA(x2 ). Then, A is called a (vector space) homomorphism or a linear
operator. Furthermore, if it is bijective, then A is said to be a (vector space)
isomorphism. The null space of A is N ( A ) := { x ∈ X | A(x) = ϑY }.
The range space of A is R ( A ) := range ( A ). B : X → Y is said to be an
affine operator if B(x) = A(x) + y0 , ∀x ∈ X , where A : X → Y is a linear
operator and y0 ∈ Y.
6.6. SUBSPACES 137
Example 6.29 A row vector v ∈ IR1×n is a linear functional on IRn . A

matrix A ∈ IRm×n is a linear function of IRn to IRm . ⋄
For linear operators, we will adopt the following convention. Let A :
X → Y, B : Y → Z, and x ∈ X , where X , Y, Z are vector spaces and
A and B are linear operators. We will write Ax for A(x) and BA for
B ◦ A. Clearly, N ( A ) is a subspace of X and R ( A ) is a subspace of Y.
When A and B are bijective, we will denote Ainv by A−1 and B inv by B −1 ,
where A−1 and B −1 are linear operators, then BA is also bijective and
(BA)−1 = A−1 B −1 .
Definition 6.30 Let (X , F ) be a vector space, α ∈ F, and S, T ⊆ X . The

sets αS and S + T are defined by
αS := { αs ∈ X | s ∈ S } ; S + T := { s + t ∈ X | s ∈ S, t ∈ T }
This concept is illustrated in Figure 6.1.
S+T
S s+t
t T
Figure 6.1: The sum of two sets.
We should note that S + T = T + S, ∅ + S = ∅, {ϑ} + S = S, and

α∅ = ∅. Thus, S − T := S + (−T ).
Proposition 6.31 Let M and N be subspaces of a vector space (X , F ) and

ᾱ ∈ F. Then, M ∩ N , M + N , and ᾱM are subspaces of (X , F ).
Proof Since M and N are subspaces, then ϑ ∈ M and ϑ ∈ N . Hence,

ϑ ∈ M ∩ N 6= ∅, ϑ ∈ M + N 6= ∅, and ϑ = ᾱϑ ∈ ᾱM 6= ∅.
∀x, y ∈ M ∩ N , ∀α, β ∈ F, αx + βy ∈ M and αx + βy ∈ N . Then,
αx + βy ∈ M ∩ N . Hence, M ∩ N is a subspace.
∀x, y ∈ M + N , ∀α, β ∈ F, we have x = x1 + x2 and y = y1 + y2 , where
x1 , y1 ∈ M and x2 , y2 ∈ N . Then, αx1 + βy1 ∈ M and αx2 + βy2 ∈ N .
This implies that αx + βy = (αx1 + βy1 ) + (αx2 + βy2 ) ∈ M + N . Hence,
M + N is a subspace.
∀x, y ∈ ᾱM , ∀α, β ∈ F, we have x = ᾱx̄ and y = ᾱȳ, where x̄, ȳ ∈ M .

Then, αx+βy = αᾱx̄+β ᾱȳ = ᾱ(αx̄+β ȳ) ∈ ᾱM . Hence, ᾱM is a subspace.
We should note that M ∪ N is in general not a subspace.
Definition 6.32 A linear combination of vectors xP 1 , . . . , xn , where n ∈

n
Z+ , in a vector space (X , F ) is a sum of the form i=1 αi xi := α1 x1 +
· · · + αn xn , where α1 , . . . , αn ∈ F.
Note that + is defined for two vectors. To sum n vectors, one must add
two at a time. By the definition of vector space, the simplified notion is
not ambiguous. When n = 0, we take the sum to be ϑX .
Definition 6.33 Let (X , F ) be a vector space and S ⊆ X .
span ( S ) := {linear combination of vectors in S}
is called the subspace generated by S.
Proposition 6.34 Let (X , F ) be a vector space and S ⊆ X . Then,

span ( S ) is the smallest subspace containing S.
Proof Clearly, ϑ ∈ span ( S ) 6= ∅. ∀x, y ∈ span ( S ), ∀α, β ∈ F. It

is easy to show that αx + βy ∈ span ( S ). Hence, span ( S ) is a subspace.
Clearly span ( S ) ⊇ S.
∀M ⊆ X such that S ⊆ M and M is a subspace. Clearly, ϑ ∈ M by the
proof of Proposition
Pn 6.25. ∀y equals to a linear combination of vectors in
S. Then, y = i=1 αi xi with n ∈ Z+ , x1 , . . . , xn ∈ S, and α1 , . . . , αn ∈ F.
This implies that x1 , . . . , xn ∈ M and y ∈ M . Hence, span ( S ) ⊆ M .
Hence, span ( S ) is the smallest subspace containing S. This completes
Definition 6.35 Let (X , F ) be a vector space, M ⊆ X be a subspace, and

x0 ∈ X . Then, V := {x0 } + M is called a linear variety.
The translation of a subspace is a linear variety. We will abuse the

notation to write x0 + M for {x0 } + M . ∀x̄ ∈ V , V − x̄ := V − {x̄} is a
subspace.
Definition 6.36 Let (X , F ) be a vector space, S ⊆ X , and S 6= ∅. The lin-

ear variety generated by S, denoted by v ( S ), is defined as the intersection
of all linear varieties in X that contain S.
Proposition 6.37 Let (X , F ) be a vector space and ∅ 6= S ⊆ X . Then,

v ( S ) is a linear variety given by v ( S ) = x0 + span ( S − x0 ), where x0 is
any vector in S.
6.7. CONVEX SETS 139
Proof Note that S = S − x0 + x0 ⊆ x0 + span ( S − x0 ) and x0 +

span ( S − x0 ) is a linear variety. Hence, v ( S ) ⊆ x0 + span ( S − x0 ).
∀V ⊆ X such that S ⊆ V and V is a linear variety. Then, x0 ∈ V and
V − x0 is a subspace. Clearly, S − x0 ⊆ V − x0 , which implies that, by
Proposition 6.34, span ( S−x0 ) ⊆ V −x0 . Therefore, x0 +span ( S−x0 ) ⊆ V .
Hence, x0 + span ( S − x0 ) ⊆ v ( S ). Therefore, v ( S ) = x0 + span ( S − x0 ).
6.7 Convex Sets

Denote IK to be either IR or C.
Definition 6.38 Let (X , IK) be a vector space and C ⊆ X . C is said to be
convex if, ∀x1 , x2 ∈ C, ∀α ∈ [0, 1] ⊂ IR, we have αx1 + (1 − α)x2 ∈ C.
Subspaces and linear varieties are convex, so is ∅.
Proposition 6.39 Let (X , IK) be a vector space and K, G ⊆ X be convex

sets. Then,
1. λK is convex, ∀λ ∈ IK;
2. K + G is convex.
Proof ∀λ ∈ IK. ∀x1 , x2 ∈ λK, ∀α ∈ [0, 1] ⊂ IR. ∃k1 , k2 ∈ K such that

x1 = λk1 and x2 = λk2 . Then, αx1 + (1 − α)x2 = αλk1 + (1 − α)λk2 =
λ(αk1 + (1 − α)k2 ). Since K is convex, then αk1 + (1 − α)k2 ∈ K. This
implies that αx1 + (1 − α)x2 ∈ λK. Hence, λK is convex.
∀x1 , x2 ∈ K + G, ∀α ∈ [0, 1] ⊂ IR. ∃k1 , k2 ∈ K and ∃g1 , g2 ∈ G such
that xi = ki + gi , i = 1, 2. Note that
αx1 + (1 − α)x2 = α(k1 + g1 ) + (1 − α)(k2 + g2 )

= αk1 + αg1 + (1 − α)k2 + (1 − α)g2
= (αk1 + (1 − α)k2 ) + (αg1 + (1 − α)g2 )
Since K and G are convex, then (αk1 +(1−α)k2 ) ∈ K and (αg1 +(1−α)g2 ) ∈
G. This implies that αx1 + (1 − α)x2 ∈ K + G. Hence, K + G is convex.
T space and {Cλ }λ∈Λ be a collec-

Proposition 6.40 Let (X , IK) be a vector
tion of convex subsets of X . Then, C := λ∈Λ Cλ is convex.
Proof ∀x1 , x2 ∈ C, ∀α ∈ [0, 1] ⊂ IR. ∀λ ∈ Λ, x1 , x2 ∈ Cλ . Since Cλ is

convex, then αx1 + (1 − α)x2 ∈ Cλ . This implies that αx1 + (1 − α)x2 ∈ C.
Hence, C is convex. This completes the proof of the proposition. 2
Definition 6.41 Let (X , IK) be a vector space and S ⊆ X . The convex hull
generated by S, denoted by co ( S ), is the smallest convex set containing S.
Convex Nonconvex
Figure 6.2: Convex and nonconvex sets.
Figure 6.3: Convex hulls.
Justification of the existence of convex hull rests with Proposition 6.40.

Definition 6.42 Let (X , IK) be a vector space. A convex combinationPn of
vectors x1 , . . . , xn ∈ X , where n ∈ IN, is
Pna linear combination i=1 αi xi
with αi ∈ [0, 1] ⊂ IR, ∀i = 1, . . . , n, and i=1 αi = 1.
Proposition 6.43 Let (X , IK) be a vector space and S ⊆ X . Then,
co ( S ) = { convex combinations of vectors in S }
Proof We need the follow result.
Claim 6.43.1 Let G ⊆ X be a convex subset. Then any convex combina-
tion of vectors in G belongs to G.
Proof of claim: We need to show: ∀n ∈ IN, ∀x1 , .P . . , xn ∈ G,
n
∀α1 , . . . ,P
αn ∈ IR, such that αi ∈ [0, 1] ⊂ IR, i = 1, . . . , n, i=1 αi = 1
n
implies i=1 αi xi ∈ G. We will prove this by mathematical induction on
n. P
1◦ Consider n = 1. Then, α1 = 1 and ni=1 αi xi = x1 ∈ G. The result
holds.
2◦ Assume that the result holds for n = k ∈ IN.
3◦ Consider the case n = k + 1. Without loss of generality, assume
Xk
αi
α1 > 0. By the induction hypothesis, we have xi ∈ G.
i=1
α1 + · · · + αk
Then,
k+1
X k
X αi
αi xi = (α1 + · · · + αk ) xi + αk+1 xk+1
i=1 i=1
α1 + · · · + αk
6.7. CONVEX SETS 141
k
X αi
= αk+1 xk+1 + (1 − αk+1 ) xi
i=1
α1 + · · · + αk
Pk+1
By the convexity of G, we have i=1 αi xi ∈ G. Hence, the result holds for
n = k + 1.
This completes the induction process and the proof of the claim. 2
∀x1 , x2 ∈ K := { convex combinations of vectors in S }, ∀α ∈ [0, 1] ⊂
IR. By the definition of K, ∀i = 1, 2, ∃nP i ∈ IN, ∃yi,1 , . . . , yi,ni ∈
ni
S, ∃αi,1 , . . . , αi,ni ∈ [0, 1] ⊂ IR, such that j=1 αi,j = 1 and xi =
Pni
j=1 αi,j yi,j . Then,
n1
X n2
X
αx1 + (1 − α)x2 = α α1,j y1,j + (1 − α) α2,j y2,j
j=1 j=1
n1
X n2
X
= αα1,j y1,j + (1 − α)α2,j y2,j
j=1 j=1
Note that αα1,j ≥ 0, j = 1, . . . , n1 , and (1 − α)α2,j ≥ 0, j = 1, . . . , n2 , and

n1
X n2
X Xn1 n2
X
αα1,j + (1 − α)α2,j = α α1,j + (1 − α) α2,j = α + (1 − α) = 1.
j=1 j=1 j=1 j=1
Hence, αx1 + (1 − α)x2 ∈ K. This shows that K is convex. Clearly, S ⊆ K.
On the other hand, fix any convex set G in the vector space, satisfying
S ⊆ G. ∀p ∈ K, by Claim 6.43.1, p ∈ G since S ⊆ G. Then, K ⊆ G.
The above implies that K is the smallest convex set containing S.
Hence, K = co ( S ). This completes the proof of the proposition. 2
Definition 6.44 Let (X , IK) be a vector space and C ⊆ X . C is said to be

a cone with vertex at origin if ϑ ∈ C and, ∀x ∈ C, ∀α ∈ [0, ∞) ⊂ IR, we
have αx ∈ C. C is said to be a cone with vertex p ∈ X if C = p + D, where
D is a cone with vertex at origin. C is said to be a conic segment if ϑ ∈ C
and, ∀x ∈ C, ∀α ∈ [0, 1] ⊂ IR, we have αx ∈ C.
If vertex is not explicitly mentioned, it is assumed to be at origin.
Figure 6.4: Cones.
Convex cones: arises in connection with positive vectors. In IRn with

n ∈ IN, the positive cone may be defined as
P = { x = (ξ1 , . . . , ξn ) ∈ IRn | ξi ≥ 0, i = 1, . . . , n }
6.8 Linear Independence and Dimensions

Definition 6.45 Let (X , F ) be a vector space, x ∈ X , and S ⊆ X . The
vector x is said to be linearly dependent upon S is x ∈ span ( S ). Other-
wise, x is said to be linearly independent of S. S is said to be a linearly
independent set if, ∀y ∈ S, y is linearly independent of S \ {y}.
Note that ∅ is a linearly independent set; {x} is a linearly independent

set if, and only if, x 6= ϑ; and {x1 , x2 } is a linearly independent set if, and
only if, x1 and x2 do not lie on a common line through the origin.
Theorem 6.46 Let X be a vector space over the field F := (F, +, ·, 0, 1)

and S ⊆ X . Then, S is a linearly independent set if, and onlyPif, ∀n ∈ IN,
∀α1 , . . . , αn ∈ F, ∀x1 , . . . , xn ∈ X which are distinct, we have ni=1 αi xi =
ϑ implies that αi = 0, i = 1, . . . , n.
Proof “Sufficiency” We will prove it using an argument of contradic-

tion. Suppose S is not a linearly independent set. Then, ∃y ∈ S such that
y is linearly dependent upon S \ {y}. So, y ∈ span ( S \ {y} ). P∃n ∈ IN,
n
∃x2 , . . . , xn ∈ S \ {y}, and ∃α2 , . . . , αn ∈ F such that y = i=2 αi xi
(when n = 1, then y = ϑ). Without loss of generality, we may assume
that xP 2 , . . . , xn are distinct. Let x1 = y and α1 = −1 6= 0. Then, we
n
have i=1 αi xi = ϑ with α1 6= 0 and x1 , . . . , xn are distinct. This is a
contradiction. Hence, the sufficiency result holds.
“Necessity” We again prove this by an argument of contradiction. Sup-
pose the result does not hold. ∃nP∈ IN, ∃α1 , . . . , αn ∈ F, and ∃x1 , . . . , xn ∈
n
S which are distinct such that i=1 αi xi = ϑ and ∃i0 ∈ {1, . . . , n} such
that αi0 6= 0. Without Pn loss of generality, wePmay assume i0 = 1. Then,
n
we have α1 x1 = − i=2 αi xi . Hence, x1 = i=2 (−α−1 1 αi )xi . Note that
xi 6= x1 implies that xi ∈ S \ {x1 }, i = 2, . . . , n. Hence, x1 is linearly de-
pendent upon S \ {x1 }. This is a contradiction. Then, the necessity result
holds.
This completes the proof of this theorem. 2
Corollary 6.47 Let X be a vector space over the field F := (F, +, ·, 0, 1),
{x1 , . . . , xn } ⊆ X be a linearly independent set,
Pnxi ’s are distinct,
Pn α1 , . . . , αn ,
β1 , . . . , βn ∈ F, and n ∈ Z+ . Assume that i=1 αi xi = i=1 βi xi . Then,
αi = βi , i = 1, . . . , n.
P
Proof The assumption implies ni=1 (αi − βi )xi = ϑ. When n = 0,
clearly the result holds. When n ∈ IN, by Theorem 6.46, we have αi −βi = 0,
i = 1, . . . , n. This completes the proof of the corollary. 2
Definition 6.48 Let X be a vector space over the field F := (F, +, ·, 0, 1),
n ∈ Z+ , x1 , . . . , xn ∈PX . The vectors x1 , . . . , xn are linearly independent
if, ∀α1 , . . . , αn ∈ F, ni=1 αi xi = ϑ implies α1 = · · · = αn = 0. Otherwise,
these vectors are said to be linearly dependent.
6.8. LINEAR INDEPENDENCE AND DIMENSIONS 143
Lemma 6.49 Let X be a vector space over the field F := (F, +, ·, 0, 1).
Then,
1. x1 , . . . , xn ∈ X are linearly independent, where n ∈ Z+ , if, and only

if, they are distinct and the set {x1 , . . . , xn } is a linearly independent
set.
2. S ⊆ X is a linearly independent set if, and only if, ∀n ∈ IN,

∀x1 , . . . , xn ∈ S which are distinct implies that x1 , . . . , xn are linearly
independent.
Proof 1. “Sufficiency” When n = 0, x1 , . . . , xn are linearly indepen-

dent and ∅ is a linearly independent set. Hence, the result holds. When
n ∈ IN, this is straightforward from Theorem 6.46. “Necessity” We will
prove this using an argument of contradiction. Suppose the result does not
hold. We will distinguish two exhaustive cases: Case 1: x1 , . . . , xn are not
distinct; Case 2: the set {x1 , . . . , xn } is not a linearly independent set. Case
1. Without loss of generality, assumeP x1 = x2 . Set α1 = 1, α2 = −1 and
the rest of αi ’s to 0. Then, we have ni=1 αi xi = ϑ and hence x1 , . . . , xn
is linearly dependent. This is a contradiction. Case 2. By Theorem 6.46,
∃m ∈ IN, ∃α1 , . . . , αm ∈ F which
P are not all 0’s, ∃y1 , . . . , ym ∈ {x1 , . . . , xn }
which are distinct, such that m i=1 αi yi = ϑ. Clearly, m ≤ n, otherwise yi ’s
are not distinct. Without loss of generality, P assume y1 = x1 , . . . , ym = xm .
n
Set αm+1 = · · · = αn = 0. Then, we have i=1 αi xi = ϑ with α1 , . . . , αn
not all 0’s. This is a contradiction. Thus, we have arrived at a contradiction
in every case. Hence, the necessity result holds.
2. This is straightforward form Theorem 6.46.
Definition 6.50 Let (X , F ) be a vector space and S ⊆ X be a linearly

independent set with n ∈ Z+ elements. S is said to be a basis of the vector
space if span ( S ) = X . In this case, the vector space is said to be finite
dimensional with dimension n. All other vector spaces are said to be infinite
dimensional.
Theorem 6.51 Let X be a finite dimensional vector space over the field
F := (F, +, ·, 0, 1). Then, the dimension n ∈ {0} ∪ IN is unique. Further-
more, any linearly independent set of n vectors form a basis of the vector
space.
Proof Let n ∈ Z+ be the minimum of dimensions for X . Then, there

exists a set S1 ⊆ X with n elements such that S1 is a basis for the vector
space. We will show that ∀y1 , . . . , ym ∈ X with m > n, then y1 , . . . , ym
are linearly dependent. This implies that any subset with more than n
elements cannot be a linearly independent set by Lemma 6.49. Henceforth,
the dimension of the vector space is unique.
∀y1 , . . . , ym ∈ X with m > n. There are two exhaustive and mutually

exclusive cases: Case 1: n = 0; Case 2: n > 0. Case 1: n = 0. Then,
S1 = ∅ and X contains a single vector ϑ. Hence, y1 = · · · = ym = ϑ.
Clearly, y1 , . . . , ym are linearly dependent. This case is proven. Case 2:
n > 0. Take S1 = {x1 , . . . , xn }. Since S1 is a basis for the vector space,
then, ∀i ∈ {1, .P . . , m}, yi ∈ span ( S1 ), that is, ∃αij ∈ F, j = 1, . . . , n,
n
such that yi = j=1 αij xj . Consider the m × n-dimensional matrix A :=
(αij )m×n . Since m > n, then rank(A) < m, which implies that the row
vectors of A are Plinearly dependent. ∃β1 , . . . , βm ∈ F, whichPare not all
m m
0’s,
Pm Pn such that i=1 β i α
Pn = P
ij 0, j = 1, . . . , n. This implies i=1 βi yi =
m
i=1 j=1 β i αij x j = j=1 ( i=1 β i αij )xj = ϑ. Hence, y 1 , . . . , ym are
linearly dependent. This case is also proven.
Hence, the dimension of the vector space is unique.
∀S2 ⊆ X with n vectors that is a linearly independent set, we will show
that S2 is a basis for the vector space. We will distinguish two exhaustive
and mutually exclusive cases: Case 1: n = 0; Case 2: n > 0. Case 1:
n = 0. Then, S2 = ∅ and X is a singleton set consisting of the null vector,
which equals to span ( S2 ). Hence, S2 is a basis for the vector space. Case
2: n > 0. Take S2 = {z1 , . . . , zn }. ∀x ∈ X , x, z1 , . . . , zn (for a total
of n + 1 vectors), by the preceding proof, are linearly dependent. Pn Then,
∃α, β1 , . . . , βn ∈ F, which Pn are not all 0’s, such that αx + i=1 β i z i = ϑ.
Suppose α = 0. Then, i=1 βi zi = ϑ. Since S2 is a linearly independent
set, by Theorem 6.46, then β1 = · · · = βn = 0. This contradicts with
the fact that α, β1 , . . . , βn are not all 0’s. Hence, α 6= 0. Then, x =
P n −1
i=1 (−α βi )zi and x ∈ span ( S2 ). Therefore, we have X = span ( S2 ).
Hence, S2 is a basis of the vector space.
Finite-dimensional spaces are simpler to analyze. Many results of finite-
dimensional spaces may be generalized to infinite-dimensional spaces. We
endeavor to stress the similarity between the finite- and infinite-dimensional
spaces.
Chapter 7
Banach Spaces
7.1 Normed Linear Spaces

Vector spaces admit algebraic properties, but they lack topological proper-
ties.
Denote IK to be either IR or C.
Definition 7.1 Let (X , IK) be a vector space. A norm on the vector space
is a real-valued function k · k : X → [0, ∞) ⊂ IR that satisfies the following
properties: ∀x, y ∈ X , ∀α ∈ IK,
(i) 0 ≤ k x k < +∞ and k x k = 0 ⇔ x = ϑ;
(ii) k x + y k ≤ k x k + k y k; (triangle inequality)
(iii) k αx k = | α | k x k.
A real (complex) normed linear space is a vector space over the filed IR (or
C) together with a norm defined on it. A normed linear space consisting of
the triple (X , IK, k · k).
To simplify notation in the theory, we may later simply discuss a normed

linear space X := (X , IK, k · k) without further reference to components of
X, where the operations are understood to be ⊕X and ⊗X , the null vector
is understood to be ϑX , and the norm is understood to be k · kX . When it
is clear from the context, we will neglect the subscript X.
Example 7.2 Let n ∈ Z+ . The Euclidean space (IRn , IR,p |·|) is a normed
linear space, where the norm is defined by | (ξ1 , . . . , ξn ) | = ξ12 + · · · + ξn2 ,
∀(ξ1 , . . . , ξn ) ∈ IRn . Note that we specifically denote the Euclidean norm
as | · | , rather than k · k, to distinguish it from other norms on IRn . ⋄
Example 7.3 Let n ∈ Z+ . The space (Cn , C, q|·|) is a normed linear space,
Pn 2
where the norm is defined by | (ξ1 , . . . , ξn ) | = i=1 | ξi | , ∀(ξ1 , . . . , ξn ) ∈
145
146 CHAPTER 7. BANACH SPACES
Cn . Note that we specifically denote the norm as | · |, rather than k · k, to

distinguish it from other norms on Cn . ⋄
Example 7.4 Let X := {f : [a, b] → IR}, where a, b ∈ IR with a ≤ b,
⊕ and ⊗ be the usual vector addition and scalar multiplication, and ϑ :
[a, b] → IR be given by ϑ(t) = 0, ∀t ∈ [a, b]. By Example 6.20, X :=
(X, ⊕, ⊗, ϑ) is a vector space over IR. Let M := { f ∈ X | f is continuous}
is a subspace by Proposition 6.25. Let M := (M, ⊕, ⊗, ϑ). Then, (M, IR) is
a vector space. Introduce a norm on this space by k x k = maxa≤t≤b | x(t) |,
∀x ∈ M. Now, we verify the properties of the norm. ∀x, y ∈ M, ∀α ∈ IR.
(i) Since [a, b] is a nonempty compact set and x is continuous, then,

k x k = | x(t) | ∈ [0, ∞) ⊂ IR, for some t ∈ [a, b]. Clearly, k x k = 0 ⇔
x = ϑ.
(ii) k x + y k = max | x(t) + y(t) | ≤ max (| x(t) | + | y(t) |) ≤ max | x(t) | +

a≤t≤b a≤t≤b a≤t≤b
max | y(t) | = k x k + k y k.
a≤t≤b
(iii) k αx k = maxa≤t≤b | αx(t) | = maxa≤t≤b | α | | x(t) | = | α | ·

maxa≤t≤b | x(t) | = | α | k x k, where have made use of Proposition 3.81
and the fact that k x k ∈ IR in the third equality.
Hence, C([a, b]) := (M, IR, k · k) is a normed linear space. ⋄

Example 7.5 Let X := {f : [a, b] → IR}, where a, b ∈ IR with
a < b, ⊕ and ⊗ be the usual vector addition and scalar multiplica-
tion, and ϑ : [a, b] → IR be given by ϑ(t) = 0, ∀t ∈ [a, b]. By Exam-
ple 6.20, X := (X, ⊕, ⊗, ϑ) is a vector space over IR. Let M := { f ∈
X | f is continuously differentiable } is a subspace by Proposition 6.25.
Let M := (M, ⊕, ⊗, ϑ). Then, (M, IR) is a vector space.
Introduce a norm
on this space by k x k = maxa≤t≤b | x(t) | + maxa≤t≤b x(1) (t) , ∀x ∈ M.
Now, we verify the properties of the norm. ∀x, y ∈ M, ∀α ∈ IR.
(i) Since [a, b] is a nonempty compact set and x is continuously differ-

entiable, then, k x k = | x(t1 ) | + x(1) (t2 ) ∈ [0, ∞) ⊂ IR, for some
t1 , t2 ∈ [a, b]. Clearly, k x k = 0 ⇔ x = ϑ.

(ii) k x+y k = max | x(t)+y(t) |+ max x(1) (t)+y (1) (t) ≤ max | x(t) |+
a≤t≤b
a≤t≤b a≤t≤b
max | y(t) | + max x(1) (t) + max y (1) (t) = k x k + k y k.
a≤t≤b a≤t≤b a≤t≤b

(iii) k αx k = maxa≤t≤b | αx(t) | + maxa≤t≤b αx(1) (t) = | α | k x k.
Hence, C1 ([a, b]) := (M, IR, k · k) is a normed linear space. ⋄

∞
Example 7.6 Let X := { ( ξk )k=1
| ξk ∈ IR, ∀k ∈ IN }, ⊕ and ⊗ be the
usual vector addition and scalar multiplication, and ϑ := (0, 0, . . .) ∈ X. By
Example 6.23, X := (X, ⊕, ⊗, ϑ) is a vector space over IR. For p ∈ [1, ∞) ⊂
7.1. NORMED LINEAR SPACES 147
∞ P∞ p
IR, let Mp := { ( ξk )k=1 ∈ X | k=1 | ξk | < +∞ }. Define the norm
P∞ p 1/p ∞ ∞
k x kp = ( k=1 | ξk | ) , ∀x = ( ξk )k=1 ∈ Mp . Let M∞ := { ( ξk )k=1 ∈
X | supk≥1 | ξk | < +∞ }. Define the norm k x k∞ = supk≥1 | ξk |, ∀x =
∞
( ξk )k=1 ∈ M∞ . ∀p ∈ [1, +∞] ⊂ IRe , we will show that Mp := (Mp , ⊕, ⊗, ϑ)
is a subspace in (X , IR) and lp := (Mp , IR, k · kp ) is a normed linear space.
∀p ∈ [1, +∞] ⊂ IRe . ϑ ∈ lp 6= ∅. ∀x, y ∈ Mp , ∀α, β ∈ IR. It is
easy to check that k αx kp = | α | k x kp . Then, by Theorem 7.9, k αx +
βy kp ≤ k αx kp + k βy kp = | α | k x kp + | β | k y kp < +∞. This implies that
αx + βy ∈ Mp . Hence, Mp is a subspace of (X , IR). It is easy to check
that k x kp ∈ [0, ∞) ⊂ IR, ∀x ∈ lp , and k x kp = 0 ⇔ x = ϑ. Therefore, lp is
a normed linear space. ⋄
Lemma 7.7 ∀a, b ∈ [0, ∞) ⊂ IR, ∀λ ∈ (0, 1) ⊂ IR, we have

aλ b1−λ ≤ λa + (1 − λ)b
where equality holds if, and only if, a = b.
Proof Define f : [0, ∞) → IR by f (t) = tλ −λt+λ−1, ∀t ∈ [0, ∞) ⊂ IR.
Then, f is continuous, and is differentiable on (0, ∞). f (1) (t) = λtλ−1 − λ,
∀t ∈ (0, ∞). Then, f (1) (t) > 0, ∀t ∈ (0, 1) and f (1) (t) < 0, ∀t ∈ (1, ∞).
Then, f (t) ≤ f (1) = 0, ∀t ∈ [0, ∞), where equality holds if, and only if,
t = 1.
We will distinguish two exhaustive and mutually exclusive cases: Case
1: b = 0; Case 2: b > 0. Case 1: b = 0. We have aλ b1−λ = 0 ≤ λa =
λa + (1 − λ)b, where equality holds if, and only if, a = b = 0. This case
is proved. Case 2: b > 0. Since f (a/b) ≤ 0, we immediately obtain the
desired inequality, where equality holds if, and only if, a/b = 1 ⇔ a = b.
This case is also proved.
Theorem 7.8 (Hölder’s Inequality) Let p ∈ [1, +∞) ⊂ IR and q ∈
(1, +∞] ⊂ IRe with 1/p + 1/q = 1. Then, ∀x = ( ξk )∞
k=1 ∈ lp , ∀y =
∞
( ηk )k=1 ∈ lq , we have
∞
X
| ξk ηk | ≤ k x kp k y kq
k=1
When q < ∞, equality holds if, and only if, ∃α, β ∈ IR, which are not both
p q
zeros, such that α | ξk | = β | ηk | , k = 1, 2, . . .. When q = ∞, equality
holds if, and only if, | ηk | = k y k∞ for any k ∈ IN with | ξk | > 0.
cases: Case 1: q = ∞; Case 2: 1 < q < +∞. Case 1: q = ∞. Then,
p = 1. We have
∞
X ∞
X ∞
X
| ξk ηk | = | ξk | | ηk | ≤ | ξk | k y k∞ = k x k1 k y k∞
k=1 k=1 k=1
where equality holds if, and only if, | ηk | = k y k∞ for any k ∈ IN with
| ξk | > 0. This case is proved.
Case 2: 1 < q < +∞. Then, 1 < p < +∞. We will further distinguish
two exhaustive and mutually exclusive cases: Case 2a: k x kp k y kq = 0; Case
2b: k x kp k y kq > 0. Case 2a: k x kp k y kq = 0. Without loss of generality,
assume k y kq = 0. Then, y = ϑ and
∞
X
| ξk ηk | = 0 = k x kp k y kq
k=1
Equality holds ⇒ α = 0 and β = 1 and α | ξk |p = β | ηk |q , k = 1, 2, . . ..

This subcase is proved. Case 2b: k x kp k y kq > 0. Then, k x kp > 0 and
p | η | q
| ξk | k
k y kq > 0. ∀k ∈ IN, by Lemma 7.7 with a = , b = ,
k x kp k y kq
and λ = 1/p, we have
p q
| ξk ηk | 1 | ξk | 1 | ηk |
≤ +
k x kp k y kq p k x kpp q k y kqq
| ξk |p | ηk |q
with equality if, and only if, p = q . Summing the above inequality
k x kp k y kq
for all k ∈ IN, we have
P∞
| ξk ηk |
k=1 1 1
≤ + =1
k x kp k y kq p q
p q
| ξk | | ηk |
with equality if, and only if, p = q , k = 1, 2, . . .. Equality ⇒ α =
k x kp k y kq
p q p q
1/ k x kp and β = 1/ k y kq and α | ξk | = β | ηk | , k = 1, 2, . . .. On the other
p q
hand, if ∃α, β ∈ IR, which are not both zeros, such that α | ξk | = β | ηk | ,
k = 1, 2, . . ., then, without loss of generality, assume β 6= 0. Let α1 = α/β.
p q p q
Then, α1 | ξk | = | ηk | , k = 1, 2, . . .. Hence, α1 k x kp = k y kq , which further
p q
q p | ξk | | ηk |
implies that α1 = k y kq / k x kp . Hence, p = q , k = 1, 2, . . .. This
k x kp k y kq
implies equality. Therefore, equality if, and only if, ∃α, β ∈ IR, which are
p q
not both zeros, such that α | ξk | = β | ηk | , k = 1, 2, . . .. This subcase is
proved.
When p = 2 = q, the Hölder’s inequality becomes the well-known
Cauchy-Schwarz Inequality:
∞
X X
∞ 1/2 X
∞ 1/2
2 2
| ξk ηk | ≤ | ξk | | ηk |
k=1 k=1 k=1
7.1. NORMED LINEAR SPACES 149
Theorem 7.9 (Minkowski’s Inequality) Let p ∈ [1, ∞] ⊂ IRe . ∀x, y ∈

lp , then, x + y ∈ lp and
k x + y kp ≤ k x kp + k y kp
When 1 < p < ∞, equality holds if, and only if, ∃α, β ∈ [0, ∞) ⊂ IR, which
are not both zeros, such that αx = βy.
∞ ∞
Proof ∀x = ( ξk )k=1 , y = ( ηk )k=1 ∈ lp . We will distinguish three
exhaustive and mutually exclusive cases: Case 1: p = 1; Case 2: p = ∞;
Case 3: 1 < p < ∞.
∞
X ∞
X
Case 1: p = 1. k x + y k1 = | ξk + ηk | ≤ (| ξk | + | ηk |) = k x k1 +
k=1 k=1
k y k1 < +∞. Equality holds if, and only if, ξk ηk ≥ 0, k = 1, 2, . . .. Hence,
x + y ∈ l1 .
Case 2: p = ∞. k x + y k∞ = sup | ξk + ηk | ≤ sup (| ξk | + | ηk |) ≤
k∈IN k∈IN
sup | ξk | + sup | ηk | = k x k∞ + k y k∞ < +∞. Hence, x + y ∈ l∞ .
k∈IN k∈IN
Case 3: 1 < p < ∞. We will further distinguish two exhaustive and
mutually exclusive cases: Case 3a: k x kp k y kp = 0; Case 3b: k x kp k y kp >
0. Case 3a: k x kp k y kp = 0. Without loss of generality, assume k y kp = 0.
Then, y = ϑ and ηk = 0, k = 1, 2, . . .. Hence, x + y = x ∈ lp and
k x + y kp = k x kp = k x kp + k y kp . Let α = 0 and β = 1, we have αx = βy.
Hence, equality holds if, and only if, ∃α, β ∈ [0, ∞) ⊂ IR, which are not
both zeros, such that αx = βy. This subcase is proved.
Case 3b: k x kp k y kp > 0. Then, k x kp > 0 and k y kp > 0. Let λ =
k x kp
∈ (0, 1) ⊂ IR. ∀k ∈ IN.
k x kp + k y kp
p p p
| ξk + ηk | | ξk | + | ηk | | ξk | | ηk |
≤ = λ + (1 − λ)
(k x kp + k y kp )p k x kp + k y kp k x kp k y kp
Since 1 < p < ∞, then the function tp is strictly convex on [0, ∞) ⊂ IR.
Then, we have
p p p
| ξk + ηk | | ξk | | ηk |
≤λ p + (1 − λ)
(k x kp + k y kp )p k x kp k y kpp
| ξk | | ηk | ξk ηk
where equality holds ⇔ ξk ηk ≥ 0 and = ⇔ = .
k x kp k y kp k x kp k y kp
Summing the above inequalities for all k ∈ IN, we have
p ∞ p
k x + y kp X | ξk + ηk |
=
(k x kp + k y kp )p (k x kp + k y kp )p
k=1
P∞ p P∞
k=1 | ξk | | ηk |p
≤ λ p + (1 − λ) k=1 p =1
k x kp k y kp
Therefore,
k x + y kp ≤ k x kp + k y kp < +∞
ξk ηk
where equality holds ⇔ = , k = 1, 2, . . . ⇔ (1/ k x kp )x =
k x kp k y kp
(1/ k y kp )y. Equality implies that α = 1/ k x kp and β = 1/ k y kp and
αx = βy. On the other hand, if ∃α, β ∈ [0, ∞) ⊂ IR, which are not both
zeros, such that αx = βy, then, without loss of generality, assume β 6= 0.
Then, y = α1 x with α1 = α/β. Easy to show that k y kp = α1 k x kp . Then,
α1 = k y kp / k x kp . This implies that (1/ k x kp )x = (1/ k y kp )y, which
further implies equality. Hence, equality holds if, and only if, ∃α, β ∈ [0, ∞),
which are not both zeros, such that αx = βy. Clearly, x + y ∈ lp . This
subcase is proved.
Example 7.10 Let X be a real (complex) normed linear space. Let
Y := { ( ξk )∞k=1 | ξk ∈ X, ∀k ∈ IN }. By Example 6.20, (Y, ⊕, ⊗, ϑ) is a
vector space over IK, where ⊕, ⊗, and ϑ are defined P∞as in the example.
∞ p
For p ∈ [1, ∞) ⊂ IR, let Mp := { ( ξk )k=1 ∈ Y | k=1 k ξ k
k X < +∞ }.
P∞ p 1/p ∞
Define the norm k x kp = ( k=1 k ξk kX ) , ∀x = ( ξk )k=1 ∈ Mp . Let
∞
M∞ := { ( ξk )k=1 ∈ Y | supk≥1 k ξk kX < +∞ }. Define the norm k x k∞ =
∞
supk≥1 k ξk kX , ∀x = ( ξk )k=1 ∈ M∞ .
∀p ∈ [1, ∞] ⊂ IRe , ∀x = ( ξk )∞ ∞
k=1 , y = ( ηk )k=1 ∈ Mp .
k x + y kp

 X
∞ 1/p X
∞ 1/p

 k ξk +
p
ηk kX ≤ (k ξk kX + k ηk kX )p p ∈ [1, ∞)
= k=1 k=1

 sup k ξk + ηk kX ≤ sup(k ξk kX + k ηk kX ) p=∞

k≥1 k≥1

 X∞ 1/p X∞ 1/p

 p
k ξk kX + k ηk kX
p
p ∈ [1, ∞)
≤ k=1 k=1

 sup k ξk kX + sup k ηk kX p=∞

k≥1 k≥1
= k x kp + k y kp < +∞
where we have made use of the Minkowski’s Inequality. In the preceding

inequality, when 1 < p < ∞, equality holds if, and only if, k ξk + ηk kX =
k ξk kX + k ηk kX , ∀k ∈ IN, and ∃α, β ∈ [0, ∞) ⊂ IR, which are not both
zeros, such that α k ξk kX = β k ηk kX , ∀k ∈ IN.
∀p ∈ [1, ∞] ⊂ IRe . Note that ϑ = (ϑX , ϑX , . . .) ∈ Mp 6= ∅. ∀x =
∞
( ξk )k=1 ∈ Mp , ∀α ∈ IK, we have

 X∞ 1/p X ∞ 1/p

 p
k αξk kX =
p p
| α | k ξk kX p ∈ [1, ∞)
k αx kp = k=1 k=1


 sup k αξk kX = sup | α | k ξk kX p=∞
k≥1 k≥1
7.2. THE NATURAL METRIC 151

 X
∞ 1/p

 |α| p
k ξk kX p ∈ [1, ∞)
= k=1 = | α | k x kp < +∞


 | α | sup k ξk kX p=∞
k≥1
where we have made use of Proposition 3.81. Then, ∀x, y ∈ Mp , ∀α, β ∈ IK,
we have k αx+βy kp ≤ k αx kp +k βy kp = | α | k x kp +| β | k y kp < +∞. Then,
αx + βy ∈ Mp . Hence, Mp := (Mp , ⊕, ⊗, ϑ) is a subspace in (Y, ⊕, ⊗, ϑ).
It is easy to check that, ∀x ∈ Mp , k x kp ∈ [0, ∞) ⊂ IR, and k x kp = 0
⇔ x = (ϑX , ϑX , . . .) = ϑ. Therefore, lp (X) := (Mp , IK, k · kp ) is a real
(complex) normed linear space, ∀p ∈ [1, ∞] ⊂ IRe . ⋄
Example 7.11 Let X := {f : [a, b] → IR}, where a, b ∈ IR with a <
b, ⊕ and ⊗ be the usual vector addition and scalar multiplication, and
ϑ : [a, b] → IR be given by ϑ(t) = 0, ∀t ∈ [a, b]. By Example 6.20, X :=
(X, ⊕, ⊗, ϑ) is a vector space over IR. Let M := { f ∈ X | f is continuous}
is a subspace by Proposition 6.25. Let M := (M, ⊕, ⊗, ϑ). Then, (M, IR)
Rb
is a vector space. Introduce a norm on this space by k x k = a | x(t) | dt,
∀x ∈ M. Now, we verify the properties of the norm. ∀x, y ∈ M, ∀α ∈ IR.
(i) Since x is continuous, then, | x(·) | is continuous and therefore in-

tegrable on [a, b]. Hence, 0 ≤ k x k < +∞. x = ϑ ⇒ k x k = 0.
On the other hand, x 6= ϑ ⇒ ∃t1 ∈ [a, b] such that | x(t1 ) | > 0.
By continuity of x, ∃δ ∈ (0, ∞) ⊂ IR such that | x(t) | > | x(t1 ) | /2,
∀t ∈ [t1 − δ, t1 + δ] ∩ [a, b] ⇒ k x k > 0. Hence, k x k = 0 ⇔ x = ϑ.
Rb Rb
(ii) k x + y k = a | x(t) + y(t) | dt ≤ a ( | x(t) | + | y(t) | ) dt = k x k + k y k.
Rb
(iii) k αx k = a | αx(t) | dt = | α | k x k.
Hence, (M, IR, k · k) is a normed linear space. ⋄
Definition 7.12 Let X be a set, Y be a normed linear space, f : X → Y. f

is said to be bounded if ∃M ∈ [0, ∞) ⊂ IR such that k f (x) k ≤ M , ∀x ∈ X.
S ⊆ Y is said to be bounded if ∃M ∈ [0, ∞) ⊂ IR such that k s k ≤ M ,
∀s ∈ S.
Proposition 7.13 Let X := (X , IK, k · k) be a normed linear space and

M ⊆ X be a subspace. Then, (M, IK, k · k) is also a normed linear space.
Proof This is straightforward and is therefore omitted. 2
7.2 The Natural Metric

A normed linear space is actually a metric space.
Proposition 7.14 A normed linear space X := (X , IK, k · k) admits the

natural metric ρ : X × X → [0, ∞) ⊂ IR given by ρ(x, y) = k x − y k,
∀x, y ∈ X.
Proof ∀x, y, z ∈ X, we have (i) ρ(x, y) ∈ [0, ∞); (ii) ρ(x, y) = k x −
y k = 0 ⇔ x − y = ϑ ⇔ x = y; (iii) ρ(x, y) = k x − y k = k (−1) (x − y) k =
k y − x k = ρ(y, x); and (iv) Note that
ρ(x, z) = k x − z k = k (x − y) + (y − z) k ≤ k x − y k + k y − z k
= ρ(x, y) + ρ(y, z)
Hence, ρ is a metric. This completes the proof of the proposition. 2

Now, we can talk about topological properties and metric properties
of a normed linear space. When we refer to these properties of a normed
linear space, we are referring to the above metric specifically.
Proposition 7.15 Let X be a normed linear space and C ⊆ X be convex.

Then, C and C ◦ are convex.
Proof ∀x1 , x2 ∈ C, ∀α ∈ [0, 1] ⊂ IR, we need to show that αx1 +

(1 − α)x2 ∈ C. By Proposition 3.3, ∀r ∈ (0, ∞) ⊂ IR, B ( xi , r ) ∩ C 6= ∅,
i = 1, 2. Let pi ∈ B ( xi , r ) ∩ C, i = 1, 2. Then, by convexity of C, we have
αp1 + (1 − α)p2 ∈ C. Note that
k (αx1 + (1 − α)x2 ) − (αp1 + (1 − α)p2 ) k

= k α(x1 − p1 ) + (1 − α)(x2 − p2 ) k
≤ α k x1 − p1 k + (1 − α) k x2 − p2 k < r
Then, αp1 + (1 − α)p2 ∈ B ( αx1 + (1 − α)x2 , r ) ∩ C 6= ∅. Hence, αx1 + (1 −

α)x2 ∈ C by the arbitrariness of r and Proposition 3.3. Then, C is convex.
∀x1 , x2 ∈ C ◦ , ∀α ∈ [0, 1] ⊂ IR, we need to show that αx1 + (1 − α)x2 ∈
◦
C . ∃ri ∈ (0, ∞) ⊂ IR such that B ( xi , ri ) ⊆ C, i = 1, 2. Let r :=
min{r1 , r2 } > 0. ∀p ∈ B ( αx1 + (1 − α)x2 , r ), let w := p − αx1 − (1 − α)x2 .
Then, k w k < r and xi + w ∈ B ( xi , ri ) ⊆ C, i = 1, 2. By the convexity
of C, we have C ∋ α(x1 + w) + (1 − α)(x2 + w) = p. Hence, we have
B ( αx1 + (1 − α)x2 , r ) ⊆ C and αx1 + (1 − α)x2 ∈ C ◦ . Hence, C ◦ is convex.
Proposition 7.16 Let X be a normed linear space, x0 ∈ X, S ⊆ X, and

P = x0 + S. Then, P = x0 + S and P ◦ = x0 + S ◦ .
Proof ∀x ∈ P , by Proposition 3.3, ∀r ∈ (0, ∞) ⊂ IR, ∃p0 ∈ P ∩

B ( x, r ). Then, p0 − x0 ∈ S ∩ B ( x − x0 , r ) 6= ∅. Hence, by Proposition 3.3,
x − x0 ∈ S and x ∈ x0 + S. Hence, P ⊆ x0 + S.
On the other hand, ∀x ∈ x0 + S, we have x − x0 ∈ S and, by
Proposition 3.3, ∀r ∈ (0, ∞) ⊂ IR, ∃s0 ∈ S ∩ B ( x − x0 , r ) 6= ∅. Then,
x0 + s0 ∈ P ∩ B ( x, r ) 6= ∅. By Proposition 3.3, x ∈ P . Hence, x0 + S ⊆ P .
7.2. THE NATURAL METRIC 153
Therefore, we have P = x0 + S.
∀x ∈ P ◦ , ∃r ∈ (0, ∞) ⊂ IR such that B ( x, r ) ⊆ P . Then, B ( x−x0 , r ) =
B ( x, r ) − x0 ⊆ P − x0 = S. Hence, x − x0 ∈ S ◦ , x ∈ x0 + S ◦ and
P ◦ ⊆ x0 + S ◦ .
On the other hand, ∀x ∈ x0 + S ◦ , we have x − x0 ∈ S ◦ . Then, ∃r ∈
(0, ∞) ⊂ IR such that B ( x − x0 , r ) ⊆ S. Hence, B ( x, r ) = B ( x − x0 , r ) +
x0 ⊆ x0 + S = P . Therefore, x ∈ P ◦ and x0 + S ◦ ⊆ P ◦ .
Hence, we have P ◦ = x0 + S ◦ . This completes the proof of the propo-
sition. 2
Proposition 7.17 Let X be a normed linear space over IK. Then, the
(i) If M ⊆ X is a subspace, then M is a subspace.
(ii) If V ⊆ X is a linear variety, then V is a linear variety.
(iii) If C ⊆ X is a cone with vertex p ∈ X, then C is a cone with vertex p.
(iv) Let x0 ∈ X and r ∈ (0, ∞) ⊂ IR. Then, B ( x0 , r ) = B ( x0 , r ).
Proof (i) Clearly, we have ϑ ∈ M ⊆ M 6= ∅. ∀x, y ∈ M , ∀α ∈ IK, we

will show that x + y, αx ∈ M . Then, M is a subspace. ∀r ∈ (0, ∞) ⊂ IR, by
Proposition 3.3, ∃x0 ∈ B ( x, r/2 ) ∩ M 6= ∅ and ∃y0 ∈ B ( y, r/2 ) ∩ M 6= ∅.
Since M is a subspace, then x0 + y0 ∈ M and x0 + y0 ∈ B ( x + y, r ).
Hence, we have M ∩ B ( x + y, r ) 6= ∅, which implies that x + y ∈ M .
∀r ∈ (0, ∞) ⊂ IR, by Proposition 3.3, ∃x0 ∈ B ( x, r/(1 + | α |) ) ∩ M 6= ∅.
Since M is a subspace, then αx0 ∈ M and αx0 ∈ B ( αx, r ). Hence, we have
M ∩ B ( αx, r ) 6= ∅, which implies that αx ∈ M . Hence, M is a subspace.
(ii) Note that V = x0 + M , where x0 ∈ X and M ⊆ X is a subspace.
By Proposition 7.16, V = x0 + M . By (i), M is a subspace. Then, V is a
linear variety.
(iii) First, we will prove the special case p = ϑ. Clearly, ϑ ∈ C ⊆ C.
∀x ∈ C, ∀α ∈ [0, ∞) ⊂ IR, we will show that αx ∈ C. ∀r ∈ (0, ∞) ⊂ IR,
by Proposition 3.3, ∃x0 ∈ C ∩ B ( x, r/(1 + | α |) ) 6= ∅. Then, we have
αx0 ∈ C ∩ B ( αx, r ) 6= ∅. By Proposition 3.3, αx ∈ C. Hence, C is a cone
with vertex at the origin.
For general p ∈ X, we have C = p + C0 , where C0 is a cone with vertex
at the origin. By Proposition 7.16, C = p + C0 . By the special case we
have shown, C0 is a cone with vertex at the origin. Hence, C is a cone with
vertex p.
(iv) First, we will prove the special case x0 = ϑ. By Proposi-
tion 4.3, B ( ϑ, r ) is a closed set and B ( ϑ, r ) ⊇ B ( ϑ, r ). Then, we have
∞
B ( ϑ, r ) ⊆ B ( ϑ, r ). On the other hand, ∀x ∈ B ( ϑ, r ), define ( xk )k=1 ⊆ X
k k k
by xk := 1+k x, ∀k ∈ IN. Then, k xk k = 1+k k x k ≤ 1+k r < r, ∀k ∈ IN.
∞
Therefore, ( xk )k=1 ⊆ B ( ϑ, r ). It is obvious that limk∈IN xk = x, then, by
Proposition 4.13, x ∈ B ( ϑ, r ). Then, we have B ( ϑ, r ) ⊆ B ( ϑ, r ). Hence,

the result holds for x0 = ϑ.
For arbitrary x0 ∈ X, by Proposition 7.16, B ( x0 , r ) = x0 + B ( ϑ, r ) =
x0 + B ( ϑ, r ) = x0 + B ( ϑ, r ) = B ( x0 , r ). Hence, the result holds.
Proposition 7.18 Let X be a normed linear space, P ⊆ X, and P 6=

∅. The closed linear variety generated by P , denoted by V ( P ), is the
intersection of all closed linear varieties containing P . Then, V ( P ) =
v ( P ).
Proof By Proposition 7.17, v ( P ) is a closed linear variety containing

P . Then, we have V ( P ) ⊆ v ( P ). On the other hand, V ( P ) is a closed lin-
ear variety containing P , and then v ( P ) ⊆ V ( P ). Hence, v ( P ) ⊆ V ( P ).
Therefore, the result holds. This completes the proof of the proposition. 2
The justification of the definition of V ( P ) is that intersection of linear
varieties is a linear variety when the intersection is nonempty.
Definition 7.19 Let X be a normed linear space and P ⊆ X be nonempty.

x ∈ P is said to be a relative interior point of P if it is an interior point of
P relative to the subset topology of V ( P ). The set of all relative interior
points of P is called the relative interior of P , and denoted by ◦P . P is
said to be relatively open if P is open in the subset topology of V ( P ).
Proposition 7.20 Let X be a normed linear space and ( xα )α∈A ⊆ X be a

net. Then, limα∈A xα = x ∈ X if, and only if, ∀ǫ ∈ (0, ∞) ⊂ IR, ∃α0 ∈ A,
∀α ∈ A with α0 ≺ α, we have k x − xα k < ǫ.
Proposition 7.21 Let X be a normed linear space. Then, k · k is a uni-

formly continuous function on X.
Proof This follows directly from Propositions 4.30 and 7.14. 2
7.3 Product Spaces

Proposition 7.22 Let X := (X , IK, k·kX ) and Y := (Y, IK, k·kY ) be normed
linear spaces. By Proposition 6.24, X × Y is a vector space over IK. Define
a function k · k : X × Y → [0, ∞) ⊂ IR by k (x, y) k := (k x k2X + k y k2Y )1/2 ,
∀(x, y) ∈ X × Y. Then, (X × Y, IK, k · k) is a normed linear space. This
normed linear space will be called the Cartesian product of X and Y and be
denoted by X × Y.
Proof ∀(x1 , y1 ), (x2 , y2 ) ∈ X × Y, ∀α ∈ IK, we have k (x1 , y1 ) k =

2 2
(k x1 kX + k y1 kY )1/2 ∈ [0, ∞) ⊂ IR and k (x1 , y1 ) k = 0 ⇔ k x1 kX = 0 and
k y1 kY = 0 ⇔ x1 = ϑX and y1 = ϑY ⇔ (x1 , y1 ) = ϑ; k (x1 , y1 ) + (x2 , y2 ) k =
2 2
k (x1 +x2 , y1 +y2 ) k = (k x1 +x2 kX +k y1 +y2 kY )1/2 ≤ (k x1 kX +k x2 kX )2 +
1/2 2 2 2 2
(k y1 kY + k y2 kY )2 ≤ (k x1 kX + k y1 kY )1/2 + (k x2 kX + k y2 kY )1/2 =
k (x1 , y1 ) k + k (x2 , y2 ) k, where the first inequality follows from the fact that
X and Y are normed linear spaces and the second inequality follows from
the Minkowski’s Inequality; k α (x1 , y1 ) k = k (αx1 , αy1 ) k = (k αx1 k2X +
2 2 2 2 2 2 2
k αy1 kY )1/2 = (| α | k x1 kX + | α | k y1 kY )1/2 = | α | (k x1 kX + k y1 kY )1/2 =
| α | k (x1 , y1 ) k. Hence, k · k is a norm on X × Y. This completes the proof
of the proposition. 2
Clearly, the natural metric for the Cartesian product X × Y is the Carte-
sian metric defined in Definition 4.28.
The above proposition may also be generalized to the case of X1 × X2 ×
· · ·× Xn , where n ∈ IN and Xi ’s are normed Q linear spaces over the same field
IK. When n = 0, it should be noted that α∈∅ Xα = ({∅ =: ϑ}, IK, k · k),
where k ϑ k = 0.
Proposition 7.23 Let X := (X , IK, k · k) be a normed linear space. Then,

the vector addition ⊕X : X × X → X is uniformly continuous; and the scalar
multiplication ⊗X : IK × X → X is continuous.
Proof ∀ǫ ∈ (0, ∞) ⊂ IR, ∀(x1 , x2 ), (y1 , y2 ) ∈ X × X with

√
k (x1 , x2 ) − (y1 , y2 ) kX×X < ǫ/ 2
we have
k (x1 + x2 ) − (y1 + y2 ) k ≤ k x1 − y1 k + k x2 − y2 k
√ 2 2
√
≤ 2 (k x1 − y1 k + k x2 − y2 k )1/2 = 2 k (x1 , x2 ) − (y1 , y2 ) kX×X < ǫ
Hence, the vector addition ⊕X is uniformly continuous.

∀α0 ∈ IK, ∀x0 ∈ X, ∀ǫ ∈ (0, ∞) ⊂ IR, let δ = ǫ/(1 + ǫ + | α0 | + k x0 k) ∈
(0, 1) ⊂ IR. ∀(α, x) ∈ BIK×X ( (α0 , x0 ), δ ), we have
k αx − α0 x0 k ≤ k αx − αx0 k + k αx0 − α0 x0 k
= | α | k x − x0 k + k x0 k | α − α0 |
1/2 1/2
2 2 2 2
≤ | α | + k x0 k k x − x0 k + | α − α0 |
≤ (| α | + k x0 k)δ ≤ (1 + | α0 | + k x0 k)δ < ǫ
where we have made use of Cauchy-Schwarz Inequality in the second in-

equality. Hence, ⊗X is continuous at (α0 , x0 ). By the arbitrariness of
(α0 , x0 ), we have that ⊗X is continuous.
Definition 7.24 Let X := ( X , IK, k · kX ) and Y := ( Y, IK, k · kY ) be two

normed linear spaces over the same field IK and A : X → Y be a vector
space isomorphism. A is said to be an isometrical isomorphism if k Ax kY =
k x kX , ∀x ∈ X. The X and Y are said to be isometrically isomorphic.
Let A : X → Y be an isometrical isomorphism between X and Y. Then, A

is an isometry between X and Y. Both A and Ainv are uniformly continuous.
X and Y are equal to each other up to a relabeling of their vectors.
Proposition 7.25 Let Xα , α ∈ S Λ, be normed linear spaces over IK, where

Λ is a finite index set. Let Λ = β∈Γ Λβ , where Λβ ’s are pairwise disjoint
Q
and finite and Γ is also finite. ∀β ∈ Γ, let Xhβi := α∈Λβ Xα be the
Q Q
Cartesian product space. Let XhΓi := β∈Γ α∈Λβ Xα be the Cartesian
Q
product space of product spaces, and X := α∈Λ Xα be the Cartesian product
space. Then, X and XhΓi are isometrically isomorphic.
Q Q Q hΓi
Proof Define E : β∈Γ α∈Λβ Xα → α∈Λ Xα by, ∀x ∈ X ,
hβ i hΓi
∀α ∈ Λ, ∃! βα ∈ Γ ∋ · α ∈ Λβα , πα (E(x)) = πα α (πβα (x)). By Proposi-
tion 4.32, E is a isometry. It is clear that E is a linear operator since the
projection functions are linear for vector spaces. Hence, E is a vector space
isomorphism. Then, E is an isometrical isomorphism. This completes the
7.4 Banach Spaces

Definition 7.26 If a normed linear space is complete with respect to the
natural metric, then it is called a Banach space.
Clearly, a Cauchy sequence in a normed linear space is bounded.
Proposition 7.27 A normed linear space X is complete if, and only if,
∞
every
P∞ absolutely summable
P∞ series is summable, that is ∀ ( xn )n=1 ⊆ X,
n=1 k xn k ∈ IR ⇒ n=1 xn ∈ X.
∞
Proof “Only if”
P∞ Let X be complete and ( xn )n=1 ⊆ X be absolutely
summable. Then, n=1 k xn k ∈ IR and ∀ǫ ∈ P (0, ∞) ⊂ IR, ∃N ∈ IN
n
such
Pn that, ∀n, m ∈ I
N with n ≥
Pn m, we have i=m k xi k < ǫ. Then,
k i=m xi k < ǫ. Let sn := i=1 xi , ∀n ∈ IN, be the partial sum.
∞
P∞ ( sn )n=1 ⊆ X is a Cauchy sequence. By the completeness of X,
Then,
n=1 xn = limn∈IN sn ∈ X.
“If” Let ( xn )∞n=1 ⊆ X be a Cauchy sequence. Let n0 = 0. ∀k ∈ IN,
∃nk ∈ IN with nk > nk−1 such that k xn − xm k < 2−k , ∀n, m ≥ nk . Then,
∞ ∞
( xnk )k=1 is a subsequence of ( xn )n=1 . Let y1 := xn1 and yk := xnk −xnk−1 ,
∞
∀k ≥ 2. Then, the sequence ( yk )k=1 ⊆ X P and its kth partial sum is xnk .
−k+1 ∞
Note that k yP kk < 2 , ∀k ≥ 2. Then, k=1 k yk k < k y1 k + 1, which
∞
implies that k=1 yk = x0 ∈ X. Hence, we have limk∈IN xnk = x0 ∈ X.
We will now show that limn∈IN xn = x0 . ∀k ∈ IN, ∃N ∈ IN with N ≥ k
such that k xni − x0 k < 2−k , ∀i ≥ N . ∀n ≥ nN , we have k xn − x0 k ≤
k xn − xnN k + k xnN − x0 k < 2−N + 2−k ≤ 2−k+1 . Hence, limn∈IN xn = x0 .
Therefore, X is complete.
7.4. BANACH SPACES 157

We frequently take great care to formulate problems arising in applica-
tions as equivalent problems in Banach spaces rather than other incomplete
spaces. The principal advantage of Banach spaces in optimization problems
is that when seeking an optimal vector, we often construct a sequence (net)
of vectors, each member of which is superior to preceding ones. The de-
sired optimal vector is then the limit of the sequence (net). In order for
this scheme to be effective, there must be available a test for convergence
which can be applied when the limit is unknown. The Cauchy criterion for
convergence meets this requirement provided the space is complete.
Example 7.28 Consider Example 7.11 with a = 0 and b = 1. We will
∞
show that the space (M, IR, k · k) is incomplete. Take ( xn )n=1 ⊆ M to be,
∀n ∈ IN,

 0 0 ≤ t ≤ 12 − n+1
1
xn (t) = (n + 1)t − n+12 +1

1 1
2 − n+1 < t ≤ 2
1
 1
1 t> 2
Clearly, xn is continuous and k xn k < 1, ∀n ∈ IN. ∀n, m ∈ IN, we have
Figure 7.1: Sequence for Example 7.28.
Z 1 Z 1

k xn − xm k = | xn (t) − xm (t) | dt = (xn (t) − xm (t)) dt
0 0
1 1

= −
2 (n + 1) 2 (m + 1)
∞
Then, ( xn )n=1 is Cauchy. Yet, it is obvious that there is no continuous
R1
function x ∈ M such that limn∈IN xn = x, i. e., limn∈IN 0 | xn (t)−x(t) | dt =
0. Hence, the space is incomplete. ⋄
Example 7.29 IKn with norm defined as in Example 7.2 or Example 7.3
is a Banach space. ⋄
Example 7.30 Consider the real normed linear space C([a, b]) defined in
Example 7.4, where a, b ∈ IR and a ≤ b. We will show that it is complete.
∞
Take a Cauchy sequence ( xn )n=1 ⊆ C([a, b]). ∀ǫ ∈ (0, ∞) ⊂ IR, ∃N ∈ IN
such that ∀n, m ≥ N , 0 ≤ | xn (t) − xm (t) | ≤ k xn − xm k < ǫ, ∀t ∈ [a, b].
This shows that, ∀t ∈ [a, b], ( xn (t) )∞
n=1 ⊆ IR is a Cauchy sequence, which
converges to x(t) ∈ IR since IR is complete. This defines a function x :
∞
[a, b] → IR. It is easy to show that ( xn )n=1 , viewed as a sequence of
functions of [a, b] to IR, converges uniformly to x. By Proposition 4.26, x is
continuous. Hence, x ∈ C([a, b]). It is easy to see that limn∈IN k xn −x k = 0.
Hence, limn∈IN xn = x. Hence, C([a, b]) is a Banach space. ⋄
Example 7.31 Let K be a countably compact topological space, X be a
normed linear space over the field IK, Y := {f : K → X}. Define the usual
vector addition ⊕ and scalar multiplication ⊗ and null vector ϑ on Y as in
Example 6.20. Then, Y := (Y, ⊕, ⊗, ϑ) is a vector space over IK. Let M :=
{ f ∈ Y | f is continuous }. Then, by Propositions 3.32, 6.25, and 7.23,
M := (M, ⊕, ⊗, ϑ) is a subspace of (Y, IK). Define a function k · k : M →
[0, ∞) ⊂ IR by k f k = max { supk∈K k f (k) kX , 0 }, ∀f ∈ M. This function
is well defined by Propositions 7.21, 3.12, and 5.29. We will show that k · k
defines a norm on M. We will distinguish two exhaustive and mutually
exclusive cases: Case 1: K = ∅; Case 2: K = 6 ∅. Case 1: K = ∅. Then,
M is a singleton set { ∅ } and k ∅ k = 0. Clearly, (M, IK, k · k) is a normed
linear space. Case 2: K = 6 ∅. ∀f, g ∈ M, ∀α ∈ IK, k f k = maxk∈K k f (k) kX
by Propositions 7.21, 3.12, and 5.29. k f k = 0 ⇔ k f (k) kX = 0, ∀k ∈ K
⇔ f (k) = ϑX , ∀k ∈ K ⇔ f = ϑ. k f + g k = maxk∈K k f (k) + g(k) kX ≤
maxk∈K (k f (k) kX + k g(k) kX ) ≤ maxk∈K k f (k) kX + maxk∈K k g(k) kX =
k f k+k g k. k αf k = maxk∈K k αf (k) kX = maxk∈K | α | k f (k) kX = | α | k f k.
Hence, (M, IK, k · k) is a normed linear space. In both case, we have shown
that C(K, X) := (M, IK, k · k) is a normed linear space. ⋄
Example 7.32 Let K be a countably compact topological space, X be
a Banach space over the field IK (with norm k · kX ). Consider the normed
linear space C(K, X) (with norm k · k) defined in Example 7.31. We will
show that this space is a Banach space. We will distinguish two exhaustive
and mutually exclusive cases: Case 1: K = ∅; Case 2: K = 6 ∅. Case 1:
K = ∅. Then, C(K, X) is a singleton set. Hence, any Cauchy sequence
must converge. Thus, C(K, X) is a Banach space. Case 2: K = 6 ∅. Take a
Cauchy sequence ( xn )∞n=1 ⊆ C(K, X). ∀ǫ ∈ (0, ∞) ⊂ I
R, ∃N ∈ IN such that
∀n, m ≥ N , 0 ≤ k xn (k) − xm (k) kX ≤ k xn − xm k < ǫ, ∀k ∈ K. This shows
∞
that, ∀k ∈ K, ( xn (k) )n=1 ⊆ X is a Cauchy sequence, which converges
to x(k) ∈ X since X is complete. This defines a function x : K → X.
∞
It is easy to show that ( xn )n=1 , viewed as a sequence of functions of K
to X, converges uniformly to x. By Proposition 4.26, x is continuous.
Hence, x ∈ C(K, X). It is easy to see that limn∈IN k xn − x k = 0. Hence,
limn∈IN xn = x. Hence, C(K, X) is a Banach space. In both cases, we have
shown that C(K, X) is a Banach space when X is a Banach space. ⋄
Example 7.33 Let X be a Banach space over the field IK. Consider
the normed linear space lp (X) (with norm k · kp ) defined in Example 7.10,
7.4. BANACH SPACES 159
where p ∈ [1, ∞] ⊂ IRe . We will show that this space is a Banach space.
We will distinguish two exhaustive and mutually exclusive cases: Case 1:
p ∈ [1, ∞); Case 2: p = ∞.
∞
Case 1: p ∈ [1, ∞). Take a Cauchy sequence ( xn )n=1 ⊆ lp (X),
∞
where xn = ( ξn,k )k=1 ⊆ X, ∀n ∈ IN. ∀ǫ ∈ (0, ∞) ⊂ IR, ∃Nǫ ∈ IN
such that ∀n, m ≥ Nǫ , we have k xn − xm kp < ǫ. ∀k ∈ IN, k ξn,k −
P∞ p 1/p
ξm,k kX ≤ i=1 k ξn,i − ξm,i kX = k xn − xm kp < ǫ. Hence, ∀k ∈ IN,
∞
( ξn,k )n=1 ⊆ X is a Cauchy sequence, which converges to some ξk ∈ X
∞
since X is a Banach space. Let x := ( ξk )k=1 ⊆ X. We will show that
∞
x ∈ lp (X) and limn∈IN xn = x. Since ( xn )n=1 is a Cauchy sequence,
then it is bounded, that is ∃M ∈ [0, ∞) ⊂ IR such that k xn kp ≤ M ,
p P∞ p
∀n ∈ IN. Then, we have k xn kp = i=1 k ξn,i kX ≤ M p , ∀n ∈ IN. Then,
Pk p p
∀n, k ∈ IN, we have i=1 k ξn,i kX ≤ M . By Propositions 7.21 and
Pk p Pk p p
3.66, we have i=1 k ξ k
i X = lim n∈IN i=1 k ξn,i kX ≤ M . Hence, we
P∞ p p
P ∞ p 1/p
have i=1 k ξi kX ≤ M and k x kp = ( i=1 k ξi kX ) ≤ M . Hence,
we have x ∈ lp (X). ∀ǫ ∈ (0, ∞) ⊂ IR, ∀n, m ∈ IN with n, m ≥ Nǫ ,
Pk p p
we have k xn − xm kp < ǫ. Then, ∀k ∈ IN, i=1 k ξn,i − ξm,i kX < ǫ .
Taking
Pk limit as m → ∞, by P Propositions 7.21, 3.66, and 7.23, we have
p k p p
i=1 k ξ n,i − ξ k
i X = lim m∈IN i=1 k ξn,i − ξm,i kX ≤ ǫ , ∀k ∈ IN. Hence,
P∞
p 1/p
we have k xn − x kp = i=1 k ξn,i − ξi kX ≤ ǫ. This shows that
limn∈IN xn = x. Hence, lp (X) is complete and therefore a Banach space.
Case 2: p = ∞. Take a Cauchy sequence ( xn )∞ n=1 ⊆ l∞ (X), where xn =
∞
( ξn,k )k=1 ⊆ X, ∀n ∈ IN. ∀ǫ ∈ (0, ∞) ⊂ IR, ∃Nǫ ∈ IN such that ∀n, m ≥ Nǫ ,
we have k xn − xm k∞ < ǫ. ∀k ∈ IN, k ξn,k − ξm,k kX ≤ supi∈IN k ξn,i −
ξm,i kX = k xn − xm k∞ < ǫ. Hence, ∀k ∈ IN, ( ξn,k )∞ n=1 ⊆ X is a Cauchy
sequence, which converges to some ξk ∈ X since X is a Banach space. Let
∞
x := ( ξk )k=1 ⊆ X. We will show that x ∈ l∞ (X) and limn∈IN xn = x.
Since ( xn )∞ n=1 is a Cauchy sequence, then it is bounded, that is ∃M ∈
[0, ∞) ⊂ IR such that k xn k∞ ≤ M , ∀n ∈ IN. Then, we have k ξn,k kX ≤
supi∈IN k ξn,i kX = k xn k∞ ≤ M , ∀n, k ∈ IN. By Propositions 7.21 and 3.66,
we have k ξk kX = limn∈IN k ξn,k kX ≤ M . Hence, k x k∞ = supi∈IN k ξi kX ≤
M . Therefore, x ∈ l∞ (X). ∀ǫ ∈ (0, ∞) ⊂ IR, ∀n, m ∈ IN with n, m ≥
Nǫ , we have k xn − xm k∞ < ǫ. Then, ∀k ∈ IN, k ξn,k − ξm,k kX < ǫ.
Taking limit as m → ∞, by Propositions 7.21, 3.66, and 7.23, we have
k ξn,k − ξk kX = limm∈IN k ξn,k − ξm,k kX ≤ ǫ, ∀k ∈ IN. Hence, we have
k xn − x k∞ = supi∈IN k ξn,i − ξi kX ≤ ǫ. This shows that limn∈IN xn = x.
Hence, l∞ (X) is complete and therefore a Banach space.
In summary, we have shown that lp (X) is a Banach space, ∀p ∈ [1, ∞] ⊂
IRe , when X is a Banach space. ⋄
Definition 7.34 Let X be a normed linear space and S ⊆ X. S is said to

be complete if S with the natural metric forms a complete metric space.
Theorem 7.35 In a Banach space X, a subset S ⊆ X is complete if, and

only if, it is closed.
Proof “If” Fix any Cauchy sequence ( xn )∞ n=1 ⊆ S. Since X is com-

plete, then limn∈IN xn = x ∈ X. Since S is closed, then, by Proposition 4.13,
x ∈ S. Hence, S is complete.
“Only if” ∀x ∈ S, by Proposition 4.13, ∃ ( xn )∞ n=1 ⊆ S such that
limn∈IN xn = x. Clearly, this sequence is a Cauchy sequence. Then, the
limit x ∈ S since S is complete. Hence, we have S ⊆ S. By Proposi-
tion 3.3, S is closed.
Theorem 7.36 In a normed linear space X, any finite-dimensional sub-

space M ⊆ X is complete.
Proof Let X be a normed linear space over the field IK. Let n̄ ∈ Z+
be the dimension of M , which is well defined by Theorem 6.51. We will
prove the theorem by mathematical induction on n̄.
1◦ n̄ = 0. Then, M = {ϑ}. Clearly, any Cauchy sequence in M must
converge to ϑ ∈ M . Hence, M is complete. n̄ = 1. Let {e1 } ⊆ M be
a basis for M . Clearly, e1 6= ϑ and k e1 k > 0. Fix any Cauchy sequence
∞
( xn )n=1 ⊆ M . Then, xn = αn e1 for some αn ∈ IK, ∀n ∈ IN. Since
∞
( xn )n=1 is Cauchy, then ∀ǫ ∈ (0, ∞) ⊂ IR, ∃N ∈ IN, ∀n, m ≥ N , we have
k xn − xm k < k e1 k ǫ. Then, we have | αn − αm | = k xn − xm k / k e1 k < ǫ.
∞
Hence, ( αn )n=1 is a Cauchy sequence in IK. Then, limn∈IN αn = α ∈ IK
since IK is complete. It is easy to show that limn∈IN xn = αe1 ∈ M . Hence,
M is complete.
2◦ Assume M is complete when n̄ = k − 1 ∈ IN.
3◦ Consider the case n̄ = k ∈ { 2, 3, . . .} ⊂ IN. Let {e1 , . . . , ek } ⊆ M be a
basis for M . Define Mi := span ( { e1 , . . . , ek }\{ ei } ) and δi := dist(ei , Mi ),
i = 1, . . . , k. ∀i = 1, . . . , k, we have δi ∈ [0, ∞) ⊂ IR. Mi , which is a k − 1-
dimensional subspace of X. By inductive assumption Mi is complete. By
Proposition 4.39, Mi is closed. Clearly, ei 6∈ Mi . By Proposition 4.10,
δi > 0.
∞
Let δ := min{δ1 , . . . , δk } > 0. Fix any Cauchy sequence ( xn )n=1 ⊆ M .
Pk
∀n ∈ IN, xn admits a unique representation xn = i=1 λn,i ei where λn,i ∈
IK, i = 1, . . . , k, by Definition 6.50 and Corollary 6.47. ∀ǫ ∈ (0, ∞) ⊂
IR, ∃N ∈ IN such that ∀n, m ≥ N , we have k xn − xm k < δǫ. ∀i ∈
Pk
{1, . . . , k}, we have ǫ > k xn −xm k /δ = j=1 (λn,j −λm,j )ej /δ ≥ | λn,i −
∞
λm,i | δi /δ ≥ | λn,i − λm,i |. Hence, ( λn,i )n=1 ⊆ IK is a Cauchy sequence,
P
∀i ∈ {1, . . . , k}. Then, limn∈IN λn,i = λi ∈ IK. Let x := ki=1 λi ei ∈ M .
Now, it is straightforward to show that limn∈IN k xn − x k = 0. Then,
limn∈IN xn = x ∈ M . Hence, M is complete.
This completes the induction process. This completes the proof of the
theorem. 2
7.5. COMPACTNESS 161
Definition 7.37 Let X be a vector space over the field IK and k · k1 and
k·k2 be two norms defined on X . These two norms are said to be equivalent
if ∃K ∈ (0, ∞) ⊂ IR such that k x k1 /K ≤ k x k2 ≤ K k x k1 , ∀x ∈ X .
Clearly, two norms are equivalent implies that the natural metrics are
uniformly equivalent.
Theorem 7.38 Let X be a finite-dimensional vector space over the field

IK. Any two norms on X are equivalent.
Proof Let n ∈ Z+ be the dimension of X , which is well defined by

Theorem 6.51. Let k · k1 and k · k2 be two norms defined on X . We will
distinguish three exhaustive and mutually exclusive cases: Case 1: n = 0;
Case 2: n = 1; Case 3: n ≥ 2. Case 1: n = 0. Then, X = {ϑ} and
k ϑ k1 = 0 = k ϑ k2 . Hence, the two norms are equivalent. Case 2: n = 1.
Let {e1 } be a basis for X . Clearly, e1 6= ϑ. Let δ := k e1 k1 / k e1 k2 ∈
(0, ∞) ⊂ IR and K = max{δ, δ −1 } ∈ (0, ∞) ⊂ IR. ∀x ∈ X , ∃! α ∈ IK
such that x = αe1 . Then, k x k1 = | α | k e1 k1 = | α | k e1 k2 δ = δ k x k2 and
k x k1 /K ≤ k x k2 ≤ K k x k1 . Hence, the two norms are equivalent.
Case 3: n ≥ 2. Let {e1 , . . . , en } ⊆ X be a basis for X . ∀x ∈ XP, by Defi-
nition 6.50 and Corollary 6.47, ∃! α1 , . . . , αn ∈ IK P such that x = ni=1 αi ei .
n
We P will show that ∃K1 ∈ (0, ∞) ⊂ IR such that ( i=1 | αi |)/K1 ≤ k x k1 ≤
n
KP1( i=1 | αi |). By a similar argument,
Pn ∃K2 ∈ (0, ∞) ⊂ IR such that
n
( i=1 | αi |)/K2 ≤ k x k2 ≤ K2 ( i=1 | αi |). Then, k x k1 /K ≤ k x k2 ≤
K k x k1 , where K := K1 K2 . Hence, the two norms are equivalent.
Clearly, ei 6= ϑ and k ei k1 > 0, Pin = 1, . . . , n. Let δ := Pmax 1≤i≤n k ei k1 ∈
n
(0, ∞) ⊂ IR. Then, k x k1 ≤ i=1 | α i | k e i k1 ≤ δ( i=1 αi |). Define
|
Mi = span ( {e1 , . . . , en } \ {ei } ), i = 1, . . . , n, and δi = dist(ei , Mi ) (with
respect to k · k1 ). Since {e1 , . . . , en } is a basis for X , then ei 6∈ Mi .
∀i ∈ {1, . . . , k}, by Theorem 7.36, Mi is complete (with respect to k·k1 ). By
Proposition 4.39, Mi is closed (with respect to k · k1 ). By Proposition 4.10,
we have δiP∈ (0, ∞) ⊂ IR. Let δ̄ := min{δ1 , . . . , δn } ∈ (0, ∞) ⊂ IR. Then,
n
k x k1 = k i=1 P αi ei k1 ≥ | αi | δi ≥ | αi | δ̄, ∀i ∈ {1, . . . , n}. Hence, we have
kPx k1 ≥ (δ̄/n) ( ni=1 | αi |). Let PK 1 = max{δ, n/δ̄} > 0. Then, we have
n n
( i=1 | αi |)/K1 ≤ k x k1 ≤ K1 ( i=1 | αi |).
7.5 Compactness
Definition 7.39 Let X be a normed linear space and S ⊆ X. S is said to
be compact if S together with the natural metric forms a compact metric
space.
Proposition 5.29 says that a continuous function achieves its minimum

and maximum on nonempty countably compact spaces. This has imme-
diate generalization to infinite-dimensional spaces. Yet, the compactness
restriction is so severe in infinite-dimensional spaces that it is applicable in

minority of problems.
Lemma 7.40 Let (X , C) be a vector space. Then X is also a vector space

over the field IR. Furthermore, if X := (X , C, k·k) is a normed linear space,
then XIR := (X , IR, k · k) is also a normed linear space. X and XIR are
isometric and admit the same metric space properties. In particular, X is
a Banach space if, and only if, XIR is a Banach space.
Proof Let (X , C) be a vector space. Note that IR ⊂ C. Then,

∀x, y, z ∈ X , ∀α, β ∈ IR, we have (i) x+y = y+x; (ii) (x+y)+z = x+(y+z);
(iii) ϑX + x = x; (iv) α (x + y) = αx + αy; (v) (α + β)x = αx + βx; (vi)
(αβ)x = α (βx); (vii) 0 · x = ϑX and 1 · x = x. Hence, (X , IR) is a vector
space.
Let X := (X , C, k · k) be a normed linear space. Then, (X , IR) is a
vector space. ∀x, y ∈ X, ∀α ∈ IR, we have (i) k x k ∈ [0, ∞) ⊂ IR and
k x k = 0 ⇔ x = ϑX ; (ii) k x + y k ≤ k x k + k y k; k αx k = | α | k x k. Hence,
XIR := (X , IR, k · k) is a normed linear space.
Clearly, idX : X → XIR is an isometry and the natural metrics induced
by X and XIR on X are identical. Hence, X and XIR admits the same metric
space properties. Then, X is a Banach space if, and only if, X is complete
if, and only if, XIR is complete if, and only if, XIR is a Banach space.
Proposition 7.41 Let K ⊆ Cn with n ∈ Z+ . Then, K is compact if, and

only if, K is closed and bounded.
Proof “Necessity” By Proposition 5.38, K is complete and totally

bounded. Then, K is bounded. By Proposition 4.39, K is closed.
“Sufficiency” Let | · | be the norm on Cn . By Lemma 7.40, X :=
(C , IR, | · |) admits the same metric space property as Cn . Then, K ⊆ X
n
is closed and bounded. Note that X is isometrically isomorphic to IR2n .

Hence, K ⊆ X is compact. Then, K ⊆ Cn is compact. This completes the
Proposition 7.42 Let X be a finite-dimensional normed linear space over

the field IK. K ⊆ X is compact if, and only if, K is closed and bounded.
Proof “Necessity” By Proposition 5.38, K is complete and totally

bounded. Then, K is bounded. By Proposition 4.39, K is closed.
“Sufficiency” Let S ⊆ X be a basis for X, that is, S is linearly indepen-
dent and span ( S ) = X. Since X is finite dimensional, then let n ∈ Z+ be
the dimension of X, which is well-defined by Theorem 6.51. We will distin-
guish two exhaustive and mutually exclusive cases: Case 1: n = 0; Case 2:
n ∈ IN. Case 1: n = 0. Then, X is a singleton set. Clearly K is compact.
Case 2: n ∈ IN. Let S = { e1 , . . . , en }. ∀x ∈ X, x can be uniquely expressed
7.6. QUOTIENT SPACES 163
Pn
as i=1 αi ei for some α1 , . . . , αn ∈ IK. This allows us
Pnto define a bijective
mapping ψ : X → IKn by ψ(x) = (α1 , . . . , αn ), ∀x = i=1 αi eq i ∈ X. Define
Pn Pn 2
a alternative norm k · k1 on X by k x k1 = k i=1 αi ei k1 = i=1 | αi | ,
∀x ∈ X. It is easy to show that k · k1 is a norm. By Theorem 7.38, there
exists ξ ∈ [1, ∞) ⊂ IR such that k x k1 /ξ ≤ k x k ≤ ξ k x k1 , ∀x ∈ X. Hence,
ψ is a homeomorphism. By Proposition 3.10, ψ(K) is closed. By the equiv-
alence of the two norms, ψ(K) is bounded. By Proposition 5.40 or 7.41,
ψ(K) is compact. By Proposition 5.7, K is compact.
7.6 Quotient Spaces

Proposition 7.43 Let M ⊆ X be a subspace of a vector space X over a
field F := (F, +, ·, 0, 1). x1 , x2 ∈ X are said to be equivalent modulo M if
x1 − x2 ∈ M . This equivalence relationship (easy to show) partitions the
space X into disjoint subsets, or classes, of equivalent elements: namely,
the linear varieties that are distinct translations of the subspace M . These
classes are often called the cosets of M . ∀x ∈ X , there is a unique coset
of M , [ x ](= x + M ), such that x ∈ [ x ]. The quotient of X modulo M is
defined to be the set N of all cosets of M . Define vector addition and scalar
multiplication on N by, ∀ [ x1 ] , [ x2 ] ∈ N , ∀α ∈ F, [ x1 ] + [ x2 ] := [ x1 + x2 ]
and α [ x1 ] := [ αx1 ]. Let the null vector on N be [ ϑX ]. Then, N together
with the vector addition, scalar multiplication, and the null vector form a
vector space over F . This vector space will be called the quotient space of
X modulo M and denoted by X /M . Define a function φ : X → X /M by
φ(x) = [ x ], ∀x ∈ X . Then, φ is a linear function and will be called the
natural homomorphism.
Proof Fix any [ x1 ] , [ x2 ] , [ x3 ] ∈ X /M and any α, β ∈ F. We will first

show that vector addition and scalar multiplication are uniquely defined.
∀y1 ∈ [ x1 ], ∀y2 ∈ [ x2 ], we have x1 − y1 , x2 − y2 ∈ M ; and (x1 + x2 ) −
(y1 + y2 ) ∈ M , since M is a subspace. Then, [ x1 ] + [ x2 ] = [ x1 + x2 ] =
[ y1 + y2 ] = [ y1 ] + [ y2 ]. Hence, the vector addition is uniquely defined.
αx1 − αy1 = α(x1 − y1 ) ∈ M . Then, α [ x1 ] = [ αx1 ] = [ αy1 ] = α [ y1 ].
Hence, the scalar multiplication is uniquely defined.
(i) [ x1 ] + [ x2 ] = [ x1 + x2 ] = [ x2 + x1 ] = [ x2 ] + [ x1 ]; (ii) ([ x1 ] +
[ x2 ]) + [ x3 ] = [ (x1 + x2 ) + x3 ] = [ x1 + (x2 + x3 ) ] = [ x1 ] + ([ x2 ] + [ x3 ]);
(iii) [ x1 ] + [ ϑX ] = [ x1 + ϑX ] = [ x1 ]; (iv) α ([ x1 ] + [ x2 ]) = α [ x1 + x2 ] =
[ α (x1 + x2 ) ] = [ αx1 + αx2 ] = [ αx1 ] + [ αx2 ] = α [ x1 ] + α [ x2 ]; (v) (α +
β) [ x1 ] = [ (α + β)x1 ] = [ αx1 + βx1 ] = [ αx1 ] + [βx1 ] = α [ x1 ] + β [ x1 ]; (vi)
(αβ) [ x1 ] = [ (αβ)x1 ] = [ α (βx1 ) ] = α [ βx1 ] = α (β [ x1 ]); (vii) 0 [ x1 ] =
[ 0x1 ] = [ ϑX ]; 1 [ x1 ] = [ 1x1 ] = [ x1 ]. Hence, X /M is a vector space over
F.
Clearly, φ is a linear function. This completes the proof of the proposi-

tion. 2
Proposition 7.44 Let X := (X , IK, k · kX ) be a normed linear space and
M ⊆ X be a closed subspace, and X /M be the quotient space of X modulo
M . Define a norm k · k on X /M by, ∀ [ x ] ∈ X /M , k [ x ] k := inf m∈M k x −
m kX = dist(x, M ). Then, X/M := (X /M, IK, k·k) is a normed linear space,
which will be called the quotient space of X modulo M .
Proof By Proposition 7.43, X /M is a vector space over IK. Here, we
only need to show that k · k defines a norm on X /M . First, we show that
k · k : X /M → [0, ∞) ⊂ IR is uniquely defined. ∀ [ x ] ∈ X /M , ∀y ∈ [ x ],
y − x ∈ M . Then, we have k [ y ] k = infm∈M k y − m kX = inf m∈M k x −
y + y − m kX = inf m∈M k x − m kX = k [ x ] k ≤ k x kX < +∞. Hence, k · k is
uniquely defined.
Next, we show that k · k defines a norm on X /M . ∀ [ x1 ] , [ x2 ] ∈ X /M ,
∀α ∈ IK, we have (i) k [ x1 ] k ∈ [0, ∞) ⊂ IR, since k [ x1 ] k ≤ k x1 kX <
+∞. [ x1 ] = [ ϑX ] ⇒ k [ x1 ] k = inf m∈M k m kX = 0 and k [ x1 ] k = 0 ⇒
dist(x1 , M ) = 0, by Proposition 4.10, we have x1 ∈ M ⇒ [ x1 ] = [ ϑX ].
Hence [ x1 ] = [ ϑX ] ⇔ k [ x1 ] k = 0.
(ii) k [ x1 ] + [ x2 ] k = k [ x1 + x2 ] k = inf m∈M k x1 + x2 − m kX . Note that
k [ xi ] k = inf m∈M k xi − m kX , i = 1, 2. ∀ǫ ∈ (0, ∞) ⊂ IR, i = 1, 2, ∃mi ∈ M
such that k xi −mi kX < k [ xi ] k+ǫ. Then, we have k x1 +x2 −m1 −m2 kX ≤
k x1 − m1 kX + k x2 − m2 kX ≤ k [ x1 ] k + k [ x2 ] k + 2ǫ. Hence, we have
k [ x1 ] + [ x2 ] k ≤ k [ x1 ] k + k [ x2 ] k + 2ǫ. By the arbitrariness of ǫ, we have
k [ x1 ] + [ x2 ] k ≤ k [ x1 ] k + k [ x2 ] k.
(iii) k α [ x1 ] k = k [ αx1 ] k = inf m∈M k αx1 − m kX . We will distinguish
two exhaustive and mutually exclusive cases: Case 1: α = 0; Case 2:
α 6= 0. Case 1: α = 0. k α [ x1 ] k = inf m∈M k m kX = 0 = | α | k [ x1 ] k. Case
2: α 6= 0. k α [ x1 ] k = inf m∈M k αx1 − αm kX = inf m∈M | α | k x1 − m kX =
| α | k [ x1 ] k. Hence, in both cases, we have k α [ x1 ] k = | α | k [ x1 ] k.
This shows that k·k is a norm on X /M . Hence, X/M is a normed linear
space. This completes the proof of the proposition. 2
Proposition 7.45 Let X be a Banach space and M ⊆ X be a closed sub-
space. Then, the quotient space X/M is a Banach space.
Proof By Proposition 7.44, X/M is a normed linear space. Here, we
need only to show that X/M is complete. Let k · kX be the norm on X and
k · k be the norm on X/M . We will prove this using Proposition P∞ 7.27. Fix
∞
any absolutely summable series ( [ xn ] )n=1 ⊆ X/M . Then, n=1 k [ xn ] k ∈
IPR. ∀n ∈ IN, P ∃yn ∈ [ xn ] such that k yn kX < k [ xn ] k + 2−n . Then,
P∞
∞ ∞
i=1 k yi kX <
−i
i=1 (k [ xi ] k+2 ) = ] k+1. Then, ( yn )∞
i=1 k [ xiP n=1 ⊆ X
∞
is absolutely summable. By Proposition 7.27,P∞ n=1 y n =
P∞ y ∈ X, since X
is complete. Now, it is easy to show that n=1 [ xn ] = n=1 [ yn ] = [ y ] ∈
X/M . Hence, X/M is complete by Proposition 7.27. This completes the
7.7. THE STONE-WEIERSTRASS THEOREM 165
Definition 7.46 Let (X , IK) be a vector space and k · k : X → [0, ∞) ⊂ IR.

Assume that k · k satisfies (ii) and (iii) of Definition 7.1 and k ϑ k = 0, but
not necessarily (i). Then, k · k is called a pseudo-norm.
Proposition 7.47 Let (X , IK) be a vector space and k·k : X → [0, ∞) ⊂ IR

be a pseudo-norm on X . Then, the set M := { x ∈ X | k x k = 0 } is a
subspace of (X , IK). On the quotient space X /M , define a norm k · k1 :
X /M → [0, ∞) ⊂ IR by k [ x ] k1 = k x k, ∀ [ x ] ∈ X /M . Then, the space
(X /M, IK, k · k1 ) is a normed linear space, which will be called the quotient
space of (X , IK) modulo k · k.
Proof We need the following claim.
Claim 7.47.1 ∀x ∈ X , ∀m ∈ M , we have k x k = k x + m k.
Proof of claim: Note that k x k ≤ k x + m k + k − m k = k x + m k ≤

k x k + k m k = k x k. This completes the proof of the claim. 2
Clearly, ϑX ∈ M 6= ∅. ∀m1 , m2 ∈ M , ∀α ∈ IK, we have αm1 ∈ M ,
by the properties of the pseudo-norm, and m1 + m2 ∈ M by Claim 7.47.1.
Hence, M is a subspace of (X , IK). By Proposition 7.43, X /M is a vector
space over IK.
By Claim 7.47.1, k · k1 : X /M → [0, ∞) ⊂ IR is uniquely defined.
Next, we show that k · k1 is a norm on X /M . ∀ [ x1 ] , [ x2 ] ∈ X /M , ∀α ∈
IK, k [ x1 ] k1 = k x1 k ∈ [0, ∞) ⊂ IR. [ x1 ] = [ ϑX ] implies that k [ x1 ] k1 =
k [ ϑX ] k1 = k ϑX k = 0. k [ x1 ] k1 = 0 implies that k x1 k = 0 and x1 ∈ M ,
which further implies that x1 ∈ [ ϑX ] and [ x1 ] = [ ϑX ]. k [ x1 ] + [ x2 ] k1 =
k [ x1 +x2 ] k1 = k x1 +x2 k ≤ k x1 k+k x2 k = k [ x1 ] k1 +k [ x2 ] k1 . k α [ x1 ] k1 =
k [ αx1 ] k1 = k αx1 k = | α | k x1 k = | α | k [ x1 ] k1 . Hence, k · k1 is a norm on
X /M . Therefore, (X /M, IK, k·k1 ) is a normed linear space. This completes
7.7 The Stone-Weierstrass Theorem

Definition 7.48 Let X be a set, f : X → IR, and g : X → IR. f ∨ g :
X → IR and f ∧ g : X → IR are defined by (f ∨ g)(x) = max{f (x), g(x)}
and (f ∧ g)(x) = min{f (x), g(x)}, ∀x ∈ X .
Proposition 7.49 Let X be a topological space and f : X → IR and g :

X → IR be continuous at x0 ∈ X . Then, f ∨ g and f ∧ g are continuous
at x0 . If furthermore f and g are continuous, then f ∨ g and f ∧ g are
continuous.
Proof This is straightforward. 2

Example 7.50 Let X be a topological space and Y be a normed linear
space over the field IK. Let (M(X , Y), IK) be the vector space defined in
Example 6.20. Let V := { f ∈ M(X , Y) | f is continuous }. Then, by

Propositions 3.12, 3.32, 6.25, and 7.23, V is a subspace of (M(X , Y), IK).
This subspace will be denoted by Cv (X , Y). ⋄
Definition 7.51 Let X be a topological space, Cv (X , IR) be the vector space

defined in Example 7.50. L ⊆ Cv (X , IR) is said to be a lattice if L 6= ∅ and
∀f, g ∈ L, f ∨ g ∈ L and f ∧ g ∈ L. A subspace M ⊆ Cv (X , IR) is said to
be an algebra if ∀f, g ∈ M , f g ∈ M , where f g is the product of functions
f and g.
Proposition 7.52 Let X := (X, O) be a compact space, C(X , IR) be the

Banach space as defined in Example 7.32, and L ⊆ C(X , IR) be a lattice.
Assume h : X → IR defined by h(x) = inf f ∈L f (x), ∀x ∈ X is continuous.
Then, ∀ǫ ∈ (0, ∞) ⊂ IR, ∃g ∈ L such that 0 ≤ g(x) − h(x) < ǫ, ∀x ∈ X .

cases: Case 1: X = ∅; Case 2: X 6= ∅. Case 1: X = ∅. C(X , IR)
is a singleton set and L = C(X , IR) since L is a lattice and therefore
nonempty. Then, the result holds. Case 2: X 6= ∅. ∀ǫ ∈ (0, ∞) ⊂ IR,
∀x ∈ X , since h(x) ∈ IR, then ∃fx ∈ L such that 0 ≤ fx (x) − h(x) < ǫ/3.
Since fx and h are continuous, then ∃Ox ∈ O with x ∈ Ox such that
∀y ∈ Ox , we have | fx (y) − fx (x) | < ǫ/3 and | h(y) − h(x) | < ǫ/3. Then,
| fx (y) − h(y) | ≤ | fx (y)
S − fx (x) | + | fx (x) − h(x) | + | h(x) − h(y) | < ǫ,
∀y ∈ Ox . Then, X ⊆ x∈X Ox . Since S X is compact, then there exists a
finite set XN ⊆ X such that V X ⊆ x∈XN Ox . Since X 6= ∅ then XN must
be nonempty. Let g := x∈XN fx ∈ L. ∀x ∈ X , ∃x0 ∈ XN such that
x ∈ Ox0 and 0 ≤ g(x) − h(x) ≤ fx0 (x) − h(x) < ǫ. This completes the proof
Proposition 7.53 Let X := (X, O) be a compact space, C(X , IR) be the

Banach space as defined in Example 7.32, and L ⊆ C(X , IR) be a lattice
satisfying the following conditions:
(i) L separates points, that is ∀x, y ∈ X with x 6= y, ∃f ∈ L such that

f (x) 6= f (y);
(ii) ∀f ∈ L, ∀c ∈ IR, c + f, cf ∈ L.
Then, ∀h ∈ C(X , IR), ∀ǫ ∈ (0, ∞) ⊂ IR, there exists g ∈ L such that

0 ≤ g(x) − h(x) < ǫ, ∀x ∈ X .

cases: Case 1: X = ∅; Case 2: X 6= ∅. Case 1: X = ∅. C(X , IR) is a
singleton set and L = C(X , IR) since L is a lattice and therefore nonempty.
Then, the result holds.
Case 2: X 6= ∅. We need the following two results.
Claim 7.53.1 ∀a, b ∈ IR, ∀x1 , x2 ∈ X with x1 6= x2 , ∃f ∈ L such that

f (x1 ) = a and f (x2 ) = b.
Proof of claim: Let g ∈ L be such that g(x1 ) 6= g(x2 ), which exists

by (i). Let
a−b bg(x1 ) − ag(x2 )
f= g+ ∈L
g(x1 ) − g(x2 ) g(x1 ) − g(x2 )
Then, f is the desired function. 2
Claim 7.53.2 ∀a, b ∈ IR with a ≤ b, ∀ closed set F ⊆ X , ∀x0 ∈ X with

x0 6∈ F , ∃f ∈ L such that f (x0 ) = a, f (x) ≥ a, ∀x ∈ X , and f (x) > b,
∀x ∈ F .
Proof of claim: ∀x ∈ F , we have x 6= x0 . By Claim 7.53.1, ∃fx ∈ L

such that fx (x0 ) = a and fx (x) = b + 1. Let Ox := { x̄ ∈ X | fxS (x̄) > b }.
Then, Ox ∈ O since fx is continuous. Clearly, x ∈ Ox . F ⊆ x∈F Ox .
By PropositionS5.5, F is compact. Then, there exists a finite set FN ⊆ F
such that F ⊆ x∈FN Ox . Take g ∈ L 6= ∅. Then, a = 0g + a ∈ L by (ii).
W
Let f := a ∨ x∈FN fx ∈ L. Clearly, f (x0 ) = a and f (x) ≥ a, ∀x ∈ X .
∀x ∈ F , ∃x0 ∈ FN such that x ∈ Ox0 . Then, f (x) ≥ fx0 (x) > b. Hence, f
is the desired function. This completes the proof of the claim. 2
∀h ∈ C(X , IR), let L̄ := { f ∈ L | f (x) ≥ h(x), ∀x ∈ X }. By the
continuity of h, the compactness of X , and Proposition 5.29, ∃b ∈ IR such
that h(x) ≤ b, ∀x ∈ X . Then, the constant function b ∈ L̄ 6= ∅ (b ∈ L
by (ii)). ∀f1 , f2 ∈ L̄, it is easy to show that f1 ∨ f2 ∈ L̄ and f1 ∧ f2 ∈ L̄.
Hence, L̄ is a lattice. We will show that h(x) = inf f ∈L̄ f (x), ∀x ∈ X .
Then, the result follows from Proposition 7.52. ∀x0 ∈ X , ∀η ∈ (0, ∞) ⊂ IR,
let Fx0 ,η := { x ∈ X | h(x) ≥ h(x0 ) + η }. By the continuity of h and
Proposition 3.10, Fx0 ,η is closed. Clearly, x0 6∈ Fx0 ,η . Now, by Claim 7.53.2,
∃fx0 ,η ∈ L such that fx0 ,η (x0 ) = h(x0 ) + η, fx0 ,η (x) ≥ h(x0 ) + η, ∀x ∈ X ,
and fx0 ,η (x) > b, ∀x ∈ Fx0 ,η . It is clear that fx0 ,η (x) > h(x), ∀x ∈ X .
Hence, fx0 ,η ∈ L̄. Then, inf f ∈L̄ f (x0 ) ≤ fx0 ,η (x0 ) = h(x0 ) + η. By the
definition of L̄ and the arbitrariness of η, we have h(x0 ) ≤ inf f ∈L̄ f (x0 ) ≤
h(x0 ). Hence, we have h(x0 ) = inf f ∈L̄ f (x0 ).
Lemma 7.54 ∀ǫ ∈ (0, ∞) ⊂ IR, there exists a polynomial P (s) in one

variable such that | P (s) − | s | | < ǫ, ∀s ∈ [−1, 1] ⊂ IR.
Proof This result is a special case of Bernsteı̌n Approximation The-

orem (Bartle, 1976, pg. 171). 2
Lemma 7.55 Let X be a nonempty compact space and A ⊆ C(X , IR) be an

algebra. Then, A is an algebra.
Proof Note that A is a subspace of C(X , IR) by Definition 7.51. Then,

by Proposition 7.17, A is a subspace
of C(X , IR). ∀f, g ∈ A, ∀ǫ ∈ (0, 1) ⊂ IR,
∃f¯, ḡ ∈ A such that f − f¯ < 2(1+kgk)
ǫ
and k g − ḡ k < ǫ
. Then,
2(1+kfk)

f¯ḡ ∈ A since A is an algebra, and f g − f¯ḡ = maxx∈X f (x)g(x) −
¯ ¯
f (x)ḡ(x) ≤ maxx∈X | f (x)g(x) − f (x)ḡ(x) | + f (x)ḡ(x) − f (x)ḡ(x) ≤

maxx∈X | f (x) | | g(x) − ḡ(x) | + maxx∈X | ḡ(x) | · f (x) − f¯(x) ≤ k f k k g −
ǫkfk ǫ(kgk+kg−ḡk)
ḡ k + k g + ḡ − g k f − f¯ < 2(1+ f ) + 2(1+kgk) < ǫ. Hence, f g ∈ A
kk
by the arbitrariness of ǫ. This shows that A is an algebra. This completes
Theorem 7.56 (Stone-Weierstrass Theorem) Let X := (X, O) be a

compact space and C(X , IR) be the Banach space defined in Example 7.32.
Assume that A ⊆ C(X , IR) is an algebra and satisfies
(i) A separates points, that is, ∀x1 , x2 ∈ X with x1 6= x2 , then ∃f ∈ A
such that f (x1 ) 6= f (x2 );
(ii) A contains all constant functions.
Then, A = C(X , IR), that is A is dense in C(X , IR).

cases: Case 1: X = ∅; Case 2: X 6= ∅. Case 1: X = ∅. C(X , IR) is a sin-
gleton set and A = C(X , IR) since A is a subspace and therefore nonempty.
Case 2: X 6= ∅. By Lemma 7.55, A is an algebra. We need the following
claim.
Claim 7.56.1 ∀f ∈ A, then | f | ∈ A.
Proof of claim: Fix f ∈ A. ∀ǫ ∈ (0, ∞) ⊂ IR, ∃g ∈ A such

that k f − g k < ǫ/2. By Proposition 5.29 and Definitions 5.1 and 5.21,
∃N ∈ (0, ∞) ⊂ IR such that k g k < N . Then, g/N ∈ A since A is an al-
ǫ
gebra. By Lemma 7.54, ∃ a polynomial P (s) such that | P (s) − | s | | < 2N ,
∀s ∈ [−1, 1] ⊂ IR. Hence, we have P ◦ (g/N ) ∈ A since A is an al-
ǫ
gebra. Furthermore, | P (g(x)/N ) − | g(x) | /N | < 2N , ∀x ∈ X . Let
h = N P ◦ (g/N ) ∈ A. Then, we have k h − | g | k < ǫ/2. Note that
k | f | − h k ≤ k | f | − | g | k + k | g | − h k ≤ k f − g k + k | g | − h k < ǫ. Hence,
| f | ∈ A, by the arbitrariness of ǫ. This completes the proof of the claim.
2
∀f, g ∈ A, we have
1 1
f ∨g = (f + g) + |f − g| ∈ A
2 2
1 1
f ∧g = (f + g) − |f − g| ∈ A
2 2
Hence, A is a lattice. Clearly, A separates points since A separates points.

By Proposition 7.53, ∀h ∈ C(X , IR), ∀ǫ ∈ (0, ∞) ⊂ IR, there exists g ∈ A
such that 0 ≤ g(x) − h(x) < ǫ, ∀x ∈ X . Then, k g − h k < ǫ, and h ∈ A =
A, where the last equality follows from Proposition 3.3. Hence, we have
A = C(X , IR). This completes the proof of the theorem. 2
Corollary 7.57 Let X ⊆ IRn be a closed and bounded set with the subset
topology O, where n ∈ Z+ , X := (X, O), and f : X → IR be a continuous
function. Then, ∀ǫ ∈ (0, ∞) ⊂ IR, there exists a polynomial P : X → IR in
n variables such that | f (x) − P (x) | < ǫ, ∀x ∈ X .
Proof By Proposition 5.40, X is a compact space. Let C(X , IR) be
the Banach space defined in Example 7.32. Then, f ∈ C(X , IR). Let A
be all polynomial in n variables on X . Clearly, A ⊆ C(X , IR) and is a
linear subspace of C(X , IR). Then, it is easy to show that A is an algebra.
∀x1 , x2 ∈ X with x1 6= x2 , there exists a coordinate i0 ∈ {1, . . . , n} such
that πi0 (x1 ) 6= πi0 (x2 ). Then, the polynomial f ∈ A given by f (x) =
πi0 (x), ∀x ∈ X , separates x1 and x2 . Hence, A separates points. Clearly,
A contains all the constant functions. By the Stone-Weierstrass Theorem,
A = C(X , IR). This completes the proof of the corollary. 2
Corollary 7.58 Let S1 = [0, 2π] ⊂ IR and f ∈ C(S1 , IR). Assume
that f (0) = f (2π). Let M = { g ∈ C(S1 , IR) | g(x) = cos(nx), ∀x ∈
S1 or g(x) = sin(nx), ∀x ∈ S1 , where n ∈ Z+ }. Let A = span ( M ) ⊆
C(S1 , IR). Then, f ∈ A.

Proof Let S2 ⊂ IR2 be the unit circle: S2 := (y1 , y2 ) ∈ IR2 y12 +

y22 = 1 . Define a mapping Ψ : S1 → S2 by Ψ(x) = (cos(x), sin(x)),
∀x ∈ S1 . Clearly, Ψ is surjective and continuous. Note that S1 is compact
and S2 is Hausdorff. It is obvious that we may define a function Φ : S2 → IR
such that Φ ◦ Ψ = f , which is continuous. By Proposition 5.18, we have
Φ is continuous. Note that S2 is closed and bounded in IR2 , then S2 is
compact by Proposition 5.40. Hence, Φ ∈ C(S2 , IR). By Corollary 7.57, ∀ǫ ∈
(0, ∞) ⊂ IR, there exists a polynomial P : S2 → IR such that | Φ(y1 , y2 ) −
P (y1 , y2 ) | < ǫ, ∀y1 , y2 ∈ S2 . Then, | f (x) − P ◦ Ψ(x) | = | Φ ◦ Ψ(x) − P ◦
Ψ(x) | < ǫ, ∀x ∈ S1 . Note that P ◦ Ψ ∈ A, since, ∀γ, θ ∈ IR,
1 1
(sin(θ))2 = (1 − cos(2θ)); (cos(θ))2 = (1 + cos(2θ));
2 2
1
sin(γ) cos(θ) = (sin(γ + θ) + sin(γ − θ));
2
1
sin(γ) sin(θ) = (cos(γ − θ) − cos(γ + θ));
2
1
cos(γ) cos(θ) = (cos(γ − θ) + cos(γ + θ))
2
Hence, f ∈ A, by the arbitrariness of ǫ. This completes the proof of the
corollary. 2
For ease of presentation below, we will define two functions: sqr : IR√→
IR by sqr(x) = x2 , ∀x ∈ IR, and sqrt : [0, ∞) → [0, ∞) by sqrt(x) = x,
∀x ∈ [0, ∞).
Corollary 7.59 Let X := (X, O) be a compact space and A ⊆ C(X , IR) be
an algebra that satisfies
(i) A separates points;
(ii) ∃f0 ∈ A such that f0 (x) 6= 0, ∀x ∈ X .
Then, the constant function 1 ∈ A = C(X , IR).
Case 2: X 6= ∅. By Lemma 7.55, A is an algebra.
Since A is an algebra, then, sqr ◦f0 ∈ A, which satisfies that sqr ◦f0 (x) >
0, ∀x ∈ X . Furthermore, g0 := sqr ◦f0 / k sqr ◦f0 k ∈ A, which satisfies
g0 : X → (0, 1] ⊂ IR.
By Corollary 7.57, ∀ǫ√ ∈ (0, ∞) ⊂ IR, there exists a polynomial Qǫ in
one variable such that | s − Qǫ (s) | < ǫ, ∀s ∈ [0, 1] ⊂ IR, and Qǫ (0) = 0.
∀f : X → [0, 1] ⊂ IR with f ∈ A, Qǫ ◦ f ∈ A since A is an algebra and
Qǫ (0) = 0. Then, sqrt ◦f ∈ A = A. Recursively, we may conclude that
sqrtn ◦g0 ∈ A, ∀n ∈ IN.
By Proposition 5.29, ∃xm ∈ X such that g0 (x) ≥ g−n 0 (xm
) =: γ > 0,
2 0
∀x ∈ X . ∀ǫ ∈ (0, 1) ⊂ IR, ∃n0 ∈ IN such that 1 − γ < ǫ. Then,
k 1 − sqrtn0 ◦g0 k < ǫ. Hence, the constant function 1 ∈ A = A.
Clearly, A separates points since A does. Hence, by Theorem 7.56,
C(X , IR) = A = A. This completes the proof of the corollary. 2
Proposition 7.60 Let X be a compact space and A ⊆ C(X , IR) be an al-
gebra that separates points on X . Then, either A = C(X , IR) or ∃x0 ∈ X
such that A = { f ∈ C(X , IR) | f (x0 ) = 0 }.
Case 2: X 6= ∅. By Lemma 7.55, A is an algebra. We will further
distinguish two exhaustive and mutually exclusive cases: Case 2a: 1 ∈ A;
Case 2b: 1 6∈ A. Case 2a: 1 ∈ A. Clearly, A is an algebra that separates
points. By Stone-Weierstrass Theorem, C(X , IR) = A = A. Then, the
result holds.
Case 2b: 1 6∈ A. Then, A ⊂ C(X , IR). By Corollary 7.59, ∀f ∈ A, there
exists x ∈ X such that f (x) = 0. Then, we have the following claims.
Claim 7.60.1 ∀f ∈ A, | f | ∈ A. Hence, A is a lattice.
Proof of claim: ∀f ∈ A, by the compactness of X and Proposi-

tion 5.29, ∃M ∈ (0, ∞) ⊂ IR such that k f k ≤ M . Let g := f /M ∈ A.
Then, g : X → [−1, 1] ⊂ IR. ∀ǫ ∈ (0, ∞) ⊂ IR, by Lemma 7.54, there exists
a polynomial P : [−1, 1] → IR with P (0) = 0 such that | P (s) − | s | | < ǫ/M ,
∀s ∈ [−1, 1] ⊂ IR. Since A is an algebra, then M · P ◦ g ∈ A and
k | f | − M · P ◦ g k = M k | g | − P ◦ g k < ǫ. Hence, | f | ∈ A = A.
∀f, g ∈ A, we have
1 1
f ∨g = (f + g) + |f − g| ∈ A
2 2
1 1
f ∧g = (f + g) − |f − g| ∈ A
2 2
Hence, A is a lattice. This completes the proof of the claim. 2
Claim 7.60.2 ∃x0 ∈ X such that f (x0 ) = 0, ∀f ∈ A.
Proof of claim: We will prove this using an argument of contradiction.

Suppose the claim is false. ∀x ∈ X , ∃fx ∈ A such that fx (x) 6= 0. By
Claim 7.60.1, | fx | ∈ A and | fx (x) | > 0. Let Ox := { x̄ ∈ X | | fx (x̄) | > 0 }.
Since fx ∈ A ⊆ C(X , IR), then x ∈ Ox ∈ OX . Hence, we have X ⊆
S
x∈X Ox . By the S compactness of X , there exists a finite set XN ⊆ X
such that X ⊆ x∈XN Ox . Clearly, XN 6= ∅ since X 6= ∅. Let f :=
P
x∈XN | fx | ∈ A. Hence, f (x) > 0, ∀x ∈ X . By Corollary 7.59, we have
1 ∈ A = A, which is a contradiction. Hence, the claim is true. This
completes the proof of the claim. 2
Claim 7.60.3 ∀ closed set F ⊆ X with x0 6∈ F , we have

(i) let AF := h ∈ C(F, IR) ∃f ∈ A such that h = f |F , then AF =
C(F, IR);
(ii) ∀ǫ ∈ (0, 1) ⊂ IR, ∃g ∈ A such that g : X → [0, 1] ⊂ IR and g(x) ≥ 1−ǫ,
∀x ∈ F .
Proof of claim: Clearly, AF is an algebra since A is an algebra.

Furthermore, AF separate points on F since A separates points on X .
By Proposition 5.5, F with the subset topology is compact.
∀x ∈ F , we have x 6= x0 . ∃fx ∈ A such that fx (x) 6= fx (x0 ) = 0. By
Claim 7.60.1, | fx | ∈ A and | fx (x) | > 0. LetSOx := { x̄ ∈ X | | fx (x̄) | > 0 }.
Then, we have x ∈ Ox ∈ OX . Hence, F ⊆ x∈F Ox . By the S compactness
of F , there exists a finite set FN ⊆ F such that F ⊆ x∈FN Ox . Let
P
f := x∈FN | fx |. Then, f ∈ A and f (x) > 0, ∀x ∈ F .
Then, h := f |F ∈ AF and h(x) > 0, ∀x ∈ F . By Corollary 7.59, we
have AF = C(F, IR). Hence, (i) is true.
∃M ∈ (0, ∞) ⊂ IR such that k f k ≤ M . Then, g0 := f /M ∈ A and

g0 : X → [0, 1] ⊂ IR.
By Corollary 7.57, ∀ǫ√ ∈ (0, ∞) ⊂ IR, there exists a polynomial Qǫ in
one variable such that | s − Qǫ (s) | < ǫ, ∀s ∈ [0, 1] ⊂ IR, and Qǫ (0) = 0.
∀f¯ : X → [0, 1] ⊂ IR with f¯ ∈ A, Qǫ ◦ f¯ ∈ A since A is an algebra and
Qǫ (0) = 0. Then, sqrt ◦f¯ ∈ A = A. Recursively, we may conclude that
sqrtn ◦g0 ∈ A, ∀n ∈ IN.
By the compactness of F and Proposition 5.29, ∃γ ∈ (0, 1] ⊂ IR such
−n0
that g0 (x) ≥ γ, ∀x ∈ F . ∀ǫ ∈ (0, 1) ⊂ IR, ∃n0 ∈ IN such that γ 2 ≥ 1 − ǫ.
Then, g := sqrtn0 ◦g0 ∈ A, g : X → [0, 1] ⊂ IR and g(x) ≥ 1 − ǫ, ∀x ∈ F .
Hence, (ii) is true.
This completes the proof of the claim. 2
Claim 7.60.4 ∀g ∈ C(X , IR) with g(x0 ) = 0 and g(x) ≥ 0, ∀x ∈ X , we
have g ∈ A.
Proof of claim: ∀ǫ ∈ (0, ∞) ⊂ IR, let O := { x ∈ X | g(x) < ǫ/2 }.
Then, x0 ∈ O ∈ OX since g is continuous. Let M := k g k ∈ [0, ∞) ⊂ IR.
By Claim 7.60.3, ∃h1 ∈ A such that h1 : X → [0, 1] ⊂ IR and h1 (x) ≥
2/3, ∀x ∈ O.e Note that h1 (x0 ) = 0 by Claim 7.60.2. Let h2 := 3M h1 /2 ∈
A. Then, we have 0 ≤ h2 (x) ≤ 3M/2, ∀x ∈ X , and h2 (x) ≥ M ≥ g(x),
e
∀x ∈ O.
Let U := { x ∈ O | h2 (x) < ǫ/2 }. Then, x0 ∈ U ∈ OX since O ∈
OX , h2 is continuous, and h2 (x0 ) = 0. Furthermore, g|Ue ∈ C(U e , IR). By

Claim 7.60.3, ∃h3 ∈ A such that h3 |Ue (x) − g|Ue (x) < ǫ, ∀x ∈ U e . Define
h4 := (h3 ∨ 0) ∧ h2 . Then, h4 ∈ A by Claim 7.60.1. ∀x ∈ X , we will show
that | g(x) − h4 (x) | < ǫ by distinguishing three exhaustive and mutually
exclusive cases: Case A: x ∈ U ; Case B: x ∈ O \ U ; Case C: x ∈ O. e
Case A: x ∈ U . Then, we have 0 ≤ h2 (x) < ǫ/2, 0 ≤ g(x) < ǫ/2. Then,
0 ≤ h4 (x) = (h3 (x) ∨ 0) ∧ h2 (x) ≤ h2 (x) < ǫ/2. Therefore, | g(x) − h4 (x) | <
ǫ.
Case B: x ∈ O \ U . Then, we have | h3 (x) − g(x) | < ǫ, h2 (x) ≥ 0, and
0 ≤ g(x) < ǫ/2. Hence, 0 ≤ h3 (x)∨0 < g(x)+ǫ. Then, 0 ≤ h4 (x) < g(x)+ǫ
and −ǫ/2 < −g(x) ≤ h4 (x) − g(x) < ǫ. Therefore, we have | g(x) − h4 (x) | <
ǫ.
Case C: x ∈ O. e Then, we have | h3 (x) − g(x) | < ǫ and h2 (x) ≥ M ≥
g(x) ≥ 0. Hence, g(x)−ǫ < h3 (x) < g(x)+ǫ, g(x)−ǫ < h3 (x)∨0 < g(x)+ǫ,
and g(x) − ǫ < h4 (x) < g(x) + ǫ. Therefore, | g(x) − h4 (x) | < ǫ.
Hence, in all three cases, we have | g(x)−h4 (x) | < ǫ. Hence k g−h4 k < ǫ.
By the arbitrariness of ǫ, we have g ∈ A = A. 2
∀f ∈ C(X , IR) with f (x0 ) = 0, let f+ := f ∨ 0 and f− := (−f ) ∨ 0.
Clearly, f+ , f− ∈ C(X , IR), f+ (x0 ) = 0, f− (x0 ) = 0, and f = f+ − f− . By
Claim 7.60.4, f+ , f− ∈ A. Then, f ∈ A since A is an algebra. This coupled
with Claim 7.60.2, we have that A = { f ∈ C(X , IR) | f (x0 ) = 0 }. Hence,
the result holds in this case.
7.8. LINEAR OPERATORS 173
7.8 Linear Operators

Definition 7.61 Let X and Y be normed linear spaces over the field IK. A
linear operator A : X → Y is said to be bounded if ∃M ∈ [0, ∞) ⊂ IR such
that k Ax kY ≤ M k x kX , ∀x ∈ X.
Proposition 7.62 Let X and Y be normed linear spaces over IK and A :

X → Y be a linear operator. Then,
(i) if A is bounded then A is uniformly continuous;
(ii) if A is continuous at some x0 ∈ X then A is bounded.
Proof (i). ∃M ∈ [0, ∞) ⊂ IR such that k Ax kY ≤ M k x kX , ∀x ∈ X.

∀ǫ ∈ (0, ∞) ⊂ IR, let δ = ǫ/(1 + M ) ∈ (0, ∞) ⊂ IR. ∀x1 , x2 ∈ X with k x1 −
x2 kX < δ, we have k Ax1 − Ax2 kY = k A(x1 − x2 ) kY ≤ M k x1 − x2 kX < ǫ.
Hence A is uniformly continuous.
(ii). ∀ǫ ∈ (0, ∞) ⊂ IR, ∃δ ∈ (0, ∞) ⊂ IR, ∀x ∈ BX ( x0 , δ ), we have k Ax−
Ax0 kY < ǫ. ∀x̄ ∈ BX ( ϑX , δ ), we have k Ax̄ kY = k A(x0 + x̄) − Ax0 kY < ǫ.
Hence, A is continuous at ϑX . Then, ∃δ0 ∈ (0, ∞) ⊂ IR such that k Ax kY <
1, ∀x ∈ BX ( ϑX , δ0 ). Then, ∀x ∈ X, we have two possiblities: (a) x = ϑX ,
δ0
then k Ax kY = 0 ≤ δ20 k x kX ; (b) x 6= ϑX , then, 2kxk x ∈ BX ( ϑX , δ0 )
X
2kxkX δ0 2kxk δ0
and we have k Ax kY = δ0 A 2kxk x = δ0 X A 2kxk x <
X Y X Y
2
δ0 k x kX . Hence, A is bounded.
Proposition 7.63 Let X and Y be normed linear spaces over the field IK.
Let (M(X, Y), IK) be the vector space defined in Example 6.20 with the null
vector ϑ. Let P := { A ∈ M(X, Y) | A is linear. }. Then, P is a subspace
of M(X, Y). Define a functional k · k on P by k A k := inf { M ∈ [0, ∞) ⊂
IR | k Ax kY ≤ M k x kX , ∀x ∈ X }, ∀A ∈ P . Then, ∀A ∈ P , k A k may be
equivalently expressed as
kAk = sup k Ax kY
x∈X,kxkX ≤1
   
 k Ax kY   
= max sup , 0 = max sup k Ax kY , 0
 x∈X k x kX   x∈X 
x6=ϑX kxkX =1
Let N := { A ∈ P | k A k < +∞ }. Then, (N, IK, k · k) =: B ( X, Y ) is a

normed linear space.
Proof It is easy to check that P is closed under vector addition and

scalar multiplication in M(X, Y). Clearly, ϑ ∈ P 6= ∅. Hence, P is a
subspace of M(X, Y).
Next, we prove the four equivalent definitions of k A k. ∀A ∈ P , define
the set BA := { M ∈ [0, ∞) ⊂ IR | k Ax kY ≤ M k x kX , ∀x ∈ X }. Let
δA1 := supx∈X,kxkX ≤1 k Ax kY . Since k ϑX kX = 0 and k AϑX kY = k ϑY kY =
0, then δA1 ≥ 0. ∀M ∈ BA , we have k Ax kY ≤ M k x kX ≤ M , ∀x ∈ X with
k x kX ≤ 1. Hence, we have δA1 ≤ M and δA1≤ k A k.
kAxk
Let δA2 := max supx∈X, x6=ϑX kxk Y , 0 . ∀x ∈ X with x 6= ϑX , we
X

x kAxk
have δA1 ≥ A kxk = kxk Y . Hence, we have δA2 ≤ δA1 . Let
n X Y X
o
δA3 := max supx∈X, kxkX =1 k Ax kY , 0 . Clearly, we have 0 ≤ δA3 ≤ δA2 .
On the other hand, ∀x ∈ X, we have either x = ϑX k Ax
, then kY =

x
0 ≤ δA3 k x kX ; or x 6= ϑX , then k x kX > 0 and δA3 ≥ A kxk =
X Y
kAxkY
kxkX , and hence, k Ax kY ≤ δA3 k x kX . Thus, ∀x ∈ X, we have k Ax kY ≤
δA3 k x kX . If δA3 = +∞, then k A k ≤ δA3 . If δA3 < +∞, then δA3 ∈ BA
and k A k ≤ δA3 . Therefore, k A k ≤ δA3 .
Hence, k A k = δA1 = δA2 = δA3 .
It is easy to check that N is closed under vector addition and scalar
multiplication in P . Clearly, ϑ ∈ N 6= ∅. Hence, N is a subspace of P .
Finally, we will show that k · k defines a norm on N . ∀A1 , A2 ∈
N , ∀α ∈ IK. (i) k A1 k ∈ [0, ∞) ⊂ IR. If A1 = ϑ, then k A1 k =
supx∈X,kxkX ≤1 k A1 x kY = supx∈X,kxkX ≤1 0 = 0. On the other hand, if
k A1 k = 0, then, ∀x ∈ X, 0 ≤ k A1 x kY ≤ k A1 k k x kX = 0, which implies
that A1 x = ϑY and A1 = ϑ. Hence, k A1 k = 0 ⇔ A1 = ϑ.
(ii) k A1 +A2 k = supx∈X, kxkX ≤1 k (A1 +A2 )x kY = supx∈X, kxkX ≤1 k A1 x
+ A2 x kY ≤ supx∈X, kxkX ≤1 ( k A1 x kY + k A2 x kY ) ≤ supx∈X, kxkX ≤1 k A1 x kY
+ supx∈X, kxkX ≤1 k A2 x kY = k A1 k + k A2 k.
(iii) k αA1 k = supx∈X, kxkX ≤1 k (αA1 )x kY = supx∈X, kxkX ≤1 k α(A1 x) kY
= supx∈X, kxkX ≤1 | α | k A1 x kY = | α | supx∈X, kxkX ≤1 k A1 x kY = | α | k A1 k,
where we have made use of Proposition 3.81 in the fourth equality.
Hence, B ( X, Y ) is a normed linear space. 2
Proposition 7.64 Let X, Y, and Z be normed linear spaces over the field
IK, A ∈ B ( X, Y ), and B ∈ B ( Y, Z ). Then, ∀x ∈ X, we have k Ax k ≤
k A k k x k, where the three norms are over three different normed linear
spaces. Furthermore, k BA k ≤ k B k k A k, where the three norms are over
three different normed linear spaces.

Proposition 7.65 Let X and Y be normed linear spaces over the field IK
and B ( X, Y ) be the normed linear space of bounded linear operators of X
7.8. LINEAR OPERATORS 175
to Y. Define an operator ψ : B ( X, Y ) × X → Y by ψ(A, x) = Ax, ∀A ∈

B ( X, Y ), ∀x ∈ X. Then, ψ is continuous.
ǫ
Proof ∀(A0 , x0 ) ∈ B ( X, Y ) × X, ∀ǫ ∈ (0, ∞) ⊂ IR, let δ = ǫ+kx 0k
∧
ǫ
ǫ+kA0k
∧ ǫ ∈ (0, ∞) ⊂ IR. ∀(A, x) ∈ BB(X,Y)×X ( (A0 , x0 ), δ ), we have
k ψ(A, x) − ψ(A0 , x0 ) k = k Ax − A0 x0 k = k Ax − Ax0 + Ax0 − A0 x0 k ≤
k A(x − x0 ) k + k (A − A0 )x0 k ≤ k A k k x − x0 k + k A − A0 k k x0 k ≤ (k A0 k +
k A − A0 k)δ + k x0 k δ ≤ (δ + k A0 k)δ + k x0 k δ ≤ ǫ + ǫ = 2ǫ. Hence, ψ is
continuous. This completes the proof of the proposition. 2
Proposition 7.66 Let X and Y be normed linear spaces over the field IK.
Let B ( X, Y ) be the normed linear space defined in Proposition 7.63. If Y is
a Banach space, then B ( X, Y ) is also a Banach space.
Proof All we need to show is that B ( X, Y ) is complete. Take a

Cauchy sequence ( An )∞ n=1 ⊆ B ( X, Y ). ∀x ∈ X, we have k An x − Am x k ≤
∞
k An − Am k k x k, ∀n, m ∈ IN, by Proposition 7.64. Hence, ( An x )n=1 ⊆ Y
is a Cauchy sequence. Since Y is a Banach space, then ∃! yx ∈ Y such
that limn∈IN An x = yx . Hence, we may define a function f : X → Y by
f (x) = yx , ∀x ∈ X.
∀x1 , x2 ∈ X, ∀α, β ∈ IK, by Propositions 7.23, 4.15, and 3.67, we have
f (αx1 + βx2 ) = limn∈IN An (αx1 + βx2 ) = limn∈IN (αAn x1 + βAn x2 ) =
α limn∈IN An x1 + β limn∈IN An x2 = αf (x1 ) + βf (x2 ). Hence, f is linear.
∞
Since, ( An )n=1 is Cauchy, then, ∀ǫ ∈ (0, ∞) ⊂ IR, ∃N ∈ IN, ∀n, m ≥ N ,
k An − Am k < ǫ. ∀x ∈ X, k An x− Am x k ≤ k An − Am k k x k ≤ ǫ k x k. Then,
by Propositions 3.66, 7.21, and 7.23, k f (x) − Am x k = limn∈IN k An x −
Am x k ≤ limn∈IN k An − Am k k x k ≤ ǫ k x k. Therefore, k f (x) k ≤ k f (x) −
AN x k + k AN x k ≤ ǫ k x k + k AN k k x k = (ǫ + k AN k) k x k. This implies
that f is bounded. Hence, f ∈ B ( X, Y ). Note that 0 ≤ limn∈IN k An −
f k = limn∈IN supx∈X, kxk≤1 k (An − f )(x) k = limn∈IN supx∈X, kxk≤1 k An x −
f (x) k ≤ ǫ. By the arbitrariness of ǫ, we have limn∈IN k An − f k = 0 and
hence limn∈IN An = f ∈ B ( X, Y ). Hence, B ( X, Y ) is complete.
Proposition 7.67 Let X and Y be normed linear spaces over the field IK,
X be finite dimensional with dimension n ∈ Z+ , and A : X → Y be a linear
operator. Then, A ∈ B ( X, Y ).
Proof Let XN ⊆ X be a basis for X, which then contains exactly n

vectors. We will distinguish two exhaustive and mutually exclusive cases:
Case 1: n = 0; Case 2: n ∈ IN. Case 1: n = 0. Then, X = {ϑX }. Then,
by Proposition 7.63, we have k A k = supx∈X, kxk≤1 k Ax k = 0. Hence,
A ∈ B ( X, Y ).
Case 2: n ∈ IN. Let XN = { x1 , . . . , xn }. ∀x ∈ X, Pby Corollary 6.47
n
and Definition 6.50, ∃! α1 , . . . , αn ∈ IK such that x = i=1 αi xi . Then,
qP
n 2
we may define an alternative norm k · k1 on X by k x k1 = i=1 | αi | .
It is easy to check that k · k1 defines a norm on X. By Theorem 7.38,
∃M ∈ (0, ∞) ⊂ IR such that k x k /M ≤ k x k1 ≤ M k x k, ∀x ∈ X. Define
ri := k Axi k, i = 1, . . . , n. Then, by Proposition 7.63,
!
Xn

kAk = sup k Ax k = sup
‚P ‚ A α x
i i
x∈X, kxk≤1 ‚ n ‚
α1 ,...,αn ∈IR, ‚ i=1 αi xi‚≤1 i=1
n
X
≤ sup
‚P ‚
| αi | ri
‚ ‚
α1 ,...,αn ∈IR, ‚ ni=1 αi xi‚≤1 i=1
n
X 1/2 X
n
2
1/2
≤ sup
‚ ‚
ri2 | αi |
‚P ‚
α1 ,...,αn ∈IR, ‚ ni=1 αi xi‚≤1 i=1 i=1
n
X n
X
1/2 1/2
= sup ri2 k x k1 ≤ sup ri2 M kxk
x∈X, kxk≤1 i=1 x∈X, kxk≤1 i=1
n
X 1/2
≤ M ri2
i=1
where we have applied the Cauchy-Schwarz Inequality in the second in-

equality. Hence, A ∈ B ( X, Y ).
and A : X → Y be a linear operator. If A is bounded, then N ( A ) ⊆ X
is closed. On the other hand, if N ( A ) is closed and R ( A ) ⊆ Y is finite
dimensional, then A is bounded.
Proof Let A be bounded. By Proposition 7.62, A is continuous. Note

that the set {ϑY } ⊆ Y is closed by Proposition 3.34. By Proposition 3.10,
N ( A ) = Ainv({ϑY }) is closed.
Let N ( A ) be closed and R ( A ) be finite dimensional. Let n ∈ Z+ be
the dimension of R ( A ). We will distinguish two exhaustive and mutually
exclusive cases: Case 1: n = 0; Case 2: n ∈ IN. Case 1: n = 0. Then,
R ( A ) = { ϑY }. Hence, A = ϑB(X,Y) , which is clearly bounded.
Case 2: n ∈ IN. Then, ∃XN = { x1 , . . . , xn } ⊆ X with exactly n
elements such that A(XN ) ⊆ Y is a basis of R ( A ). Let X/N ( A ) be
the quotient normed linear space as defined in Proposition 7.44. ∀x ∈ X,
Ax ∈ R ( A ) = span ( A(XN ) ). Then,P by Definition 6.50 and Corollary 6.47,
n
∃!
Pn α 1 , . . . , α n ∈ I
K such that
Pn Ax = i=1 αi Axi . Then, weP have A ( x −
n
Pn i=1 α i x i ) = ϑ Y and x− i=1 αi xi ∈ N ( A ). Hence, [ x ] = [ i=1 αi xi ] =
i=1 αi [ xi ]. This implies that X/N ( A ) ⊆ span ( { [ x1 ] , . . . , [ xn ] } ).
Hence, X/N ( A ) is finite dimensional.
7.9. DUAL SPACES 177
Define a mapping Ā : X/N ( A ) → Y by Ā [ x ] = Ax, ∀ [ x ] ∈ X/N ( A ).

Note that ∀x̄ ∈ [ x ], we have x − x̄ ∈ N ( A ) and Ax = Ax̄. Hence, Ā is
uniquely defined. ∀ [ x1 ] , [ x2 ] ∈ X/N ( A ), ∀α, β ∈ IK, we have Ā(α [ x1 ] +
β [ x2 ]) = Ā([ αx1 + βx2 ]) = A(αx1 + βx2 ) = αAx1 + βAx2 = αĀ([ x1 ]) +
β Ā([ x2 ]). Hence, Ā is a linear
operator.
By Proposition
7.67, Ā is bounded.
∀x ∈ X, k Ax k = Ā [ x ] ≤ Ā k [ x ] k ≤ Ā k x k. Hence, A ∈ B ( X, Y ).
Proposition 7.69 Let X be a normed linear space and M ⊆ X be a closed

subspace. Let X/M be the quotient normed linear space and φ : X → X/M
be the natural homomorphism. Then, k φ k ≤ 1.
Proof By Proposition 7.43, φ is linear. ∀x ∈ X, k φ(x) k =

inf m∈M k x − m k ≤ k x k. Then, φ ∈ B ( X, X/M ) and k φ k ≤ 1. This
A ∈ B ( X, Y ), and φ : X → X/N ( A ) be the natural homomorphism. Then,
∃B ∈ B ( X/N ( A ) , Y ) such that A = B◦φ, B is injective, and k A k = k B k.
Proof By Proposition 7.68, N ( A ) is closed. Then, by Proposi-

tion 7.44, X/N ( A ) is a normed linear space. Define B : X/N ( A ) → Y
by B([ x ]) = Ax, ∀ [ x ] ∈ X/N ( A ). Note that ∀x̄ ∈ [ x ], we have
x − x̄ ∈ N ( A ) and Ax = Ax̄. Hence, B is uniquely defined. ∀ [ x1 ] , [ x2 ] ∈
X/N ( A ), ∀α, β ∈ IK, we have B(α [ x1 ] + β [ x2 ]) = B([ αx1 + βx2 ]) =
A(αx1 + βx2 ) = αAx1 + βAx2 = αB([ x1 ]) + βB([ x2 ]). Hence, B is lin-
ear. ∀ [ x1 ] , [ x2 ] ∈ X/N ( A ), B [ x1 ] = B [ x2 ] implies that Ax1 = Ax2 ,
x1 − x2 ∈ N ( A ), and hence, [ x1 ] = [ x2 ]. This shows that B is injective.
∀x ∈ X, B ◦ φ(x) = B [ x ] = Ax. Hence, A = B ◦ φ.
∀ [ x ] ∈ X/N ( A ), ∀m ∈ N ( A ), k B [ x ] k = k Ax k = k A(x − m) k ≤
k A k k x − m k. This implies that k B [ x ] k ≤ k A k k [ x ] k. Hence, B ∈
B ( X/N ( A ) , Y ) and k B k ≤ k A k. By Propositions 7.64 and 7.69, k A k =
k B ◦ φ k ≤ k B k k φ k ≤ k B k. Then, k A k = k B k. This completes the proof
7.9 Dual Spaces

7.9.1 Basic concepts
Definition 7.71 Let X be a normed linear space over the field IK. Then,
the space B ( X, IK ), which consists of all bounded linear functional on X, is
called the dual of X and denoted by X∗ . We will denote the vectors in X∗
by x∗ and denote x∗ (x) by hh x∗ , x ii.
Proposition 7.72 Let X be a normed linear space over the field IK and X∗
be its dual. Then, the following statements hold.
(i) If a linear functional f : X → IK is continuous at some x0 ∈ X, then

f ∈ X∗ .
(ii) ∀x∗ ∈ X∗ , x∗ is uniformly continuous.
(iii) For any linear functional f : X → IK, we have k f k = inf { M ∈
[0, ∞) ⊂ IR | | f (x) | ≤ M k x kX , ∀x ∈ X } = supx∈X,kxkX ≤1 | f (x) | =
( ) ( )
| f (x) |
max sup , 0 = max sup | f (x) | , 0 .
x∈X, x6=ϑX k x kX x∈X, kxkX =1
(iv) | hh x∗ , x ii | ≤ k x∗ k k x k, ∀x ∈ X, ∀x∗ ∈ X∗ .
(v) hh ·, · ii is a continuous function on X∗ × X.
(vi) X∗ is a Banach space.
(vii) A linear functional f : X → IK is bounded if, and only if, N ( f ) is
closed.
Proof (i) and (ii) are direct consequences of Proposition 7.62. (iii) is a
direct consequence of Proposition 7.63. (iv) follows from Proposition 7.64.
(v) follows from Proposition 7.65. (vi) follows from Proposition 7.66 since
IK is a Banach space. Finally, (vii) follows from Proposition 7.68. This
7.9.2 Duals of some common Banach spaces

Example 7.73 Let us consider the dual of X := ( { ϑX } , IK, k·k ). Clearly,
there is a single linear functional on X given by f : X → IK and f (ϑX ) =
0. Clearly, this linear functional is bounded with norm 0. Hence, X∗ =
( { f } , IK, k · k1 ), which is isometrically isomorphic to X. ⋄
Example 7.74 Let us consider the dual of X := IKn , nP∈ IN. ∀x :=
n
( ξ1 , . . . , ξn ) ∈ IKn , any functional of the form f (x) = i=1 ηi ξi with
η1 , . . . , ηn ∈ IK is clearly linear. By Cauchy-Schwarz q Inequality,
q we have
Pn Pn Pn 2 Pn 2
| f (x) | = | i=1 ηi ξi | ≤ i=1 | ηi | | ξi | ≤ i=1 | ηi | i=1 | ξi | =
qP qP
n 2 n 2
i=1 | ηi | | x |. Hence, f is bounded and k f k ≤ i=1 | ηi | . Since
the equality is achieved at x = ( η1 , . . . , ηn ) in the above
qP inequality, where
n 2
ηi denotes the complex conjugate of ηi , then k f k = i=1 | ηi | . Clearly,
for different n-tuple ( η1 , . . . , ηn ), the linear functional f is distinct. Now,
let f be a bounded linear functional on X. Let ei ∈ X be the ith unit vector
(all components of ei are zero except a 1 at the ith component), i = 1, . . . , n.
Let ηP i = f (ei ) ∈ IK, i = 1,P . . . , n. Then, ∀x = ( ξ1 , . . . , ξn ) ∈ X, we have
n n
x = i=1 ξi ei and f (x) = i=1 ηi ξi . Define a function Ψ : X∗ → IKn by
Ψ(f ) = ( η1 , . . . , ηn ), ∀f ∈ X∗ . Clearly, Ψ is linear, bijective and norm
preserving. Hence, the dual of IKn is (isometrically isomorphic to) IKn . ⋄
Lemma 7.75 Let X be a normed linear space over IK, X∗ be its dual,
and x∗ ∈ X∗ . Then, ∀ǫ ∈ (0, 1) ⊂ IR, ∃x ∈ X with k x k ≤ 1 such that
hh x∗ , x ii ∈ IR and hh x∗ , x ii ≥ (1 − ǫ) k x∗ k.
Proof ∀ǫ ∈ (0, 1) ⊂ IR. We will distinguish two exhaustive and mutu-

ally exclusive cases: Case 1: k x∗ k = 0; Case 2: k x∗ k > 0. Case 1: k x∗ k =
0. Then, x∗ = ϑ∗ . Take x = ϑ and the result holds. Case 2: k x∗ k > 0.
Note that k x∗ k = supx∈X, kxk≤1 | hh x∗ , x ii |. Then, ∃x̄ ∈ X with k x̄ k ≤ 1
˛ ˛
˛ ˛
˛hhx∗ ,x̄ii˛
such that | hh x∗ , x̄ ii | ≥ (1 − ǫ) k x∗ k > 0. Take x := x ,x̄ x̄ ∈ X. Then,
˛ ˛ hh ˛∗ ii ˛
˛ ˛ ˛ ˛
˛hhx∗ ,x̄ii˛ ˛hhx∗ ,x̄ii˛
k x k = k x̄ k ≤ 1 and hh x∗ , x ii = x∗ , x ,x̄ x̄ = x ,x̄ hh x∗ , x̄ ii =
hh ∗ ii hh ∗ ii
| hh x∗ , x̄ ii | ∈ IR and hh x∗ , x ii ≥ (1 − ǫ) k x∗ k. This completes the proof of
the lemma. 2
∗
Example 7.76 Let Yi be a normed linear space over the field Qn IK, Yi be
its dual, i = 1, . . . , n,Qn ∈ IN. We will study the dual of X := i=1 Yi . We
n
will show that X∗ = i=1 Y∗i isometrically isomorphically.
∗
Let f ∈ X . ∀i = 1, . . . , n, define Ai : Yi → X by x = ( y1 , . . . , yn ) =
Ai y, ∀y ∈ Yi , and yj = ϑYi , ∀j ∈ 1, . . . , n with j 6= i, and yi = y. Clearly,
Ai is well-defined and linear and bounded with k Ai k ≤ 1. Define fi :
Yi → IK by fi = f ◦ Ai . Then, fi is a bounded linear functional on
Yi with k fi k ≤ k f k k Ai k ≤ k f k. Hence, fi ∈ Y∗i . Denote fi =: y∗i .
∀x = ( y1 , . . . , yn ) ∈ X, we have yi ∈ Yi , i = 1, . . . , n. By the linearity of f ,
we have
n
X n
X n
X
f (x) = f ( Ai yi ) = f ( Ai yi ) = hh y∗i , yi ii (7.1)
i=1 i=1 i=1
Q
Let x∗ := ( y∗1 , . . . , y∗n ) ∈ ni=1 Y∗i . ∀ǫ ∈ (0, 1) ⊂ IR, ∀i = 1, . . . , n,
by Lemma 7.75, ∃ȳi ∈ Y with k ȳi k ≤ 1 such that hh y∗i , ȳi ii ∈ IR
and hh y∗i , ȳi ii ≥ (1 − ǫ) k y∗i k. Let ŷi = k y∗i k ȳi . Then, hh y∗i , ŷi ii ≥
2 Pn Pn
(1 − ǫ) k y∗i k . Then, we have | f ( i=1 Ai ŷi ) | = | i=1 hh y∗i , ŷi ii | =
Pn Pn 2 2
i=1 hh y∗i , ŷi ii ≥ (1 − ǫ) i=1 k y∗i k = (1 − ǫ) k x∗ k . Since f ∈ X∗ ,
2 Pn
then, by Proposition 7.72, we have (1 − ǫ) k x∗ k ≤ k f k k i=1 Ai ŷi k =
P 1/2 P 1/2
n 2 n 2
kf k i=1 k ŷ i k ≤ k f k i=1 k y ∗i k = k f k k x∗ k. By the ar-
bitrariness of ǫ, we have k x∗ k ≤ k f k.
Qn Based on the preceding analysis, we may define a function ψ : X∗ →
∗ ∗
i=1 Yi by ψ(f ) = ( f ◦ A1 , . . . , f ◦ An ), ∀f ∈ X . Then, k ψ(f ) k ≤ k f k.
∗
Clearly, ψ is linear. ∀f1 , f2 ∈ X with ψ(f1 ) = ψ(f2 ). Then, we have
f1 ◦ Ai = Pnf2 ◦ Ai , ∀i ∈ IP N. ∀x := ( y1 , . . . , yn ) ∈ X, by (7.1), we have
n
f1 (x) = i=1 f1 (Ai yi ) = i=1 f2 (Ai yi ) = f2 (x). Qn Then, we have f1 = f2 .
∗
Hence, ψ is injective. Pn ∀x∗ := ( y ∗1 , . . . , y ∗n ) ∈ i=1 Y i , define φ(x∗ ) : X →
IK by φ(x∗ )(x) = i=1Phh y∗i , yi ii, ∀x := (P y1 , . . . , yn ) ∈ X. Note that,
n n
∀x := ( y1 , . . . , yn ) ∈ X, i=1 | hh y∗i , yi ii | ≤ i=1 k y∗i k k yi k ≤ k x∗ k k x k,
where we have made use of Proposition 7.72 in the first inequality and
Cauchy-Schwarz Inequality in the second inequality. Clearly, φ(x∗ ) is linear
and bounded with
n
X
k φ(x∗ ) k = sup | φ(x∗ )(x) | ≤ sup | hh y∗i , yi ii |
x∈X, kxk≤1 x=(y1 ,...,yn)∈X, kxk≤1 i=1
≤ sup k x∗ k k x k ≤ k x∗ k (7.2)
x∈X, kxk≤1
Hence, φ(x∗ ) ∈ X∗ and ψ(φ(x∗ )) = ( φ(x∗ ) ◦ A1 , . . . , φ(x∗ ) ◦ An ) =

( y∗1 , . . . , y∗n ) = x∗ . Then, ψ◦φ = idQni=1 Y∗i . Hence, ψ is surjective. There-
fore, ψ is bijective and admits inverse ψ inv. By Proposition 2.4, φ = ψ inv.
∀f ∈ X∗ , by (7.2), we have k f k = k φ(ψ(f )) k ≤ k ψ(f ) k ≤ k f k. Then,
k ψ(f ) k = k f k and ψ is an isometry. Hence, ψ is an isometrical isomor-
phism. ⋄
Example 7.77 Let us consider the dual of X := lp (Y), p ∈ [1, ∞) ⊂ IR, Y
is a normed linear space over IK. Let Y∗ be the dual of Y and q ∈ (1, ∞] ⊂
IRe with 1/p + 1/q = 1. We will show that X∗ is isometrically isomorphic
to lq (Y∗ ).
Let f ∈ X∗ . ∀i ∈ IN, define Ai : Y → X by x = ( y1 , y2 , . . . ) = Ai y, ∀y ∈
Y, and yj = ϑY , ∀j ∈ IN with j 6= i, and yi = y. Clearly, Ai is well-defined,
linear, and bounded with k Ai k ≤ 1. Define fi : Y → IK by fi = f ◦ Ai .
Then, fi is a bounded linear functional on Y with k fi k ≤ k f k k Ai k ≤ k f k.
∗
Hence, fi ∈ YP . Denote fi =: y∗i . ∀x = ( y1 , y2 , .P
. . ) ∈ X, we have yi ∈ Y,
∞ p ∞ p
∀i ∈ IN, and i=1 k yi k < +∞. Then, limn∈IN i=n+1 k yi k = 0. This
Pn P∞ p 1/p
implies that lim N kx −
Pn∈I i=1 Ai yi k = limn∈IN i=n+1 k yi k = 0.
Hence, limn∈IN ni=1 Ai yi = x. By the continuity of f and Proposition 3.66,
we have
n
X n
X n
X
f (x) = lim f ( Ai yi ) = lim f ( Ai yi ) = lim hh y∗i , yi ii (7.3)
n∈IN n∈IN n∈IN
i=1 i=1 i=1
Claim 7.77.1 x∗ := ( y∗1 , y∗2 , . . . ) ∈ lq (Y∗ ) and k x∗ k ≤ k f k.
Proof of claim: We will distinguish two exhaustive and mutually

exclusive cases: Case 1: 1 < p < +∞; Case 2: p = 1.
Case 1: 1 < p < +∞. Then, 1 < q < +∞. ∀ǫ ∈ (0, 1) ⊂ IR, ∀i ∈ IN,
by Lemma 7.75, ∃ȳi ∈ Y with k ȳi k ≤ 1 such that hh y∗i , ȳi ii ∈ IR and
hh y∗i , ȳi ii ≥ (1 − ǫ) k y∗i k. Let ŷi = k y∗i kq/p ȳi , then k ŷi k ≤ k y∗i kq/p ,
q/p+1 q
hh y∗i , yî ii ∈ IR, and Pnhh y∗i , ŷi ii ≥ (1
Pn− ǫ) k y∗i k = (1 − ǫ) k y∗i k .
P n
Then, ∀n Pn∈ IN, | f (q i=1 Ai ŷi ) | = | i=1 hh y∗i , ŷi ii | = i=1 hh y∗i , ŷi ii ≥
(1 − ǫ) i=1 k y∗i k . Since f ∈ X∗ , then, by Proposition 7.72, we have
Pn q Pn Pn p 1/p
(1 − ǫ) i=1 k y∗i k ≤ k f k k i=1 Ai ŷi k ≤ k f k ( i=1 k ŷi k ) ≤ kf k ·
Pn q 1/p Pn q 1/q
( i=1 k y∗i k ) . Then, we have ( i=1 k y∗i k ) ≤ k f k /(1 − ǫ). By
P∞ q 1/q
the arbitrariness of n, we have ( i=1 k y∗i k ) ≤ k f k /(1 − ǫ). By the
P∞ q 1/q
arbitrariness of ǫ, we have ( i=1 k y∗i k ) ≤ k f k. Hence, the result
holds in this case.
Case 2: p = 1. Then, q = +∞. ∀ǫ ∈ (0, 1) ⊂ IR, ∀i ∈ IN, by
Lemma 7.75, ∃ŷi ∈ Y with k ŷi k ≤ 1 such that hh y∗i , ŷi ii ∈ IR and
hh y∗i , ŷi ii ≥ (1 − ǫ) k y∗i k. Then, (1 − ǫ) k y∗i k ≤ | hh y∗i , ŷi ii | = | f (Ai ŷi ) | ≤
k f k k Ai k k ŷi k ≤ k f k. By the arbitrariness of n, we have supi≥1 k y∗i k ≤
k f k /(1−ǫ). By the arbitrariness of ǫ, we have supi≥1 k y∗i k ≤ k f k. Hence,
the result holds in this case.
The preceding analysis shows that we may define a function ψ : X∗ →
lq (Y∗ ) by ψ(f ) = ( f ◦ A1 , f ◦ A2 , . . . ), ∀f ∈ X∗ . Clearly, ψ is linear.
∀f1 , f2 ∈ X∗ with ψ(f1 ) = ψ(f2 ). Then, we have f1 ◦ Ai =P f2 ◦ Ai , ∀i ∈ IN.
n
∀x := ( yP 1 , y2 , . . . ) ∈ X, by (7.3), we have f1 (x) = limn∈IN i=1 f1 (Ai yi ) =
n
limn∈IN i=1 f2 (Ai yi ) = f2 (x). Then, we have f1 = f2 . Hence, ψ is injec-
tive. ∀x∗ := ( y∗1 , y∗2 , . . . ) ∈ lq (Y∗ ), define φ(x∗ ) : X → IK by φ(x∗ )(x) =
P ∞
P∞ i=1 hh y∗i , yi ii, ∀x := P(∞y1 , y2 , . . . ) ∈ X. Note that, ∀x := ( y1 , y2 , . . . ) ∈ X,
i=1 | hh y∗i , yi ii | ≤ i=1 k y∗i k k yi k ≤ k x∗ k k x k, where we have made
use of Proposition 7.72 in the first inequality and Hölder’s Inequality in
the second inequality. Hence, φ(x∗ )(x) is well-defined. Hence, φ(x∗ ) is
well-defined. Clearly, φ(x∗ ) is linear and bounded with
∞
X
x∈X, kxk≤1 x=(y1 ,y2 ,...)∈X, kxk≤1 i=1
≤ sup k x∗ k k x k ≤ k x∗ k (7.4)
x∈X, kxk≤1
Hence, φ(x∗ ) ∈ X∗ and ψ(φ(x∗ )) = ( φ(x∗ ) ◦ A1 , φ(x∗ ) ◦ A2 , . . . ) =

( y∗1 , y∗2 , . . . ) = x∗ . Then, ψ ◦ φ = idlq (Y∗ ) . Hence, ψ is surjective. There-
∀f ∈ X∗ , by Claim 7.77.1 and (7.4), we have k f k = k φ(ψ(f )) k ≤ k ψ(f ) k ≤
k f k. Then, k ψ(f ) k = k f k and ψ is an isometry. Hence, ψ is an isometrical
isomorphism. ⋄
Example 7.78 Let Y be a normed linear space over the field IK, Y∗ be
its dual, and M = { x = ( y1 , y2 , . . . ) ∈ l∞ (Y) | limn∈IN yn = ϑY }. Clearly,
M is a subspace of l∞ (Y). By Proposition 7.13, M is a normed linear space
over IK, which will be denoted by c0 (Y). Next, we will study the dual of
X := c0 (Y). We will show that X∗ = l1 (Y∗ ) isometrically isomorphically.
Let f ∈ X∗ . ∀i ∈ IN, define Ai : Y → X by x = ( y1 , y2 , . . . ) = Ai y,
∀y ∈ Y, and yj = ϑY , ∀j ∈ IN with j 6= i, and yi = y. Clearly,
Ai is well-defined and linear and bounded with k Ai k ≤ 1. Define
fi : Y → IK by fi = f ◦ Ai . Then, fi is a bounded linear functional on
Y with k fi k ≤ k f k k Ai k ≤ k f k. Hence, fi ∈ Y∗ . Denote fi =: y∗i .
∀x = ( y1 , y2 , . . . ) ∈ X, we have yi ∈ Y, ∀i ∈ IN, limn∈IN yi = ϑY , and
limn∈IN k yi k = 0 (by Proposition 7.21). Then, limn∈IN supi≥n+1 k yi k = 0.
Pn
This implies that limn∈IN k x − i=1 Ai yi k P
= limn∈IN supk≥n+1 k yk k =
n
limn∈IN maxk≥n+1 k yk k = 0. Hence, limn∈IN i=1 Ai yi = x. By the conti-
nuity of f and Proposition 3.66, we have
n
X n
X n
X
f (x) = lim f ( Ai yi ) = lim f ( Ai yi ) = lim hh y∗i , yi ii (7.5)
n∈IN n∈IN n∈IN
i=1 i=1 i=1
Let x∗ := ( y∗1 , y∗2 , . . . ). ∀ǫ ∈ (0, 1) ⊂ IR, ∀i ∈ IN, by Lemma 7.75, ∃ŷi ∈ Y

with k ŷi k ≤ 1 such that Pn hh y∗i , ŷi ii ∈ PInR and hh y∗i , ŷi ii P ≥ (1 − ǫ) k y∗i k.
n
Then,
Pn ∀n ∈ IN, (1 − ǫ) Pn
i=1 k y ∗i k ≤ | i=1 hh y ∗i , ŷ i ii | = | i=1 f (Ai ŷi ) | =
|f ( Pi=1 A i ŷ i ) | ≤ k f k k i=1 A i ŷ i k ≤ k f k. By the arbitrariness of n, we
∞
have i=1 k y∗i k ≤ k f k /(1 − ǫ). By the arbitrariness of ǫ, we have
∞
X
k y∗i k ≤ k f k (7.6)
i=1
Hence, x∗ ∈ l1 (Y∗ ).
Based on the preceding analysis, we may define a function ψ : X∗ →
l1 (Y∗ ) by ψ(f ) = ( f ◦ A1 , f ◦ A2 , . . . ), ∀f ∈ X∗ . Clearly, ψ is linear.
∀f1 , f2 ∈ X∗ with ψ(f1 ) = ψ(f2 ). Then, we have f1 ◦ Ai =P f2 ◦ Ai , ∀i ∈ IN.
n
∀x := ( yP ,
1 2y , . . . ) ∈ X, by (7.5), we have f 1 (x) = limn∈IN i=1 f1 (Ai yi ) =
n
limn∈IN i=1 f2 (Ai yi ) = f2 (x). Then, we have f1 = f2 . Hence, ψ is injec-
tive. ∀x∗ := ( y∗1 , y∗2 , . . . ) ∈ l1 (Y∗ ), define φ(x∗ ) : X → IK by φ(x∗ )(x) =
P ∞
P∞ i=1 hh y∗i , yi ii, ∀x := P(∞y1 , y2 , . . . ) ∈ X. Note that, ∀x := ( y1 , y2 , . . . ) ∈ X,
i=1 | hh y ,
∗i iy ii | ≤ i=1 k y∗i k k yi k ≤ k x∗ k k x k, where we have made
use of Proposition 7.72 in the first inequality and Hölder’s Inequality in
the second inequality. Hence, φ(x∗ )(x) is well-defined. Hence, φ(x∗ ) is
well-defined. Clearly, φ(x∗ ) is linear and bounded with
∞
X
x∈X, kxk≤1 x=(y1 ,y2 ,...)∈X, kxk≤1 i=1
≤ sup k x∗ k k x k ≤ k x∗ k (7.7)
x∈X, kxk≤1
Hence, φ(x∗ ) ∈ X∗ and ψ(φ(x∗ )) = ( φ(x∗ ) ◦ A1 , φ(x∗ ) ◦ A2 , . . . ) =

( y∗1 , y∗2 , . . . ) = x∗ . Then, ψ ◦ φ = idl1 (Y∗ ) . Hence, ψ is surjective. There-
∀f ∈ X∗ , by (7.6) and (7.7), we have k f k = k φ(ψ(f )) k ≤ k ψ(f ) k ≤ k f k.
Then, k ψ(f ) k = k f k and ψ is an isometry. Hence, ψ is an isometrical
isomorphism. ⋄
7.9.3 Extension form of Hahn-Banach Theorem

Definition 7.79 Let X be a vector space over IK. A sublinear functional
is p : X → IR satisfying, ∀x1 , x2 ∈ X , ∀α ∈ IR with α ≥ 0, (i) p(x1 + x2 ) ≤
p(x1 ) + p(x2 ); and (ii) p(αx1 ) = αp(x1 ).
Note that any k·k on X is a sublinear functional. We introduce the above

definition to illustrate the full generality of the Hahn-Banach Theorem.
Theorem 7.80 (Extension Form of Hahn-Banach Theorem) Let X

be a vector space over the field IR, p : X → IR be a sublinear functional,
M ⊆ X be a subspace, and f : M → IR be a linear functional on M satisfy-
ing f (m) ≤ p(m), ∀m ∈ M . Then, ∃ a linear functional F : X → IR such
that F |M = f and F (x) ≤ p(x), ∀x ∈ X . Furthermore, if X is normed
with k · k and p is continuous at ϑX , then F is continuous.
Proof We will prove the theorem using Zorn’s Lemma. Define a

collection of extensions of f , E, by
E := { (g, N ) | N ⊆ X is a subspace, M ⊆ N, g : N → IR is a linear

functional, such that g|M = f and g(n) ≤ p(n), ∀n ∈ N }
Clearly, (f, M ) ∈ E = 6 ∅. Define a relation on E by ∀(g1 , N1 ), (g2 , N2 ) ∈ E,

we say (g1 , N1 ) (g2 , N2 ) if N1 ⊆ N2 and g2 |N1 = g1 . Clearly, is
reflexive, antisymmetric, and transitive. Hence, is an antisymmetric
partial ordering on E.
For any nonemptyS subcollection C ⊆ E such that is a total ordering
on C, let Nc = (g,N )∈C N . Then, ϑX ∈ M ⊆ Nc ⊆ X . ∀x1 , x2 ∈ Nc ,
∀α, β ∈ IR, ∃(g1 , N1 ), (g2 , N2 ) ∈ C such that x1 ∈ N1 and x2 ∈ N2 . Since
C is totally ordered, by Proposition 2.12, then, without loss of generality,
we may assume that (g1 , N1 ) (g2 , N2 ). Then, N1 ⊆ N2 and x1 , x2 ∈ N2 .
This implies that αx1 + βx2 ∈ N2 ⊆ Nc , since N2 is a subspace. The above
shows that Nc is a subspace of X .
Define a functional gc : Nc → IR by ∀x ∈ Nc , ∃(g, N ) ∈ C such that
x ∈ N , we assign gc (x) := g(x). Such a functional is uniquely defined
because of the following reasoning. ∀x ∈ Nc , ∀(g1 , N1 ), (g2 , N2 ) ∈ C such
that x ∈ N1 ∩ N2 . By the total ordering of C and Proposition 2.12, we
may assume that, without loss of generality, (g1 , N1 ) (g2 , N2 ). Then,
x ∈ N1 ⊆ N2 and g2 |N1 = g1 . Hence, g1 (x) = g2 (x). Therefore, gc is
well-defined.
∀x1 , x2 ∈ Nc , ∀α, β ∈ IR, ∃(g1 , N1 ), (g2 , N2 ) ∈ C such that x1 ∈ N1 and
x2 ∈ N2 . By the total ordering of C and Proposition 2.12, we may assume
that, without loss of generality, (g1 , N1 ) (g2 , N2 ). Then, x1 , x2 ∈ N2 and
gc (αx1 + βx2 ) = g2 (αx1 + βx2 ) = αg2 (x1 ) + βg2 (x2 ) = αgc (x1 ) + βgc (x2 ).
Hence, gc is a linear functional. gc (x1 ) = g2 (x1 ) ≤ p(x1 ). ∀m ∈ M ,
gc (m) = g2 (m) = f (m). Therefore, (gc , Nc ) ∈ E.
∀(g, N ) ∈ C, we have N ⊆ Nc and ∀n ∈ N , gc (n) = g(n). Then,
(g, N ) (gc , Nc ). Hence, (gc , Nc ) is an upper bound of C.
By Zorn’s Lemma, ∃(gM , NM ) ∈ E, which is maximal with respect to
. Now, we are going to show that NM = X . Suppose NM ⊂ X . Then,
∃x0 ∈ X \ NM . Let Ne = { x ∈ X | ∃α ∈ IR, ∃n ∈ NM ∋ · x = αx0 + n }.
Clearly, NM ⊂ Ne , x0 ∈ Ne , and Ne is a subspace of X . ∀x ∈ Ne , ∃! α ∈ IR
and ∃! n ∈ NM such that x = αx0 + n (otherwise, we may deduce that

x0 ∈ NM ). Define ge : Ne → IR by ge (x) = ge (αx0 + n) = gM (n) + αge (x0 ),
∀x = αx0 + n ∈ Ne , α ∈ IR, and n ∈ NM , where ge (x0 ) ∈ IR is a constant
to be determined. Clearly, ge is well-defined and is a linear functional on
Ne . ∀n ∈ NM , we have ge (n) = gM (n), and hence, ge |NM = gM . Then,
ge |M = f .
We will show that (ge , Ne ) ∈ E by finding an admissible constant ge (x0 )
such that ge (x) ≤ p(x), ∀x ∈ Ne . ∀n1 , n2 ∈ NM , we have gM (n1 ) +
gM (n2 ) = gM (n1 + n2 ) ≤ p(n1 + n2 ) ≤ p(n1 + x0 ) + p(n2 − x0 ). Then,
gM (n2 )−p(n2 −x0 ) ≤ p(n1 +x0 )−gM (n1 ). By the arbitrariness of n1 and n2 ,
we have supn2 ∈NM ( gM (n2 )−p(n2 −x0 ) ) ≤ inf n1 ∈NM ( p(n1 +x0 )−gM (n1 ) ).
Since ϑX ∈ NM , then ∃c ∈ IR such that
−∞ < sup ( gM (n2 ) − p(n2 − x0 ) ) ≤ c

n2 ∈NM
≤ inf ( p(n1 + x0 ) − gM (n1 ) ) < +∞
n1 ∈NM
Let ge (x0 ) := c.
∀x ∈ Ne , x = αx0 + n, where α ∈ IR and n ∈ NM . We will distinguish
three exhaustive and mutually exclusive cases: Case 1: α > 0; Case 2:
α = 0; Case 3: α < 0. Case 1: α > 0. ge (x) = αc + gM (n) = α(c +
gM (n/α)) ≤ α(p(n/α + x0 ) − gM (n/α) + gM (n/α)) = αp(x/α) = p(x).
Case 2: α = 0. Then, x ∈ NM and ge (x) = gM (n) ≤ p(n) = p(x). Case 3:
α < 0. ge (x) = αc + gM (n) = α(c + gM (n/α)) ≤ α(gM (−n/α) − p(−n/α −
x0 ) + gM (n/α)) = −αp(−x/α) = p(x). Hence, we have ge (x) ≤ p(x) in
all three cases. Therefore, (ge , Ne ) ∈ E. We have shown that (gM , NM )
(ge , Ne ) and (gM , NM ) 6= (ge , Ne ). This contradicts the fact that (gM , NM )
is maximal in E by Proposition 2.12.
Hence, NM = X and F = gM .
If, in addition, X is normed with k · k and p is continuous at ϑX , then,
∀ǫ ∈ (0, ∞) ⊂ IR, ∃δ ∈ (0, ∞) ⊂ IR such that | p(x) | < ǫ, ∀x ∈ B ( ϑX , δ ).
∀x ∈ B ( ϑX , δ ), we will distinguish two exhaustive and mutually exclusive
cases: Case 1: F (x) ≥ 0; Case 2: F (x) < 0. Case 1: F (x) ≥ 0. Then,
0 ≤ F (x) ≤ p(x) < ǫ and | F (x) | < ǫ. Case 2: F (x) < 0. Then, | F (x) | =
−F (x) = F (−x) ≤ p(−x) < ǫ. Hence, in both cases, we have | F (x) | < ǫ.
Then, F is continuous at ϑ. Thus, by Proposition 7.72, F is a bounded
linear functional, and therefore continuous.
To obtain the counterpart result for complex vector spaces, we need the
following result.
Lemma 7.81 Let (X , C) be a vector space, f : X → C be a functional on

(X , C), and g : X → IR be given by g(x) = Re ( f (x) ), ∀x ∈ X . Then, f
is a linear functional on (X , C) if, and only if, g is a linear functional on
(X , IR) and f (x) = g(x) − ig(ix), ∀x ∈ X .
Proof By Lemma 7.40, (X , IR) is a vector space. “Necessity” ∀x1 , x2 ∈

X , ∀α, β ∈ IR, we have g(αx1 + βx2 ) = Re ( f (αx1 + βx2 ) ) = Re ( αf (x1 ) +
βf (x2 ) ) = α Re ( f (x1 ) ) + β Re ( f (x2 ) ) = αg(x1 ) + βg(x2 ). Hence, g is a
linear functional on (X , IR). ∀x ∈ X , let f (x) = g(x) + i Im ( f (x) ). Since f
is a linear functional on (X , C), then f (ix) = g(ix) + i Im ( f (ix) ) = if (x) =
− Im ( f (x) ) + ig(x). Then, Im ( f (x) ) = −g(ix) and f (x) = g(x) − ig(ix).
“Sufficiency” ∀x1 , x2 ∈ X , ∀α := αr + iαi , β := βr + iβi ∈ C, where
αr , αi , βr , βi ∈ IR, we have
f (αx1 + βx2 ) = g(αx1 + βx2 ) − ig(iαx1 + iβx2 )

= g(αr x1 + iαi x1 + βr x2 + iβi x2 ) − ig(αr ix1 − αi x1 + βr ix2 − βi x2 )
= αr g(x1 ) + αi g(ix1 ) + βr g(x2 ) + βi g(ix2 ) − iαr g(ix1 ) + iαi g(x1 )
−iβr g(ix2 ) + iβi g(x2 )
= αr f (x1 ) + iαi f (x1 ) + βr f (x2 ) + iβi f (x2 ) = αf (x1 ) + βf (x2 )
Hence, f is a linear functional on (X , C).

Theorem 7.82 (Extension Form of Hahn-Banach Theorem) Let X

be a vector space over the field C, p : X → IR be a sublinear functional,
M ⊆ X be a subspace (of (X , C)), and f : M → C be a linear functional
satisfying Re ( f (m) ) ≤ p(m), ∀m ∈ M . Then, there exists a linear func-
tional F : X → C, such that F |M = f and Re ( F (x) ) ≤ p(x), ∀x ∈ X .
Furthermore, if X is normed with k · k and p is continuous at ϑX , then F
is continuous.
Proof By Lemma 7.40, (X , IR) is a vector space and (M, IR) is also
a vector space. It is easy to show that (M, IR) is a subspace of (X , IR).
Define g : M → IR by g(m) = Re ( f (m) ), ∀m ∈ M . By Lemma 7.81, g is
a linear functional on (M, IR) and f (m) = g(m) − ig(im), ∀m ∈ M . Note
that p is a sublinear functional on (X , C), then it is a sublinear functional
on (X , IR). Furthermore, g(m) = Re ( f (m) ) ≤ p(m), ∀m ∈ M . Then, by
Hahn-Banach Theorem, Theorem 7.80, ∃ a linear functional G on (X , IR)
such that G|M = g and G(x) ≤ p(x), ∀x ∈ X .
Define a functional F on (X , C) by F (x) = G(x) − iG(ix), ∀x ∈ X . By
Lemma 7.81, F is a linear functional on (X , C). ∀m ∈ M , im ∈ M , since M
is a subspace of (X , C). Then, F (m) = G(m) − iG(im) = g(m) − ig(im) =
f (m). Hence, we have F |M = f . ∀x ∈ X , Re ( F (x) ) = G(x) ≤ p(x).
Hence, F is the functional we seek.
Furthermore, if (X , C) is normed with k · k and p is continuous at ϑX ,
then, by Lemma 7.40, XIR := (X , IR, k·k) is a normed linear space. By The-
orem 7.80, G is continuous. Then, G : XIR → C is continuous. By Proposi-
tions 3.12, 3.32, and 7.23, F : XIR → C is continuous. By Lemma 7.40, F
is continuous on X := (X , C, k · k).
Theorem 7.83 (Simple Version of Hahn-Banach Theorem) Let X

be a normed linear space over IK, M ⊆ X be a subspace, f : M →
IK be a linear functional which is bounded (on M ), that is k f kM :=
supm∈M, kmk≤1 | f (m) | ∈ [0, ∞) ⊂ IR. Then, there exists a F ∈ X∗ such
that F |M = f and k F k = k f kM .
Proof Define a functional p : X → IR by p(x) = k f kM k x k, ∀x ∈ X. It

is easy to check that p is a sublinear functional. We are going to distinguish
two exhaustive and mutually exclusive cases: Case 1: IK = IR; Case 2:
IK = C.
Case 1: IK = IR. Clearly, by Proposition 7.72, we have f (m) ≤
| f (m) | ≤ p(m), ∀m ∈ M , and p is continuous. By Hahn-Banach Theo-
rem, Theorem 7.80, ∃ a linear functional F : X → IR such that F |M = f
and F (x) ≤ p(x), ∀x ∈ X. Furthermore, F is continuous. Hence,
F ∈ X∗ , by Proposition 7.72. Note that k f kM = supm∈M, kmk≤1 | F (m) | ≤
supx∈X, kxk≤1 | F (x) | = k F k. On the other hand, we have, ∀x ∈ X,
−F (x) = F (−x) ≤ p(−x) = k f kM k x k and F (x) ≤ p(x) = k f kM k x k.
Hence, | F (x) | ≤ k f kM k x k. Then, k F k ≤ k f kM . Hence, k F k = k f kM .
Case 2: IK = C. Note that, ∀m ∈ M , Re ( f (m) ) ≤ | Re ( f (m) ) | ≤
| f (m) | ≤ p(m), by Proposition 7.72. By Hahn-Banach Theorem, Theo-
rem 7.82, there exists a linear functional F : X → C such that F |M = f
and Re ( F (x) ) ≤ p(x), ∀x ∈ X. Furthermore, since p is continuous, then
F is continuous. By Proposition 7.72, F ∈ X∗ . Note that k f kM =
supm∈M, kmk≤1 | F (m) | ≤ supx∈X, kxk≤1 | F (x) | = k F k. On the other hand,
∀x ∈ X, we have either F (x) = 0, then | F˛(x) | ≤ k f kM k x k;˛ or F (x) 6= 0,
˛
˛
˛
˛ ˛˛ ˛ ˛ ˛
˛
˛F (x)˛ ˛F (x)˛ ˛F (x)˛
then | F (x) | = F (x) F (x) = F F (x) x = Re F F (x) x ≤
˛˛ ˛
˛ ˛ ˛ ˛ ˛
˛F (x)˛ ˛˛F (x)˛˛ ˛ (x)˛
p F (x) x = k f kM x = k f k ˛F ˛ k x k = k f k k x k. Thus,
F (x) M F (x) M
we have | F (x) | ≤ k f kM k x k, ∀x ∈ X. Therefore, k F k ≤ k f kM . Hence,

k F k = k f kM .
Corollary 7.84 Let X be a vector space over the field IK, M ⊆ X be a

subspace, p : X → IR be a sublinear functional, f : M → IK be a linear
functional on M , and (G, ◦, E) be an abelian semigroup of linear operators
of X to X . Assume that the following conditions hold.
(i) Am ∈ M , ∀A ∈ G and ∀m ∈ M .
(ii) p(Ax) ≤ p(x), ∀x ∈ X and ∀A ∈ G.
(iii) f (Am) = f (m), ∀A ∈ G and ∀m ∈ M .
(iv) Re ( f (m) ) ≤ p(m), ∀m ∈ M .

Then, there exists a linear functional F : X → IK such that F |M = f ,

F (Ax) = F (x), ∀A ∈ G and ∀x ∈ X , and Re ( F (x) ) ≤ p(x), ∀x ∈ X .
Furthermore, if, in addition, X is normed with k · k and p is continuous at
ϑX , then F is continuous.
Proof Define a functional q : X → IRe by
n
!
1 X
q(x) = inf p Ai x ; ∀x ∈ X
n∈IN n
A ,...,An ∈G
1 i=1
Since p(ϑX ) = 0, then q(ϑX ) = 0. Since E ∈ G, then, ∀x ∈ X ,

q(x) ≤ p(Ex) ≤ p(x) < +∞. ∀x1 , x2 ∈ X , ∀n, k ∈ IN, ∀A1 , . . . , An ∈ G,
∀B1 , . . . , Bk ∈ G, we have
 
n k
1 X X
q(x1 + x2 ) ≤ p Ai ◦ Bj (x1 + x2 ) 
nk i=1 j=1
 
n k n X k
1 X X X
= p Ai ◦ Bj (x1 ) + Ai ◦ Bj (x2 ) 
nk i=1 j=1 i=1 j=1
   !
n k k n
1 X X X X
= p Ai Bj (x1 )  + Bj Ai (x2 ) 
nk i=1 j=1 j=1 i=1
    !
n k k n
1 X X 1 X X
≤ p Ai Bj (x1 )   + p Bj Ai (x2 ) 
nk i=1 j=1
nk j=1 i=1
   !!
n k k n
1 X  X   1 X X
≤ p Ai Bj (x1 ) + p Bj Ai (x2 )
nk i=1 j=1
nk j=1 i=1
  !
n k k n
1 X X  1 X X
≤ p Bj (x1 ) + p Ai (x2 )
nk i=1 j=1
nk j=1 i=1
  !
k n
1 X 1 X
= p Bj (x1 )  + p Ai (x2 )
k j=1
n i=1
where the first two equalities follows from the fact that G is an albelian
semigroup of linear operators on X , the second and third inequalities follows
from the fact that p is sublinear, the fourth inequality follows from (ii) in
the assumption. Then, by the definition of q, we have
q(x1 + x2 ) ≤ q(x1 ) + q(x2 )
and the right-hand-side makes sense since q(x1 ) < +∞ and q(x2 ) < +∞.
Note that 0 = q(ϑX ) ≤ q(x1 ) + q(−x1 ). Then, q(x1 ) > −∞. Hence,
q : X → IR.
∀α ∈ [0, ∞) ⊂ IR, ∀x ∈ X , we have

n
! n
!
1 X 1 X
q(αx) = inf p Ai (αx) = inf p α Ai x
n∈IN
A1 ,...,An ∈G
n i=1
n∈IN
A1 ,...,An ∈G
n i=1
n
!!
1 X
= inf α p Ai x = αq(x)
n∈IN
A1 ,...,An ∈G
n i=1
where the fourth equality follows from Proposition 3.81 and the fact that
q(x) ∈ IR. Hence, we have shown that q is a sublinear functional.
∀m ∈ M , ∀n ∈ IN, ∀A1 , . . . , An ∈ G, we have
n n
!!
1X 1 X
Re ( f (m) ) = Re ( f (Ai m) ) = Re f Ai m
n i=1 n i=1
n
!
1 X
≤ p Ai m
n i=1
where the first equality follows from (i) and (iii) in the assumptions, the
second equality follows from the linearity of f , and the first inequality
follows from (iv) in the assumptions. Hence, we have Re ( f (m) ) ≤ q(m),
∀m ∈ M .
By the extension forms of Hahn-Banach Theorem (Theorem 7.80 for
IK = IR and Theorem 7.82 for IK = C), there exists a linear functional
F : X → IK such that F |M = f and Re ( F (x) ) ≤ q(x), ∀x ∈ X .
∀x ∈ X , ∀A ∈ G, ∀n ∈ IN, we have
1
q(x − Ax) ≤ p E(x − Ax) + A(x − Ax) + · · · + An−1 (x − Ax)
n
1 1 1
= p(Ex − An x) ≤ ( p(Ex) + p(An (−x)) ) ≤ ( p(x) + p(−x) )
n n n
where the first inequality follows from the definition of q, the second in-
equality follows from the fact that p is sublinear, and the third inequality
follows from (ii) in the assumption. Hence, by the arbitrariness of n, we
have q(x − Ax) ≤ 0. We will show that F (Ax) = F (x) by distinguishing
two exhaustive and mutually exclusive cases: Case 1: IK = IR; Case 2:
IK = C.
Case 1: IK = IR. We have F (x) − F (Ax) = F (x − Ax) ≤ q(x − Ax) ≤
0. On the other hand, we have F (Ax) − F (x) = F (−x) − F (A(−x)) =
F ((−x) − A(−x)) ≤ q((−x) − A(−x)) ≤ 0. Hence, F (x) = F (Ax).
Case 2: IK = C. Define H : X → IR by H(x) = Re ( F (x) ), ∀x ∈
X . By Lemma 7.40, (X , IR) is a vector space. By Lemma 7.81, H is a
linear functional on (X , IR) and F (x) = H(x) − iH(ix), ∀x ∈ X . Note
that H(x) − H(Ax) = H(x − Ax) = Re ( F (x − Ax) ) ≤ q(x − Ax) ≤ 0.
On the other hand, we have H(Ax) − H(x) = H(−x) − H(A(−x)) =
H((−x)−A(−x)) = Re ( F ((−x)−A(−x)) ) ≤ q((−x)−A(−x)) ≤ 0. Hence,

H(x) = H(Ax). Then, F (Ax) = H(Ax)−iH(iAx) = H(Ax)−iH(A(ix)) =
H(x) − iH(ix) = F (x).
Furthermore, if, in addition, X is normed with k · k and p is continuous
at ϑX , then ∀ǫ ∈ (0, ∞) ⊂ IR, ∃δ ∈ (0, ∞) ⊂ IR, ∀x ∈ B ( ϑX , δ ), we
have | p(x) − p(ϑX ) | = | p(x) | < ǫ. Note that q(x) ≤ p(x) < ǫ. Then,
q(−x) ≤ p(−x) < ǫ. Since q is a sublinear functional, we have 0 = q(ϑX ) ≤
q(x) + q(−x). Hence, we have q(x) ≥ −q(−x) > −ǫ. Therefore, | q(x) −
q(ϑX ) | = | q(x) | < ǫ. Hence, q is continuous at ϑX . Therefore, by the
extension forms of Hahn-Banach Theorem, F is continuous.
This completes the proof of the corollary. 2
Proposition 7.85 Let X be a normed linear space over the field IK and
x0 ∈ X with x0 6= ϑX . Then, ∃x∗ ∈ X∗ with k x∗ k = 1 such that hh x∗ , x0 ii =
k x∗ k k x0 k.
Proof Consider the subspace M := span ( { x0 } ). Define f : M → IK

by f (αx0 ) = α k x0 k, ∀α ∈ IK. Clearly, f is uniquely defined by
Proposition 6.17. Clearly f is a linear functional on M and k f kM :=
supm∈M, kmk≤1 | f (m) | = supα∈IK, kαx0k≤1 | α k x0 k | = 1. By the simple ver-
sion of Hahn-Banach Theorem, there exists x∗ ∈ X∗ such that x∗ |M = f
and k x∗ k = k f kM = 1. Then, hh x∗ , x0 ii = f (x0 ) = k x0 k = k x∗ k k x0 k.
Example 7.86 Let Y be a normed linear space over the field IK, X :=
l∞ (Y) be the normed linear space as defined in Example 7.10, and y0 ∈ Y
with y0 6= ϑY . We will show that X∗ 6= l1 (Y∗ ) by Hahn-Banach Theorem.
Let M := { x := ( ξ1 , ξ2 , . . . ) ∈ X | limn∈IN ξn ∈ Y }. Clearly, M is
a subspace of X. By Proposition 7.85, there exists y∗ ∈ Y∗ such that
k y∗ k = 1 and hh y∗ , y0 ii = k y0 k > 0. Define f : M → IK by f (m) =
hh y∗ , limn∈IN ξn ii, ∀m := ( ξ1 , ξ2 , . . . ) ∈ M . It is easy to show that f is a
linear functional on M . ∀m = ( ξ1 , ξ2 , . . . ) ∈ M with k m k ≤ 1, we have
| f (m) | = | hh y∗ , lim ξn ii | ≤ k lim ξn k = lim k ξn k ≤ sup k ξn k

n∈IN n∈IN n∈IN n≥1
= kmk ≤ 1
where we have applied Propositions 7.72, 7.21, and 3.66. Hence, we have
k f kM := supm∈M, kmk≤1 | f (m) | ≤ 1. Consider m0 = ( y0 , y0 , . . . ) ∈ M ,
we have | f (m0 ) | = | hh y∗ , y0 ii | = k y0 k = k m0 k > 0. Hence, by Propo-
sition 7.72, k f kM = 1. By the simple version of Hahn-Banach Theo-
rem, there exists x∗ ∈ X∗ such that x∗ |M = f and k x∗ k = k f kM = 1.
Clearly, there does not exist ( η∗1 , η∗2 , . . . ) ∈ l1 (Y∗ ) such that x∗ is given by
P∞
hh x∗ , x ii = n=1 hh η∗n , ξn ii, ∀x = ( ξ1 , ξ2 , . . . ) ∈ X. Hence, X∗ 6= l1 (Y∗ ). ⋄
7.9.4 Second dual space

Definition 7.87 Let X be a normed linear space over the field IK and X∗
be its dual. The dual space of X∗ is called the second dual of X and is
denoted by X∗∗ .
Remark 7.88 Let X be a normed linear space over the field IK, X∗ be its
dual, and X∗∗ be its second dual. Then, X is isometrically isomorphic to a
dense subset of a Banach space, which can be taken as a subspace of X∗∗ .
This can be proved as follows.
By Proposition 7.72, X∗∗ is a Banach space over IK. ∀x ∈ X, define a
functional f : X∗ → IK by f (x∗ ) = hh x∗ , x ii, ∀x∗ ∈ X∗ . Clearly, f is a linear
functional on X∗ . Note that | f (x∗ ) | = | hh x∗ , x ii | ≤ k x k k x∗ k, ∀x∗ ∈ X∗ ,
by Proposition 7.72. Then, k f k ≤ k x k. When x = ϑX , then k f k = 0 =
k x k. When x 6= ϑX , then, by Proposition 7.85, ∃x∗0 ∈ X∗ with k x∗0 k =
1 such that hh x∗0 , x ii = k x k. Then, k f k = supx∗ ∈X∗ , kx∗k≤1 | f (x∗ ) | ≥
| f (x∗0 ) | = k x k. Hence, we have k f k = k x k. Hence, f ∈ X∗∗ . Thus, we
may define a natural mapping φ : X → X∗∗ by φ(x) = f , ∀x ∈ X.
∀x1 , x2 ∈ X, ∀α, β ∈ IK, ∀x∗ ∈ X∗ , we have φ(αx1 + βx2 )(x∗ ) =
hh x∗ , αx1 + βx2 ii = α hh x∗ , x1 ii + β hh x∗ , x2 ii = αφ(x1 )(x∗ ) + βφ(x2 )(x∗ ).
Hence, φ is a linear function. ∀x ∈ X, we have k φ(x) k = k x k. Hence,
φ is an isometry and φ is injective. Therefore, φ is an isometrical isomor-
phism between X and φ(X). Clearly, φ(X) ⊆ X∗∗ is a subspace. Then, by
Proposition 7.17, φ(X) ⊆ X∗∗ is a closed subspace. By Theorem 7.35, φ(X)
is complete. Hence, φ(X) is a Banach space. By Proposition 3.5, φ(X) is
dense in φ(X). This completes the proof of the remark. ⋄
Definition 7.89 Let X be a normed linear space over the field IK, X∗∗ be
its second dual, and φ : X → X∗∗ be the natural mapping as defined in
Remark 7.88. X is said to be reflexive if φ(X) = X∗∗ , that is X and X∗∗ are
isometrically isomorphic.
A reflexive normed linear space is clearly a Banach space.
Proposition 7.90 Let X be a Banach space over the field IK and X∗ be its
dual. Then, X is reflexive if, and only if, X∗ is reflexive.
Proof Let X∗∗ be the second dual of X and X∗∗∗ be the dual of X∗∗ .
“Necessity” Let X be reflexive. Then, X∗∗ = X isometrically isomorphi-
∗
cally. Then, X∗ = ( X∗∗ ) = X∗∗∗ isometrically isomorphically. Hence, X∗
is reflexive.
“Sufficiency” Let X∗ be reflexive. Then, X∗∗∗ = φ∗ (X∗ ), where φ∗ :
X → X∗∗∗ is the natural mapping on X∗ . We will show that X is reflexive
∗
by an argument of contradiction. Suppose X is not reflexive. Let φ : X →

X∗∗ be the natural mapping. φ is an isometrical isomorphism between X
and φ(X). Since X is complete, then φ(X) is also complete. Then, by
Theorem 7.35, φ(X) is a closed subspace of X∗∗ . Since X is not reflexive,

then there exists y∗∗ ∈ X∗∗ \ φ(X). Then, y∗∗ 6= ϑ∗∗ = φ(ϑ). Let δ :=
inf m∗∗ ∈φ(X) k y∗∗ − m∗∗ k. By Proposition 4.10, δ ∈ (0, ∞) ⊂ IR. Consider
the subspace N := { m∗∗ + αy∗∗ ∈ X∗∗ | α ∈ IK, m∗∗ ∈ φ(X) }. Since
y∗∗ 6∈ φ(X), then ∀n∗∗ ∈ N , ∃! α ∈ IK and ∃! m∗∗ ∈ φ(X) such that
n∗∗ = αy∗∗ + m∗∗ . Define a linear functional f : N → IK by f (n∗∗ ) = α,
∀n∗∗ = αy∗∗ + m∗∗ ∈ N , where m∗∗ ∈ φ(X) and α ∈ IK. ∀n∗∗ ∈ N , let
n∗∗ = αy∗∗ + m∗∗ , where m∗∗ ∈ φ(X) and α ∈ IK. We have | f (n∗∗ ) | =
| α | = | αδ | /δ ≤ δ1 k αy∗∗ + m∗∗ k = δ1 k n∗∗ k. Hence, k f kM ≤ 1/δ. By the
simple version of Hahn-Banach Theorem, there exists F ∈ X∗∗∗ such that
F |M = f and k F k = k f kM . Since X∗ is reflexive, then φ∗ (X∗ ) = X∗∗∗ .
Then, ∃y∗ ∈ X∗ such that F = φ∗ (y∗ ). Then, ∀x∗∗ ∈ X∗∗ , we have F (x∗∗ ) =
φ∗ (y∗ )(x∗∗ ) = hh x∗∗ , y∗ ii. ∀m∗∗ ∈ φ(X), we have hh m∗∗ , y∗ ii = F (m∗∗ ) =
f (m∗∗ ) = 0. Hence, ∀x ∈ X, hh y∗ , x ii = φ(x)(y∗ ) = hh φ(x), y∗ ii = 0.
Hence, y∗ = ϑ∗ . Then, F = φ∗ (ϑ∗ ) = ϑ∗∗∗ . This contradicts with the fact
that F (y∗∗ ) = f (y∗∗ ) = 1 6= 0. Therefore, X must be reflexive.
Example 7.91 Clearly, the normed linear space ( { ϑX } , IK, k · k ) as de-
fined in Example 7.73 is reflexive. Clearly IKn , n ∈ IN, are reflective. Let
Y be a reflexive Banach space. Then, lp (Y), p ∈ (1, ∞) ⊂ IR, are reflexive.
l1 (Y) is not reflexive by Example 7.86. Then, by Proposition 7.90, l∞ (Y∗ )
is not reflexive either. ⋄

the field IK. Then, X is reflexive.
Proof Let n ∈ Z+ be the dimension of X and φ : X → X∗∗ be

the natural mapping. We will distinguish two exhaustive and mutually
exclusive cases: Case 1: n = 0; Case 2: n ∈ IN. Case 1: n = 0. Then,
X = ( { ϑ } , IK, k · k ). By Example 7.73, X∗ = ( { ϑ∗ } , IK, k · k∗ ). Then
X∗∗ = ( { ϑ∗∗ } , IK, k · k∗∗ ). Clearly, φ(ϑ) = ϑ∗∗ . Hence, φ(X) = X∗∗ and X
is reflexive.
Case 2: n ∈ IN. Let { e1 , . . . , en } ⊆ X be a basis Pn of X. ∀x ∈ X,
by Corollary 6.47, x can be uniquely expressed as j=1 αj ej for some
α
Pn1 , . . . , α n ∈ IK. ∀i = 1, . . . , n, define f i : X → I
K by fi (x) = αi , ∀x =
j=1 α j e j ∈ X. Clearly, f i is well-defined and a linear functional. By
Proposition 7.67, fi is continuous and fi ∈ X∗ . Denote Pn i by e∗i ∈ X .
f ∗
∗
∀x∗ ∈ X , ∀i = 1, . . . , n, let βi = hh x∗ , ei ii ∈ IK. ∀x = j=1 αj ej ∈ X, we
have
n
X n
X n
X
hh x∗ , x ii = αj hh x∗ , ej ii = βj αj = βj hh e∗j , x ii
j=1 j=1 k=1
Xn
= hh βj e∗j , x ii
k=1
Pn
Hence, x∗ = j=1 βj e∗j . Therefore, X∗ = span ( { e∗1 , . . . , e∗n } ). ∀x∗∗ ∈
P
X∗∗ , ∀i = 1, . . . , n, let γi = hh x∗∗ , e∗i ii ∈ IK. ∀x∗ = nj=1 βj e∗j ∈ X∗ , we
have
n
X n
X n
X n
X
hh x∗∗ , x∗ ii = βj hh x∗∗ , e∗j ii = βj γj = βj hh e∗j , γk ek ii
j=1 j=1 j=1 k=1
n
X n
X
= hh x∗ , γk ek ii = hh φ ( γk ek ) , x∗ ii
k=1 k=1
Pn
Hence, x∗∗ = φ ( k=1 γk ek ) and X∗∗ ⊆ φ(X). This shows that X is reflex-
ive.
7.9.5 Alignment and orthogonal complements

Definition 7.93 Let X be a normed linear space, x ∈ X, X∗ be the dual,
and x∗ ∈ X∗ . We say that x∗ is aligned with x if hh x∗ , x ii = k x∗ k k x k.
Clearly, ϑ aligns with any vector in the dual and ϑ∗ is aligned with any
vector in X. By Proposition 7.85, ∀x ∈ X with x 6= ϑ, there exists a x∗ ∈ X∗
with x∗ 6= ϑ∗ that is aligned with it.
Definition 7.94 Let X be a normed linear space, x ∈ X, X∗ be the dual,

and x∗ ∈ X∗ . We say that x and x∗ are orthogonal if hh x∗ , x ii = 0.
Definition 7.95 Let X be a normed linear space, S ⊆ X, and X∗ be the

dual. The orthogonal complement of S, denoted by S ⊥ , consists of all
x∗ ∈ X∗ that is orthogonal to every vector in S, that is S ⊥ := { x∗ ∈
X∗ | hh x∗ , x ii = 0, ∀x ∈ S }.
Definition 7.96 Let X be a normed linear space, X∗ be the dual, and S ⊆

X∗ . The pre-orthogonal complement of S, denoted by ⊥S, consists of all x ∈
X that is orthogonal to every vector in S, that is ⊥S := { x ∈ X | hh x∗ , x ii =
0, ∀x∗ ∈ S }.
Proposition 7.97 Let X be a normed linear space over the field IK, M ⊆ X
be a subspace, and y ∈ X. Then, the following statements hold.
(i) δ := inf k y − m k = max Re ( hh x∗ , y ii ), where the maxi-
m∈M x∗ ∈M ⊥ , kx∗k≤1
mum is achieved at some x∗0 ∈ M ⊥ with
k x∗0 k ≤ 1. If the infimum
is achieved at m0 ∈ M then y − m0 is aligned with x∗0 .
(ii) If ∃m0 ∈ M and ∃x∗0 ∈ M ⊥ with k x∗0 k = 1 such that y − m0 is
aligned with x∗0 , then the infimum is achieved at m0 and the max-
imum is achieved at x∗0 , that is δ = k y − m0 k = hh x∗0 , y ii =
Re ( hh x∗0 , y ii ).
Proof (i) ∀x∗ ∈ M ⊥ with k x∗ k ≤ 1, ∀m ∈ M , we have
Re ( hh x∗ , y ii ) = Re ( hh x∗ , y − m ii ) ≤ | Re ( hh x∗ , y − m ii ) |
≤ | hh x∗ , y − m ii | ≤ k x∗ k k y − m k ≤ k y − m k
where we have applied Proposition 7.72 in the third inequality. Then, we

have
sup Re ( hh x∗ , y ii ) ≤ inf k y − m k = δ
x∗ ∈M ⊥ , kx∗k≤1 m∈M

1: δ = 0; Case 2: δ > 0. Case 1: δ = 0. Take x∗0 := ϑ∗ .
Clearly, x∗0 ∈ M ⊥ and k x∗0 k = 0 ≤ 1. Then, δ = Re ( hh x∗0 , y ii ) ≤
supx∗ ∈M ⊥ , kx∗k≤1 Re ( hh x∗ , y ii ). Therefore, we have δ = inf m∈M k y −
m k = maxx∗ ∈M ⊥ , kx∗k≤1 Re ( hh x∗ , y ii ) and the maximum is achieved at
some x∗0 ∈ M ⊥ with k x∗0 k ≤ 1. If the infimum is achieved at m0 ∈ M ,
then, 0 = δ = k y − m0 k and y = m0 . Then, clearly y − m0 is aligned with
x∗0 . This case is proved.
Case 2: δ > 0. Then, y ∈ X \ M . Consider the subspace span ( M ∪
{ y } ) =: M̄ . ∀x ∈ M̄ , there exists a unique α ∈ IK and a unique
m ∈ M such that x = αy + m. Then, we may define a functional
f : M̄ → IK by f (x) = f (αy + m) = αδ. Clearly, f is a linear functional
on M̄ . k f kM̄ := supx∈M̄, kxk≤1 | f (x) | ≤ supα∈IK,m∈M,kαy+mk≤1 | α | δ ≤
supα∈IK,m∈M,kαy+mk≤1 k αy + m k ≤ 1. By the simple version of Hahn-
Banach Theorem, ∃x∗0 ∈ X∗ such that x∗0 |M̄ = f and k x∗0 k = k f kM̄ ≤ 1.
∀m ∈ M , we have hh x∗0 , m ii = f (m) = 0. Hence, x∗0 ∈ M ⊥ .
Note that δ = f (y) = hh x∗0 , y ii. Hence, δ = inf m∈M k y − m k =
maxx∗ ∈M ⊥ , kx∗k≤1 Re ( hh x∗ , y ii ) and the maximum is achieved at some
x∗0 ∈ M ⊥ with k x∗0 k ≤ 1. If the infimum is achieved at m0 ∈ M ,
then δ = k y − m0 k = hh x∗0 , y ii = hh x∗0 , y − m0 ii ≤ k x∗0 k k y − m0 k ≤
k y − m0 k, where the first inequality follows from Proposition 7.72. Hence,
hh x∗0 , y − m0 ii = k x∗0 k k y − m0 k and x∗0 is aligned with y − m0 . This
case is proved.
(ii) Note that δ ≤ k y − m0 k = k x∗0 k k y − m0 k = hh x∗0 , y − m0 ii =
hh x∗0 , y ii = Re ( hh x∗0 , y ii ) ≤ δ. Then, the result follows.
Proposition 7.98 Let X be a normed linear space over IK, A ⊆ X, and

B ⊆ X∗ . Then, the following statements holds.
(i) A⊥ ⊆ X∗ is a closed subspace.

⊥
(ii) B ⊆ X is a closed subspace.
⊥
(iii) A⊥ = span ( A ).
Proof (i) ϑ∗ ∈ A⊥ 6= ∅. ∀x∗1 , x∗2 ∈ A⊥ , ∀α, β ∈ IK, ∀x ∈ A, we have

hh αx∗1 + βx∗2 , x ii = α hh x∗1 , x ii + β hh x∗2 , x ii = 0. Hence, αx∗1 + βx∗2 ∈
∞
A⊥ and A⊥ is a subspace. ∀x∗ ∈ A⊥ , by Proposition 4.13, ∃ ( x∗n )n=1 ⊆ A⊥
such that limn∈IN x∗n = x∗ . Then, ∀x ∈ A, by Propositions 7.72 and 3.66,
we have hh x∗ , x ii = limn∈IN hh x∗n , x ii = 0. Then, x∗ ∈ A⊥ and A⊥ ⊆ A⊥ .
By Proposition 3.3, A⊥ = A⊥ and A⊥ is closed. Hence, (i) follows.
(ii) This can be shown by a similar argument as (i).
⊥
(iii) Clearly, A ⊆ A⊥ . Then, by (ii), we have M := span ( A ) ⊆
⊥
A⊥ . On the other hand, A ⊆ M , then we have A⊥ ⊇ M ⊥ and
⊥ ⊥ ⊥
A⊥ ⊆ M ⊥ . ∀x0 ∈ M ⊥ , by Proposition 7.97, we have
inf k x0 − m k = max Re ( hh x∗ , x0 ii ) = 0
m∈M x∗ ∈M ⊥ , kx∗k≤1
⊥
Since M is closed, by Proposition 4.10, x0 ∈ M . Hence, we have A⊥ ⊆
⊥ ⊥
M ⊥ ⊆ M . Hence, M = A⊥ . Hence, (iii) follows.
Proposition 7.99 Let X be a normed linear space over the field IK, M ⊆ X
be a subspace, and y∗ ∈ X∗ . Then, the following statements holds.
(i) δ := min k y∗ − x∗ k = sup Re ( hh y∗ , m ii ) =: δ̄, where the
x∗ ∈M ⊥ m∈M, kmk≤1
minimum is achieved at some x∗0 ∈ M ⊥ . If the supremum is achieved
at m0 ∈ M with k m0 k ≤ 1, then m0 is aligned with y∗ − x∗0 .
(ii) If ∃m0 ∈ M with k m0 k = 1 and ∃x∗0 ∈ M ⊥ such that y∗ − x∗0
is aligned with m0 , then the minimum is achieved at x∗0 and the
supremum is achieved at m0 , that is δ = k y∗ − x∗0 k = hh y∗ , m0 ii =
Re ( hh y∗ , m0 ii ).
Proof (i) ∀x∗ ∈ M ⊥ , ∀m ∈ M with k m k ≤ 1, we have
Re ( hh y∗ , m ii ) = Re ( hh y∗ − x∗ , m ii ) ≤ | Re ( hh y∗ − x∗ , m ii ) |
≤ | hh y∗ − x∗ , m ii | ≤ k y∗ − x∗ k k m k ≤ k y∗ − x∗ k
where we have applied Proposition 7.72 in the third inequality. Then, we

have
δ = inf k y∗ − x∗ k ≥ sup Re ( hh y∗ , m ii ) = δ̄
x∗ ∈M ⊥ m∈M, kmk≤1

1: δ = 0; Case 2: δ > 0. Case 1: δ = 0. By Proposition 7.98, M ⊥ is a closed
subspace. By Proposition 4.10, we have y∗ ∈ M ⊥ the minimum is achieved
at a unique vector x∗0 := y∗ . Take m0 = ϑ with k m0 k = 0 ≤ 1. Then,
δ = Re ( hh y∗ , m0 ii ) ≤ supm∈M, kmk≤1 Re ( hh y∗ , m ii ) = δ̄ ≤ δ. Hence,
δ = minx∗ ∈M ⊥ k y∗ − x∗ k = supm∈M, kmk≤1 Re ( hh y∗ , m ii ) = δ̄ and the
minimum is achieved at x∗0 = y∗ ∈ M ⊥ . If the supremum is achieved at

m0 ∈ M with k m0 k ≤ 1. Then, clearly m0 is aligned with y∗ − x∗0 . This
case is proved.
Case 2: δ > 0. Then, y∗ 6∈ M ⊥ . Consider the subspace M . Then, we
may define a functional f : M → IK by f (m) = hh y∗ , m ii. Clearly, f is a
linear functional on M . ∀m ∈ M with k m k ≤ 1, we have either f (m) =
0, then | f (m) | = 0 ≤ supm∈M, kmk≤1 Re ( hh y∗ , m ii ) = δ̄; or f (m) 6= 0,
˛
˛
˛
˛ ˛˛ ˛
˛ ˛˛ ˛
˛
˛f (m)˛ ˛f (m)˛ ˛f (m)˛
then | f (m) | = f (m) f (m) = Re f (m) f (m) = Re f f (m) m =
˛
˛
˛
˛
˛f (m)˛
Re y∗ , f (m) m ≤ δ̄. Hence, k f kM := supm∈M, kmk≤1 | f (m) | ≤
δ̄ ≤ δ < +∞. By the simple version of Hahn-Banach Theorem, ∃y∗0 ∈ X∗
such that y∗0 |M = f and k y∗0 k = k f kM̄ ≤ δ̄. Let x∗0 := y∗ −y∗0 . ∀m ∈ M ,
we have hh x∗0 , m ii = hh y∗ , m ii − hh y∗0 , m ii = 0. Hence, x∗0 ∈ M ⊥ . Note
that δ ≥ δ̄ ≥ k f kM = k y∗0 k = k y∗ − x∗0 k ≥ inf x∗ ∈M ⊥ k y∗ − x∗ k = δ.
Hence, δ = minx∗ ∈M ⊥ k y∗ − x∗ k = supm∈M, kmk≤1 Re ( hh y∗ , m ii ) = δ̄ and
the minimum is achieved at some x∗0 ∈ M ⊥ . If the supremum is achieved
at m0 ∈ M with k m0 k ≤ 1, then δ = k y∗ − x∗0 k ≥ k y∗ − x∗0 k k m0 k ≥
| hh y∗ − x∗0 , m0 ii | = | hh y∗ , m0 ii | ≥ Re ( hh y∗ , m0 ii ) = δ, where the second
inequality follows from Proposition 7.72. Hence, hh y∗ − x∗0 , m0 ii = k y∗ −
x∗0 k k m0 k and y∗ − x∗0 is aligned with m0 . This case is proved.
(ii) Note that δ ≤ k y∗ − x∗0 k = k y∗ − x∗0 k k m0 k = hh y∗ − x∗0 , m0 ii =
hh y∗ , m0 ii = Re ( hh y∗ , m0 ii ) ≤ δ. Hence, the result follows.
S ⊆ X be a subspace. By Proposition 7.13, S is a normed linear space over
IK. Then, the following statement holds.
(i) S ∗ is isometrically isomorphic to X∗ /S ⊥ .
(ii) If X is reflexive and S is closed, then S is reflexive.
Proof (i) Define a mapping A : X∗ → S ∗ by hh A(x∗ ), s ii = hh x∗ , s ii,

∀x∗ ∈ X and ∀s ∈ S. ∀x∗ ∈ X∗ , we will show that A(x∗ ) ∈ S ∗ . Clearly,
∗
A(x∗ ) is a linear functional on S. k A(x∗ ) k := sups∈S,ksk≤1 | hh A(x∗ ), s ii | =

sups∈S,ksk≤1 | hh x∗ , s ii | ≤ sups∈S,ksk≤1 k x∗ k k s k ≤ k x∗ k < +∞. Hence,
A(x∗ ) ∈ S ∗ and A is well-defined.
∀x∗1 , x∗2 ∈ X∗ , ∀α, β ∈ IK, ∀s ∈ S, we have
hh A(αx∗1 + βx∗2 ), s ii = hh αx∗1 + βx∗2 , s ii = α hh x∗1 , s ii + β hh x∗2 , s ii

= α hh A(x∗1 ), s ii + β hh A(x∗2 ), s ii = hh αA(x∗1 ) + βA(x∗2 ), s ii
Hence, A is a linear function. Since k Ax∗ k ≤ k x∗ k, ∀x∗ ∈ X∗ , then

A ∈ B ( X∗ , S ∗ ) with k A k ≤ 1.
By Proposition 7.68, N ( A ) ⊆ X∗ is a closed subspace. ∀x∗ ∈ N ( A ),

we have Ax∗ = ϑS ∗ . ∀s ∈ S, 0 = hh Ax∗ , s ii = hh x∗ , s ii. Hence, x∗ ∈ S ⊥ .
Therefore, N ( A ) ⊆ S ⊥ . On the other hand, ∀x∗ ∈ S ⊥ , ∀s ∈ S, we have
0 = hh x∗ , s ii = hh Ax∗ , s ii. Then, Ax∗ = ϑS ∗ . Hence, x∗ ∈ N ( A ). Thus,
S ⊥ ⊆ N ( A ). In conclusion, S ⊥ = N ( A ).
By Proposition 7.45, X∗ /S ⊥ is a Banach space. Let φ : X∗ → X∗ /S ⊥
be the natural homomorphism. By Proposition 7.70, there exists AD ∈
B X∗ /S ⊥ , S ∗ such that A = AD ◦ φ, AD is injective, and k AD k = k A k ≤
1.
∀s∗ ∈ S ∗ , by the simple version of Hahn-Banach Theorem, there exists
x∗ ∈ X∗ such that x∗ |S = s∗ and k x∗ k = k s∗ k. ∀s ∈ S, we have hh s∗ , s ii =
hh x∗ , s ii = hh Ax∗ , s ii = hh AD (φ(x∗ )), s ii = hh AD ([ x∗ ]), s ii. Hence, s∗ =
AD ([ x∗ ]). Then, AD is surjective. Thus, AD is bijective.
∀ [ x∗ ] ∈ X∗ /S ⊥ , k [ x∗ ] k = inf y∗ ∈S ⊥ k x∗ − y∗ k, by Proposition 7.44. By
Proposition 7.99, we have
k [ x∗ ] k = min k x∗ − y∗ k = sup Re ( hh x∗ , s ii )
y∗ ∈S ⊥ s∈S, ksk≤1
= sup Re ( hh Ax∗ , s ii ) = sup Re ( hh AD (φ(x∗ )), s ii )

s∈S, ksk≤1 s∈S, ksk≤1
= sup Re ( hh AD [ x∗ ] , s ii )
s∈S, ksk≤1
≤ sup | Re ( hh AD [ x∗ ] , s ii ) | ≤ sup | hh AD [ x∗ ] , s ii |
s∈S, ksk≤1 s∈S, ksk≤1
≤ sup k AD [ x∗ ] k k s k ≤ k AD [ x∗ ] k = k Ax∗ k
s∈S, ksk≤1
= inf k A(x∗ − y∗ ) k = inf k A(x∗ − y∗ ) k

y∗ ∈N (A) y∗ ∈S ⊥
≤ inf k A k k x∗ − y∗ k ≤ k [ x∗ ] k
y∗ ∈S ⊥
where we have applied Proposition 7.72 in the third inequality and Propo-
sition 7.64 in the fifth inequality. Therefore, we have k [ x∗ ] k = k AD [ x∗ ] k
and AD is an isometry. Thus, AD is an isometrical isomorphism between
X∗ /S ⊥ and S ∗ . Hence, (i) is established.
(ii) Let X be reflexive and S be a closed subspace. Let ψ : S → S ∗∗
be the natural mapping. All we need to show is that ψ(S) = S ∗∗ . Fix
a s∗∗ ∈ S ∗∗ . Define a functional τ : X∗ → IK by τ (x∗ ) = hh s∗∗ , Ax∗ ii,
∀x∗ ∈ X∗ . It is easy to show that τ is a linear functional on X∗ . ∀x∗ ∈
X∗ with k x∗ k ≤ 1, we have | τ (x∗ ) | = | h s∗∗ , Ax∗ i | ≤ k s∗∗ k k Ax∗ k ≤
k s∗∗ k k A k k x∗ k ≤ k s∗∗ k < +∞, where we have applied Propositions 7.72
and 7.64. Hence, τ ∈ X∗∗ .
Since X is reflexive, then, by Remark 7.88 and Definition 7.89, ∃x0 ∈ X
such that τ (x∗ ) = hh x∗ , x0 ii, ∀x∗ ∈ X∗ . ∀y∗ ∈ S ⊥ , we have hh y∗ , x0 ii =
τ (y∗ ) = hh s∗∗ , Ay∗ ii = hh s∗∗ , ϑS ∗ ii = 0, where the third equality follows
⊥
from the fact that S ⊥ = N ( A ). Hence, x0 ∈ S ⊥ = S, by Propo-
sition 7.98. Hence, ∀s∗ ∈ S ∗ , ∃x∗ ∈ X∗ such that Ax∗ = AD [ x∗ ] = s∗
7.10. THE OPEN MAPPING THEOREM 197
since AD is an isometrical isomorphism. Then, we have hh s∗∗ , s∗ ii =

hh s∗∗ , Ax∗ ii = τ (x∗ ) = hh x∗ , x0 ii = hh Ax∗ , x0 ii = hh s∗ , x0 ii. This im-
plies that s∗∗ = ψ(x0 ) and ψ(S) = S ∗∗ . Hence, (ii) is established.
7.10 The Open Mapping Theorem

Definition 7.101 Let X := (X, OX ) and Y := (Y, OY ) be topological
spaces and A : X → Y. A is called an open mapping if ∀OX ∈ OX ,
we have A(OX ) ∈ OY , that is the image of each open set is open.
Proposition 7.102 Let X be a normed linear space over the field IK,
S, T ⊆ X, and α ∈ IK. Then, the following statements hold.
(i) αS = αS.
f = αS.
(ii) If α 6= 0, then αS e
◦
(iii) If α 6= 0, then ( αS ) = αS ◦ .
(iv) S + T ⊆ S + T .
(v) S ◦ + T ◦ ⊆ (S + T )◦ .
Proof (i) We will distinguish three exhaustive and mutually exclusive

cases: Case 1: α = 0 and S = ∅; Case 2: α = 0 and S 6= ∅; Case 3: α 6= 0.
Case 1: α = 0 and S = ∅. Then, S = ∅ and αS = ∅ = αS. Case 2: α = 0
and S 6= ∅. Then, S 6= ∅ and αS = { ϑ } = αS.
∞
Case 3: α 6= 0. ∀x ∈ αS, by Proposition
4.13, ∃ ( xn )n=1 ⊆ αS such that
∞
limn∈IN xn = x. Note that α−1 xn n=1 ⊆ S and limn∈IN α−1 xn = α−1 x by
Propositions 3.66 and 7.23. By Proposition 4.13, α−1 x ∈ S. Then, x ∈ αS.
This shows that αS ⊆ αS.
On the other hand, ∀x ∈ αS, then α−1 x ∈ S. By Proposition 4.13,
∞ ∞
∃ ( xn )n=1 ⊆ S such that limn∈IN xn = α−1 x. Note that ( αxn )n=1 ⊆ αS
and limn∈IN αxn = x by Propositions 3.66 and 7.23. By Proposition 4.13,
x ∈ αS. Then, αS ⊆ αS. Hence, αS = αS.
f if, and only if, α−1 x ∈ Se if, and only if, x ∈ αS.
(ii) ∀x ∈ αS e Hence,
f = αS.
αS e
◦
(iii) ∀x ∈ ( αS
) , ∃δ ∈ (0, ∞) ⊂ IR such that B ( x, δ ) ⊆ αS. Then,
B α−1 x, δ/ | α | = α−1 B ( x, δ ) ⊆ S. Hence, α−1 x ∈ S ◦ . Then, x ∈ αS ◦ .
This shows that ( αS )◦ ⊆ αS ◦ .
◦ −1 ◦
On the other hand,
−1
∀x ∈ αS , we have α x ∈ S . ∃δ−1 ∈ (0, ∞) ⊂ IR
such that B α x, δ ⊆ S. Then, B ( x, | α | δ ) = αB α x, δ ⊆ αS.
Hence, x ∈ ( αS )◦ . This shows that αS ◦ ⊆ ( αS )◦ . Hence, we have
◦
( αS ) = αS ◦ .
(iv) ∀x̄ ∈ S + T , ∃s̄ ∈ S and ∃t̄ ∈ T such that x̄ = s̄ + t̄. By Proposi-

∞ ∞
tion 4.13, ∃ ( sn )n=1 ⊆ S and ∃ ( tn )n=1 ⊆ T such that limn∈IN sn = s̄ and
∞
limn∈IN tn = t̄. Then, ( sn +tn )n=1 ⊆ S +T and limn∈IN (sn +tn ) = s̄+ t̄ = x̄,
by Propositions 7.23, 3.66, and 3.67. By Proposition 4.13, x̄ ∈ S + T .
Hence, S + T ⊆ S + T .
(v) ∀x ∈ S ◦ + T ◦ , ∃s0 ∈ S ◦ and ∃t0 ∈ T ◦ such that x = s0 + t0 . Then,
∃rs , rt ∈ (0, ∞) ⊂ IR such that B ( s0 , rs ) ⊆ S and B ( t0 , rt ) ⊆ T . Thus,
we have B ( x, rs + rt ) = B ( s0 , rs ) + B ( t0 , rt ) ⊆ S + T and x ∈ (S + T )◦ .
Hence, S ◦ + T ◦ ⊆ (S + T )◦ .
Theorem 7.103 (Open Mapping Theorem) Let X and Y be Banach
spaces over the field IK and A ∈ B ( X, Y ) be surjective. Then, A is an open
mapping. Furthermore, if A is injective, then Ainv ∈ B ( Y, X ).
Proof We need the following claim.
Claim 7.103.1 The image of the unit ball in X under A contains an
open ball centered at the origin in Y, that is ∃δ ∈ (0, ∞) ⊂ IR such that
BY ( ϑY , δ ) ⊆ A(BX ( ϑX , 1 )).
−n
Proof of claim: S∞Sn := BX ( ϑX , 2 ), ∀n ∈ Z+ . Since A is
Let
linearSand surjective and
S∞ k=1 kS1 = X, then, by Proposition 2.5, we have
∞
Y = k=1 A(kS1 ) = k=1 kA(S1 ). Since Y is a complete metric space,
then, by Baire Category Theorem, Y is second category everywhere. Then,
Y is not of first category, that is Y is not countable union of nowhere dense
sets. Then, by Proposition 7.102, A(S1 ) ⊆ Y is not nowhere dense. Then,
A(S1 ) ⊆ Y is not nowhere dense. By Proposition 3.40, ∃ȳ ∈ Y and ∃δ̄ ∈
(0, ∞) ⊂ IR such that BY ȳ, δ̄ ⊆ A(S1 ). Then, we have BY ϑY , δ̄ =

BY ȳ, δ̄ − ȳ ⊆ A(S1 ) − A(S1 ). Note that, by Proposition 7.102 and the
linearity of A, −A(S1 ) = −A(S1 ) = A(−S1 ) = A(S 1 ). Then, again by
Proposition 7.102 and the linearity of A, BY ϑY , δ̄ ⊆ A(S1 ) + A(S1 ) ⊆
A(S1 ) + A(S1 ) = A(S1 + S1 ) = A(S0 ). Thus, A(S0 ) ⊆ Y contains a ball
center at the origin
with radius δ̄. By Proposition 7.102 and linearity of A,
BY ϑY , 2−n δ̄ = 2−n BY ϑY , δ̄ ⊆ 2−n A(S0 ) = A(2−n S0 ) = A(Sn ) ⊆ Y,
∀n ∈ Z+ .
Now, we proceed to show that BY ϑY , δ̄/2 ⊆ A(S0 ). Fix an arbi-

trary vector y ∈ BY ϑY , δ̄/2 . Then, y ∈ A(S1 ) and ∃x1 ∈ S1 , such that

k y − Ax1 k < 2−2 δ̄. This implies that y − Ax1 ∈ BY ϑY , 2−2 δ̄ ⊆ A(S2 ).
Pn−1
Recursively, ∀n ∈ IN with P n ≥ 2, y − k=1 Axk ∈ A(Sn ). Then,
∃xn ∈ Sn such that k y − nk=1 Axk k < 2−n−1 δ̄. This implies that
P
y − nk=1 Axk ∈ BY ϑY , 2−n−1 P δ̄ ⊆ A(Sn+1 ). Since xn ∈ Sn and
∞
k xn k < P 2−n , ∀n ∈ IN, then k=1 k xn k < 1. By Proposition 7.27,
∞
we have P
k=1 xn = x ∈ Y. It easy to show that x ∈ S0 . Then,
is P
y = limn∈IN nk=1 Axk = limn∈IN A ( nk=1 xk ) = Ax, where we have ap-
plied Proposition 3.66. Thus, y ∈ A(S0 ) and BY ϑY , δ̄/2 ⊆ A(S0 ).
7.10. THE OPEN MAPPING THEOREM 199

Fix any open set O ⊆ X and any y ∈ A(O). Let x ∈ O be such that
Ax = y. Then, there exists r ∈ (0, ∞) ⊂ IR such that BX ( x, r ) ⊆ O. By
Claim 7.103.1, ∃δ ∈ (0, ∞) ⊂ IR such that BY ( ϑY , δ ) ⊆ A(BX ( ϑX , r )).
By the linearity of A, we have BY ( y, δ ) = y + BY ( ϑY , δ ) ⊆ Ax +
A(BX ( ϑX , r )) = A(BX ( x, r )) ⊆ A(O). By the arbitrariness of y, A(O) ⊆ Y
is open.
If, in addition, A is injective, then A is bijective and Ainv exists. Since
A is open mapping, then Ainv is continuous. It is obvious that Ainv : Y → X
is linear since A is linear. Therefore, Ainv ∈ B ( Y, X ).
Proposition 7.104 Let X be a vector space over IK and k · k1 and k · k2 be

two norms on X such that X1 := (X , IK, k · k1 ) and X2 := (X , IK, k · k2 ) are
Banach spaces. If ∃M ∈ [0, ∞) ⊂ IR such that k x k2 ≤ M k x k1 , ∀x ∈ X .
Then, the two norms are equivalent.
Proof Consider the mapping A := idX : X1 → X2 . Clearly A is

a linear bijective function. By the assumption of the proposition, A ∈
B ( X1 , X2 ). By Open Mapping Theorem, Ainv ∈ B ( X2 , X1 ). Then, ∃M̄ ∈
[0, ∞) ⊂ IR such that k x k1 = k Ax k1 ≤ M̄ k x k2 , ∀x ∈ X . Now, take
K = max M, M̄ + 1 ∈ (0, ∞) ⊂ IR. Then, we have k x k1 /K ≤ k x k2 ≤
K k x k1 , ∀x ∈ X . Hence, the two norms are equivalent. This completes the
Theorem 7.105 (Closed Graph Theorem) Let X := (X , IK, k · k) and

Y be Banach spaces over the field IK and A : X → Y be a linear operator.
Assume that A satisfies that ∀ ( xn )∞
n=1 ⊆ X with limn∈IN xn = x0 ∈ X and
limn∈IN Axn = y0 ∈ Y, we have y0 = Ax0 . Then, A ∈ B ( X, Y ).
Proof Define a functional k · k1 : X → IR by k x k1 := k x k + k Ax k,

∀x ∈ X. It is easy to show that k · k1 defines a norm on X . Let X1 :=
(X , IK, k·k1 ) be the normed linear space. We will show that X1 is complete.
Fix any Cauchy sequence ( xn )∞ ∞
n=1 ⊆ X1 . It is easy to see that ( xn )n=1 ⊆ X
∞
is a Cauchy sequence; and that ( Axn )n=1 ⊆ Y is a Cauchy sequence. By
the completeness of X and Y, there exists x0 ∈ X and y0 ∈ Y such that
limn∈IN k xn − x0 k = 0 and limn∈IN k Axn − y0 k = 0. By the assumption of
the theorem, we have y0 = Ax0 . Hence, we have limn∈IN k xn − x0 k1 = 0.
Then, limn∈IN xn = x0 in X1 . Thus, X1 is a Banach space. Clearly, ∀x ∈ X ,
we have k x k ≤ k x k1 . By Proposition 7.104, k · k and k · k1 are equivalent.
Then, ∃M ∈ [0, ∞) ⊂ IR such that k x k1 ≤ M k x k, ∀x ∈ X . Then, we have
k Ax k ≤ M k x k, ∀x ∈ X . Hence, A ∈ B ( X, Y ). This completes the proof
of the theorem. 2
Recall that the graph of a function f : X → Y is the set { (x, y) ∈
X × Y | x ∈ X, y = f (x) }. Then, we have the following alternative
statement of the Closed Graph Theorem.
Theorem 7.106 (Closed Graph Theorem) Let X and Y be Banach

spaces over the field IK and A : X → Y be a linear operator. Then,
A ∈ B ( X, Y ) if, and only if, the graph of A is a closed set in X × Y.
Proof “Sufficiency” Let the graph of A be graph ( A ). Fix any se-

quence ( xn )∞ n=1 ⊆ X with limn∈IN xn = x0 ∈ X and limn∈IN Axn = y0 ∈ Y.
∞
Note that ( (xn , Axn ) )n=1 ⊆ graph ( A ) ⊆ X × Y and limn∈IN (xn , Axn ) =
(x0 , y0 ), by Proposition 3.67. Then, by Proposition 4.13, we have (x0 , y0 ) ∈
graph ( A ) = graph ( A ), where the equality follows from Proposition 3.3.
Hence, we have y0 = Ax0 . By the Closed Graph Theorem, Theorem 7.105,
we have A ∈ B ( X, Y ).
“Necessity” ∀(x0 , y0 ) ∈ graph ( A ), by Proposition 4.13, there exists
∞
( (xn , Axn ) )n=1 ⊆ graph ( A ) such that limn∈IN (xn , Axn ) = (x0 , y0 ). By
Proposition 3.67, we have limn∈IN xn = x0 and limn∈IN Axn = y0 . By
Proposition 3.66, we have y0 = limn∈IN Axn = Ax0 . Hence, (x0 , y0 ) ∈
graph ( A ). By Proposition 3.3, graph ( A ) is closed in X × Y.
Proposition 7.107 Let X be a Banach space over the field IK, Y be a

normed linear space over the same field, and F ⊆ B ( X, Y ). Assume that
∀x ∈ X, ∃Mx ∈ [0, ∞) ⊂ IR such that k T x k ≤ Mx , ∀T ∈ F. Then,
∃M ∈ [0, ∞) ⊂ IR, such that k T k ≤ M , ∀T ∈ F.
Proof By Baire Category Theorem, X is second category everywhere.

∀T ∈ F, let f : X → IR be given by f (x) = k T x k, ∀x ∈ X. By Propo-
sitions 7.21 and 3.12, f is a continuous real-valued function. By Uniform
Boundedness Principle, there exist an open set O ⊆ X with O 6= ∅ and
M̄ ∈ [0, ∞) ⊂ IR such that k T x k ≤ M̄ , ∀T ∈ F, ∀x ∈ O. Since O is
nonempty and open, then ∃BX ( x0 , r ) ⊆ O for some x0 ∈ X and some
r ∈ (0, ∞) ⊂ IR. ∀x ∈ X with k x k < r, x + x0 ∈ BX ( x0 , r ) ⊆ O and
∀T ∈ F, we have
k T x k = k T (x + x0 ) − T x0 k ≤ k T (x + x0 ) k + k T x0 k ≤ M̄ + Mx0
Hence, ∀T ∈ F, we have, ∀ǫ ∈ (0, r) ⊂ IR,
M̄ + Mx0
kT k = sup kT xk = sup (r − ǫ)−1 k T ((r − ǫ)x) k ≤
x∈X, kxk≤1 x∈X, kxk≤1 r−ǫ
By the arbitrariness of ǫ, we have k T k ≤ (M̄ + Mx0 )/r =: M < +∞. This

Proposition 7.108 Let X be a Banach space over the field IK, Y be a

normed linear space over the same field, and ( Tn )∞
n=1 ⊆ B ( X, Y ). Assume
that ∀x ∈ X, limn∈IN Tn x = T (x) ∈ Y. Then, T ∈ B ( X, Y ).
7.11. THE ADJOINTS OF LINEAR OPERATORS 201
Proof ∀x1 , x2 ∈ X, ∀α, β ∈ IK, we have
T (αx1 +βx2 ) = lim Tn (αx1 +βx2 ) = lim (αTn x1 +βTn x2 ) = αT x1 +βT x2

n∈IN n∈IN
by Propositions 7.23 and 3.66. Hence, T is linear. ∀x ∈ X, by Proposi-

tions 7.21 and 3.66, limn∈IN k Tn x k = k T x k < +∞. Then, ∃Mx ∈ [0, ∞) ⊂
IR such that k Tn x k ≤ Mx , ∀n ∈ IN. By Proposition 7.107, ∃M ∈ [0, ∞) ⊂
IR such that k Tn k ≤ M , ∀n ∈ IN. ∀x ∈ X with k x k ≤ 1, by Proposi-
tion 7.64, k T x k = limn∈IN k Tn x k ≤ lim supn∈IN k Tn k k x k ≤ M < +∞.
Hence, k T k ≤ M < +∞. Therefore, T ∈ B ( X, Y ). This completes the
7.11 The Adjoints of Linear Operators

and A ∈ B ( X, Y ). The adjoint operator of A is A∗ : Y∗ → X∗ defined by
hh A∗ (y∗ ), x ii = hh y∗ , Ax ii ; ∀x ∈ X, ∀y∗ ∈ Y∗
Then, A∗ ∈ B ( Y∗ , X∗ ) with k A∗ k = k A k.
Proof First, we will show that A∗ is well defined. ∀y∗ ∈ Y∗ , ∀x ∈ X.

hh y∗ , Ax ii ∈ IK. Hence, f : X → IK defined by f (x) = hh y∗ , Ax ii, ∀x ∈ X,
is a functional on X. By the linearity of A and y∗ , f is a linear functional.
∀x ∈ X, we have, by Proposition 7.64
| f (x) | ≤ k y∗ k k Ax k ≤ k y∗ k k A k k x k
Hence, f is a bounded linear functional with k f k ≤ k A k k y∗ k. The above

shows that A∗ (y∗ ) = f ∈ X∗ . Hence, A∗ is well-defined.
It is straightforward to show that A∗ is a linear operator. By the fact
that k A∗ y∗ k = k f k ≤ k A k k y∗ k, ∀y∗ ∈ Y∗ , we have A∗ ∈ B ( Y∗ , X∗ ) and
k A∗ k ≤ k A k.
On the other hand, ∀x ∈ X, we have either Ax = ϑY , then k Ax k =
0 ≤ k A∗ k k x k; or Ax 6= ϑY , then, by Proposition 7.85, ∃y∗ ∈ Y∗ with
k y∗ k = 1 such that k Ax k = hh y∗ , Ax ii, which implies that k Ax k =
hh A∗ y∗ , x ii ≤ k A∗ y∗ k k x k ≤ k A∗ k k y∗ k k x k = k A∗ k k x k. Hence, we
must have k Ax k ≤ k A∗ k k x k. This implies that k A k ≤ k A∗ k.
Then, k A k = k A∗ k. This completes the proof of the proposition. 2
Proposition 7.110 Let X, Y, and Z be normed linear spaces over the field
IK. Then, the following statements hold.
(i) id∗X = idX∗ .
(ii) If A1 , A2 ∈ B ( X, Y ), then (A1 + A2 )∗ = A∗1 + A∗2 .

(iii) If A ∈ B ( X, Y ) and α ∈ IK, then (αA)∗ = αA∗ .

(iv) If A1 ∈ B ( X, Y ) and A2 ∈ B ( Y, Z ), then (A2 A1 )∗ = A∗1 A∗2 .
(v) If A ∈ B ( X, Y ) and A has a bounded inverse, then (A−1 )∗ = (A∗ )−1 .
Proof (i) ∀x∗ ∈ X∗ , ∀x ∈ X, hh id∗X x∗ , x ii = hh x∗ , idX x ii = hh x∗ , x ii =

hh idX∗ x∗ , x ii. Hence, the result follows.
(ii) ∀y∗ ∈ Y∗ , ∀x ∈ X, we have hh (A1 + A2 )∗ y∗ , x ii = hh y∗ , (A1 +
A2 )x ii = hh y∗ , A1 x ii + hh y∗ , A2 x ii = hh A∗1 y∗ , x ii + hh A∗2 y∗ , x ii = hh A∗1 y∗ +
A∗2 y∗ , x ii = hh (A∗1 + A∗2 )y∗ , x ii. Hence, the result follows.
(iii) ∀y∗ ∈ Y∗ , ∀x ∈ X, we have hh (αA)∗ y∗ , x ii = hh y∗ , (αA)x ii =
α hh y∗ , Ax ii = α hh A∗ y∗ , x ii = hh α(A∗ y∗ ), x ii = hh (αA∗ )y∗ , x ii. Hence,
the result follows.
(iv) ∀z∗ ∈ Z∗ , ∀x ∈ X, we have hh (A2 A1 )∗ z∗ , x ii = hh z∗ , (A2 A1 )x ii =
hh z∗ , A2 (A1 x) ii = hh A∗2 z∗ , A1 x ii = hh A∗1 (A∗2 z∗ ), x ii = hh (A∗1 A∗2 )z∗ , x ii.
Hence, the result follows.
(v) By (i) and (iv), we have (A−1 )∗ A∗ = (AA−1 )∗ = id∗Y = idY∗ and
A∗ (A−1 )∗ = (A−1 A)∗ = id∗X = idX∗ . By Proposition 2.4, we have (A−1 )∗ =
(A∗ )−1 .
A ∈ B ( X, Y ), φX : X → X∗∗ and φY : Y → Y∗∗ be the natural mappings on
X and Y, respectively, and A∗∗ : X∗∗ → Y∗∗ be the adjoint of the adjoint of
A. Then, we have A∗∗ ◦ φX = φY ◦ A.
Proof ∀x ∈ X, ∀y∗ ∈ Y∗ , we have
hh A∗∗ (φX (x)), y∗ ii = hh φX (x), A∗ y∗ ii = hh A∗ y∗ , x ii = hh y∗ , Ax ii

= hh φY (Ax), y∗ ii
Hence, the desired result follows. This completes the proof of the proposi-
tion. 2
By Proposition 7.111 and Remark 7.88, ∀A, B ∈ B ( X, Y ), we have
A∗ = B ∗ if, and only if, A = B.
and A ∈ B ( X, Y ). Then,
⊥ ⊥
( R ( A ) ) = N ( A∗ ) ; ( R ( A∗ ) ) = N ( A )
Proof Fix a vector y∗ ∈ N ( A∗ ). ∀y ∈ R ( A ), ∃x ∈ X such that

y = Ax. Then, hh y∗ , y ii = hh y∗ , Ax ii = hh A∗ y∗ , x ii = hh ϑX∗ , x ii = 0.
⊥ ⊥
Hence, y∗ ∈ ( R ( A ) ) . This shows that N ( A∗ ) ⊆ ( R ( A ) ) .
⊥
On the other hand, fix a vector y∗ ∈ ( R ( A ) ) . ∀x ∈ X, we have
hh A∗ y∗ , x ii = hh y∗ , Ax ii = 0. Hence, we have A∗ y∗ = ϑX∗ . This shows
⊥
that ( R ( A ) ) ⊆ N ( A∗ ).
7.11. THE ADJOINTS OF LINEAR OPERATORS 203
⊥
Hence, we have ( R ( A ) ) = N ( A∗ ).
Fix a vector x ∈ N ( A ). ∀x∗ ∈ R ( A∗ ), ∃y∗ ∈ Y∗ such that x∗ = A∗ y∗ .
⊥
Then, hh x∗ , x ii = hh y∗ , Ax ii = hh y∗ , ϑY ii = 0. Hence, x ∈ ( R ( A∗ ) ).
⊥
This shows that N ( A ) ⊆ ( R ( A∗ ) ).
⊥
On the other hand, fix a vector x ∈ ( R ( A∗ ) ). ∀y∗ ∈ Y∗ , we have
∗
0 = hh A y∗ , x ii = hh y∗ , Ax ii. Hence, by Proposition 7.85, we have Ax = ϑY
⊥
and x ∈ N ( A ). This shows that ( R ( A∗ ) ) ⊆ N ( A ).
⊥
Hence, we have ( R ( A∗ ) ) = N ( A ). This completes the proof of the
proposition. 2
The dual version of the above proposition is deeper, which requires both
Open Mapping Theorem and Hahn-Banach Theorem. Towards this end,
we need the following result.
Proposition 7.113 Let X and Y be Banach spaces over the field IK and
A ∈ B ( X, Y ). Assume that R ( A ) ⊆ Y is closed. Then, there exists K ∈
[0, ∞) ⊂ IR such that, ∀y ∈ R ( A ), there exists x ∈ X such that y = Ax
and k x k ≤ K k y k.
Proof Since A is continuous, then N ( A ) ⊆ X is closed. By Propo-

sition 7.45, X/N ( A ) is a Banach space. Let φ : X → X/N ( A ) be the
natural homomorphism, which is a bounded linear function by Proposi-
tion 7.69. By Proposition 7.70, there exists a bounded linear function
AD : X/N ( A ) → R ( A ) such that A = AD ◦ φ, k A k = k AD k and AD
is injective. By Theorem 7.35, R ( A ) is complete. Then, by Proposi-
tion 7.13, R ( A ) is a Banach space. The mapping AD is surjective to
R ( A ). Hence, AD : X/N ( A ) → R ( A ) is a bijective bounded lin-
−1
ear operator. By Open Mapping Theorem, AD ∈ B ( R ( A ) , X/N ( A ) ).
−1
∀y ∈ R ( A ), Let [ x ] := AD y ∈ X/N ( A ). Then, by Proposition 7.64,
k [ x ] k ≤ A−1D
k y k. We will distinguish two exhaustive and mutu-
ally exclusive cases: Case 1: k [ x ] k = 0; Case 2: k [ x ] k > 0. Case 1:
k [ x ] k = 0. Then, [ x ] = [ ϑ X ]. Take
x = ϑX , we have y = AD [ x ] =
Ax = ϑY and k x k = 0 = 2 A−1 D
k y k. Case 2: k [ x ] k > 0. Note that
k [ x ] k = inf x∈[x] k x k. Then, ∃x ∈ [ x ] such k x k ≤ 2 k [ x ] k. Then,
that
−1
y = AD [ x ] = Ax and k x k ≤ 2 k [ x ] k ≤ 2
AD k y k. Hence, the desired
result holds in both cases with K = 2 A−1 D
. This completes the proof of
the proposition. 2
and A ∈ B ( X, Y ). Assume that R ( A ) is closed in Y. Then,
R ( A ) = ⊥ ( N ( A∗ ) )
If, in addition, X and Y are Banach spaces, then
R ( A∗ ) = ( N ( A ) )⊥
Proof Fix y ∈ R ( A ). Then ∃x ∈ X such that y = Ax. ∀y∗ ∈

N ( A∗ ), we have hh y∗ , y ii = hh A∗ y∗ , x ii = hh ϑX∗ , x ii = 0. Hence, we have
⊥ ⊥
y ∈ ( N ( A∗ ) ) and R ( A ) ⊆ ( N ( A∗ ) ).
⊥
On the other hand, fix y ∈ ( N ( A∗ ) ). By Proposition 7.97, δ :=
inf k∈R(A) k y − k k = max “ ”⊥ hh y∗ , y ii, where the maximum
y∗ ∈ R(A) , ky∗k≤1
is achieved at some y∗0 ∈ ( R ( A ) )⊥ with k y∗0 k ≤ 1. By Proposition 7.112,

we have ( R ( A ) )⊥ = N ( A∗ ) ∋ y∗0 . Then, δ = hh y∗0 , y ii = 0. By
Proposition 4.10, y ∈ R ( A ) since R ( A ) ⊆ Y is closed. This shows that
⊥
( N ( A∗ ) ) ⊆ R ( A ).
Hence, we have R ( A ) = ⊥ ( N ( A∗ ) ).
Let X and Y be Banach spaces. Fix an x∗ ∈ R ( A∗ ), then ∃y∗ ∈ Y∗
such that x∗ = A∗ y∗ . ∀x ∈ N ( A ), we have hh x∗ , x ii = hh A∗ y∗ , x ii =
⊥
hh y∗ , Ax ii = hh y∗ , ϑY ii = 0. Then, x∗ ∈ ( N ( A ) ) . This shows that
⊥
R ( A∗ ) ⊆ ( N ( A ) ) .
⊥
On the other hand, fix an x∗ ∈ ( N ( A ) ) . Let K ∈ [0, ∞) ⊂ IR
be the constant described in Proposition 7.113. ∀y ∈ R ( A ), ∀x ∈ X
with Ax = y, hh x∗ , x ii assumes a constant value that is dependent on y
only. So, we may define a functional f : R ( A ) → IK by f (y) = hh x∗ , x ii,
∀y ∈ R ( A ) and ∀x ∈ X with Ax = y. Clearly, f is a linear functional.
By Proposition 7.113, ∃x0 ∈ X with Ax0 = y, such that k x0 k ≤ K k y k.
Then, by Proposition 7.64, | f (y) | ≤ k x∗ k k x k ≤ k x∗ k K k y k. Hence,
k f kR(A) := supy∈R(A), kyk≤1 | f (y) | ≤ K k x∗ k < +∞. By the simple
version of Hahn-Banach Theorem, ∃y∗ ∈ Y∗ such that y∗ |R(A) = f and
k y∗ k = k f kR(A) . ∀x ∈ X, we have
hh A∗ y∗ , x ii = hh y∗ , Ax ii = f (Ax) = hh x∗ , x ii
⊥
This implies that A∗ y∗ = x∗ ∈ R ( A∗ ). Hence, we have ( N ( A ) ) ⊆
R ( A∗ ).
⊥
Therefore, we have R ( A∗ ) = ( N ( A ) ) . This completes the proof of
the proposition. 2
7.12 Weak Topology

Definition 7.115 Let X be a normed linear space over the field IK. The
weak topology on X, denoted by Oweak ( X ) ⊆ X2, is the weak topology
generated by X∗ , that is the weakest topology on X such that x∗ : X → IK,
∀x∗ ∈ X∗ , are continuous.
For a normed linear space X, let OX be the natural topology induced by

the norm on X. Then, Oweak ( X ) ⊆ OX . We usually call the topology OX
the strong topology. A set S ⊆ X is weakly open, that is S ∈ Oweak ( X ),
then S is strongly open, that is S ∈ OX , and if S is weakly closed, then it
7.12. WEAK TOPOLOGY 205
is strongly closed, but not conversely. We will denote the topological space
( X, Oweak ( X ) ) by Xweak .
Proposition 7.116 Let X be a normed linear space over the field IK. Then,
(i) A basis for Oweak ( X ) consists of all sets of the form
{ x ∈ X | hh x∗i , x ii ∈ Oi , i = 1, . . . , n } (7.8)
where n ∈ IN, Oi ∈ OIK and x∗i ∈ X∗ , i = 1, . . . , n, and OIK is the

natural topology on IK. A basis at x0 ∈ X for Oweak ( X ) consists of
all sets of the form
{ x ∈ X | | hh x∗i , x − x0 ii | < ǫ, i = 1, . . . , n } (7.9)
where ǫ ∈ (0, ∞) ⊂ IR, n ∈ IN, and x∗i ∈ X∗ , i = 1, . . . , n.

(ii) Xweak is completely regular ( T3 12 ).
(iii) For a sequence ( xk )∞k=1 ⊆ Xweak , x0 ∈ X is the limit point of the

sequence in the weak topology if, and only if, limk∈IN hh x∗ , xk ii =
hh x∗ , x0 ii, ∀x∗ ∈ X∗ . In this case, we will write limk∈IN xk =
x0 weakly and say that ( xk )∞
k=1 converges weakly to x0 .
Proof (i) By Definition 7.115, Oweak ( X ) is the topology generated

by sets of the form (7.8). We will show that these sets form a basis for
the topology by Proposition 3.18. Take B = { x ∈ X | hh ϑ∗ , x ii ∈ IK },
which is of the form (7.8) and B = X. ∀x ∈ X, we have x ∈ B. For any
B1 , B2 ⊆ X, which are of the form (7.8), clearly, B1 ∩ B2 is again of the
form (7.8). Hence, Proposition 3.18 applies and the sets of the form (7.8)
form a basis for Oweak ( X ).
Let B ⊆ X be any set of the form (7.9). Clearly, x0 ∈ B ∈ Oweak ( X ).
∀O ∈ Oweak ( X ) with x0 ∈ O, by Definition 3.17, there exists a basis open
set B1 := { x ∈ X | hh x∗i , x ii ∈ Oi , i = 1, . . . , n }, for some n ∈ IN and
some x∗i ∈ X∗ and Oi ∈ OIK , i = 1, . . . , n, such that x0 ∈ B1 ⊆ O. For
each i = 1, . . . , n, ci := hh x∗i , x0 ii ∈ Oi ∈ OIK . Then, ∃ǫi ∈ (0, ∞) ⊂ IR
such that BIK ( ci , ǫi ) ⊆ Oi . Take ǫ = min1≤i≤n ǫi ∈ (0, ∞) ⊂ IR and
B2 := { x ∈ X | | hh x∗i , x − x0 ii | < ǫ, i = 1, . . . , n }. Clearly, B2 is of the
form (7.9) and x0 ∈ B2 ⊆ B1 ⊆ O. Hence, sets of the form (7.9) form a
basis at x0 for Oweak ( X ). Thus, (i) holds.
(ii) ∀x1 , x2 ∈ X with x1 6= x2 , we have x1 −x2 6= ϑ. By Proposition 7.85,
∃x∗ ∈ X∗ with k x∗ k = 1 such that hh x∗ , x1 − x2 ii = k x1 − x2 k > 0. Let
O1 := { a ∈ IK | Re ( a ) > Re ( hh x∗ , x2 ii ) + k x1 − x2 k /2 } and O2 :=
{ a ∈ IK | Re ( a ) < Re ( hh x∗ , x2 ii ) + k x1 − x2 k /2 }. Then, O1 , O2 ∈ OIK
and O1 ∩ O2 = ∅. Let B1 := { x ∈ X | hh x∗ , x ii ∈ O1 } and B2 := { x ∈
X | hh x∗ , x ii ∈ O2 }. Then, B1 , B2 ∈ Oweak ( X ), x1 ∈ B1 , x2 ∈ B2 , and
B1 ∩ B2 = ∅. This shows that Xweak is Hausdorff.
Next, we show that Xweak is completely regular. Fix any weakly

closed set F ⊆ Xweak and x0 ∈ Fe ∈ Oweak ( X ). Then, there exists
a basis open set B = { x ∈ X | hh x∗i , x ii ∈ Oi , i = 1, . . . , n }, for
some n ∈ IN and some x∗i ∈ X∗Qand Oi ∈ OIK , i = 1, . . . , n, such
n
that x0 ∈ B ⊆ Fe . Let O := i=1 Oi ⊆ IK
n
which is open. Let
n
p0 := ( hh x∗1 , x0 ii , . . . , hh x∗n , x0 ii ) ∈ IK . Then, p0 ∈ O. By Propo-
sitions 4.11 and 3.61, IKn is normal and therefore completely regular.
Then, there exists a continuous function f : IKn → [0, 1] ⊂ IR such
that f |Oe = 0 and f (p0 ) = 1. Define g : Xweak → [0, 1] ⊂ IR by
g(x) = f (hh x∗1 , x ii , . . . , hh x∗n , x ii), ∀x ∈ Xweak . By Propositions 3.12 and
3.32, g is a continuous real-valued function on Xweak , g(x0 ) = f (p0 ) = 1,
and g|F = 0. Hence, Xweak is completely regular. Thus, (ii) holds.
(iii) “Only if” ∀x∗ ∈ X∗ , x∗ : X → IK is weakly continuous. By Propo-
sition 3.66, we have limk∈IN hh x∗ , xk ii = hh x∗ , x0 ii.
∞
“If” Let ( xk )k=1 satisfy that limk∈IN hh x∗ , xk ii = hh x∗ , x0 ii, ∀x∗ ∈ X∗ .
For any basis open set B = { x ∈ X | hh x∗i , x ii ∈ Oi , i = 1, . . . , n }, for
some n ∈ IN and some x∗i ∈ X∗ and Oi ∈ OIK , i = 1, . . . , n, with x0 ∈ B,
we have that ∀i = 1, . . . , n, ∃Ni ∈ IN such that hh x∗i , xk ii ∈ Oi , ∀k ≥ Ni .
Take N = max1≤i≤n Ni ∈ IN. ∀k ≥ N , xk ∈ B. This shows that ( xk )∞ k=1
converges weakly to x0 . Hence, (iii) holds.
Xweak be the topological space of X endowed with the weak topology. Then,
vector addition ⊕ : Xweak × Xweak → Xweak is continuous; and scalar mul-
tiplication ⊗ : IK × Xweak → Xweak is continuous.
Proof Fix (x0 , y0 ) ∈ Xweak ×Xweak . We will show that ⊕ is continuous

at (x0 , y0 ). Fix a basis open set B ∈ Oweak ( X ) with x0 + y0 ∈ B. Then, by
Proposition 7.116, B = { z ∈ X | | hh x∗i , z −x0 −y0 ii | < ǫ, i = 1, . . . , n }, for
some n ∈ IN, for some ǫ ∈ (0, ∞) ⊂ IR, and for some x∗i ∈ X∗ , i = 1, . . . , n.
Let B1 := { x ∈ X | | hh x∗i , x − x0 ii | < ǫ/2, i = 1, . . . , n } and B2 := { y ∈
X | | hh x∗i , y − y0 ii | < ǫ/2, i = 1, . . . , n }. Clearly, B1 , B2 ∈ Oweak ( X ),
B1 × B2 ∈ OXweak ×Xweak , and (x0 , y0 ) ∈ B1 × B2 . ∀(x, y) ∈ B1 × B2 , ∀i =
1, . . . , n, | hh x∗i , x + y − x0 − y0 ii | ≤ | hh x∗i , x − x0 ii | + | hh x∗i , y − y0 ii | < ǫ.
Hence, x + y ∈ B. This shows that ⊕ is continuous at (x0 , y0 ). By the
arbitrariness of (x0 , y0 ) and Proposition 3.9, ⊕ is continuous.
Fix (α0 , x0 ) ∈ IK×Xweak . We will show that ⊗ is continuous at (α0 , x0 ).
Fix a basis open set B ∈ Oweak ( X ) with α0 x0 ∈ B. Then, by Proposi-
tion 7.116, B = { z ∈ X | | hh x∗i , z − α0 x0 ii | < ǫ, i = 1, . . . , n }, for some
n ∈ IN, for some ǫ ∈ (0, ∞) ⊂ IR, and for some x∗i ∈ X∗ , i = 1, . . . , n. Let
M := max1≤i≤n k x∗i k ∈ [0, ∞) ⊂ IR. Let B1 := { α ∈ IK | | α − α0 | <
ǫ ǫ
ǫ+2Mkx0k } and B2 := { x ∈ X | | hh x∗i , x − x0 ii | < 2 (1+|α0|) , i = 1, . . . , n }.
Clearly, B1 ∈ OIK and B2 ∈ Oweak ( X ), B1 × B2 ∈ OIK×Xweak , and
(α0 , x0 ) ∈ B1 × B2 . ∀(α, x) ∈ B1 × B2 , ∀i = 1, . . . , n, | hh x∗i , αx − α0 x0 ii | ≤
| hh x∗i , αx − αx0 ii | + | hh x∗i , αx0 − α0 x0 ii | = | α | | hh x∗i , x − x0 ii | + | α −

α0 | | hh x∗i , x0 ii | ≤ (| α0 |+| α−α0 |) | hh x∗i , x−x0 ii |+| α−α0 | k x∗i k k x0 k ≤
(| α0 | + 1) | hh x∗i , x − x0 ii | + | α − α0 | M k x0 k < ǫ. Hence, αx ∈ B. This
shows that ⊗ is continuous at (α0 , x0 ). By the arbitrariness of (α0 , x0 ) and
Proposition 3.9, ⊗ is continuous.

the field IK, OX be the strong topology on X, and Oweak ( X ) be the weak
topology on X. Then, OX = Oweak ( X ).
Proof Clearly, Oweak ( X ) ⊆ OX . Fix any basis open set O =

BX ( x0 , r ) ∈ OX with x0 ∈ X and r ∈ (0, ∞) ⊂ IR. We will show that
O ∈ Oweak ( X ). Let n ∈ Z+ be the dimension of X. We will distinguish
two exhaustive and mutually exclusive cases: Case 1: n = 0; Case 2: n ∈ IN.
Case 1: n = 0. Then, X is a singleton set. O = X ∈ Oweak ( X ). This case
is proved.
Case 2: n ∈ IN. Let { e1 , . . . , en } ⊆ X be a basis of X with k ei k = 1,
i = 1,P . . . , n. ∀i = 1, . . . , n, let fi : X → IK be defined by fi (x) = αi ,
n
∀x = j=1 αj ej ∈ X. Clearly, fi is well-defined and is a linear functional.
By Proposition 7.67, fi is continuous. Denote fi by e∗i ∈ X∗ . ∀x1 ∈ O, let
δ = (r − k x1 − x0 k)/n ∈ (0, ∞) ⊂ IR. Let B := { x ∈ X | | hh e∗i , x − x1 ii | <
δ, i = 1, . .P . , n }. By Proposition 7.116, B ∈ Oweak ( X ). ∀x ∈ B, let
n
x − x1 = j=1 αj ej . Then, ∀i = 1, . . . , n, | αi | = | hh e∗i , x − x1 ii | < δ.
Pn
Thus, k x − x1 k ≤ j=1 | αj | k ej k < nδ = r − k x1 − x0 k. Then, we have
k x − x0 k ≤ k x − x1 k + k x1 − x0 k < r and x ∈ O. Hence, x1 ∈ B ⊆ O.
Therefore, O ∈ Oweak ( X ).
In both cases, we have shown that O ∈ Oweak ( X ). Then, OX ⊆
Oweak ( X ). Hence, OX = Oweak ( X ). This completes the proof of the
proposition. 2
Given a normed linear space X, its dual X∗ is a Banach space. On X∗ ,
we can also talk about the notion of weak topology. The weak topology
of X∗ is the weakest topology on X∗ such that all of the functional in
X∗∗ are continuous. This topology turns out to be less useful than the
weak topology for X∗ generated by X (or more precisely by φ(X), where
φ : X → X∗∗ is the natural mapping). This leads us to the following
definition.
Definition 7.119 Let X be a normed linear space over the field IK, X∗ be
its dual, and φ : X → X∗∗ be the∗natural mapping. The weak∗ topology on
X∗ , denoted by Oweak∗ ( X∗ ) ⊆ X 2, is the weak topology generated by φ(X),
that is the weakest topology on X∗ such that φ(x) : X∗ → IK, ∀x ∈ X, are
continuous.
For a normed linear space X, let OX∗ be the natural topology induced by
the norm on X∗ . Then, Oweak∗ ( X∗ ) ⊆ Oweak ( X∗ ) ⊆ OX∗ . Therefore, the
weak∗ topology is weaker than the weak topology on X∗ , which is further

weaker than the strong topology on X∗ , OX∗ . Clearly, if X is reflexive,
then the weak topology and the weak∗ topology coincide. We will denote
the topological space ( X∗ , Oweak∗ ( X∗ ) ) by X∗weak∗ . We have the following
two basic results for the weak∗ topology, which are counterpart results for
Propositions 7.116 and 7.117.
φ : X → X∗∗ be the natural mapping. Then, the following statements hold.
(i) A basis for Oweak∗ ( X∗ ) consists of all sets of the form
{ x∗ ∈ X∗ | hh x∗ , xi ii = hh φ(xi ), x∗ ii ∈ Oi , i = 1, . . . , n } (7.10)
where n ∈ IN, Oi ∈ OIK and xi ∈ X, i = 1, . . . , n, and OIK is the

natural topology on IK. A basis at x∗0 ∈ X∗ for Oweak∗ ( X∗ ) consists
of all sets of the form
{ x∗ ∈ X∗ | | hh x∗ −x∗0 , xi ii | = | hh φ(xi ), x∗ −x∗0 ii | < ǫ, i = 1, . . . , n }

(7.11)
where ǫ ∈ (0, ∞) ⊂ IR, n ∈ IN, and xi ∈ X, i = 1, . . . , n.
(ii) X∗weak∗ is completely regular ( T3 12 ).

∞
(iii) For a sequence ( x∗k )k=1 ⊆ X∗weak∗ , x∗0 ∈ X∗ is the limit point of
the sequence in the weak∗ topology if, and only if, limk∈IN hh x∗k , x ii =
hh x∗0 , x ii, ∀x ∈ X. In this case, we will write limk∈IN x∗k = x∗0 weak∗
∞
and say that ( x∗k )k=1 converges weak∗ to x∗0 .
Proof (i) By Definition 7.119, Oweak∗ ( X∗ ) is the topology generated

by sets of the form (7.10). We will show that these sets form a basis for
the topology by Proposition 3.18. Take B = { x∗ ∈ X∗ | hh x∗ , ϑ ii ∈ IK },
which is of the form (7.10) and B = X∗ . ∀x∗ ∈ X∗ , we have x∗ ∈ B. For
any B1 , B2 ⊆ X∗ , which are of the form (7.10), clearly, B1 ∩ B2 is again of
the form (7.10). Hence, Proposition 3.18 applies and the sets of the form
(7.10) form a basis for Oweak∗ ( X∗ ).
Let B ⊆ X∗ be any set of the form (7.11). Clearly, x∗0 ∈ B ∈
Oweak∗ ( X∗ ). ∀O ∈ Oweak∗ ( X∗ ) with x∗0 ∈ O, by Definition 3.17, there
exists a basis open set B1 := { x∗ ∈ X∗ | hh x∗ , xi ii ∈ Oi , i = 1, . . . , n },
for some n ∈ IN and some xi ∈ X and Oi ∈ OIK , i = 1, . . . , n, such that
x∗0 ∈ B1 ⊆ O. For each i = 1, . . . , n, ci := hh x∗0 , xi ii ∈ Oi ∈ OIK . Then,
∃ǫi ∈ (0, ∞) ⊂ IR such that BIK ( ci , ǫi ) ⊆ Oi . Take ǫ = min1≤i≤n ǫi ∈
(0, ∞) ⊂ IR and B2 := { x∗ ∈ X∗ | | hh x∗ − x∗0 , xi ii | < ǫ, i = 1, . . . , n }.
Clearly, B2 is of the form (7.11) and x∗0 ∈ B2 ⊆ B1 ⊆ O. Hence, sets of
the form (7.11) form a basis at x∗0 for Oweak∗ ( X∗ ). Thus, (i) holds.
(ii) ∀x∗1 , x∗2 ∈ X∗ with x∗1 6= x∗2 , we have x∗1 − x∗2 6= ϑ∗ . By
Lemma 7.75, ∃x ∈ X with k x k ≤ 1 such that hh x∗1 − x∗2 , x ii ∈ IR and
hh x∗1 − x∗2 , x ii ≥ k x∗1 − x∗2 k /2 > 0. Let O1 := { a ∈ IK | Re ( a ) >

Re ( hh x∗2 , x ii ) + k x∗1 − x∗2 k /4 } and O2 := { a ∈ IK | Re ( a ) <
Re ( hh x∗2 , x ii )+k x∗1 −x∗2 k /4 }. Then, O1 , O2 ∈ OIK and O1 ∩O2 = ∅. Let
B1 := { x∗ ∈ X∗ | hh x∗ , x ii ∈ O1 } and B2 := { x∗ ∈ X∗ | hh x∗ , x ii ∈ O2 }.
Then, B1 , B2 ∈ Oweak∗ ( X∗ ), x∗1 ∈ B1 , x∗2 ∈ B2 , and B1 ∩ B2 = ∅. This
shows that X∗weak∗ is Hausdorff.
Next, we show that X∗weak∗ is completely regular. Fix any weak∗ closed
set F ⊆ X∗weak∗ and x∗0 ∈ Fe ∈ Oweak∗ ( X∗ ). Then, there exists a basis open
set B = { x∗ ∈ X∗ | hh x∗ , xi ii ∈ Oi , i = 1, . . . , n }, for some n ∈ IN and
some xi ∈ X and Oi ∈ OIK , i = 1, . . . , n, such that x∗0 ∈ B ⊆ Fe. Let O :=
Q n n
i=1 Oi ⊆ IK which is open. Let p0 := ( hh x∗0 , x1 ii , . . . , hh x∗0 , xn ii ) ∈
IK . Then, p0 ∈ O. By Propositions 4.11 and 3.61, IKn is normal and
n
therefore completely regular. Then, there exists a continuous function f :

IKn → [0, 1] ⊂ IR such that f |Oe = 0 and f (p0 ) = 1. Define g : X∗weak∗ →
[0, 1] ⊂ IR by g(x∗ ) = f (hh x∗ , x1 ii , . . . , hh x∗ , xn ii), ∀x∗ ∈ X∗weak∗ . By
Propositions 3.12 and 3.32, g is a continuous real-valued function on X∗weak∗ ,
g(x∗0 ) = f (p0 ) = 1, and g|F = 0. Hence, X∗weak∗ is completely regular.
Thus, (ii) holds.
(iii) “Only if” ∀x ∈ X, φ(x) : X∗ → IK is weak∗ continuous. By
Proposition 3.66, we have limk∈IN hh x∗k , x ii = limk∈IN hh φ(x), x∗k ii =
hh φ(x), x∗0 ii = hh x∗0 , x ii.
∞
“If” Let ( x∗k )k=1 satisfy that limk∈IN hh x∗k , x ii = hh x∗0 , x ii, ∀x ∈ X.
For any basis open set B = { x∗ ∈ X∗ | hh x∗ , xi ii ∈ Oi , i = 1, . . . , n }, for
some n ∈ IN and some xi ∈ X and Oi ∈ OIK , i = 1, . . . , n, with x∗0 ∈ B,
we have that ∀i = 1, . . . , n, ∃Ni ∈ IN such that hh x∗k , xi ii ∈ Oi , ∀k ≥ Ni .
∞
Take N = max1≤i≤n Ni ∈ IN. ∀k ≥ N , x∗k ∈ B. This shows that ( x∗k )k=1
converges weak∗ to x∗0 . Hence, (iii) holds.
X∗weak∗ be the topological space of X∗ endowed with the weak∗ topology.
Then, vector addition ⊕ : X∗weak∗ × X∗weak∗ → X∗weak∗ is continuous; and
scalar multiplication ⊗ : IK × X∗weak∗ → X∗weak∗ is continuous.
Proof Fix (x∗0 , y∗0 ) ∈ X∗weak∗ × X∗weak∗ . We will show that ⊕ is

continuous at (x∗0 , y∗0 ). Fix a basis open set B ∈ Oweak∗ ( X∗ ) with x∗0 +
y∗0 ∈ B. Then, by Proposition 7.120, B = { z∗ ∈ X∗ | | hh z∗ − x∗0 −
y∗0 , xi ii | < ǫ, i = 1, . . . , n }, for some n ∈ IN, for some ǫ ∈ (0, ∞) ⊂ IR, and
for some xi ∈ X, i = 1, . . . , n. Let B1 := { x∗ ∈ X∗ | | hh x∗ − x∗0 , xi ii | <
ǫ/2, i = 1, . . . , n } and B2 := { y∗ ∈ X∗ | | hh y∗ − y∗0 , xi ii | < ǫ/2, i =
1, . . . , n }. Clearly, B1 , B2 ∈ Oweak∗ ( X∗ ), B1 × B2 ∈ OX∗weak∗ ×X∗weak∗ , and
(x∗0 , y∗0 ) ∈ B1 × B2 . ∀(x∗ , y∗ ) ∈ B1 × B2 , ∀i = 1, . . . , n, | hh x∗ + y∗ − x∗0 −
y∗0 , xi ii | ≤ | hh x∗ − x∗0 , xi ii | + | hh y∗ − y∗0 , xi ii | < ǫ. Hence, x∗ + y∗ ∈
B. This shows that ⊕ is continuous at (x∗0 , y∗0 ). By the arbitrariness of
(x∗0 , y∗0 ) and Proposition 3.9, ⊕ is continuous.
Fix (α0 , x∗0 ) ∈ IK × X∗weak∗ . We will show that ⊗ is continuous at

(α0 , x∗0 ). Fix a basis open set B ∈ Oweak∗ ( X∗ ) with α0 x∗0 ∈ B. Then, by
Proposition 7.120, B = { z∗ ∈ X∗ | | hh z∗ − α0 x∗0 , xi ii | < ǫ, i = 1, . . . , n },
for some n ∈ IN, for some ǫ ∈ (0, ∞) ⊂ IR, and for some xi ∈ X, i = 1, . . . , n.
Let M := max1≤i≤n k xi k ∈ [0, ∞) ⊂ IR. Let B1 := { α ∈ IK | | α − α0 | <
ǫ ∗ ǫ
ǫ+2Mkx∗0k } and B2 := { x∗ ∈ X | | hh x∗ − x∗0 , xi ii | < 2 (1+|α 0|)
,i =
∗
1, . . . , n }. Clearly, B1 ∈ OIK and B2 ∈ Oweak∗ ( X ), B1 × B2 ∈ OIK×X∗weak∗ ,
and (α0 , x∗0 ) ∈ B1 × B2 . ∀(α, x∗ ) ∈ B1 × B2 , ∀i = 1, . . . , n, | hh αx∗ −
α0 x∗0 , xi ii | ≤ | hh αx∗ − αx∗0 , xi ii | + | hh αx∗0 − α0 x∗0 , xi ii | = | α | | hh x∗ −
x∗0 , xi ii | + | α − α0 | | hh x∗0 , xi ii | ≤ (| α0 | + | α − α0 |) | hh x∗ − x∗0 , xi ii | +
| α − α0 | k x∗0 k k xi k ≤ (| α0 | + 1) | hh x∗ − x∗0 , xi ii | + | α − α0 | M k x∗0 k < ǫ.
Hence, αx∗ ∈ B. This shows that ⊗ is continuous at (α0 , x∗0 ). By the
arbitrariness of (α0 , x∗0 ) and Proposition 3.9, ⊗ is continuous.
The importance of the weak∗ topology stems from the following Theo-
rem.
Theorem 7.122 (Alaoglu Theorem) Let X be a normed linear space

over the field IK and S = BX∗ ( ϑ∗ , r ), for some r ∈ Z+ . Then, S is
weak∗ compact.
Proof Let the weak∗ topology on S be Oweak∗ (S). Denote the topo-
logical space (S, Oweak∗ (S)) by S. ∀x ∈ X, ∀x∗ ∈ S, by Proposition 7.72,
we have | hh x∗ , x ii | ≤ k x∗ k k x k ≤ r k x k. Let Ix := BIK ( 0, r k x k ). Then,
hh x∗ , x ii ∈ Ix . Let Ix ⊆ IK be endowed with the subset topology Ox . De-
note the topological space Q (Ix , Ox ) by Ix . By Proposition 5.40 or 7.41, Ix
is compact. Let P := x∈X Ix , whose topology is denoted by OP . By
Tychonoff Theorem, P is compact. Define the equivalence map E : S → P
by πx (E(x∗ )) = hh x∗ , x ii, ∀x ∈ X, ∀x∗ ∈ S.
Claim 7.122.1 E : S → E(S) ⊆ P is a homeomorphism.
Proof of claim: Clearly, E : S → E(S) is surjective. ∀x∗1 , x∗2 ∈

S with x∗1 6= x∗2 , then ∃x ∈ X such that πx (E(x∗1 )) = hh x∗1 , x ii = 6
hh x∗2 , x ii = πx (E(x∗2 )). Then, E(x∗1 ) 6= E(x∗2 ). Hence, E is injective.
Therefore, E : S → E(S) is bijective and admits inverse E inv : E(S) → S.
Fix any x∗0 ∈ S. FixQany basis open set O ∈ OP with E(x∗0 ) ∈ O. By
Proposition 3.25, O = x∈X Ox where Ox ∈ Ox , ∀x ∈ X, and Ox = Ix
for all x’s except finitely many x’s, say x ∈ XN . We will distinguish
two exhaustive and mutually exclusive cases: Case 1: XN = ∅; Case 2:
XN 6= ∅. Case 1: XN = ∅. Take x1 = ϑ and O1 = IK. Let B :=
{ x∗ ∈ S | hh x∗ , x1 ii ∈ O1 } = S. Clearly, x∗0 ∈ B ∈ Oweak∗ (S) and
∀x∗ ∈ B, ∀x ∈ X, πx (E(x∗ )) = hh x∗ , x ii ∈ Ix = Ox . Then, E(x∗ ) ∈ O and
E(B) ⊆ O. Case 2: XN 6= ∅. ∀x ∈ X N , by Proposition
3.4, let Ōx ∈ O IK
be such that Ōx ∩ Ix = Ox . Let B := x∗ ∈ S hh x∗ , x ii ∈ Ōx , ∀x ∈ XN .
Clearly, x∗0 ∈ B ∈ Oweak∗ (S). ∀x∗ ∈ B, ∀x ∈ XN , πx (E(x∗ )) = hh x∗ , x ii ∈
Ōx ∩ Ix = Ox . Hence, E(x∗ ) ∈ O and E(B) ⊆ O. In both cases, we have

shown that ∃B ∈ Oweak∗ (S) with x∗0 ∈ B such that E(B) ⊆ O. Hence, E
is continuous at x∗0 . By the arbitrariness of x∗0 and Proposition 3.9, E is
continuous.
Fix any p0 ∈ E(S). Let x∗0 = E inv(p0 ) ∈ S. Fix any basis open set B ∈
Oweak∗ (S) with x∗0 ∈ B. By Proposition 7.120, B = { x∗ ∈ S | hh x∗ , xi ii ∈
Oi , i = 1, . . . , n }, for some n ∈ IN and some xi ∈ X and Oi ∈ OIK , i =
1, . . . , n. Without loss of generality, we may assume that x1 , . . . , xn are
distinct (otherwise, say xn = xn−1 , then set Ōn−1 = On ∩ On−1 and Ōi =
Oi , i = 1, . . . , n − 2, and consider x1 , . . . , xn−1 with Ō1 , . . . , Ōn−1 ). ∀x ∈ X,
if x = xi for some i ∈ { 1, . . Q . , n }, then let Ox = Oi ∩ Ix ∈ Ox ; otherwise,
let Ox = Ix ∈ Ox . Let O := x∈X Ox . Clearly, p0 ∈ O. ∀p ∈ O ∩ E(S), let
x∗ = E inv(p) ∈ S. ∀i = 1, . . . , n, hh x∗ , xi ii = πxi (E(x∗ )) ∈ Oxi = Oi ∩ Ixi .
Then, x∗ ∈ B and E inv(O ∩ E(S)) ⊆ B. This shows that E inv is continuous
at p0 . By the arbitrariness of p0 and Proposition 3.9, E inv is continuous.
Hence, E : S → E(S) is a homeomorphism. This completes the proof
of the claim. 2
Next, we will show that E(S) is closed. ∀p0 ∈ E(S) ⊆ P, define f0 :
X → IK by f0 (x) = πx (p0 ), ∀x ∈ X. ∀x1 , x2 ∈ X, ∀α, β ∈ IK, let z = αx1 +
βx2 . ∀ǫ ∈ (0, ∞) ⊂ IR, ∀x ∈ X, if x ∈ { x1 , x2 , z }, let Q Ox = BIK ( πx (p0 ), ǫ )∩
Ix ∈ Ox , otherwise, let Ox = Ix ∈ Ox . Let O := x∈X Ox ∈ OP . Clearly,
p0 ∈ O. By Proposition 3.3, ∃p1 ∈ E(S) ∩ O. Let x∗ = E inv(p1 ) ∈ S. ∀x ∈
{ x1 , x2 , z }, hh x∗ , x ii = πx (p1 ) ∈ Ox = BIK ( πx (p0 ), ǫ ) ∩ Ix ⊆ BIK ( f0 (x), ǫ ).
Hence, we have | hh x∗ , x1 ii − f0 (x1 ) | < ǫ, | hh x∗ , x2 ii − f0 (x2 ) | < ǫ, and
| hh x∗ , z ii − f0 (z) | < ǫ. This implies that
| f0 (z) − αf0 (x1 ) − βf0 (x2 ) | = | f0 (z) − hh x∗ , z ii − αf0 (x1 ) +

α hh x∗ , x1 ii − βf0 (x2 ) + β hh x∗ , x2 ii | < ǫ + | α | ǫ + | β | ǫ
By the arbitrariness of ǫ, we have f0 (z) = αf0 (x1 ) + βf0 (x2 ). Hence, f0 is

linear. ∀x ∈ X, f0 (x) = πx (p0 ) ∈ Ix , then | f0 (x) | ≤ r k x k. Therefore, f0 ∈
X∗ and k f0 k ≤ r. Hence, f0 ∈ S. ∀x ∈ X, πx (E(f0 )) = f0 (x) = πx (p0 ).
Hence, E(f0 ) = p0 and p0 ∈ E(S). This shows that E(S) ⊆ E(S). By
Proposition 3.3, E(S) is closed.
By Proposition 5.5 and the compactness of P, we have E(S) is compact.
By Proposition 5.7, S is compact. This completes the proof of the theorem.
2
Proposition 7.123 Let X and Y be normed linear spaces over IK, A ∈

B ( X, Y ), and Xweak and Yweak be the topological spaces of X and Y endowed
with the weak topology. Then, A : Xweak → Yweak is continuous.
Proof Fix any basis open set OY ∈ Oweak ( Y ), we will show that
Ainv(OY ) ∈ Oweak ( X ). By Proposition 7.116, OY = { y ∈ Y | hh y∗i , y ii ∈
Oi , i = 1, . . . , n }, where n ∈ IN, Oi ∈ OIK , y∗i ∈ Y∗ , i = 1, . . . , n.
Then, Ainv(OY ) = { x ∈ X | hh y∗i , Ax ii ∈ Oi , i = 1, . . . , n } = { x ∈
X | hh A∗ y∗i , x ii ∈ Oi , i = 1, . . . , n } ∈ Oweak ( X ). Hence, A : Xweak →

Yweak is continuous. This completes the proof of the proposition. 2
Chapter 8
Global Theory of
Optimization
In this chapter, we are going to develop a number of tools for optimization

in real normed linear spaces, including the geometric form of Hahn-Banach
Theorem, minimum norm duality for convex sets, Fenchel Duality Theorem,
and Lagrange multiplier theory for convex programming. In this chapter,
we will restrict our attention to real spaces, rather than complex ones.
8.1 Hyperplanes and Convex Sets

Definition 8.1 Let X be a real vector space. A hyperplane H is a maximal
proper linear variety in X , that is, a linear variety H ⊂ X , and if V ⊇ H
is a linear variety, then either V = H or V = X .
Proposition 8.2 Let X be a real vector space. H ⊆ X is a hyperplane if,

and only if, there exist a linear functional f : X → IR and c ∈ IR with f
being not identically equal to zero, such that H = { x ∈ X | f (x) = c }.
Proof “Necessity” Let H be a hyperplane. Then, H is a linear variety.

There exists a subspace M and x0 ∈ X such that H = x0 + M . We will
distinguish two exhaustive and mutually exclusive cases: Case 1: x0 6∈ M ;
Case 2: x0 ∈ M . Case 1: x0 6∈ M . Let M̄ := span ( M ∪ { x0 } ). Clearly,
M̄ ⊃ H and is a linear variety. Then, M̄ = X by Definition 8.1. ∀x ∈ X ,
x can be uniquely written as αx0 + m, where α ∈ IR and m ∈ M . Define
f : X → IR by f (x) = f (αx0 + m) = α, ∀x ∈ X. Clearly, f is a linear
functional and is not identically equal to zero. It is straightforward to verify
that H = { x ∈ X | f (x) = 1 }. Case 2: x0 ∈ M . Then, H = M . By
Definition 8.1, ∃x1 ∈ X \ H. Let M̄ := span ( M ∪ { x1 } ). Clearly, M̄ ⊃ H
and is a linear variety. Then, M̄ = X by Definition 8.1. ∀x ∈ X , x can be
uniquely written as αx1 + m, where α ∈ IR and m ∈ M . Define f : X → IR
213
214 CHAPTER 8. GLOBAL THEORY OF OPTIMIZATION
by f (x) = f (αx1 + m) = α, ∀x ∈ X. Clearly, f is a linear functional

and is not identically equal to zero. It is straightforward to verify that
H = { x ∈ X | f (x) = 0 }.
“Sufficiency” Let H = { x ∈ X | f (x) = c }, where f : X → IR is a linear
functional, c ∈ IR, and f is not identically equal to zero. Let M := N ( f ).
Clearly, M is a proper subspace of X . Since f is not identically equal to
zero, then ∃x0 ∈ X \ M such that f (x0 ) = 1. ∀x ∈ X , f (x − f (x)x0 ) = 0.
Then, x − f (x)x0 ∈ M and x ∈ span ( M ∪ { x0 } ). Hence, X = span ( M ∪
{ x0 } ) and M is a maximal proper subspace. Then, H = cx0 + M is a
hyperplane.
Consider a hyperplane H in a real normed linear space X. By Proposi-
tion 7.17, H is a linear variety. By Definition 8.1, H = X or H = H. Thus,
a hyperplane in a real normed linear space must either be dense or closed.
Proposition 8.3 Let X be a real normed linear space and H ⊆ X. H is

a closed hyperplane if, and only if, there exist x∗ ∈ X∗ and c ∈ IR with
x∗ 6= ϑ∗ such that H = { x ∈ X | hh x∗ , x ii = c }.
Proof “Necessity” Let H be a closed hyperplane. By Proposition 8.2,

there exists a linear functional f : X → IR and c ∈ IR with f being not
identically equal to zero such that H = { x ∈ X | f (x) = c }. All we need
to show is that f ∈ X∗ . Since H is a linear variety, then H 6= ∅. Fix x0 ∈ H.
It is easy to show that M := H − x0 = N ( f ). By Proposition 7.16, M is
closed. By Proposition 7.72, f ∈ X∗ .
“Sufficiency” By Proposition 8.2, H is a hyperplane. By the continuity
of x∗ and Proposition 3.10, H is closed. Hence, H is a closed hyperplane.
For a real normed linear space X and a closed hyperplane H ⊂ X. Then,
H = { x ∈ X | hh x∗ , x ii = c }, where ϑ∗ 6= x∗ ∈ X∗ and c ∈ IR. We associate
four sets with H: (a) { x ∈ X | hh x∗ , x ii ≤ c }; (b) { x ∈ X | hh x∗ , x ii < c };
(c) { x ∈ X | hh x∗ , x ii ≥ c }; (d) { x ∈ X | hh x∗ , x ii > c }, which are
called half-spaces. The first two are negative half-spaces. The last two are
positive half-spaces. The first and third are closed. The second and fourth
are open.
Definition 8.4 Let X be a real normed linear space and K ⊆ X be convex

◦
with ϑ ∈ K . The Minkowski functional
p : X → IR of K is defined by
p(x) = inf r ∈ IR r−1 x ∈ K, r > 0 , ∀x ∈ X.
Proposition 8.5 Let X be a real normed linear space and K ⊆ X be convex

with ϑ ∈ K ◦ . Then, the Minkowski functional p : X → IR of K satisfies
(i) 0 ≤ p(x) < +∞, ∀x ∈ X;
(ii) p(αx) = αp(x), ∀x ∈ X, ∀α ∈ [0, ∞) ⊂ IR;

8.1. HYPERPLANES AND CONVEX SETS 215
(iii) p(x1 + x2 ) ≤ p(x1 ) + p(x2 ), ∀x1 , x2 ∈ X;

(iv) p is uniformly continuous;
(v) K = { x ∈ X | p(x) ≤ 1 }; K ◦ = { x ∈ X | p(x) < 1 }.
Furthermore, (ii) and (iii) implies that p is a sublinear functional.
Proof (i) Since ϑ ∈ K ◦ , then ∃ǫ0 ∈ (0, ∞) ⊂ IR such that B ( ϑ, ǫ0 ) ⊆
K. ∀x ∈ X, we have either x = ϑ, then p(ϑ) = 0; or x 6= ϑ, then 0 ≤ p(x) ≤
k x k /ǫ0 < +∞.
(ii) ∀x ∈ X, ∀α ∈ [0, ∞) ⊂ IR, we will distinguish three exhaustive and
mutually exclusive cases: Case 1: x = ϑ; Case 2: x 6= ϑ and α = 0; Case
3: x 6= ϑ and α > 0. Case 1: x = ϑ. We have p(αx) = p(ϑ) = 0 = αp(x).
Case 2: x 6= ϑ and α = 0. Then, we have p(αx) = p(ϑ) = 0 = αp(x).
Case 3: x 6= ϑ and α > 0. ∀r ∈ r ∈ IR r−1 x ∈ K, r > 0 , we have
−1
αr > 0 and αr ∈ r ∈ IR r (αx) ∈ K, r > 0 . Hence, αp(x) ≥ p(αx).
On the other hand, ∀r ∈ r ∈ IR r−1 (αx) ∈ K, r > 0 , we have

r/α ∈ r ∈ IR r−1 x ∈ K, r > 0 . Hence, α−1 p(αx) ≥ p(x). Therefore,
we have αp(x) = p(αx). −1
(iii) ∀x 1 , x 2 ∈ X, ∀r 1 ∈ r ∈ IR r x1 ∈ K, r > 0 , ∀r2 ∈ r ∈

IR r−1 x2 ∈ K, r > 0 , we have r1−1 x1 , r2−1 x2 ∈ K By the convexity of K,
we have
r1 r2
(r1 + r2 )−1 (x1 + x2 ) = r−1 x1 + r−1 x2 ∈ K
r1 + r2 1 r1 + r2 2

Then, r1 + r2 ∈ r ∈ IR r−1 (x1 + x2 ) ∈ K, r > 0 . Hence, we have
r1 + r2 ≥ p(x1 + x2 ) and p(x1 ) + p(x2 ) ≥ p(x1 + x2 ).
(iv) ∀x ∈ X, 0 ≤ p(x) ≤ k x k /ǫ0 . ∀ǫ ∈ (0, ∞) ⊂ IR, let δ = ǫ0 ǫ ∈
(0, ∞) ⊂ IR. ∀x1 , x2 ∈ X with k x1 −x2 k < δ, we have p(x1 ) ≤ p(x2 )+p(x1 −
x2 ) ≤ p(x2 ) + k x1 − x2 k /ǫ0 < p(x2 ) + ǫ and p(x2 ) ≤ p(x1 ) + p(x2 − x1 ) ≤
p(x1 ) + k x2 − x1 k /ǫ0 < p(x1 ) + ǫ. Hence, | p(x1 ) − p(x2 ) | < ǫ. This shows
that p is uniformly continuous.
(v) ∀x ∈ K ◦ , we have either x = ϑ, then p(x) = 0 < 1; or x 6= ϑ,
then ∃ǫ ∈ (0, ∞) ⊂ IR such that B ( x, ǫ k x k ) ⊆ K, which implies that
p(x) ≤ 1/(1 + ǫ) < 1. Therefore, K ◦ ⊆ { x ∈ X | p(x) < 1 }.
∀x ∈ X with p(x) < 1, by the continuity of p, ∃δ ∈ (0, ∞) ⊂ IR such that
p(y) < 1, ∀y ∈ B ( x, δ ). ∀y ∈ B ( x, δ ), y ∈ K by the convexity of K, p(y) <
1, and the fact that ϑ ∈ K. Then, B ( x, δ ) ⊆ K and x ∈ K ◦ . Therefore,
we have { x ∈ X | p(x) < 1 } ⊆ K ◦ . Thus, K ◦ = { x ∈ X | p(x) < 1 }.
∀x ∈ K, we have p(x) ≤ 1. Then, K ⊆ { x ∈ X | p(x) ≤ 1 }. By the
continuity of p and Proposition 3.10, { x ∈ X | p(x) ≤ 1 } is closed. Then,
K ⊆ { x ∈ X | p(x) ≤ 1 }.
∀x ∈ X with p(x) ≤ 1, ∀ρ ∈ (0, 1) ⊂ IR, p(ρx) = ρp(x) < 1. Then,
ρx ∈ K ◦ . Then, by Proposition 4.13, x ∈ K ◦ ⊆ K. Hence, { x ∈ X | p(x) ≤
1 } ⊆ K. Therefore, K = { x ∈ X | p(x) ≤ 1 }.
Proposition 8.6 Let X be a real normed linear space and K ⊆ X be convex

with K ◦ 6= ∅. Then, K = K ◦ .
Proof Clearly, K ◦ ⊆ K. Then, K ◦ ⊆ K.

To show that K ⊆ K ◦ , we will distinguish two exhaustive and mutually
exclusive cases: Case 1: ϑ ∈ K ◦ ; Case 2: ϑ 6∈ K ◦ . Case 1: ϑ ∈ K ◦ . Let
p : X → [0, ∞) ⊂ IR be the Minkowski functional of K. By Proposition 8.5,
p is a continuous sublinear functional, K ◦ = { x ∈ X | p(x) < 1 }, and
K = { x ∈ X | p(x) ≤ 1 }. ∀x ∈ K, ∀ǫ ∈ (0, ∞) ⊂ IR, p(x) ≤ 1. By the
kxk kxk
convexity of K, y := ǫ+kxk x ∈ K. Then, p(y) = ǫ+kxk p(x) < 1. Then,
ǫ
y ∈ K ◦ . Note that k x − y k ≤ ǫ+kxk k x k < ǫ. Hence, x ∈ K ◦ . Therefore,
◦
K ⊆ K . This case is proved.
Case 2: ϑ 6∈ K ◦ . Let x0 ∈ K ◦ 6= ∅. Let K1 = K − x0 . By Propo-
sitions 7.16 and 6.39, K1◦ = K ◦ − x0 6= ∅ and K1 is convex. By Case 1,
K1 ⊆ K1◦ . By Proposition 7.16, K = x0 + K1 = x0 + K1 ⊆ x0 + K1◦ =
◦
x0 + K1◦ = ( x0 + K1 ) = K ◦ . This case is proved.
Hence, K = K ◦ . This completes the proof of the proposition. 2
8.2 Geometric Form of Hahn-Banach Theo-

rem
The next theorem is the geometric form of Hahn-Banach Theorem.
Theorem 8.7 (Mazur’s Theorem) Let X be a real normed linear space,

K ⊆ X be a convex set with nonempty interior, and V ⊆ X is a linear
variety with V ∩ K ◦ = ∅. Then, there exists a closed hyperplane H contain-
ing V but no interior point of K and K is contained in one of the closed
half-spaces associated with H; that is, ∃c ∈ IR and ∃x∗ ∈ X∗ with x∗ 6= ϑ∗
such that hh x∗ , v ii = c, ∀v ∈ V , hh x∗ , k ii < c, ∀k ∈ K ◦ , and hh x∗ , k ii ≤ c,
∀k ∈ K.

cases: Case 1: ϑ ∈ K ◦ ; Case 2: ϑ 6∈ K ◦ . Case 1: ϑ ∈ K ◦ . Let
p : X → [0, ∞) ⊂ IR be the Minkowski functional of K. By Proposition 8.5,
p is a continuous sublinear functional. Let M := span ( V ). Since V is a lin-
ear variety and ϑ 6∈ V , then ∃x1 ∈ V such that V −x1 =: M̄ is a subspace in
M and x1 6∈ M̄ . ∀m ∈ M , ∃! α ∈ IR and ∃! m̄ ∈ M̄ such that m = αx1 + m̄.
Then, we may define a functional f : M → IR by f (m) = f (αx1 + m̄) = α,
∀m ∈ M . Clearly, f is a linear functional on M and f (v) = 1, ∀v ∈ V .
∀v ∈ V , we have v 6∈ K ◦ and p(v) ≥ 1 = f (v). ∀m = αx1 + m̄ ∈ M , we have
either α > 0, then f (m) = αf (x1 + α−1 m̄) = α ≤ αp(x1 + α−1 m̄) = p(m),
where the inequality follows from the fact that x1 + α−1 m̄ ∈ V ; or α ≤ 0,
then f (m) = α ≤ 0 ≤ p(m). Thus, ∀m ∈ M , we have f (m) ≤ p(m). By
the extension form of Hahn-Banach Theorem, there exists x∗ ∈ X∗ such
8.2. GEOMETRIC FORM OF HAHN-BANACH THEOREM 217
that x∗ |M = f and hh x∗ , x ii ≤ p(x), ∀x ∈ X. Clearly, x∗ 6= ϑ∗ . ∀v ∈ V ,

hh x∗ , v ii = f (v) = 1 =: c ∈ IR. ∀k ∈ K, we have hh x∗ , k ii ≤ p(k) ≤ 1.
∀k ∈ K ◦ , we have hh x∗ , k ii ≤ p(k) < 1. Hence, the closed hyperplane
H := { x ∈ X | hh x∗ , x ii = c } is the one that we seek.
Case 2: ϑ 6∈ K ◦ . Let x0 ∈ K ◦ . Then, by Proposition 6.39, K1 := K −x0
is a convex set. V1 := V − x0 is a linear variety. By Proposition 7.16, K1◦ =
K ◦ −x0 . Then, ϑ ∈ K1◦ and V1 ∩K1◦ = ∅. By Case 1, there exist c1 ∈ IR and
x∗ ∈ X∗ with x∗ 6= ϑ∗ such that hh x∗ , v1 ii = c1 , ∀v1 ∈ V1 , hh x∗ , k1 ii < c1 ,
∀k1 ∈ K1◦ , and hh x∗ , k1 ii ≤ c1 , ∀k1 ∈ K1 . Let c := c1 + hh x∗ , x0 ii ∈ IR.
Then, ∀v ∈ V , hh x∗ , v ii = c. ∀k ∈ K ◦ , hh x∗ , k ii < c. By Proposition 7.16,
K1 = K − x0 . Then, ∀k ∈ K, hh x∗ , k ii ≤ c. Thus, the closed hyperplance
H := { x ∈ X | hh x∗ , x ii = c } is the one that we seek.
Definition 8.8 Let X be a real normed linear space. A closed hyperplane

H := { x ∈ X | hh x∗ , x ii = c } with x∗ ∈ X∗ , x∗ 6= ϑ∗ , and c ∈ IR is called a
supporting hyperplane of a convex set K ⊆ X if either inf k∈K hh x∗ , k ii = c
or supk∈K hh x∗ , k ii = c.
Clearly, for a convex set K in a real normed linear space, if K ad-

mits interior points, then, by Mazur’s Theorem, there exists a supporting
hyperplane of K passing through each boundary point of K.
Theorem 8.9 (Eidelheit Separation Theorem) Let X be a real norm-

ed linear space and K1 , K2 ⊆ X be nonempty convex sets with K1◦ 6= ∅ and
K1◦ ∩ K2 = ∅. Then, there exists a closed hyperplane H that separates K1
and K2 , that is ∃x∗ ∈ X∗ with x∗ 6= ϑ∗ and ∃c ∈ IR such that
sup hh x∗ , k1 ii ≤ c ≤ inf hh x∗ , k2 ii
k1 ∈K1 k2 ∈K2
Proof Let K := K1◦ −K2 . By Propositions 7.15 and 6.39, K is convex.

Clearly, K ◦ 6= ∅ since K1◦ 6= ∅ and K2 6= ∅. Since K1◦ ∩ K2 = ∅, then ϑ 6∈ K.
Let V = { ϑ }. Then, V is a linear variety and V ∩ K ◦ = ∅. By Mazur’s
Theorem, ∃x∗ ∈ X∗ with x∗ 6= ϑ∗ such that hh x∗ , k ii ≤ hh x∗ , ϑ ii = 0,
∀k ∈ K. ∀k1 ∈ K1◦ , ∀k2 ∈ K2 , k1 − k2 ∈ K and hh x∗ , k1 − k2 ii ≤ 0.
Then, hh x∗ , k1 ii ≤ hh x∗ , k2 ii. Hence, −∞ < supk1 ∈K1◦ hh x∗ , k1 ii ≤ c ≤
inf k2 ∈K2 hh x∗ , k2 ii < +∞ for some c ∈ IR. By Proposition
8.6, K1= K1◦ .
By Proposition 4.13, ∀k1 ∈ K1 , hh x∗ , k1 ii ≤ supk̄1 ∈K1◦ x∗ , k̄1 ≤ c.
Hence, we have
sup hh x∗ , k1 ii = sup hh x∗ , k1 ii ≤ c ≤ inf hh x∗ , k2 ii

k1 ∈K1 k1 ∈K1◦ k2 ∈K2
Thus, the closed hyperplane H := { x ∈ X | hh x∗ , x ii = c } is the one we

seek. This completes the proof of the theorem. 2
Proposition 8.10 Let X be a real normed linear space and K ⊆ X be a

closed convex set. Then, ∀x0 ∈ X \ K. Then, there exists a x∗ ∈ X∗ such
that hh x∗ , x0 ii < inf k∈K hh x∗ , k ii. Hence, K is weakly closed.
cases: Case 1: K = ∅; Case 2: K 6= ∅. Case 1: K = ∅. Let x∗ = ϑ∗ .
Then, hh x∗ , x0 ii = 0 < +∞ = inf k∈K hh x∗ , k ii. Clearly, K is weakly
closed. This case is proved.
Case 2: K 6= ∅. ∀x0 ∈ X \ K, by Proposition 4.10, dist(x0 , K) =
inf k∈K k x0 − k k =: d ∈ (0, ∞) ⊂ IR. Then, K1 := BX ( x0 , d ) is a
convex set with nonempty interior and K1 ∩ K = ∅. By Eidelheit Sep-
aration Theorem, there exists x∗ ∈ X∗ with x∗ 6= ϑ∗ and ∃c ∈ IR
such that supk1 ∈K1 hh x∗ , k1 ii ≤ c ≤ inf k∈K hh x∗ , k ii. By Lemma 7.75,
hh x∗ , x0 ii < supk1 ∈K1 hh x∗ , k1 ii ≤ c. Then, hh x∗ , x0 ii < inf k∈K hh x∗ , k ii.
Let K̄ be the closure of K in the weak topology Oweak ( X ). x0 ∈ { x ∈
X | hh x∗ , x ii < c } =: O. Clearly, O is a weakly open set and O ∩ K = ∅.
Then, by Proposition 3.3, x0 6∈ K̄. Thus, we have shown that ∀x0 ∈ K, e
ē
x0 ∈ K. Hence, K̄ ⊆ K. Hence, K is weakly closed by Proposition 3.3.
This case is proved.
Proposition 8.11 Let X be a reflexive real normed linear space and K ⊆
X∗ be a bounded closed convex set. Then, K is weak∗ compact.
Proof Since K is bounded, then there exists n ∈ Z+ such that K ⊆
BX∗ ( ϑ∗ , n ) =: S. By Alaoglu Theorem, S is weak∗ compact. Since K is
closed and convex, then, by Proposition 8.10, K is weakly closed. Since X is
reflexive, then the weak topology and the weak∗ topology on X∗ coninside.
Then, K is weak∗ closed. By Proposition 5.5, K is weak∗ compact. This
8.3 Duality in Minimum Norm Problems

Definition 8.12 Let X be a real normed linear space and K ⊆ X be
a nonempty convex set. The support of K is the set K supp := { x∗ ∈
X∗ | supk∈K hh x∗ , k ii < +∞ }.
Proposition 8.13 Let X be a real normed linear space and K, G ⊆ X be
nonempty convex sets. Then, the following statements hold.
(i) K supp ⊆ X∗ is a convex cone.
\
(ii) If K is closed, then K = { x ∈ X | hh x∗ , x ii ≤ sup hh x∗ , k ii }
x∗ ∈K supp k∈K
\
= { x ∈ X | hh x∗ , x ii ≤ sup hh x∗ , k ii }, that is, K
k∈K
x∗ ∈K supp, x∗ 6=ϑ∗
equals to the intersection of all closed half-spaces containing K.
8.3. DUALITY IN MINIMUM NORM PROBLEMS 219
(iii) (K + G)supp = K supp ∩ Gsupp.

(iv) (K ∩ G)supp ⊇ K supp + Gsupp.
Proof (i) Clearly, ϑ∗ ∈ K supp. ∀x∗1 , x∗2 ∈ K supp, ∀α ∈ [0, ∞) ⊂
IR, we have either α = 0, then αx∗1 = ϑ∗ ∈ K supp; or α > 0, then
supk∈K hh αx∗ , k ii = supk∈K α hh x∗ , k ii = α supk∈K hh x∗ , k ii < +∞, where
we have applied Proposition 3.81, which further implies that αx∗ ∈ K supp.
This shows that K supp is a cone. Note that supk∈K hh x∗1 + x∗2 , k ii =
supk∈K ( hh x∗1 , k ii + hh x∗2 , k ii ) ≤ supk∈K hh x∗1 , k ii + supk∈K hh x∗2 , k ii <
+∞, where we have applied Proposition 3.81. Then, x∗1 + x∗2 ∈ K supp.
This coupled with the fact that K supp is a cone implies that K supp is a
convex cone. T
(ii) Clearly K ⊆ x∗ ∈K supp { x ∈ X | hh x∗ , x ii ≤ supk∈K hh x∗ , k ii } =:
K̄. ∀x ∈ X \ K, by Proposition 8.10, ∃x∗0 ∈ X∗ such that hh x∗0 , x ii <
inf k∈K hh x∗0 , k ii. Then, supk∈K hh − x∗0 , k ii < hh − x∗0 , x ii < +∞. Hence,
−x∗0 ∈ K supp and x ∈ X \ K̄. This shows that X \ K ⊆ X \ K̄ and
K̄ ⊆ K. Hence, K = K̄. Note that,Tfor ϑ∗ ∈ K supp, { x ∈ X | hh ϑ∗ , x ii ≤
supk∈K hh ϑ∗ , k ii } = X. Then, K = x∗ ∈K supp, x∗ 6=ϑ∗ { x ∈ X | hh x∗ , x ii ≤
supk∈K hh x∗ , k ii }. Let Ḱ be the intersection of all closed half-spaces con-
taining K. Clearly, K ⊆ Ḱ. Any closed half-space containing K can be
expressed as { x ∈ X | hh x∗ , x ii ≤ c } for some x∗ ∈ X∗ with x∗ 6= ϑ∗ and
for some c ∈ IR. Then, c ≥ supk∈K hh x∗ , k ii ∈ IR. Hence, x∗ ∈ K supp
T T
and Ḱ ⊆ x∗ ∈K supp, x∗ 6=ϑ∗ c≥sup { x ∈ X | hh x∗ , x ii ≤ c } =
T k∈K hhx∗ ,kii
x∗ ∈K supp, x∗ 6=ϑ∗ { x ∈ X | hh x∗ , x ii ≤ supk∈K hh x∗ , k ii } = K. Hence,

K = Ḱ.
(iii) ∀x∗ ∈ K supp ∩ Gsupp, then supk∈K hh x∗ , k ii =: c1 < +∞ and
supg∈G hh x∗ , g ii =: c2 < +∞. ∀x ∈ K + G, x = k + g for some k ∈ K and
some g ∈ G. Then, hh x∗ , x ii = hh x∗ , k ii + hh x∗ , g ii ≤ c1 + c2 < +∞. This
shows that x∗ ∈ (K + G)supp. Hence, K supp ∩ Gsupp ⊆ (K + G)supp.
On the other hand, ∀x∗ ∈ (K + G)supp, supx∈K+G hh x∗ , x ii =: c <
+∞. Fix k0 ∈ K and g0 ∈ G, since K and G are nonempty. Then,
supk∈K hh x∗ , k ii = supx∈g0 +K hh x∗ , x ii − hh x∗ , g0 ii ≤ c − hh x∗ , g0 ii < +∞
and supg∈G hh x∗ , g ii = supx∈k0 +G hh x∗ , x ii − hh x∗ , k0 ii ≤ c − hh x∗ , k0 ii <
+∞. Hence, x∗ ∈ K supp ∩ Gsupp. This shows that (K + G)supp ⊆ K supp ∩
Gsupp. Therefore, we have (K + G)supp = K supp ∩ Gsupp.
(iv) ∀x∗ ∈ K supp + Gsupp, let x∗ = x∗1 + x∗2 with x∗1 ∈ K supp and
x∗2 ∈ Gsupp. ∀x ∈ K ∩ G, we have hh x∗ , x ii = hh x∗1 , x ii + hh x∗2 , x ii ≤
supk∈K hh x∗1 , k ii + supg∈G hh x∗2 , g ii < +∞. Hence, x∗ ∈ (K ∩ G)supp.
Hence, we have K supp + Gsupp ⊆ (K ∩ G)supp.
Definition 8.14 Let X be a real normed linear space and K ⊆ X be a
nonempty convex set. The support functional of K is h : K supp → IR given
by h(x∗ ) = supk∈K hh x∗ , k ii, ∀x∗ ∈ K supp.
In the above definition, h takes value in IR since K 6= ∅ and x∗ ∈ K supp.
Proposition 8.15 Let X be a real normed linear space, K ⊆ X be a

nonempty convex set, h : K supp → IR be the support functional of K, and
y ∈ X. Then, the following statements holds.
(i) δ := inf k y − k k = max (hh x∗ , y ii − h(x∗ )), where the

k∈K x∗ ∈K supp, kx∗k≤1
maximum is achieved at some x∗0 ∈ K supp with k x∗0 k ≤ 1. If the
infimum is achieved at k0 ∈ K then y − k0 is aligned with x∗0 and
hh x∗0 , k0 ii = h(x∗0 ).
(ii) If ∃k0 ∈ K and ∃x∗0 ∈ K supp with k x∗0 k = 1 such that y − k0

is aligned with x∗0 and hh x∗0 , k0 ii = h(x∗0 ), then the infimum is
achieved at k0 and the maximum is achieved at x∗0 , that is δ = k y −
k0 k = hh x∗0 , y ii − h(x∗0 ).
Proof (i) ∀x∗ ∈ K supp with k x∗ k ≤ 1, ∀k ∈ K, we have k y − k k ≥

k x∗ k k y − k k ≥ hh x∗ , y − k ii = hh x∗ , y ii − hh x∗ , k ii ≥ hh x∗ , y ii − h(x∗ ).
Hence, δ = inf k∈K k y − k k ≥ supx∗ ∈K supp, kx∗k≤1 (hh x∗ , y ii − h(x∗ )).
1: δ = 0; Case 2: δ > 0. Case 1: δ = 0. Take x∗0 = ϑ∗ ∈ K supp.
k x∗0 k = 0 ≤ 1. Then, δ = 0 = hh x∗0 , y ii − h(x∗0 ). Then, δ := inf k∈K k y −
k k = maxx∗ ∈K supp, kx∗k≤1 (hh x∗ , y ii − h(x∗ )). If the infimum is achieved at
k0 ∈ K, then y − k0 is aligned with x∗0 and hh x∗0 , k0 ii = 0 = h(x∗0 ). This
case is proved.
Case 2: δ > 0. Since K 6= ∅, then δ < +∞. Take K1 = BX ( y, δ ). Then,
K1 is a convex set with nonempty interior. K ∩ K1 = ∅. By Eidelheit Sep-
aration Theorem, there exists x∗ ∈ X∗ with x∗ 6= ϑ∗ and ∃c ∈ IR such
−1
that supk1 ∈K1 hh x∗ , k1 ii ≤ c ≤ inf k∈K hh x∗ , k ii. Take x∗0 = − k x∗ k x∗ .
Then, by Proposition 3.81, we have inf k1 ∈K1 hh x∗0 , k1 ii ≥ −c/ k x∗ k ≥
supk∈K hh x∗0 , k ii. This shows, x∗0 ∈ K supp and k x∗0 k = 1. The above
inequality is equivalent to hh x∗0 , y ii + inf x∈BX (ϑ,δ) hh x∗0 , x ii ≥ h(x∗0 ).
By Lemma 7.75, we have hh x∗0 , y ii − h(x∗0 ) ≥ δ. Hence, we have
δ = hh x∗0 , y ii−h(x∗0 ) = maxx∗ ∈K supp, kx∗k≤1 (hh x∗ , y ii−h(x∗ )). If the infi-
mum is achieved at some k0 ∈ K, then δ = k y −k0 k = hh x∗0 , y ii−h(x∗0 ) ≤
hh x∗0 , y ii−hh x∗0 , k0 ii = hh x∗0 , y−k0 ii ≤ k x∗0 k k y−k0 k ≤ k y−k0 k, where
the second inequality follows from Proposition 7.72. Hence, hh x∗0 , y−k0 ii =
k x∗0 k k y − k0 k, x∗0 is aligned with y − k0 , and hh x∗0 , k0 ii = h(x∗0 ). This
case is proved.
(ii) Note that δ ≤ k y − k0 k = k x∗0 k k y − k0 k = hh x∗0 , y − k0 ii =
hh x∗0 , y ii − h(x∗0 ) ≤ δ. Then, the result follows.
Now, we will state a proposition that guarantees the existence of a
minimizing solution to a minimum norm problem. This proposition is based
on the following result.
8.4. CONVEX AND CONCAVE FUNCTIONALS 221
Proposition 8.16 Let X be a real normed linear space. Then, k · k : X →

[0, ∞) ⊂ IR is weakly lower semicontinuous.
Proof By Definition 3.14, all we need to show is that, ∀a ∈ IR, the set
Sa := { x ∈ X | k x k > a } is weakly open. Note that Sfa is strongly closed
f
and convex. Then, by Proposition 8.10, Sa is weakly closed. Then, Sa is
weakly open. Hence, the norm is a weakly lower semicontinuous functional
on X. This completes the proof of the proposition. 2
Proposition 8.17 Let X be a reflexive real normed linear space, x∗ ∈ X∗ ,

and K ⊆ X∗ be a nonempty closed convex set. Then, δ = mink∗ ∈K k x∗ −k∗ k
and the minimum is achieved at some k∗0 ∈ K.
Proof Fix a k∗1 ∈ K 6= ∅. Let µ := k x∗ − k∗1 k ∈ [0, ∞) ⊂ IR

and d = µ + k x∗ k + 1 ∈ (0, ∞) ⊂ IR. Then, ∀k∗ ∈ K with k k∗ k > d,
we have k x∗ − k∗ k ≥ k k∗ k − k x∗ k > µ + 1. Thus, δ = inf k∗ ∈K k x∗ −
k∗ k = inf k∗ ∈K∩BX∗ (ϑ∗ ,d) k x∗ − k∗ k and any k∗0 achieving the infimum
for the original problem must be in the set K ∩ B X∗ ( ϑ∗ , d ) =: K1 . By
Proposition 6.40, K1 is bounded closed and convex. Note that k∗1 ∈ K1 6=
∅. Then, by Proposition 8.11, K1 is weak∗ compact. By Propositions 7.121,
8.16, and 3.16, we have f : X∗ → IR given by f (k∗ ) = k x∗ − k∗ k, ∀k∗ ∈ X∗ ,
is lower semicontinuous. By Proposition 5.30 and Definition 3.14, there
exists k∗0 ∈ K1 that achieves the infimum on K1 . Such k∗0 achieves the
infimum on K. This completes the proof of the proposition. 2
8.4 Convex and Concave Functionals

Definition 8.18 Let X be a real vector space, C ⊆ X be a convex set,
f : C → IR and g : C → IR. f is said to be convex, if ∀x1 , x2 ∈ C,
∀α ∈ [0, 1] ⊂ IR, we have
f (αx1 + (1 − α)x2 ) ≤ αf (x1 ) + (1 − α)f (x2 )
f is said to be strictly convex if ∀x1 , x2 ∈ C with x1 6= x2 and ∀α ∈

(0, 1) ⊂ IR, we have that the strict inequality holds in the above. g is said
to be (strictly) concave if −g is (strictly) convex.
Definition 8.19 Let X be a real vector space, C ⊆ X , and f : C → IR.

The epigraph of f over C is the set
[ f, C ] := { (r, x) ∈ IR × X | x ∈ C, f (x) ≤ r }
Proposition 8.20 Let X be a real vector space, C ⊆ X be convex, and

f : C → IR. Then, f is convex if, and only if, the epigraph [ f, C ] is convex.
Proof “Sufficiency” ∀x1 , x2 ∈ C, ∀α ∈ [0, 1] ⊂ IR, we have (f (x1 ), x1 ),

(f (x2 ), x2 ) ∈ [ f, C ]. By the convexity of the epigraph, then α (f (x1 ), x1 ) +
(1 − α) (f (x2 ), x2 ) = (αf (x1 ) + (1 − α)f (x2 ), αx1 + (1 − α)x2 ) ∈ [ f, C ].
Then, αf (x1 ) + (1 − α)f (x2 ) ≥ f (αx1 + (1 − α)x2 ). Hence, f is convex.
“Necessity” Let f be convex. ∀(r1 , x1 ), (r2 , x2 ) ∈ [ f, C ], ∀α ∈ [0, 1] ⊂
IR, we have r1 ≥ f (x1 ) and r2 ≥ f (x2 ). By the convexity of f and C, we
have αx1 + (1 − α)x2 ∈ C and αr1 + (1 − α)r2 ≥ αf (x1 ) + (1 − α)f (x2 ) ≥
f (αx1 + (1 − α)x2 ). Then, we have α (r1 , x1 ) + (1 − α) (r2 , x2 ) = (αr1 +
(1 − α)r2 , αx1 + (1 − α)x2 ) ∈ [ f, C ]. Hence, the epigraph is convex.
Proposition 8.21 Let X be a real normed linear space, C ⊆ X be nonempty,

and f : C → IR. Then, V ( [ f, C ] ) = IR × V ( C ).
Proof We will first show that v ( [ f, C ] ) = IR × v ( C ). Fix x0 ∈

C. Then, (f (x0 ), x0 ) ∈ [ f, C ]. ∀(r, x) ∈ v ( [ f, C ] ) = (f (x0 ), x0 ) +
span ( [ f, C ]−(f (x0 ), x0 ) ), where the equality follows from Proposition 6.37,
then ∃n ∈ Z+ , ∃(r1 , x1 ), . . . , (rn , x Pn ) ∈ [ f, C ], and ∃α1 , . . . , αn ∈ IR
n
such that (r − f (x0 ), x − x0 ) = i=1 αi (ri − f (x0 ), xi − x0 ). Then,
x ∈ v ( C ) = x0 + span ( C − x0 ) and (r, x) ∈ IR × v ( C ). Hence,
v ( [ f, C ] ) ⊆ IR × v ( C ).
On the other hand, ∀(r, x) ∈ IR × v ( C ), then, by Proposition 6.37,
x ∈ v ( C ) = x0 + span ( C − x0 ). Then, P ∃n ∈ Z+ , ∃x1 , . . . , xn ∈ C, and
∃α1 , . . . , αn ∈ IR such that x − x0 = ni=1 αi (xi − x0 ). ∃r0 ∈ (0, ∞) ⊂ IR
Pn that r0 > f (x0 ). Then, (r0 , x0 ) ∈ [ f, C ]. Let α0 = (r − f (x0 ) −
such
i=1 αi (f (xi ) − fP (x0 )))/(r0 − f (x0 )). Now it is easy to check that (r −
n
f (x0 ), x − x0 ) = i=1 αi (f (xi ) − f (x0 ), xi − x0 ) + α0 (r0 − f (x0 ), x0 −
x0 ). Note that (f (xi ), xi ) ∈ [ f, C ], ∀i = 1, . . . , n. Then, we have (r, x) ∈
(f (x0 ), x0 ) + span ( [ f, C ] − (f (x0 ), x0 )) ) = v ( [ f, C ] ). Hence, IR × v ( C ) ⊆
v ( [ f, C ] ). Therefore, we have v ( [ f, C ] ) = IR × v ( C ).
By Proposition 7.18, V ( [ f, C ] ) = v ( [ f, C ] ) = IR × v ( C ). By Propo-
sition 4.13 and 3.67, we have IR × v ( C ) = IR × V ( C ). Therefore, we have
V ( [ f, C ] ) = IR × V ( C ). This completes the proof of the proposition. 2
Proposition 8.22 Let X be a real normed linear space, C ⊆ X be convex,

f : C → IR be convex, and ◦C 6= ∅. Then, [ f, C ] has a relative interior
point (r0 , x0 ) if, and only if, f is continuous at x0 , x0 ∈ ◦C, and r0 ∈
(f (x0 ), +∞) ⊂ IR.
Proof “Sufficiency” Fix x0 ∈ ◦C and r0 ∈ (f (x0 ), +∞) ⊂ IR. Let

f be continuous at x0 . Then, for ǫ = (r0 − f (x0 ))/2 ∈ (0, ∞) ⊂ IR, ∃δ ∈
(0, r0 −f (x0 )−ǫ] ⊂ IR such that ∀x ∈ BX ( x0 , δ )∩V ( C ), we have x ∈ C and
| f (x) − f (x0 ) | < ǫ. Clearly, (r0 , x0 ) ∈ [ f, C ]. ∀(r, x) ∈ BIR×X ( (r0 , x0 ), δ ) ∩
V ( [ f, C ] ) = BIR×X ( (r0 , x0 ), δ ) ∩ (IR × V ( C )), we have x ∈ BX ( x0 , δ ) ∩
V ( C ) and r ∈ B ( r0 , δ ). Then, x ∈ C and r > r0 − δ ≥ f (x0 ) + ǫ > f (x).
◦
Hence, (r, x) ∈ [ f, C ]. This shows that (r0 , x0 ) ∈ [ f, C ].
8.4. CONVEX AND CONCAVE FUNCTIONALS 223
◦
“Necessity” Let (r0 , x0 ) ∈ [ f, C ]. Then, ∃ǫ0 ∈ (0, ∞) ⊂ IR such that
( BIR ( r0 , ǫ0 ) × BX ( x0 , ǫ0 ) ) ∩ V ( [ f, C ] ) ⊆ [ f, C ]. By Proposition 8.21, we
have BIR ( r0 , ǫ0 ) × ( BX ( x0 , ǫ0 ) ∩ V ( C ) ) ⊆ [ f, C ]. Therefore, BX ( x0 , ǫ0 ) ∩
V ( C ) ⊆ C, x0 ∈ ◦C, f (x) ≤ r0 − ǫ0 , ∀x ∈ BX ( x0 , ǫ0 ) ∩ V ( C ), and
f (x0 ) ≤ r0 − ǫ0 < r0 .
∀ǫ ∈ (0, ∞) ⊂ IR, Let δ = min { ǫ/(r0 − f (x0 )), 1 } ∈ (0, 1] ⊂ IR.
∀x ∈ BX ( x0 , δǫ0 ) ∩ C, we have x, x0 , x0 + δ −1 (x − x0 ), x0 − δ −1 (x − x0 ) ∈
BX ( x0 , ǫ0 ) ∩ V ( C ) ⊆ C. By the convexity of f , we have
f (x) = f ((1 − δ)x0 + δ (x0 + δ −1 (x − x0 )))
≤ (1 − δ)f (x0 ) + δf (x0 + δ −1 (x − x0 ))
≤ f (x0 ) + (r0 − ǫ0 − f (x0 ))δ < f (x0 ) + ǫ
1 δ
f (x0 ) = f ( x+ (x0 − δ −1 (x − x0 )))
1+δ 1+δ
1 δ
≤ f (x) + f (x0 − δ −1 (x − x0 ))
1+δ 1+δ
1 δ
≤ f (x) + (r0 − ǫ0 )
1+δ 1+δ
=⇒ (1 + δ)f (x0 ) ≤ f (x) + (r0 − ǫ0 )δ
=⇒ f (x) ≥ f (x0 ) − (r0 − f (x0 ) − ǫ0 )δ > f (x0 ) − ǫ
Hence, | f (x) − f (x0 ) | < ǫ. This shows that f is continuous at x0 .
x0 ∈ ◦C 6= ∅, and f : C → IR be convex. If f is continuous at x0 , then f is
continuous at x, ∀x ∈ ◦C.
Proof Fix any x ∈ ◦C. We will distinguish two exhaustive and mutu-
ally exclusive cases: Case 1: x = x0 ; Case 2: x 6= x0 . Case 1: x = x0 . Then
f is continuous at x. Case 2: x 6= x0 . ∀ǫ ∈ (0, ∞) ⊂ IR, by the continuity
of f at x0 and the fact that x0 ∈ ◦C, ∃δ ∈ (0, ∞) ⊂ IR such that | f (y) −
f (x0 ) | < ǫ, ∀y ∈ BX ( x0 , δ ) ∩ V ( C ) ⊆ C. Since x ∈ ◦C, then ∃δ1 ∈ (0, δ] ⊂
kx−x0k+δ1 /2
IR such that BX ( x, δ1 ) ∩ V ( C ) ⊆ C. Take β = ∈ (1, ∞) ⊂ IR.
kx−x0k
Then, β(x−x0 )+x0 ∈ BX ( x, δ1 )∩V ( C ) ⊆ C. ∀y ∈ BX ( x, (β−1)δ1 /β )∩C,
y = (1 − 1/β) ( β/(β − 1) (y − x) + x0 ) + (1/β) (β (x − x0 ) + x0 ). Note that
β/(β − 1) (y − x) + x0 ∈ BX ( x0 , δ ) ∩ V ( C ) ⊆ C. By the convexity of f ,
we have
f (y) ≤ (1 − 1/β)f ( β/(β − 1) (y − x) + x0 ) + (1/β)f (β (x − x0 ) + x0 )
< (1 − 1/β)(f (x0 ) + ǫ) + (1/β)f (β (x − x0 ) + x0 ) =: r1
Define r := r1 + (β − 1)δ1 /β. Then, by Proposition 8.21, BIR×X ( (r, x), (β −
1)δ1 /β ) ∩ V ( [ f, C ] ) = BIR×X ( (r, x), (β − 1)δ1 /β ) ∩ (IR × V ( C )) ⊆ [ f, C ].
Hence, (r, x) ∈ ◦ [ f, C ]. By Proposition 8.22, f is continuous at x. This
Proposition 8.24 Let X be a finite-dimensional real normed linear space,

C ⊆ X be a convex set, and f : C → IR be convex. Then, ∀x0 ∈ ◦C, f is
continuous at x0 .
cases: Case 1: ◦C = ∅; Case 2: ◦C 6= ∅. Case 1: ◦C = ∅. This is triv-
ial.
Case 2: ◦C 6= ∅. Fix any x0 ∈ ◦C. Then, ∃δ ∈ (0, ∞) ⊂ IR such that
K̄ := BX ( x0 , δ ) ∩ V ( C ) ⊆ C. Let M := V ( C ) − x0 , which is a closed
subspace. Let n ∈ Z+ be the dimension of M , which is well-defined by
Theorem 6.51. We will further distinguish two exhaustive and mutually
exclusive cases: Case 2a: n = 0; Case 2b: n ∈ IN. Case 2a: n = 0. Then,
C = { x0 }. Clearly, f is continuous at x0 .
Case 2b: n ∈ IN. Let { e1 , . . . , en } ⊆ M be a basis in M such
that k ei k = 1, ∀i = 1, . . . , n. Then, K := co ( { x0 ± δei | i =
, n } ) ⊆ co K̄ ⊆ C since
1, . . .P Pn C is convex. ∀x ∈ K, by Proposition 6.43,
n
x = i=1 αi (x0 +Pδei ) + i=1 βi (x0 − δei ) for some αi , βi ∈ [0, 1] ⊂ IR,
n
i = 1, . . . , n, with i=1 (αi + βi ) = 1. By the convexity of f , we have
n
X n
X
f (x) ≤ αi f (x0 + δei ) + βi f (x0 − δei )
i=1 i=1
Xn Xn
≤ | f (x0 + δei ) | + | f (x0 − δei ) | =: r1
i=1 i=1
Pn Pn
It is easy to see that p(m) := i=1 | αi |, ∀m = i=1 αi ei ∈ M de-
fines a norm on M . By Theorem 7.38, ∃ξ ∈ [1, ∞) ⊂ IR such that
p(m)/ξ ≤ P k m k ≤ ξp(m), ∀m ∈ M . ∀x ∈ BX ( x0 , δ/ξ ) ∩ V ( C ), we have
n
xP = x0 + i=1 αi δei forPsome α1 , . . . , αn ∈ R. Then, Pn δ/ξ > k x − x0 k ≥
n n
p( i=1 αi δei )/ξ = δ/ξ i=1 | αi |. Then, we have i=1 | αi | < 1. Then,
x can be expressed as a convex combination of vectors in { x0 ± δei | i =
1, . . . , n } and x ∈ K. Hence, BX ( x0 , δ/ξ ) ∩ V ( C ) ⊆ K ⊆ C. Take r =
δ/ξ + r1 . It is easy to show that BIR×X ( (r, x0 ), δ/ξ ) ∩ V ( [ f, C ] ) ⊆ [ f, C ],
◦
by Proposition 8.21. Then, (r, x0 ) ∈ [ f, C ]. By Proposition 8.22, f is
continuous at x0 .
Proposition 8.25 Let X be a real normed linear space, C ⊆ X, and f :
C → IR. Then, the following statements hold.
(i) If [ f, C ] is closed, then, f is lower semicontinuous.
(ii) If C is closed and f is lower semicontinuous, then [ f, C ] is closed.
Proof (i) ∀a ∈ IR, Va := { (a, x) ∈ IR × X | x ∈ X } is closed. Then,
[ f, C ] ∩ Va = { (a, x) ∈ IR × X | x ∈ C, f (x) ≤ a } is closed. Hence, by
Proposition 4.13, Ta := { x ∈ C | f (x) ≤ a } is closed. Note that
{ x ∈ C | − f (x) < a } = C \ { x ∈ C | f (x) ≤ −a } = C \ T−a
8.5. CONJUGATE CONVEX FUNCTIONALS 225
Clearly, C \ T−a is open in the subset topology of C. Then, −f is upper

semicontinuous and f is lower semicontinuous.
(ii) ∀(r0 , x0 ) ∈ [ f, C ], by Proposition 4.13, ∃ ( (rn , xn ) )∞
n=1 ⊆ [ f, C ]
such that limn∈IN (rn , xn ) = (r0 , x0 ). By Proposition 3.67, we have
limn∈IN rn = r0 and limn∈IN xn = x0 . By Definition 8.19, we have
∞
( xn )n=1 ⊆ C and rn ≥ f (xn ), ∀n ∈ IN. By Proposition 4.13, x0 ∈ C = C.
1: there exists infinitely many n ∈ IN such that xn = x0 ; Case 2: there
exists only finitely many n ∈ IN such that xn = x0 . Case 1: there exists
infinitely many n ∈ IN such that xn = x0 . Then, without loss of generality,
assume xn = x0 , ∀n ∈ IN. Then, rn ≥ f (x0 ), ∀n ∈ IN. Hence, f (x0 ) ≤
limn∈IN rn = r0 . Then, (r0 , x0 ) ∈ [ f, C ].
Case 2: there exists only finitely many n ∈ IN such that xn = x0 .
Then, without loss of generality, assume xn 6= x0 , ∀n ∈ IN. Then, x0 is an
accumulation point of C. By Propositions 3.86 and 3.85 and Definition 3.14,
−f (x0 ) ≥ lim supx→x0 (−f (x)) = − lim inf x→x0 f (x). By Proposition 3.87,
we have f (x0 ) ≤ lim inf x→x0 f (x) ≤ lim inf n∈IN f (xn ) ≤ lim inf n∈IN rn = r0 .
Then, (r0 , x0 ) ∈ [ f, C ].
In both cases, we have (r0 , x0 ) ∈ [ f, C ]. Then, [ f, C ] ⊆ [ f, C ]. By
Proposition 3.3, [ f, C ] is closed.
and f : C → IR be convex. Assume that [ f, C ] is closed. Then, f is weakly
lower semicontinuous.
Proof ∀a ∈ IR, Va := { (a, x) ∈ IR × X | x ∈ X } is closed. Then,
[ f, C ] ∩ Va = { (a, x) ∈ IR × X | x ∈ C, f (x) ≤ a } is closed. Hence, by
Proposition 4.13, Ta := { x ∈ C | f (x) ≤ a } is closed. Since f is convex,
then Ta is convex. By Proposition 8.10, Ta is weakly closed. Note that
{ x ∈ C | − f (x) < a } = C \ { x ∈ C | f (x) ≤ −a } = C \ T−a
Clearly, C \ T−a is weakly open in the subset topology of C. Then, −f is
weakly upper semicontinuous and f is weakly lower semicontinuous. This
8.5 Conjugate Convex Functionals

Definition 8.27 Let X be a real normed linear space, C ⊆ X be a nonempty
convex set, and f : C → IR be convex. The conjugate set C conj is defined
as
C conj := { x∗ ∈ X∗ | sup ( hh x∗ , x ii − f (x) ) < +∞ }
x∈C
and the functional f conj : C conj → IR conjugate to f is defined by
f conj(x∗ ) = sup ( hh x∗ , x ii − f (x) ) , ∀x∗ ∈ C conj
x∈C
We will use a compact notation [ f, C ] conj for [ f conj, C conj ].
In the above definition, f conj takes value in IR since x∗ ∈ C conj and C 6= ∅.
Proposition 8.28 Let X be a real normed linear space, C ⊆ X be a

nonempty convex set, f : C → IR be convex. Then, C conj ⊆ X∗ is con-
vex, f conj : C conj → IR is convex, and [ f conj, C conj ] ⊆ IR × X∗ is a closed
convex set.
Proof ∀x∗1 , x∗2 ∈ C conj, ∀α ∈ [0, 1] ⊂ IR, let Mi := f conj(x∗i ) =

supx∈C ( hh x∗i , x ii − f (x) ) ∈ IR, i = 1, 2. ∀x ∈ C, we have hh αx∗1 + (1 −
α)x∗2 , x ii − f (x) = α ( hh x∗1 , x ii − f (x) ) + (1 − α) ( hh x∗2 , x ii − f (x) ) ≤
αM1 + (1 − α)M2 < +∞. Then, supx∈C ( hh αx∗1 + (1 − α)x∗2 , x ii − f (x) ) ≤
αM1 + (1 − α)M2 . Hence, αx∗1 + (1 − α)x∗2 ∈ C conj and C conj is convex.
The above implies that f conj(αx∗1 + (1 − α)x∗2 ) ≤ αf conj(x∗1 ) + (1 −
α)f conj(x∗2 ). Hence, f conj is convex.
By Proposition 8.20, [ f conj, C conj ] is convex. ∀(s0 , x∗0 ) ∈ [ f conj, C conj ],
∞
by Proposition 4.13, there exists ( (sk , x∗k ) )k=1 ⊆ [ f conj, C conj ] such that
limk∈IN (sk , x∗k ) = (s0 , x∗0 ). By Proposition 3.67, we have limk∈IN sk = s0
and limk∈IN x∗k = x∗0 . ∀x ∈ C, ∀k ∈ IN, since (sk , x∗k ) ∈ [ f conj, C conj ],
then, hh x∗k , x ii − f (x) ≤ f conj(x∗k ) ≤ sk . By Propositions 7.72 and 3.66,
we have hh x∗0 , x ii − f (x) = limk∈IN ( hh x∗k , x ii − f (x) ) ≤ limk∈IN sk =
s0 < +∞. Hence, x∗0 ∈ C conj and f conj(x∗0 ) ≤ s0 . Then, (s0 , x∗0 ) ∈
[ f conj, C conj ]. This shows that [ f conj, C conj ] ⊆ [ f conj, C conj ]. By Proposi-
tion 3.3, [ f conj, C conj ] is closed.
Geometric interpretation of f conj : C conj → IR. Fix x∗ ∈ C conj. ∀(r, x) ∈
[ f, C ], we have f (x) ≤ r. Then, hh ( − 1, x∗ ) , ( r, x ) ii = hh x∗ , x ii − r ≤
f conj(x∗ ). It is easy to recognize that sup(r,x)∈[f,C] hh ( − 1, x∗ ) , ( r, x ) ii =
f conj(x∗ ). Hence, the closed hyperplane H := { (r, x) ∈ IR × X | hh ( −
1, x∗ ) , ( r, x ) ii = f conj(x∗ ) } is a supporting hyperplane of [ f, C ].

nonempty convex set, and f : C → IR be a convex functional. Assume
that [ f, C ] =: K ⊆ IR × X is closed. Then, ∃x∗0 ∈ X∗ such that
sup hh ( − 1, x∗0 ) , ( r, x ) ii < +∞

(r,x)∈K
Then, x∗0 ∈ C conj 6= ∅.
Proof Fix x0 ∈ C 6= ∅. By Proposition 8.20, K is convex. Clearly,

K 6= ∅. By the assumption of the proposition, K is closed. Let r0 :=
f (x0 ) − 1 ∈ IR. Then, (r0 , x0 ) 6∈ K. By Proposition 8.10 and Example 7.76,
∃(s̄0 , x̄∗0 ) ∈ IR × X∗ such that
hh ( s̄0 , x̄∗0 ) , ( r0 , x0 ) ii < inf hh ( s̄0 , x̄∗0 ) , ( r, x ) ii (8.1)

(r,x)∈K
Since (f (x0 ), x0 ) ∈ K, then s̄0 r0 +hh x̄∗0 , x0 ii < s̄0 f (x0 )+hh x̄∗0 , x0 ii, which
implies that s̄0 > 0. Let x∗0 = −s̄0−1 x̄∗0 ∈ X∗ . Then, (8.1) is equivalent to
hh ( − 1, x∗0 ) , ( r0 , x0 ) ii > sup hh ( − 1, x∗0 ) , ( r, x ) ii

(r,x)∈K
The above implies that hh (−1, x∗0 ) , ( r0 , x0 ) ii > supx∈C (hh x∗0 , x ii−f (x)).
Hence, x∗0 ∈ C conj 6= ∅.
Proposition 8.30 Let X be a real normed linear space and K ⊆ IR × X =:

W be a closed convex set.
Assume that there exists a nonvertical hyperplane such that K is con-
tained in one of the half-spaces associated with the hyperplane, that is
∃(s1 , x∗1 ) ∈ W∗ = IR × X∗ with s1 6= 0 such that sup hh ( s1 , x∗1 ) , ( r, x ) ii
(r,x)∈K
< +∞.
Then, ∀(r0 , x0 ) ∈ W\K, there exists a nonvertical hyperplane separating
(r0 , x0 ) and K, that is, ∃x∗0 ∈ X∗ such that either
sup hh ( − 1, x∗0 ) , ( r, x ) ii < hh ( − 1, x∗0 ) , ( r0 , x0 ) ii (8.2a)

(r,x)∈K
or
inf hh ( − 1, x∗0 ) , ( r, x ) ii > hh ( − 1, x∗0 ) , ( r0 , x0 ) ii (8.2b)
(r,x)∈K
Proof Fix (r0 , x0 ) ∈ W \ K. By Proposition 8.10, ∃(s̄0 , x̄∗0 ) ∈ IR × X∗

such that
hh ( s̄0 , x̄∗0 ) , ( r0 , x0 ) ii < inf hh ( s̄0 , x̄∗0 ) , ( r, x ) ii (8.3)

(r,x)∈K
We will distinguish three exhaustive and mutually exclusive cases: Case

1: s̄0 > 0; Case 2: s̄0 < 0; Case 3: s̄0 = 0. Case 1: s̄0 > 0. Let
x∗0 = −s̄−1 ∗
0 x̄∗0 ∈ X . Then, (8.3) is equivalent to
−r0 + hh x∗0 , x0 ii > sup (−r + hh x∗0 , x ii)

(r,x)∈K
Hence, (8.2a) holds.

Case 2: s̄0 < 0. Let x∗0 = −s̄−1 ∗
−r0 + hh x∗0 , x0 ii < inf (−r + hh x∗0 , x ii)

(r,x)∈K
Hence, (8.2b) holds.

Case 3: s̄0 = 0. We will further distinguish two exhaustive and mutually
exclusive cases: Case 3a: K = ∅; Case 3b: K 6= ∅. Case 3a: K = ∅. Take
x∗0 = ϑX∗ . Then,
−r0 > −∞ = sup hh ( − 1, x∗0 ) , ( r, x ) ii

(r,x)∈K
Hence, (8.2a) holds.

Case 3b: K 6= ∅. Define
M1 := sup hh ( s1 , x∗1 ) , ( r, x ) ii − hh ( s1 , x∗1 ) , ( r0 , x0 ) ii ∈ IR

(r,x)∈K
M2 := inf hh ( s̄0 , x̄∗0 ) , ( r, x ) ii − hh ( s̄0 , x̄∗0 ) , ( r0 , x0 ) ii

(r,x)∈K
∈ (0, ∞) ⊂ IR
Let δ := M2 /(1+| M1 |) ∈ (0, ∞) ⊂ IR and (s̃0 , x̃∗0 ) = (s̄0 , x̄∗0 )−δ(s1 , x∗1 ) ∈
IR × X∗ . Then, we have
inf hh ( s̃0 , x̃∗0 ) , ( r, x ) ii − hh ( s̃0 , x̃∗0 ) , ( r0 , x0 ) ii

(r,x)∈K
= inf (hh ( s̄0 , x̄∗0 ) , ( r, x ) ii − δ hh ( s1 , x∗1 ) , ( r, x ) ii) −

(r,x)∈K
hh ( s̃0 , x̃∗0 ) , ( r0 , x0 ) ii
≥ inf hh ( s̄0 , x̄∗0 ) , ( r, x ) ii + inf (−δ hh ( s1 , x∗1 ) , ( r, x ) ii) −
(r,x)∈K (r,x)∈K
hh ( s̃0 , x̃∗0 ) , ( r0 , x0 ) ii
= inf hh ( s̄0 , x̄∗0 ) , ( r, x ) ii − δ sup hh ( s1 , x∗1 ) , ( r, x ) ii −
(r,x)∈K (r,x)∈K
hh ( s̃0 , x̃∗0 ) , ( r0 , x0 ) ii
= M2 − δM1 > 0
where we have applied Proposition 3.81 in the above. Hence, we have

obtained an alternative (s̄0 , x̄∗0 ) := (s̃0 , x̃∗0 ) such that (8.3) holds. For this
alternative pair, s̃0 = −δs1 6= 0. Hence, this case can be solved by Case 1
or Case 2 with the alternative pair.
Definition 8.31 Let X be a real normed linear space, Γ ⊆ X∗ be a

nonempty convex set, and ϕ : Γ → IR be convex. The pre-conjugate set
conjΓ is defined as
conjΓ := { x ∈ X | sup ( hh x∗ , x ii − ϕ(x∗ ) ) < +∞ }

x∗ ∈Γ
and the functional conjϕ : conjΓ → IR pre-conjugate to ϕ is defined by
conjϕ(x) = sup ( hh x∗ , x ii − ϕ(x∗ ) ) , ∀x ∈ conjΓ

x∗ ∈Γ
We will use a compact notation conj[ ϕ, Γ ] for [ conjϕ, conjΓ ].
In the above definition, conjϕ takes value in IR since x ∈ conjΓ and Γ 6= ∅.

Next, we state two duality results regarding conjugate convex function-
als.

nonempty convex set, and f : C → IR be a convex functional. Assume
that [ f, C ] is closed. Then, [ f, C ] = conj[ [ f, C ] conj ]. Therefore, ∀x0 ∈ C,
f (x0 ) = supx∗ ∈C conj(hh x∗ , x0 ii − f conj(x∗ )).
Proof Since C 6= ∅, then C conj and f conj are well-defined. By
Proposition 8.29, C conj 6= ∅. By Proposition 8.28, C conj is convex and
f conj is convex. Then, conj( C conj ) and conj( f conj ) are well defined. Thus,
conj[ [ f, C ] conj ] is a well-defined set.
We will first show that [ f, C ] ⊆ conj[ f conj, C conj ] = conj[ [ f, C ] conj ]. Fix
any (r, x) ∈ [ f, C ]. ∀x∗ ∈ C conj, we have f conj(x∗ ) ≥ hh x∗ , x ii − f (x).
Hence, we have r ≥ f (x) ≥ hh x∗ , x ii − f conj(x∗ ). Thus, we have
r≥ sup hh x∗ , x ii − f conj(x∗ ) = conj( f conj )(x)
x∗ ∈C conj
Hence, (r, x) ∈ conj[ f conj, C conj ] and [ f, C ] ⊆ conj[ f conj, C conj ].

On the other hand, fix any (r0 , x0 ) ∈ (IR × X) \ [ f, C ]. By Proposi-
tion 8.29, ∃x̄∗0 ∈ X∗ such that
sup hh ( − 1, x̄∗0 ) , ( r, x ) ii < +∞
(r,x)∈[f,C]
Note that [ f, C ] is convex, by Proposition 8.20. By Proposition 8.30, there

exists a nonvertical hyperplane separating (r0 , x0 ) and K := [ f, C ], that
is, ∃x∗0 ∈ X∗ such that either
sup hh ( − 1, x∗0 ) , ( r, x ) ii < hh ( − 1, x∗0 ) , ( r0 , x0 ) ii (8.4a)
(r,x)∈K
or
inf hh ( − 1, x∗0 ) , ( r, x ) ii > hh ( − 1, x∗0 ) , ( r0 , x0 ) ii (8.4b)
(r,x)∈K
Since K is the epigraph of f , then (8.4b) is impossible since the left-hand-

side equals to −∞. Therefore, (8.4a) must hold. Then, c := sup(r,x)∈K hh (−
1, x∗0 ) , ( r, x ) ii = supx∈C (h x∗0 , x i − f (x)) = f conj(x∗0 ) ∈ IR and x∗0 ∈
C conj. Then, (c, x∗0 ) ∈ [ f conj, C conj ]. But, c < −r0 +hh x∗0 , x0 ii implies that
r0 < hh x∗0 , x0 ii−f conj(x∗0 ) ≤ supx∗ ∈C conj hh x∗ , x0 ii−f conj(x∗ ). Therefore,
(r0 , x0 ) 6∈ conj[ f conj, C conj ]. Hence, conj[ f conj, C conj ] ⊆ [ f, C ].
This yields [ f, C ] = conj[ [ f, C ] conj ], which implies that f and conj( f conj )
admit the same domain of definition and equal to each other on C. There-
fore, ∀x0 ∈ C, f (x0 ) = conj( f conj )(x0 ) = supx∗ ∈C conj(hh x∗ , x0 ii−f conj(x∗ )).
2
nonempty convex set, f : C → IR be a convex functional, f be lower semi-
continuous at x0 ∈ C, C conj ⊆ X∗ be the conjugate set, and f conj : C conj →
IR be the conjugate functional. Then, f (x0 ) = supx∗ ∈C conj(hh x∗ , x0 ii −
f conj(x∗ )).
Proof ∀x∗ ∈ C conj, we have hh x∗ , x0 ii − f conj(x∗ ) = hh x∗ , x0 ii +

inf x∈C (− hh x∗ , x ii + f (x)) ≤ f (x0 ). Then,
f (x0 ) ≥ sup (hh x∗ , x0 ii − f conj(x∗ ))

x∗ ∈C conj
∀ǫ ∈ (0, ∞) ⊂ IR, by the lower semicontinuity of f at x0 , ∃δ ∈ (0, ǫ/2] ⊂

IR such that f (x) > f (x0 ) − ǫ/2, ∀x ∈ BX ( x0 , δ ) ∩ C. Consider the real
normed linear space W := IR × X. Define K2 := [ f, C ], which is clearly
nonempty. By Proposition 8.20, K2 is convex. Define K1 := BW ( ( f (x0 ) −
ǫ, x0 ) , δ ). Then, K1 is convex and K1◦ = K1 6= ∅.
Claim 8.33.1 K1◦ ∩ K2 = ∅.
Proof of claim: Suppose ∃(r, x) ∈ K1◦ ∩ K2 . Then, x ∈ BX ( x0 , δ ) ∩ C,

r < f (x0 ) − ǫ + δ ≤ f (x0 ) − ǫ/2 and r ≥ f (x). This leads to f (x) <
f (x0 ) − ǫ/2, which is a contradiction. Hence, K1◦ ∩ K2 = ∅. This completes
By Eidelheit Separation Theorem and Example 7.76, ∃c ∈ IR and
∃(s̄0 , x̄∗0 ) ∈ W∗ = IR × X∗ with (s̄0 , x̄∗0 ) 6= (0, ϑX∗ ) such that
sup hh ( s̄0 , x̄∗0 ) , ( r, x ) ii ≤ c ≤ inf hh ( s̄0 , x̄∗0 ) , ( r, x ) ii (8.5)

(r,x)∈K1 (r,x)∈K2
The second inequality in (8.5) implies that −∞ < c ≤ inf (r,x)∈K2 (s̄0 r +
hh x̄∗0 , x ii. Since K2 = [ f, C ], then s̄0 ≥ 0.
Claim 8.33.2 s̄0 > 0.
Proof of claim: Suppose s̄0 = 0. By the fact that (s̄0 , x̄∗0 ) 6=

(0, ϑX∗ ), we have x̄∗0 6= ϑX∗ . Then, (8.5) implies that hh x̄∗0 , x0 ii ≥ c ≥
sup(r,x)∈K1 hh x̄∗0 , x ii = supx∈BX (x0 ,δ) hh x̄∗0 , x ii. This is impossible since
x̄∗0 6= ϑX∗ . Therefore, s̄0 < 0. This completes the proof of the claim. 2
Let x∗0 := −s̄−1 ∗
inf (hh x∗0 , x0 ii − r) ≥ −s̄0−1 c ≥ sup (hh x∗0 , x ii − r)

(r,x)∈K1 (r,x)∈K2
= sup (hh x∗0 , x ii − f (x))

x∈C
Hence, x∗0 ∈ C conj and f conj(x∗0 ) ≤ hh x∗0 , x ii − f (x0 ) + ǫ. Therefore, we

have
hh x∗0 , x0 ii − f conj(x∗0 ) ≥ f (x0 ) − ǫ
By the arbitrariness of ǫ, f (x0 ) = supx∗ ∈C conj (hh x∗ , x0 ii − f conj(x∗ )).

nonempty convex set, C ◦ 6= ∅, f : C → IR be a convex functional,
f be continuous at x̄ ∈ C ◦ , C conj ⊆ X∗ be the conjugate set, and
f conj : C conj → IR be the conjugate functional. Then, ∀x0 ∈ C ◦ ,
f (x0 ) = maxx∗ ∈C conj (hh x∗ , x0 ii − f conj(x∗ )).
Proof ∀x∗ ∈ C conj, we have hh x∗ , x0 ii − f conj(x∗ ) = hh x∗ , x0 ii +
inf x∈C (− hh x∗ , x ii + f (x)) ≤ f (x0 ). Then,
f (x0 ) ≥ sup (hh x∗ , x0 ii − f conj(x∗ ))
x∗ ∈C conj
Consider the real normed linear space W := IR × X. Let V =

{ (f (x0 ), x0 ) } ⊆ W. Clearly, V is a linear variety. Define K := [ f, C ].
By Proposition 8.20, K is convex. By Proposition 8.22, K admits relative
interior point (r̄, x̄) for some r̄ > f (x̄). By Proposition 8.21, V ( [ f, C ] ) =
IR × V ( C ) = IR × X = W since C ◦ 6= ∅. Hence, (r̄, x̄) ∈ K ◦ 6= ∅. Note
that (f (x0 ) − δ, x0 ) 6∈ [ f, C ], ∀δ ∈ (0, ∞) ⊂ IR. Then, (f (x0 ), x0 ) 6∈ K ◦ .
Hence, V ∩ K ◦ = ∅. By Mazur’s Theorem and Example 7.76, ∃c ∈ IR and
∃(s̄0 , x̄∗0 ) ∈ W∗ = IR × X∗ with (s̄0 , x̄∗0 ) 6= (0, ϑX∗ ) such that
hh ( s̄0 , x̄∗0 ) , ( f (x0 ), x0 ) ii = c ≥ sup hh ( s̄0 , x̄∗0 ) , ( r, x ) ii
(r,x)∈K
which is equivalent to
s̄0 f (x0 ) + hh x̄∗0 , x0 ii ≥ sup (s̄0 r + hh x̄∗0 , x ii) (8.6)
(r,x)∈K
Since K = [ f, C ], then s̄0 ≤ 0, otherwise the right-hand-side of (8.6) equals

to +∞.
Claim 8.34.1 s̄0 < 0.
Proof of claim: Suppose s̄0 = 0. By the fact that (s̄0 , x̄∗0 ) 6=
(0, ϑX∗ ), we have x̄∗0 6= ϑX∗ . Then, (8.6) implies that hh x̄∗0 , x0 ii ≥
supx∈C hh x̄∗0 , x ii. Note that x0 ∈ C ◦ and x̄∗0 6= ϑX∗ implies that
supx∈C hh x̄∗0 , x ii > hh x̄∗0 , x0 ii. This is a contradiction. Therefore, s̄0 < 0.
−1
Let x∗0 := | s̄0 | x̄∗0 ∈ X∗ . Then, (8.6) is equivalent to
−f (x0 ) + hh x∗0 , x0 ii ≥ sup (−r + hh x∗0 , x ii) = sup (hh x∗0 , x ii − f (x))
(r,x)∈K x∈C
Hence, x∗0 ∈ C conj and −f (x0 ) + hh x∗0 , x0 ii ≥ f conj(x∗0 ).

Therefore, we have
f (x0 ) ≤ hh x∗0 , x0 ii − f conj(x∗0 ) ≤ sup (hh x∗ , x0 ii − f conj(x∗ )) ≤ f (x0 )
x∗ ∈C conj
Hence, f (x0 ) = maxx∗ ∈C conj (hh x∗ , x0 ii − f conj(x∗ )), where the maximum
is achieved at x∗0 . 2
IR
[ f2 , C2 ]
[ f1 , C1 ]
−f1conj(x∗ )
f2conj(−x∗ )
Figure 8.1: Fenchel duality.
8.6 Fenchel Duality Theorem

Let X be a real normed linear space, C1 , C2 ⊆ X be nonempty convex sets,
and f1 : C1 → IR and f2 : C2 → IR be convex functionals. We consider the
problem of
µ := inf (f1 (x) + f2 (x))
x∈C1 ∩C2
We assume that f1conj, C1conj, f2conj, C2conj are easily characterized yet
( f1 + f2 ) conj and ( C1 ∩ C2 ) conj are difficult to determine. Then, the above
infimum can be equivalently calculated by
µ= inf r1 + r2
(r1 ,x)∈[f1 ,C1],(r2 ,x)∈[f2 ,C2]
The idea of Fenchel Duality Theorem can be illustrated in Figure 8.1.
Theorem 8.35 (Fenchel Duality Theorem) Let X be a real normed

linear space, C1 , C2 ⊆ X be nonempty convex sets, f1 : C1 → IR and
f2 : C2 → IR be convex functionals, and C2 ∩ C1◦ 6= ∅. Assume that that f1
is continuous at x̄ ∈ C1◦ and µ := inf x∈C1 ∩C2 (f1 (x) + f2 (x)) is finite. Let
f1conj : C1conj → IR and f2conj : C2conj → IR be conjugate functionals of f1
and f2 , respectively. Then, the following statements hold.
(i) µ = inf x∈C1 ∩C2 (f1 (x)+f2 (x)) = maxx∗ ∈C1 conj∩(−C2 conj) (−f1conj(x∗ )−
f2conj(−x∗ )), where the maximum is achieved at some x∗0 ∈ C1conj ∩
8.6. FENCHEL DUALITY THEOREM 233
(−C2conj). If the infimum is achieved by some x0 ∈ C1 ∩ C2 , then, we

have
f1conj(x∗0 ) = hh x∗0 , x0 ii − f1 (x0 ) (8.7a)
f2conj(−x∗0 ) = hh − x∗0 , x0 ii − f2 (x0 ) (8.7b)
(ii) If there exists x∗0 ∈ C1conj ∩ (−C2conj) and x0 ∈ C1 ∩ C2 such that

(8.7) holds, then the infimum is achieved at x0 and the maximum is
achieved at x∗0 .
Proof ∀x∗ ∈ C1conj ∩ (−C2conj), we have
−f1conj(x∗ ) = − sup ( hh x∗ , x ii − f1 (x) ) = inf ( − hh x∗ , x ii + f1 (x) )
x∈C1 x∈C1
≤ inf ( − hh x∗ , x ii + f1 (x) )
x∈C1 ∩C2
−f2conj(−x∗ ) = − sup ( hh − x∗ , x ii − f2 (x) )
x∈C2
= inf ( hh x∗ , x ii + f2 (x) ) ≤ inf ( hh x∗ , x ii + f2 (x) )
x∈C2 x∈C1 ∩C2
Then, we have
−f1conj(x∗ ) − f2conj(−x∗ ) ≤ inf ( − hh x∗ , x ii + f1 (x) ) +
x∈C1 ∩C2
inf ( hh x∗ , x ii + f2 (x) ) ≤ inf (f1 (x) + f2 (x)) = µ (8.8)
x∈C1 ∩C2 x∈C1 ∩C2
(i) Consider the sets K1 := [ f1 −µ, C1 ] and K2 := { (r, x) ∈ IR×X | x ∈

C2 , r ≤ −f2 (x) } = { (r, x) ∈ IR × X | (−r, x) ∈ [ f2 , C2 ] }. By Proposi-
tion 8.20, K1 and K2 are nonempty convex sets. By Proposition 8.22, K1
admits relative interior point (r̄, x̄) for some r̄ ∈ IR. By Proposition 8.21,
V ( [ f1 − µ, C1 ] ) = IR × V ( C1 ) = IR × X. Then, (r̄, x̄) ∈ K1◦ 6= ∅.
We will show that K1◦ ∩ K2 = ∅ by an argument of contradiction. Sup-
pose (r, x) ∈ K1◦ ∩ K2 6= ∅. Then, we have (r, x) ∈ K1◦ , which implies that
x ∈ C1 and r > f1 (x) − µ; and (r, x) ∈ K2 , which implies that x ∈ C2 and
r ≤ −f2 (x). Then, x ∈ C1 ∩ C2 and f1 (x) + f2 (x) < µ. This contradicts
with the definition of µ. Hence, K1◦ ∩ K2 = ∅.
By Eidelheit Separation Theorem and Example 7.76, ∃(s̄0 , x̄∗0 ) ∈ IR×X∗
with (s̄0 , x̄∗0 ) 6= ϑIR×X∗ such that
−∞ < sup ( hh x̄∗0 , x ii + rs̄0 ) ≤ inf ( hh x̄∗0 , x ii + rs̄0 ) < +∞ (8.9)
(r,x)∈K1 (r,x)∈K2
We will show that s̄0 < 0 by an argument of contradiction. Suppose s̄0 ≥ 0.

s̄0 > 0; Case 2: s̄0 = 0. Case 1: s̄0 > 0. Then, sup(r,x)∈K1 ( hh x̄∗0 , x ii +
rs̄0 ) = +∞, which contradicts (8.9). Case 2: s̄0 = 0. Then, x̄∗0 6= ϑX∗ . By
(8.9), we have
−∞ < sup hh x̄∗0 , x ii ≤ inf hh x̄∗0 , x ii < +∞
x∈C1 x∈C2
Let x́ ∈ C1◦ ∩ C2 6= ∅. Then, supx∈C1 hh x̄∗0 , x ii ≤ hh x̄∗0 , x́ ii. This is not

possible since x́ ∈ C1◦ and x̄∗0 6= ϑX∗ . Hence, we have a contradiction in
both cases. Therefore, s̄0 < 0.
−1
Let x∗0 = | s̄0 | x̄∗0 . Then, (8.9) is equivalent to
−∞ < sup ( hh x∗0 , x ii − r ) ≤ inf ( hh x∗0 , x ii − r ) < +∞ (8.10)

(r,x)∈K1 (r,x)∈K2
Note that
+∞ > sup ( hh x∗0 , x ii − r ) = sup ( hh x∗0 , x ii − f1 (x) + µ )

(r,x)∈K1 x∈C1
≥ sup ( hh x∗0 , x ii − f1 (x) ) + µ =: d1 > −∞

x∈C1 ∩C2
Hence, x∗0 ∈ C1conj. Note also that ,
−∞ < inf ( hh x∗0 , x ii − r ) = inf ( hh x∗0 , x ii + f2 (x) )

(r,x)∈K2 x∈C2
= − sup ( hh − x∗0 , x ii − f2 (x) ) ≤ inf ( hh x∗0 , x ii + f2 (x) )

x∈C2 x∈C1 ∩C2
=: d2 < +∞
Hence, x∗0 ∈ −C2conj. By (8.10), d1 ≤ d2 . On the other hand, we have
d2 − d1
= inf ( hh x∗0 , x ii + f2 (x) ) + inf ( − hh x∗0 , x ii + f1 (x) ) − µ
x∈C1 ∩C2 x∈C1 ∩C2
≤ inf (f1 (x) + f2 (x)) − µ = 0
x∈C1 ∩C2
Hence, we have
d1 = sup ( hh x∗0 , x ii − f1 (x) + µ ) = − sup ( hh − x∗0 , x ii − f2 (x) ) = d2

x∈C1 x∈C2
This implies that d1 = f1conj(x∗0 ) + µ = −f2conj(−x∗0 ) = d2 . Therefore,

we have µ = −f1conj(x∗0 ) − f2conj(−x∗0 ) and x∗0 ∈ C1conj ∩ (−C2conj).
This coupled with (8.8) implies
µ= inf (f1 (x)+f2 (x)) = max (−f1conj(x∗ )−f2conj(−x∗ ))

x∈C1 ∩C2 x∗ ∈C1 conj∩(−C2 conj)
where the maximum is achieved at some x∗0 ∈ C1conj ∩ (−C2conj).

If the infimum is achieved at x0 ∈ C1 ∩ C2 , then we have
−f1conj(x∗0 ) ≤ inf ( − hh x∗0 , x ii + f1 (x) ) ≤ − hh x∗0 , x0 ii

x∈C1 ∩C2
+f1 (x0 )
−f2conj(−x∗0 ) ≤ inf ( hh x∗0 , x ii + f2 (x) ) ≤ hh x∗0 , x0 ii + f2 (x0 )
x∈C1 ∩C2
µ = −f1conj(x∗0 ) − f2conj(−x∗0 ) ≤ f1 (x0 ) + f2 (x0 ) = µ
Hence, (8.7) holds.

(ii) If there exists x∗0 ∈ C1conj ∩ (−C2conj) and x0 ∈ C1 ∩ C2 such that
(8.7) holds, then, by (8.8), we have
µ ≥ −f1conj(x∗0 ) − f2conj(−x∗0 ) = − hh x∗0 , x0 ii + f1 (x0 ) +

hh x∗0 , x0 ii + f2 (x0 ) = f1 (x0 ) + f2 (x0 ) ≥ µ
Hence, the infimum is achieved at x0 and the maximum is achieved at x∗0 .

S Let Ω be a set, J : Ω → IRe , Λ be an index set. A :

Proposition 8.36
Λ → Ω2. Assume λ∈Λ A(λ) = Ω. Then,
inf J(ω) = inf inf J(ω); sup J(ω) = sup sup J(ω)
ω∈Ω λ∈Λ ω∈A(λ) ω∈Ω λ∈Λ ω∈A(λ)
Proof ∀ωo ∈ Ω, there exists λo ∈ Λ, such that ωo ∈ A(λo ). Then,
J(ωo ) ≥ inf J(ω) ≥ inf inf J(ω)

ω∈A(λo ) λ∈Λ ω∈A(λ)
Hence, by Proposition 3.81, we have
inf J(ω) ≥ inf inf J(ω)

ω∈Ω λ∈Λ ω∈A(λ)
On the other hand, ∀λ ∈ Λ, A(λ) ⊆ Ω implies that
inf J(ω) ≤ inf J(ω)

ω∈Ω ω∈A(λ)
Then,
inf J(ω) ≤ inf inf J(ω)
Combining the above arguments, we have
inf J(ω) = inf inf J(ω)

Substituting −J into this inequality, by Proposition 3.81, yields the

other equality.
Proposition 8.37 Let X and Y be sets, g1 : X → IRe , g2 : Y → IRe .

Assume that, ∀x ∈ X, ∀y ∈ Y , g1 (x) + g2 (y) ∈ IRe is well-defined. Then,
inf (g1 (x) + g2 (y)) = inf g1 (x) + inf g2 (y)

(x,y)∈X×Y x∈X y∈Y
when the right-hand-side makes sense.

Proof Define µl := inf (g1 (x) + g2 (y)) and µr := inf g1 (x) +

(x,y)∈X×Y x∈X
inf g2 (y). We will distinguish two exhaustive and mutually exclusive cases:
y∈Y
Case 1: X ×Y = ∅; Case 2: X ×Y 6= ∅. Case 1: X ×Y = ∅. Without loss of
generality, assume X = ∅. Then, µl = +∞ = inf x∈X g1 (x). Since µr ∈ IRe
is well-defined, then inf y∈Y g2 (y) > −∞. Hence, the desired equality holds.
Case 2: X × Y 6= ∅. Then, X 6= ∅ and Y 6= ∅. This implies that
inf x∈X g1 (x) = inf (x,y)∈X×Y g1 (x) and inf y∈Y g2 (y) = inf (x,y)∈X×Y g2 (y).
By Proposition 3.81, we have
µl ≥ inf g1 (x) + inf g2 (y) = µr

(x,y)∈X×Y (x,y)∈X×Y
We will further distinguish two exhaustive and mutually exclusive cases:

Case 2a: µr = +∞; Case 2b: µr < +∞. Case 2a: µr = +∞. Then,
+∞ ≥ µl ≥ µr = +∞. Hence, the desired equality holds.
Case 2b: µr < +∞. ∀m ∈ IR with m > µr , by Proposition 3.81,
∃x0 ∈ X and ∃y0 ∈ Y such that g1 (x0 ) + g2 (y0 ) < m. Then, again by
Proposition 3.81, we have µl < m. This implies that µl ≤ µr . Hence, the
desired equality holds.
Proposition 8.38 Let X be a topological space, Y be a set, and V : X ×

Y → IR. Assume that V satisfies the following two conditions.
(i) ∀x1 ∈ X , W (x1 ) := inf y∈Y V (x1 , y) ∈ IR. This defines the function
W : X → IR.
(ii) ∀y ∈ Y , define the function fy : X → IR by fy (x) = V (x, y), ∀x ∈ X .

The collection of functions { fy | y ∈ Y } is equicontinuous.
Then, W is continuous.
Proof ∀x0 ∈ X , ∀ǫ ∈ (0, ∞) ⊂ IR, by (ii), ∃U ∈ OX with x0 ∈ U such

that, ∀x̄ ∈ U , ∀y ∈ Y , we have | fy (x̄) − fy (x0 ) | = | V (x̄, y) − V (x0 , y) | < ǫ.
By (i), ∃ȳ, y0 ∈ Y such that | W (x̄)−V (x̄, ȳ) | < ǫ and | W (x0 )−V (x0 , y0 ) | <
ǫ. Note that
−2ǫ < − | W (x̄) − V (x̄, ȳ) | − | V (x̄, ȳ) − V (x0 , ȳ) | ≤ W (x̄) − V (x0 , ȳ)
≤ W (x̄) − V (x0 , ȳ) + V (x0 , ȳ) − W (x0 ) = W (x̄) − W (x0 )
= W (x̄) − V (x̄, y0 ) + V (x̄, y0 ) − W (x0 ) ≤ V (x̄, y0 ) − W (x0 )
≤ | V (x̄, y0 ) − V (x0 , y0 ) | + | V (x0 , y0 ) − W (x0 ) | < 2ǫ
Hence, we have | W (x̄) − W (x0 ) | < 2ǫ and W is continuous at x0 . By

Proposition 3.9, W is continuous.
Next, we present a result on game theory.
Proposition 8.39 Let X be a reflexive real normed linear space and A ⊆ X

and B ⊆ X∗ be nonempty bounded closed convex sets. Then,
min max hh x∗ , x ii = max min hh x∗ , x ii

x∈A x∗ ∈B x∗ ∈B x∈A
Proof Let µ := inf x∈A supx∗ ∈B hh x∗ , x ii. Let h : X × B → IR be

given by h(x, x∗ ) = hh x∗ , x ii, ∀x ∈ X, ∀x∗ ∈ B. By Proposition 7.72, h is
continuous. Define f1 : X → IRe by f1 (x) = supx∗ ∈B h(x, x∗ ), ∀x ∈ X. ∀x ∈
X, define hx : X∗ → IR by hx (x∗ ) = h(x, x∗ ) = hh x∗ , x ii, ∀x∗ ∈ X∗ . Then,
hx is weak∗ continuous. By Proposition 8.11, B is weak∗ compact. Then, by
Proposition 5.29, ∃x̄∗ ∈ B such that f1 (x) = hx (x̄∗ ) = maxx∗ ∈B hx (x∗ ) =
maxx∗ ∈B h(x, x∗ ) ∈ IR. Hence, f1 : X → IR takes value in IR.
Since B is bounded, then ∃MB ∈ [0, ∞) ⊂ IR such that k x∗ k ≤ MB ,
∀x∗ ∈ B. ∀x∗ ∈ B, define hx∗ : X → IR by hx∗ (x) = h(x, x∗ ), ∀x ∈ X.
∀x0 ∈ X, ∀ǫ ∈ (0, ∞) ⊂ IR, let δ = ǫ/(1 + MB ) ∈ (0, ∞) ⊂ IR. ∀x ∈
BX ( x0 , δ ), ∀x∗ ∈ B, we have | hx∗ (x) − hx∗ (x0 ) | = | h(x, x∗ ) − h(x0 , x∗ ) | =
| hh x∗ , x−x0 ii | ≤ k x∗ k k x−x0 k ≤ MB δ < ǫ, where we have applied Propo-
sition 7.72. Hence, { hx∗ | x∗ ∈ B } is equicontinuous. By Proposition 8.38,
f1 : X → IR is continuous.
∀x1 , x2 ∈ X, ∀α ∈ [0, 1] ⊂ IR, we have
f1 (αx1 + (1 − α)x2 ) = max hh x∗ , αx1 + (1 − α)x2 ii

x∗ ∈B
≤ sup α hh x∗ , x1 ii + sup (1 − α) hh x∗ , x2 ii
x∗ ∈B x∗ ∈B
= α max hh x∗ , x1 ii + (1 − α) max hh x∗ , x2 ii
x∗ ∈B x∗ ∈B
= αf1 (x1 ) + (1 − α)f1 (x2 )
where we have applied Proposition 3.81 in the second equality. Hence, f1

is convex.
Since A is bounded, then, ∃MA ∈ [0, ∞) ⊂ IR such that k x k ≤ MA ,
∀x ∈ A. ∀x ∈ A, ∀x∗ ∈ B, by Proposition 7.72, we have hh x∗ , x ii ≥
− k x∗ k k x k ≥ −MA MB . Then, f1 (x) ≥ −MA MB since B 6= ∅. Then,
µ ≥ −MA MB . Since A 6= ∅, then µ < +∞. Hence, µ is finite.
Define f2 : A → IR by f2 (x) = 0, ∀x ∈ A. Clearly, f2 is convex. Note
µ = inf x∈X∩A (f1 (x) + f2 (x)). Now, it is easy to check that all assumptions
for the Fenchel Duality Theorem are satisfied. Then,
µ= max (−f1conj(x∗ ) − f2conj(−x∗ ))

x∗ ∈Xconj∩(−Aconj)
Claim 8.39.1 Xconj = B and f1conj(x∗ ) = 0, ∀x∗ ∈ B.

Proof of claim: Xconj = { x∗ ∈ X∗ | supx∈X (hh x∗ , x ii−f1 (x)) < +∞ }.
∀x∗0 ∈ B, ∀x ∈ X, we have f1 (x) = maxx∗ ∈B hh x∗ , x ii ≥ hh x∗0 , x ii.
Then, hh x∗0 , x ii − f1 (x) ≤ 0. Hence, x∗0 ∈ Xconj. Hence, B ⊆ Xconj. The
above also implies that f1conj(x∗0 ) = supx∈X (hh x∗0 , x ii − f1 (x)) = 0.
On the other hand, ∀x∗0 ∈ X∗ \B, by Proposition 8.10, ∃x∗∗0 ∈ X∗∗ such
that hh x∗∗0 , x∗0 ii < inf x∗ ∈B hh x∗∗0 , x∗ ii. Since X is reflexive, then x∗∗0 =
φ(x0 ) for some x0 ∈ X, where φ : X → X∗∗ is the natural mapping. Then,
hh x∗0 , x0 ii < inf x∗ ∈B hh x∗ , x0 ii and hh x∗0 , −x0 ii > supx∗ ∈B hh x∗ , −x0 ii =
f1 (−x0 ). Then, hh x∗0 , −αx0 ii − f1 (−αx0 ) = α ( hh x∗0 , −x0 ii − f1 (−x0 ) ) >
0, ∀α ∈ (0, ∞) ⊂ IR. Hence, supx∈X (hh x∗0 , x ii − f1 (x)) = +∞ and x∗0 ∈
X∗ \ Xconj. This implies that Xconj ⊆ B. Therefore, we have Xconj = B.
Claim 8.39.2 Aconj = X∗ and f2conj(x∗ ) = maxx∈A hh x∗ , x ii, ∀x∗ ∈ X∗ .
Proof of claim: Aconj = { x∗ ∈ X∗ | supx∈A hh x∗ , x ii < +∞ }.

Since X is reflexive, then, by Definition 7.89, φ : X → X∗∗ is an isometri-
cal isomorphism. Then, φ(A) ⊆ X∗∗ is a nonempty bounded closed convex
set . By Proposition 7.90, Y := X∗ is a reflexive real normed linear space. By
Proposition 8.11, φ(A) is weak∗ compact. ∀x∗ ∈ X∗ , hx∗ ◦ φinv : X∗∗ → IR
is weak∗ continuous. By Proposition 5.29, we have
sup hh x∗ , x ii = sup hh x∗∗ , x∗ ii = hh x∗∗0 , x∗ ii = hh x∗ , φinv(x∗∗0 ) ii

x∈A x∗∗ ∈φ(A)
= hh x∗ , x0 ii ∈ IR
for some x∗∗0 ∈ φ(A) and x0 = φinv(x∗∗0 ) ∈ A. Then, x∗ ∈ Aconj and

Aconj = X∗ . Clearly, f2conj(x∗ ) = hh x∗ , x0 ii = maxx∈A hh x∗ , x ii. This
Then,
µ = inf max hh x∗ , x ii = max (− max hh − x∗ , x ii) = max min hh x∗ , x ii

x∈A x∗ ∈B x∗ ∈B∩X∗ x∈A x∗ ∈B x∈A
To show that the infimum in the above equation is actually achieved, we

note that
−µ = min max hh x∗ , x ii = min max hh x∗∗ , x∗ ii

x∗ ∈B x∈(−A) x∗ ∈B x∗∗ ∈φ(−A)
By Proposition 7.90, Y := X∗ is a reflexive real normed linear space and

φ(X) = X∗∗ . Since φ is an isometrical isomorphism, then φ(−A) is a
nonempty bounded closed convex set. Applying the result that we have
obtained in this proof to the above, we have
−µ = max min hh x∗∗ , x∗ ii = max min hh x∗ , x ii

x∗∗ ∈φ(−A) x∗ ∈B x∈(−A) x∗ ∈B
which is equivalent to µ = minx∈A maxx∗ ∈B hh x∗ , x ii.

8.7. POSITIVE CONES AND CONVEX MAPPINGS 239
8.7 Positive Cones and Convex Mappings

Definition 8.40 Let X be a normed linear space and P ⊆ X be a closed
⋗
convex cone. For x, y ∈ X , we will write x = y (with respect to P ) if
x − y ∈ P . The cone P defining this relation is called the positive cone in
⋖
X. The cone N = −P is called the negative cone in X and we write y = x
if y − x ∈ N . We will write x ⋗ y (y ⋖ x) if x − y ∈ P (y − x ∈ N = −P ◦ ).
◦ ◦
⋖ ⋗
It is easy to check that relations = and = are reflexive and transitive.
Proposition 8.41 Let X be a normed linear space with positive cone P .
∀x1 , x2 , x3 , x4 ∈ X, ∀α ∈ [0, ∞) ⊂ IR, we have
⋖
(i) x1 , x2 ∈ P implies x1 + x2 ∈ P , αx1 ∈ P , and −αx1 = ϑ;
⋖
(ii) x1 = x1 ;
⋖ ⋖ ⋖
(iii) x1 = x2 and x2 = x3 implies x1 = x3 ;
⋖ ⋖ ⋖
(iv) x1 = x2 and x3 = x4 implies x1 + x3 = x2 + x4 ;
⋖ ⋖
(v) x1 = x2 implies αx1 = αx2 ;
⋗
(vi) x1 ⋗ ϑ and x2 = ϑ implies x1 + x2 ⋗ ϑ;
(vii) x1 ⋖ x2 and α > 0 implies αx1 ⋖ αx2 .
Definition 8.42 Let X be a real normed linear space and S ⊆ X. The set
S ⊕ := { x∗ ∈ X∗ | hh x∗ , x ii ≥ 0, ∀x ∈ S } is called the positive conjugate
cone of S. The set S ⊖ := { x∗ ∈ X∗ | hh x∗ , x ii ≤ 0, ∀x ∈ S } is called the
negative conjugate cone of S. Clearly, S ⊖ = −S ⊕ .
Proposition 8.43 Let X be a real normed linear space and S, T ⊆ X.
Then,
(i) S ⊕ ⊆ X∗ is a closed convex cone;
(ii) if S ⊆ T , then T ⊕ ⊆ S ⊕ .
Proof (i) Clearly, ϑ∗ ∈ S ⊕ . ∀x∗ ∈ S ⊕ , ∀α ∈ [0, ∞) ⊂ IR, ∀x ∈
S, we have hh αx∗ , x ii = α hh x∗ , x ii ≥ 0. Hence, αx∗ ∈ S ⊕ . Therefore,
S ⊕ is a cone with vertex at origin. ∀x∗1 , x∗2 ∈ S ⊕ , ∀x ∈ S, we have
hh x∗1 + x∗2 , x ii = hh x∗1 , x ii + hh x∗2 , x ii ≥ 0. Hence, x∗1 + x∗2 ∈ S ⊕ .
Therefore, S ⊕ is a convex cone.
∀x∗ ∈ S ⊕ , by Proposition 4.13, ∃ ( x∗n )∞ n=1 ⊆ S
⊕
such that lim x∗n =
n∈IN
x∗ . ∀x ∈ S, by Propositions 7.72 and 3.66, hh x∗ , x ii = limn∈IN hh x∗n , x ii ≥
0. Therefore, x∗ ∈ S ⊕ and S ⊕ ⊆ S ⊕ . By Proposition 3.3, S ⊕ is closed.
(ii) This is straightforward.
Proposition 8.44 Let X and Y be real normed linear spaces, A ∈ B ( X, Y ),

⊕
and S ⊆ X. Then, ( A(S) ) = A∗ inv(S ⊕ ).
Proof ∀y∗ ∈ ( A(S) )⊕ ⊆ Y∗ , ∀s ∈ S, we have hh A∗ y∗ , s ii =

⊕
hh y∗ , As ii ≥ 0. Then, A∗ y∗ ∈ S ⊕ and y∗ ∈ A∗ inv(S ⊕ ). Hence, ( A(S) ) ⊆
A∗ inv(S ⊕ ).
On the other hand, ∀y∗ ∈ A∗ inv(S ⊕ ), A∗ y∗ ∈ S ⊕ . ∀s ∈ S, we have
⊕
hh y∗ , As ii = hh A∗ y∗ , s ii ≥ 0. Therefore, we have y∗ ∈ ( A(S) ) and
∗ ⊕ ⊕
A inv(S ) ⊆ ( A(S) ) .
⊕
Hence, ( A(S) ) = A∗ inv(S ⊕ ). This completes the proof of the propo-
sition. 2
Definition 8.45 Let X be a real normed linear space and P ⊆ X be the

positive cone. We will defined P ⊕ ⊆ X∗ to be the positive cone in the dual.
Proposition 8.46 Let X be a real normed linear space with the positive
⋗
cone P . If x0 ∈ X satisfies that hh x∗ , x0 ii ≥ 0, ∀x∗ ∈ P ⊕ (or x∗ = ϑ∗ ),
then x0 ∈ P .
Proof Suppose x0 6∈ P , by Proposition 8.10, ∃x∗ ∈ X∗ , such

that −∞ < hh x∗ , x0 ii < inf x∈P hh x∗ , x ii. Since P is a cone, then
inf x∈P hh x∗ , x ii = 0 (it must be greater than or equal to 0 since other-
wise the infimum must be −∞; and it must be less than or equal to 0 since
ϑX ∈ P ). Hence, x∗ ∈ P ⊕ and hh x∗ , x0 ii < 0. This contradicts with the
assumption. Therefore, we must have x0 ∈ P . This completes the proof of
the proposition. 2
Proposition 8.47 Let X be a real normed linear space with positive cone
P . ∀x∗ ∈ X∗ , ∀x ∈ X, we have
⋗ ⋗
(i) x = ϑ and x∗ = ϑ∗ implies hh x∗ , x ii ≥ 0;
⋖ ⋗
(ii) x = ϑ and x∗ = ϑ∗ implies hh x∗ , x ii ≤ 0;
⋗
(iii) x ⋗ ϑ, x∗ = ϑ∗ , and x∗ 6= ϑ∗ implies hh x∗ , x ii > 0;
⋗
(iv) x = ϑ, x 6= ϑ, and x∗ ⋗ ϑ∗ implies hh x∗ , x ii > 0.
Definition 8.48 Let X be a real vector space, Ω ⊆ X , and Z be a real

normed linear space with the positive cone P ⊆ Z. A mapping G : Ω → Z
is said to be convex if Ω is convex and ∀x1 , x2 ∈ Ω, ∀α ∈ [0, 1] ⊂ IR, we
⋖
have G(αx1 + (1 − α)x2 ) = αG(x1 ) + (1 − α)G(x2 ).
We note that the convexity of a mapping depends on the definition of

the positive cone P .
8.8. LAGRANGE MULTIPLIERS 241
Proposition 8.49 Let X be a real vector space, Ω ⊆ X be convex, Z be a

real normed linear space with the positive cone P n⊆ Z, and G : Ω → Z
o be
⋖
a convex mapping. Then, ∀z ∈ Z, the set Ωz := x ∈ Ω G(x) = z is
convex.
Proof Fix any z ∈ Z. ∀x1 , x2 ∈ Ωz , ∀α ∈ [0, 1] ⊂ IR, we have

⋖ ⋖
G(x1 ) = z and G(x2 ) = z. Since P is a convex cone, then, αG(x1 ) +
⋖
(1 − α)G(x2 ) = αz + (1 − α)z = z. By the convexity of G, we have
⋖
G(αx1 + (1 − α)x2 ) = αG(x1 ) + (1 − α)G(x2 ). By Proposition 8.41, we
⋖
have G(αx1 + (1 − α)x2 ) = z. Hence, αx1 + (1 − α)x2 ∈ Ωz . Hence, Ωz is
convex. This completes the proof of the proposition. 2
8.8 Lagrange Multipliers

The basic problem to be considered in this section is
µ0 := inf f (x) (8.11)

⋖
x∈Ω, G(x)=ϑZ
where X is a real vector space, Ω ⊆ X is a nonempty convex set, f : Ω → IR

is a convex functional, Z is a real normed linear space with positive cone
P ⊆ Z, and G : Ω → Z is a convex mapping.
Toward a solution to the above problem, we consider a class of problems:
n o
⋖
Γ := z ∈ Z ∃x ∈ Ω ∋· G(x) = z (8.12a)
ω(z) := inf f (x); ∀z ∈ Γ (8.12b)
⋖
x∈Ω, G(x)=z
where ω : Γ → IRe is the primal functional. To guarantee that ω is real-

valued, we make the following assumption.
Assumption 8.50 ϑZ ∈ Γ and (i) ∃z̄ ∈ ◦Γ such that ω(z̄) ∈ IR or (ii)
µ := inf x∈Ω f (x) > −∞ holds.
Fact 8.51 Γ ⊆ Z is convex.
Proof ∀z1 , z2 ∈ Γ, ∀α ∈ [0, 1] ⊂ IR, there exist xi ∈ Ω such that

⋖
G(xi ) = zi , i = 1, 2. By the convexity of Ω, we have αx1 + (1 − α)x2 ∈ Ω.
⋖
Then, by the convexity of G and Proposition 8.41, G(αx1 + (1 − α)x2 ) =
⋖
αG(x1 ) + (1 − α)G(x2 ) = αz1 + (1 − α)z2 . Hence, αz1 + (1 − α)z2 ∈ Γ.
This completes the proof of the fact. 2
Fact 8.52 Under Assumption 8.50, ω : Γ → IR is real-valued, convex, and

⋖
nonincreasing, that is, ∀z1 , z2 ∈ Γ with z1 = z2 , we have ω(z1 ) ≥ ω(z2 ).
Proof We will first show that ω(z) ∈ IR, ∀z ∈ Γ. Let (i) in Assump-
tion 8.50 hold. Fix any z ∈ Γ. We will distinguish two exhaustive and
mutually exclusive cases: Case 1: z = z̄; Case 2: z 6= z̄. Case 1: z = z̄.
Then, ω(z) = ω(z̄) ∈ IR.
Case 2: z 6= z̄. By the definition of Γ and the fact that f is real-valued,
we have ω(z) < +∞. By (i) of Assumption 8.50, ∃δ ∈ (0, ∞) ⊂ IR such that
δ
BZ ( z̄, δ ) ∩ V ( Γ ) ⊆ Γ. Let z̄1 := z̄ + 2 z̄−z (z̄ − z) ∈ BZ ( z̄, δ ) ∩ V ( Γ ) ⊆ Γ
k k
kz̄−zk
and ᾱ = z̄−z +δ/2 ∈ (0, 1) ⊂ IR. It is easy to verify that z̄ = ᾱz̄1 +(1− ᾱ)z.
k k
Then, we have
−∞ < ω(z̄) = inf f (x̄)

⋖
x̄∈Ω, G(x̄)=ᾱz̄1 +(1−ᾱ)z
≤ inf f (x̄)
⋖ ⋖
x̄=ᾱx̄1 +(1−ᾱ)x, x̄1 ∈Ω, G(x̄1 )=z̄1 , x∈Ω, G(x)=z
≤ inf (ᾱf (x̄1 ) + (1 − ᾱ)f (x))

⋖ ⋖
x̄1 ∈Ω, G(x̄1 )=z̄1 , x∈Ω, G(x)=z
= inf ᾱf (x̄1 ) + inf (1 − ᾱ)f (x)

⋖ ⋖
x̄1 ∈Ω, G(x̄1 )=z̄1 x∈Ω, G(x)=z
= ᾱ inf f (x̄1 ) + (1 − ᾱ) inf f (x)

⋖ ⋖
x̄1 ∈Ω, G(x̄1 )=z̄1 x∈Ω, G(x)=z
= ᾱω(z̄1 ) + (1 − ᾱ)ω(z)
where the second equality follows from Proposition 8.37, and the third
equality follows from Proposition 3.81. Then, ω(z) > −∞. Hence, ω(z) ∈
IR.
In both cases, we have ω(z) ∈ IR. Therefore, ω : Γ → IR is real-valued.
Let (ii) in Assumption 8.50 hold. Fix any z ∈ Γ. Then, ω(z) ≥ µ > −∞.
By the definition of Γ, we have ω(z) < +∞. Hence, ω(z) ∈ IR.
Thus, under Assumption 8.50, ω : Γ → IR is real-valued.
∀z1 , z2 ∈ Γ, ∀α ∈ [0, 1] ⊂ IR, we have
ω(αz1 + (1 − α)z2 ) = inf f (x)

⋖
x∈Ω, G(x)=αz1 +(1−α)z2
≤ inf f (x)
⋖ ⋖
x=αx1 +(1−α)x2 , x1 ∈Ω, G(x1 )=z1 , x2 ∈Ω, G(x2 )=z2
≤ inf (αf (x1 ) + (1 − α)f (x2 ))

⋖ ⋖
x1 ∈Ω, G(x1 )=z1 , x2 ∈Ω, G(x2 )=z2
= inf αf (x1 ) + inf (1 − α)f (x2 )

⋖ ⋖
x1 ∈Ω, G(x1 )=z1 x2 ∈Ω, G(x2 )=z2
= α inf f (x1 ) + (1 − α) inf f (x2 )

⋖ ⋖
x1 ∈Ω, G(x1 )=z1 x2 ∈Ω, G(x2 )=z2
= αω(z1 ) + (1 − α)ω(z2 )
where the second equality follows from Proposition 8.37, and the third
equality follows from Proposition 3.81. Hence, ω is convex.
It is obvious that ω is nonincreasing. This completes the proof of the

fact. 2
Fact 8.53 Under Assumption 8.50, we have Γconj ⊆ P ⊖ and −Γconj ⊆ P ⊕ .

⋖
Proof Since ϑZ ∈ Γ implies that ∃x1 ∈ Ω such that G(x1 ) = ϑZ , then
Γ ⊇ G(x1 ) + P . ∀z∗ ∈ Γconj, by Definition 8.27, we have
+∞ > sup(hh z∗ , z ii − ω(z)) ≥ sup (hh z∗ , z ii − ω(z))

z∈Γ z∈G(x1 )+P
≥ sup (hh z∗ , z ii − ω(G(x1 )))

z∈G(x1 )+P
= sup hh z∗ , z̄ ii + hh z∗ , G(x1 ) ii − ω(G(x1 ))

z̄∈P
where the third inequality follows from Fact 8.52, and the equality follows
from Proposition 8.37. Hence, supz=ϑ ⋗ hh z∗ , z ii < +∞. Since P is a cone,
Z
then supz=ϑ
⋗ hh z∗ , z ii = 0. This implies that z∗ ∈ P ⊖ , Γconj ⊆ P ⊖ , and
Z
−Γconj ⊆ P ⊕ . This completes the proof of the fact. 2
Fact 8.54 Let Assumption 8.50 hold. Define ω̄ : P ⊖ → IRe by
ω̄(z∗ ) = sup(hh z∗ , z ii − ω(z)); ∀z∗ ∈ P ⊖

z∈Γ
Then, supz∗ ∈Γconj −ω conj(z∗ ) = supz∗ ∈P ⊖ −ω̄(z∗ ). ∀z∗ ∈ P ⊕ , we have that
−ω̄(−z∗ ) = inf (f (x) + hh z∗ , G(x) ii) =: ϕ(z∗ )

x∈Ω
where ϕ : P ⊕ → IRe is called the dual functional.
Proof Clearly, ∀z∗ ∈ Γconj, ω̄(z∗ ) = ω conj(z∗ ) and, by the definition

of Γconj, ∀z∗ ∈ P ⊖ \ Γconj, ω̄(z∗ ) = +∞. Hence, supz∗ ∈Γconj −ω conj(z∗ ) =
supz∗ ∈P ⊖ −ω̄(z∗ ).
⋖
∀z∗ ∈ P ⊕ , −z∗ = ϑZ∗ ,
−ω̄(−z∗ ) = − sup(hh − z∗ , z ii − ω(z)) = inf (hh z∗ , z ii + ω(z))

z∈Γ z∈Γ
= inf (hh z∗ , z ii + inf f (x)) = inf inf (hh z∗ , z ii + f (x))

z∈Γ x∈Ω, G(x)=z
⋖ z∈Γ x∈Ω, G(x)=z
⋖
= inf (hh z∗ , z ii + f (x)) = inf inf (hh z∗ , z ii + f (x))

x∈Ω, z∈Γ, G(x)=z
⋖ x∈Ω z∈Γ, z =G(x)
⋗
= inf inf (hh z∗ , z ii + f (x)) = inf (f (x) + inf hh z∗ , z ii)

x∈Ω z =G(x)
⋗ x∈Ω ⋗
z =G(x)
= inf (f (x) + hh z∗ , G(x) ii)

x∈Ω
where the second equality follows from Proposition 3.81; the fourth equality
follows from Proposition 8.37; the fifth and sixth equality follows from
Proposition 8.36; and the eighth equality follows from Proposition 8.37.
The desired theory follows by applying either duality results for con-
vex functionals, which are Propositions 8.33 and 8.34. This leads to two
different regularity conditions. To apply Proposition 8.33, we assume that
Assumption 8.55 ω is lower semicontinuous at ϑZ .
To apply Proposition 8.34, we assume that
Assumption 8.56 ∃x1 ∈ Ω such that G(x1 ) ⋖ ϑZ .
Now, we state the two Lagrange duality results.
Proposition 8.57 Let X be a real vector space, Ω ⊆ X be nonempty and
convex, f : Ω → IR be a convex functional, Z be a real normed linear space
with the positive cone P ⊆ Z, G : Ω → Z be a convex mapping, and µ0 be
defined as in (8.11). Let Assumptions 8.50 and 8.55 hold. Then,
µ0 = sup inf (f (x) + hh z∗ , G(x) ii) = sup ϕ(z∗ ) (8.13)

⋗ x∈Ω ⋗
z∗ =ϑZ∗ z∗ =ϑZ∗
Furthermore, if the supremum in (8.13) is achieved at z∗0 ∈ P ⊕ , that is,
µ0 = inf (f (x) + hh z∗0 , G(x) ii) (8.14)

x∈Ω
then the following statement holds: the infimum in (8.11) is achieved at

⋖
x0 ∈ Ω with G(x0 ) = ϑZ if, and only if, the infimum in (8.14) is achieved
⋖
at x0 ∈ Ω with G(x0 ) = ϑZ and hh z∗0 , G(x0 ) ii = 0.
Proof By Facts 8.51 and 8.52, Assumption 8.55, and Proposition 8.33,
we have
µ0 = ω(ϑZ ) = sup −ω conj(z∗ )
z∗ ∈Γconj
Then, by Facts 8.53 and 8.54, we have
µ0 = sup −ω̄(z∗ ) = sup −ω̄(−z∗ ) = sup ϕ(z∗ )

z∗ ∈P ⊖ ⋗
z∗ =ϑZ∗
⋗
z∗ =ϑZ∗
Therefore, (8.13) holds.

Let the supremum in (8.13) be achieved at z∗0 ∈ P ⊕ , that is, (8.14)
holds.
⋖
If the infimum in (8.11) is achieved at x0 ∈ Ω with G(x0 ) = ϑZ , then, we
have µ0 = f (x0 ) ≥ f (x0 ) + hh z∗0 , G(x0 ) ii ≥ inf x∈Ω (f (x) + hh z∗0 , G(x) ii) =
µ0 . Hence, the infimum in (8.14) is achieved at x0 and hh z∗0 , G(x0 ) ii = 0.
On the other hand, if the infimum in (8.14) is achieved at x0 ∈ Ω with
⋖
G(x0 ) = ϑZ and hh z∗0 , G(x0 ) ii = 0, then µ0 = f (x0 ) + hh z∗0 , G(x0 ) ii =
f (x0 ). Hence, the infimum in (8.11) is achieved at x0 .
Proposition 8.58 Let X be a real vector space, Ω ⊆ X be nonempty and

with the positive cone P ⊆ Z, P ◦ 6= ∅, G : Ω → Z be a convex mapping.
Let Assumptions 8.50 and 8.56 hold. Then,
µ0 = max inf (f (x) + hh z∗ , G(x) ii) = max ϕ(z∗ ) (8.15)

z∗ =ϑZ∗ x∈Ω
⋗ ⋗
z∗ =ϑZ∗
where the maximum is achieved at z∗0 ∈ P ⊕ , that is,
µ0 = inf (f (x) + hh z∗0 , G(x) ii) (8.16)

x∈Ω
⋖
Furthermore, the infimum in (8.11) is achieved at x0 ∈ Ω with G(x0 ) =
⋖
ϑZ if, and only if, the infimum in (8.16) is achieved at x0 ∈ Ω with G(x0 ) =
ϑZ and hh z∗0 , G(x0 ) ii = 0.
Proof By Assumption 8.56, G(x1 ) ⋖ ϑZ . Then, −G(x1 ) ∈ P ◦ and

G(x1 ) + P ⊆ Γ. By Proposition 7.16, Γ◦ ⊇ G(x1 ) + P ◦ and ϑZ ∈ Γ◦ .
⋗
∀z ∈ G(x1 ) + P , we have z = G(x1 ) and, by Fact 8.52, ω(z) ≤ ω(G(x1 )).
Since G(x1 ) ⋖ ϑZ , then ∃δ ∈ (0, ∞) ⊂ IR such that BZ ( ϑZ , δ ) ⊆ G(x1 ) + P .
Take r0 := ω(G(x1 ))+δ ∈ IR. It is easy to check that BIR×Z ( ( r0 , ϑZ ) , δ ) ⊆
[ ω, Γ ]. Hence, (r0 , ϑZ ) ∈ [ ω, Γ ]◦ . By Proposition 8.22, ω is continuous at
ϑZ . By Facts 8.51 and 8.52 and Proposition 8.34, we have
µ0 = ω(ϑZ ) = max −ω conj(z∗ )

z∗ ∈Γconj
Then, by Facts 8.53 and 8.54, we have
µ0 = max⊖ −ω̄(z∗ ) = max −ω̄(−z∗ ) = max ϕ(z∗ )

z∗ ∈P ⋗
z∗ =ϑZ∗
⋗
z∗ =ϑZ∗
Therefore, (8.15) holds and the maximum is achieved at z∗0 ∈ P ⊕ .

⋖
If the infimum in (8.11) is achieved at x0 ∈ Ω with G(x0 ) = ϑZ , then, we
have µ0 = f (x0 ) ≥ f (x0 ) + hh z∗0 , G(x0 ) ii ≥ inf x∈Ω (f (x) + hh z∗0 , G(x) ii) =
µ0 . Hence, the infimum in (8.16) is achieved at x0 and hh z∗0 , G(x0 ) ii = 0.
On the other hand, if the infimum in (8.16) is achieved at x0 ∈ Ω with
⋖
G(x0 ) = ϑZ and hh z∗0 , G(x0 ) ii = 0, then µ0 = f (x0 ) + hh z∗0 , G(x0 ) ii =
f (x0 ). Hence, the infimum in (8.11) is achieved at x0 .
In the Propositions 8.57 and 8.58, z∗0 is called the Lagrange multiplier.
Assumption 8.50 guarantees that the primal functional is real-valued and
convex. Assumption 8.56 guarantees the existence of a Lagrange multi-
plier. This assumption is restrictive. On the other hand, Assumption 8.55
guarantees the duality but not the existence of a Lagrange multiplier. This
condition is more relaxed.
Corollary 8.59 Let X be a real vector space, Ω ⊆ X be nonempty and

with the positive cone P ⊆ Z, P ◦ 6= ∅, G : Ω → Z be a convex mapping. Let
⋖
Assumptions 8.50 and 8.56 hold and x0 ∈ Ω with G(x0 ) = ϑZ achieves the
⋗
infimum in (8.11). Then, there exists z∗0 ∈ Z∗ with z∗0 = ϑZ∗ such that
the Lagrangian L : Ω × P ⊕ → IR defined by
L(x, z∗ ) := f (x) + hh z∗ , G(x) ii ; ∀x ∈ Ω, ∀z∗ ∈ P ⊕
admits a saddle point at (x0 , z∗0 ), i. e.
L(x0 , z∗ ) ≤ L(x0 , z∗0 ) ≤ L(x, z∗0 ); ∀x ∈ Ω, ∀z∗ ∈ P ⊕

⋗
Proof By Proposition 8.58, there exists z∗0 ∈ Z∗ with z∗0 = ϑZ∗
such that L(x0 , z∗0 ) ≤ L(x, z∗0 ), ∀x ∈ Ω and hh z∗0 , G(x0 ) ii = 0. Then,
∀z∗ ∈ P ⊕ , we have L(x0 , z∗ ) − L(x0 , z∗0 ) = hh z∗ , G(x0 ) ii − hh z∗0 , G(x0 ) ii =
hh z∗ , G(x0 ) ii ≤ 0. Hence, the saddle point condition holds. This completes
the proof of the corollary. 2
Next, we present two sufficiency results on Lagrange multipliers.
Proposition 8.60 Let X be a real vector space, Ω ⊆ X be nonempty,

f : Ω → IR, Z be a real normed linear space with the positive cone P ⊆ Z,
G : Ω → Z.
⋗
Assume that there exist x0 ∈ Ω and z∗0 ∈ Z∗ with z∗0 = ϑZ∗ such that
f (x0 ) + hh z∗0 , G(x0 ) ii ≤ f (x) + hh z∗0 , G(x) ii ; ∀x ∈ Ω
Then,
f (x0 ) = inf f (x)
⋖
x∈Ω, G(x)=G(x0 )
⋖
Proof ∀x ∈ Ω with G(x) = G(x0 ), we have hh z∗0 , G(x) ii ≤
hh z∗0 , G(x0 ) ii, since z∗0 ∈ P ⊕ . By the assumption of the proposition,
f (x0 ) + hh z∗0 , G(x0 ) ii ≤ f (x) + hh z∗0 , G(x) ii. Then, f (x0 ) ≤ f (x). This

G : Ω → Z.
⋗
Assume that there exist x0 ∈ Ω and z∗0 ∈ Z∗ with z∗0 = ϑZ∗ such that
⊕
the Lagrangian L : Ω × P → IR given by
L(x, z∗ ) = f (x) + hh z∗ , G(x) ii ; ∀x ∈ Ω, ∀z∗ ∈ P ⊕
admits a saddle point at (x0 , z∗0 ), i. e.
L(x0 , z∗ ) ≤ L(x0 , z∗0 ) ≤ L(x, z∗0 ); ∀x ∈ Ω, ∀z∗ ∈ P ⊕

⋖
Then, G(x0 ) = ϑZ and
f (x0 ) = L(x0 , z∗0 ) = inf f (x)

⋖
x∈Ω, G(x)=ϑZ
Proof By the first inequality in the saddle-point condition, we have
hh z∗ , G(x0 ) ii ≤ hh z∗0 , G(x0 ) ii ; ∀z∗ ∈ P ⊕

⋗
∀z∗ ∈ P ⊕ , we have z∗ = ϑZ∗ and z∗ +z∗0 ≥ ϑZ∗ . Then, hh z∗ +z∗0 , G(x0 ) ii ≤
hh z∗0 , G(x0 ) ii and hh z∗ , G(x0 ) ii ≤ 0. By Proposition 8.46, G(x0 ) ∈ (−P )
⋖
and G(x0 ) = ϑZ . Furthermore, 0 = hh ϑZ∗ , G(x0 ) ii ≤ hh z∗0 , G(x0 ) ii ≤ 0
implies that hh z∗0 , G(x0 ) ii = 0.
⋖
∀x ∈ Ω with G(x) = ϑZ , we have f (x) ≥ f (x) + hh z∗0 , G(x) ii ≥ f (x0 ) +
hh z∗0 , G(x0 ) ii = f (x0 ). This completes the proof of the proposition. 2
Next, we present a result on the sensitivity of the infimization problem.

G : Ω → Z.
Let zi ∈ Z, µi = inf x∈Ω, G(x)=z
⋖ f (x), i = 0, 1. Let z∗0 ∈ P ⊕ ⊆ Z∗ be
i
the Lagrange multiplier associated with µ0 , that is
µ0 = inf (f (x) + hh z∗0 , G(x) − z0 ii)

x∈Ω
Assume that µ0 ∈ IR. Then, we have
µ1 − µ0 ≥ hh − z∗0 , z1 − z0 ii
⋖
Proof ∀x ∈ Ω with G(x) = z1 , we have µ0 ≤ f (x)+ hh z∗0 , G(x)− z0 ii,
which implies that
f (x) ≥ µ0 − hh z∗0 , G(x) − z0 ii ≥ µ0 − hh z∗0 , z1 − z0 ii
Hence, µ1 ≥ µ0 + hh − z∗0 , z1 − z0 ii. This completes the proof of the

proposition. 2
Chapter 9
Differentiation in Banach
Spaces
In this chapter, we are going to develop the concept of derivative in normed

linear spaces.
9.1 Fundamental Notion

Definition 9.1 Let X be a normed linear space over the field IK, D ⊆ X,
and x0 ∈ D. u ∈ X is said to be an admissible deviation in D at x0 if
∀ǫ ∈ (0, ∞) ⊂ IR, we have { x0 +rū | r ∈ (0, ǫ) ⊂ IR, ū ∈ B ( u, ǫ ) }∩D 6= ∅.
Let AD ( x0 ) be the set of admissible deviations in D at x0 .
Clearly, if x0 ∈ D◦ , then AD ( x0 ) = X. Another fact is that when D1 ⊆

D2 ⊆ X and x0 ∈ D1 , then AD1 ( x0 ) ⊆ AD2 ( x0 ). Yet another fact is that
when x0 ∈ D1 , D1 , D2 ⊆ X, and ∃δ ∈ (0, ∞) ⊂ IR such that D1 ∩B ( x0 , δ ) =
D2 ∩ B ( x0 , δ ), then AD1 ( x0 ) = AD2 ( x0 ).
Proposition 9.2 Let X be a normed linear space over the field IK, D ⊆ X,
and x0 ∈ D. Then, AD ( x0 ) ⊆ X is a closed cone.
Proof Clearly, if x0 ∈ D, then ϑ ∈ AD ( x0 ). On the other hand,

if x0 ∈ D \ D, then, by Proposition 4.13, x0 is an accumulation point of
D. ∀ǫ ∈ (0, ∞) ⊂ IR, ∃x̄ ∈ (B x0 , ǫ2 ∩ D) \ { x0 }. Let v := x̄ − x0 .
p
Then, δ := k v k ∈ (0, ǫ) ⊂ IR. Let v̄ := δ −1 v. Then, v̄ ∈ B ( ϑ, ǫ ) and
x̄ = x0 + δv̄ ∈ { x0 + rū | r ∈ (0, ǫ) ⊂ IR, ū ∈ B ( ϑ, ǫ ) } ∩ D 6= ∅. Hence,
ϑ ∈ AD ( x0 ). Therefore, ϑ ∈ AD ( x0 ) if x0 ∈ D.
∀u ∈ AD ( x0 ), ∀α ∈ [0, ∞) ⊂ IR, we will show that αu ∈ AD ( x0 )
by distinguishing two exhaustive and mutually exclusive cases: Case 1:
α = 0; Case 2: α > 0. Case 1: α = 0. Then, αu = ϑ ∈ AD ( x0 ).
Case 2: α > 0. ∀ǫ ∈ (0, ∞) ⊂ IR, let ǭ = min { αǫ, ǫ/α } ∈ (0, ∞) ⊂ IR.
249
250 CHAPTER 9. DIFFERENTIATION IN BANACH SPACES
By u ∈ AD ( x0 ), ∃x̄ ∈ { x0 + rū | r ∈ (0, ǭ) ⊂ IR, ū ∈ B ( u, ǭ) } ∩ D.

Hence, x̄ ∈ D and x̄ = x0 + rū = x0 + (r/α)(αū) with r ∈ (0, ǭ) ⊂ IR
and ū ∈ B ( u, ǭ). Then, r/α ∈ (0, ǫ) ⊂ IR and αū ∈ B ( αu, ǫ ). Hence,
x̄ ∈ { x0 + r̃ ũ | r̃ ∈ (0, ǫ) ⊂ IR, ũ ∈ B ( αu, ǫ ) } ∩ D 6= ∅. This implies that
αu ∈ AD ( x0 ). Hence, AD ( x0 ) is a cone.
∀u ∈ AD ( x0 ), ∀ǫ ∈ (0, ∞) ⊂ IR, by Proposition 3.3, ∃u1 ∈ AD ( x0 ) ∩
B ( u, ǫ/2 ). By u1 ∈ AD ( x0 ), ∃x̄ ∈ { x0 + rū | r ∈ (0, ǫ/2) ⊂ IR, ū ∈
B ( u1 , ǫ/2 ) } ∩ D. Then, x̄ ∈ { x0 + rū | r ∈ (0, ǫ) ⊂ IR, ū ∈ B ( u, ǫ ) } ∩ D 6=
∅. Hence, u ∈ AD ( x0 ). Then, AD ( x0 ) ⊆ AD ( x0 ) and AD ( x0 ) is closed.
Definition 9.3 Let X and Y be normed linear spaces over IK, D ⊆ X, f :

D → Y, and x0 ∈ D. Assume that span ( AD ( x0 ) ) = X. Let L ∈ B ( X, Y )
be such that ∀ǫ ∈ (0, ∞) ⊂ IR, ∃δ ∈ (0, ∞) ⊂ IR, ∀x ∈ D ∩ BX ( x0 , δ ), we
have
k f (x) − f (x0 ) − L(x − x0 ) k ≤ ǫ k x − x0 k
Then, L is called the (Fréchet) derivative of f at x0 and denoted by f (1) (x0 )
or Df (x0 ). When L exists, we will say that f is (Fréchet) differentiable at
x0 . Df or f (1) will denote
the B ( X, Y )-valued function whose domain of
definition is dom f (1) := { x ∈ D | Df (x) ∈ B ( X, Y ) exists }. If f is
differentiable at x0 , ∀x0 ∈ D, we say f is (Fréchet) differentiable. In this
case, Df : D → B ( X, Y ) or f (1) : D → B ( X, Y ).
Clearly, when X = Y = IR and D = [a, b] ⊆ X with a < b, then Df (t) is

simply the derivative of f at t ∈ [a, b], as we know before.
Definition 9.4 Let X and Y be normed linear spaces over IK, D ⊆ X,

f : D → Y, x0 ∈ D, and u ∈ AD ( x0 ). Let MD (x0 ) := { ( r, ū ) ∈
IR × X | r ∈ (0, +∞) ⊂ IR, ū ∈ X, x0 + rū ∈ D } and ḡ : MD (x0 ) → Y
be given by ḡ(r, ū) = r−1 (f (x0 + rū) − f (x0 )), ∀(r, ū) ∈ MD (x0 ). Clearly,
(0, u) is an accumulation point of MD (x0 ) since u ∈ AD ( x0 ). The di-
rectional derivative of f at x0 along u, denoted by Df (x0 ; u), is the limit
lim(r,ū)→(0,u) ḡ(r, ū), when it exists.
Clearly, the directional derivative is unique when it exists, since Y is Haus-

dorff.
Proposition 9.5 Let X and Y be normed linear spaces over IK, D ⊆ X,

f : D → Y, x0 ∈ D, span ( AD ( x0 ) ) = X, L ∈ B ( X, Y ) be the Fréchet
derivative of f at x0 , and u ∈ AD ( x0 ). Then, Df (x0 ; u) = Lu.
Proof ∀ǫ ∈ (0, ∞) ⊂ IR, let ǭ = ǫ/(2 + 2 k u k) ∈ (0, ∞) ⊂ IR. By

Df (x0 ) = L, ∃δ ∈ (0, ∞) ⊂ IR such that k f (x) − f (x0 ) − L(x − x0 ) k ≤
ǭ k x − x0 k, ∀x ∈ BX ( x0 , δ ) ∩ D. Let MD (x0 ) and ḡ : MD (x0 ) → Y be as
defined in Definition 9.4. Let δ̄ = min { ǫ/(2 + 2 k L k), δ/(1 + k u k), 1 } ∈
9.1. FUNDAMENTAL NOTION 251

(0, ∞) ⊂ IR. ∀(r, ū) ∈ MD (x0 ) ∩ BIR×X ( 0, u ) , δ̄ \ { (0, u) }, we have
x̄ := x0 + rū ∈ D ∩ BX ( x0 , δ ). This implies that
k ḡ(r, ū) − Lu k = k f (x0 + rū) − f (x0 ) − rLu k /r

= k f (x̄) − f (x0 ) − L(x̄ − x0 ) + rL(ū − u) k /r
≤ k f (x̄) − f (x0 ) − L(x̄ − x0 ) k /r + k L(ū − u) k
≤ ǭ k x̄ − x0 k /r + k L k k (ū − u) k = ǭ k ū k + k L k k ū − u k
≤ ǭ(k u k + k ū − u k) + k L k k ū − u k ≤ ǭ(k u k + δ̄) + k L k δ̄
< ǫ
where the second inequality follows from Proposition 7.64. Hence, we have
Df (x0 ; u) = lim(r,ū)→(0,u) ḡ(r, ū) = Lu. This completes the proof of the
proposition. 2

f : D → Y, x0 ∈ D, and span ( AD ( x0 ) ) = X. Then, f has at most one
derivative at x0 .
Proof We will prove the result by an argument of contradiction.

Suppose, ∃L1 , L2 ∈ B ( X, Y ) with L1 6= L2 such that L1 and L2 are
derivatives of f at x0 . By span ( AD ( x0 ) ) = X and Proposition 3.56,
∃ū ∈ span ( AD ( x0 ) ) such that L1 ū 6= L2 ū. Since L1 and L2 are lin-
ear, then ∃u0 ∈ AD ( x0 ) such that L1 u0 6= L2 u0 . By Proposition 9.5,
Df (x0 ; u0 ) = L1 u0 = L2 u0 . This is a contradiction. Hence, the result
holds. This completes the proof of the proposition. 2

f : D → Y, x0 ∈ D, and span ( AD ( x0 ) ) = X. Assume that Df (x0 ) ∈
B ( X, Y ) exists, then f is continuous at x0 .
Definition 9.8 Let X be a set, Y and Z be normed linear spaces over

IK, D ⊆ X × Y, f : D → Z, and (x0 , y0 ) ∈ D. f is said to be partial
(Fréchet) differentiable with respect to y at (x0 , y0 ) if g : D1 → Z given
by g(y) = f (x0 , y), ∀y ∈ D1 , where D1 := { y ∈ Y | (x0 , y) ∈ D }, is
differentiable at y0 . Dg(y0 ) ∈ B ( Y, Z ) is called the partial derivative of f
with respect to y at (x0 , y0 ) and is denoted by ∂f ∂f
∂y (x0 , y0 ). ∂y will denote

the B ( Y, Z )-valued function whose domain of definition is dom ∂f ∂y :=
n o
∂f ∂f
(x, y) ∈ D ∂y (x, y) ∈ B ( Y, Z ) exists . When dom ∂y = D, we say
that f is partial differentiable with respect to y.
For notational simplicity, we will adopt the “matrix” notation for our
later developments. Let X1 , . . . , Xn be normed linear spaces over IK, n ∈ IN.
For a vector (x1 , . . . , xn ) ∈ X1 × · · · × Xn , we will use the notation of a

column vector  
x1
 .. 
 . 
xn
to alternatively denote it. Let Y1 , . . . , Ym be normed linear spaces over IK,
m ∈ IN. ∀L ∈ B ( X1 × · · · × Xn , Y1 × · · · × Ym ) can be equivalently written
as  
L11 · · · L1n
 .. .. 
 . . 
Lm1 · · · Lmn
where Lij ∈ B ( Xj , Yi ). Then, (y1 , . . . , ym ) = L(x1 , . . . , xn ) can be equiva-
lently expressed as
      Pn 
y1 L11 · · · L1n x1 j=1 L1j xj
 ..   .. ..   ..  =  .. 
 . = . .  .   P . 
n
ym Lm1 · · · Lmn xn j=1 Lmj xj
Let Z1 , . . . , Zp be normed linear spaces over IK, p ∈ IN, and L̄ ∈ B ( Y1 ×

· · · × Ym , Z1 × · · · × Zp ) be given by
 
L̄11 · · · L̄1m
 .. .. 
 . . 
L̄p1 · · · L̄pm
Then, L̄L ∈ B ( X1 × · · · × Xn , Z1 × · · · × Zp ) and

  
L̄11 · · · L̄1m L11 · · ·
L1n
 .. .  
..   ... .. 
L̄L =  . . 
L̄p1 · · · L̄pm Lm1 · · · Lmn
 Pm Pm 
j=1 L̄1j Lj1 ··· j=1 L̄1j Ljn
 .. .. 
=  . . 
Pm Pm
j=1 L̄pj Lj1 ··· j=1 L̄pj Ljn
It is easy to show that the adjoint of L is

 ∗ 
L11 · · · L∗m1
 .. 
L∗ =  ... . 
L∗1n · · · L∗mn
Proposition 9.9 Let X, Y, and Z be normed linear spaces over IK, D ⊆
X × Y, f : D → Z, and (x0 , y0 ) ∈ D. Assume Df (x0 , y0 ) ∈ B ( X × Y, Z ) ex-

ists. Let Dx0 := { y ∈ Y | (x0 , y) ∈ D }. Assume that span ADx0 ( y0 ) =
9.1. FUNDAMENTAL NOTION 253
Y. Then, f is partial differentiable with respect to y at (x0 , y0 ) and

∂f
∈ B ( Y, Z ) is given by ∂f
∂y (x0 , y0 ) ∂y (x0 , y0 )(k) = Df (x0 , y0 )(ϑX , k), ∀k ∈ Y.

Let Dy0 := { x ∈ X | (x, y0 ) ∈ D }. Assume that span ADy0 ( x0 ) =
X. By symmetry, f is partial differentiable with respect to x at (x0 , y0 )
and ∂f ∂f
∂x (x0 , y0 ) ∈ B ( X, Z ) is given by ∂x (x0 , y0 )(h) = Df (x0 , y0 )(h, ϑY ),
∀h ∈ X. h i
∂f ∂f
Hence, we have Df (x0 , y0 ) = ∂x (x 0 , y 0 ) ∂y (x0 , y 0 ) in “matrix”
notation.
Proof Let ḡ : Dx0 → Z be given by ḡ(y) = f (x0 , y), ∀y ∈ Dx0 .

Clearly y0 ∈ Dx0 . By the fact that f is differentiable at (x0 , y0 ), then
∀ǫ ∈ (0, ∞) ⊂ IR, ∃δ ∈ (0, ∞) ⊂ IR, ∀(x, y) ∈ D ∩ BX×Y ( ( x0 , y0 ) , δ ), we
have k f (x, y)− f (x0 , y0 )− Df (x0 , y0 )(x− x0 , y − y0 ) k ≤ ǫ k (x− x0 , y − y0 ) k.
Then, ∀y ∈ Dx0 ∩ BY ( y0 , δ ), we have (x0 , y) ∈ D ∩ BX×Y ( ( x0 , y0 ) , δ ) and
ǫ k y − y0 k ≥ k f (x0 , y) − f (x0 , y0 ) − Df (x0 , y0 )(ϑX , y − y0 ) k = k ḡ(y) −
ḡ(y0 ) − Df (x0 , y0 )(ϑX , y − y0 ) k. Let L : Y → Z be given by L(k) =
Df (x0 , y0 )(ϑX , k), ∀k ∈ Y. Clearly, L is a linear operator. Note that
kLk = sup k Lk k = sup k Df (x0 , y0 )(ϑX , k) k

k∈Y, kkk≤1 k∈Y, kkk≤1
≤ sup k Df (x0 , y0 ) k k (ϑX , k) k ≤ k Df (x0 , y0 ) k < +∞

k∈Y, kkk≤1
where the first inequality follows from Proposition 7.64 and the last in-
equality follows from the fact that Df (x0 , y0 ) ∈ B ( X × Y, Z ). Hence,
L ∈ B ( Y, Z ). Then, k ḡ(y) − ḡ(y0 ) − L(y − y0 ) k ≤ ǫ k y − y0 k, ∀y ∈
Dx0 ∩ BY ( y0 , δ ). This implies that Dḡ(y0 ) = L. By Definition 9.8,
∂f
∂y (x0 , y0 ) = L.
By symmetry, f is partial differentiable with respect to x at (x0 , y0 )
and ∂f ∂f
∂x (x0 , y0 ) ∈ B ( X, Z ) is given by ∂x (x0 , y0 )(h) = Df (x0 , y0 )(h, ϑY ),
∀h ∈ X.
Note that, ∀h ∈ X and ∀k ∈ Y,
∂f ∂f
Df (x0 , y0 )(h, k) = (x0 , y0 )(h) + (x0 , y0 )(k)
∂x ∂y
Then,
h i h
h ∂f ∂f
Df (x0 , y0 )
k
= ∂x (x0 , y0 ) ∂y (x0 , y0 ) k
Hence, the desired “matrix” notation follows. This completes the proof of
the proposition. 2
9.2 The Derivatives of Some Common Func-

tions
f : D → Y, x0 ∈ D, and span ( AD ( x0 ) ) = X. Assume that ∃δ0 ∈ (0, ∞) ⊂
IR and ∃y0 ∈ Y such that f (x) = y0 , ∀x ∈ D ∩ BX ( x0 , δ0 ). Then, f is
Fréchet differentiable at x0 and Df (x0 ) = ϑB(X,Y) .
Proposition 9.11 Let X and Y be normed linear spaces over IK, x0 ∈

D2 ⊆ D1 ⊆ X, and f : D1 → Y. If f is Fréchet differentiable at x0 and
span ( AD2 ( x0 ) ) = X, then g := f |D2 is Fréchet differentiable at x0 and
Dg(x0 ) = Df (x0 ). On the other hand, if g is Fréchet differentiable at x0
and ∃δ0 ∈ (0, ∞) ⊂ IR such that D1 ∩ BX ( x0 , δ0 ) = D2 ∩ BX ( x0 , δ0 ), then
f is Fréchet differentiable at x0 and Df (x0 ) = Dg(x0 ).
Proposition 9.12 Let X be a normed linear space over IK, and f : X → X

be given by f = idX , that is f (x) = x, ∀x ∈ X. Then, f is Fréchet
differentiable and Df (x)(h) = h, ∀x ∈ X and ∀h ∈ X. Then, Df (x) = idX ,
∀x ∈ X.
Proposition 9.13 Let X and Y be normed linear spaces over IK, and
f : X × Y → X be given by f = πX , that is f (x, y) = x, ∀(x, y) ∈
X × Y. Then, f is Fréchet differentiable and Df (x, y)(h, k) = h, ∀(x, y) ∈
h × Y and ∀(h, k)
X i ∈ X × Y. In “matrix” notation, we have Df (x, y) =
idX ϑB(Y,X) , ∀(x, y) ∈ X × Y.
Proposition 9.14 Let X be a normed linear space over IK, f : X × X → X

be given by f (x1 , x2 ) = x1 + x2 , ∀(x1 , x2 ) ∈ X × X. Then, f is Fréchet
differentiable and Df : X × X → B ( X × X, X ) is given by ∀(x1 , x2 ) ∈ X × X,
∀(h1 , h2 ) ∈ X × X, Df (x1 , x2 )(h1 , h2 ) = h1 + h2 . In “matrix” notation, we
have Df (x1 , x2 ) = idX idX .
Proof ∀(x1 , x2 ) ∈ X × X, let L : X × X → X be given by L(h1 , h2 ) =

h1 + h2 , ∀(h1 , h2 ) ∈ X × X. Clearly, L is a linear operator. Note that
kLk = sup ‚ ‚
k L(h1 , h2 ) k
‚ ‚
(h1 ,h2 )∈X×X, ‚(h1 ,h2 )‚≤1
9.2. THE DERIVATIVES OF SOME COMMON FUNCTIONS 255
≤ sup‚ ‚
k h1 k + k h2 k
‚ ‚
(h1 ,h2 )∈X×X, ‚(h1 ,h2 )‚≤1
√ 2 2
1/2 √
≤ sup‚ ‚
2 k h1 k + k h2 k ≤ 2
‚ ‚
(h1 ,h2 )∈X×X, ‚(h1 ,h2 )‚≤1
where the second inequality follows from Cauchy-Schwarz Inequality. Hence,

L ∈ B ( X × X, X ).
Clearly, AX×X ( x1 , x2 ) = X×X since (x1 , x2 ) ∈ ( X×X )◦ . ∀ǫ ∈ (0, ∞) ⊂
IR, set δ = 1 ∈ IR, ∀(x̄1 , x̄2 ) ∈ (X × X) ∩ BX×X ( ( x1 , x2 ) , δ ), we have
k f (x̄1 , x̄2 )−f (x1 , x2 )−L(x̄1 −x1 , x̄2 −x2 ) k = 0 ≤ ǫ k (x̄1 −x1 , x̄2 −x2 ) k. By
Definition 9.3, Df (x1 , x2 ) = L. This completes the proof of the proposition.
2

f1 : D → Y, f2 : D → Y, x0 ∈ D, α1 , α2 ∈ IK, and g : D → Y be given
(1) (1)
by g(x) = α1 f1 (x) + α2 f2 (x), ∀x ∈ D. Assume that f1 (x0 ) and f2 (x0 )
(1)
exist. Then, g is Fréchet differentiable at x0 and g (1) (x0 ) = α1 f1 (x0 ) +
(1)
α2 f2 (x0 ).
(1) (1)
Proof Define L := α1 f1 (x0 ) + α2 f2 (x0 ) ∈ B ( X, Y ). By assump-
tion, span ( AD ( x0 ) ) = X. ∀ǫ ∈ (0, ∞) ⊂ IR, by the differentiability of
f 1 at x0 , ∃δ1 ∈ (0, ∞) ⊂ IR such that ∀x ∈ D ∩ BX ( x0 , δ1 ), we have
(1)
f1 (x) − f1 (x0 ) − f1 (x0 )(x − x0 ) ≤ ǫ k x − x0 k. By the differentiability
f2 at x0 , ∃δ2 ∈ (0, ∞) ⊂ IR such
of that ∀x ∈ D ∩ BX ( x0 , δ2 ), we have
(1)
f2 (x)−f2 (x0 )−f2 (x0 )(x−x0 ) ≤ ǫ k x−x0 k. Let δ := min { δ1 , δ2 } > 0.
∀x ∈ D ∩ BX ( x0 , δ ), we have
k g(x) − g(x0 ) − L(x − x0 ) k

(1)
= α1 (f1 (x) − f1 (x0 ) − f1 (x0 )(x − x0 )) + α2 (f2 (x) − f2 (x0 ) −
(1)
f2 (x0 )(x − x0 )) ≤ (| α1 | + | α2 |)ǫ k x − x0 k
Hence, g (1) (x0 ) = L. This completes the proof of the proposition. 2
Proposition 9.16 Let X be a normed linear space over IK, f : IK × X → X

be given by f (α, x) = αx, ∀(α, x) ∈ IK×X. Then, f is Fréchet differentiable
and Df : IK×X → B ( IK×X, X ) is given by ∀(α, x)∈ IK×X, ∀(d,
h) ∈ IK×X,
Df (α, x)(d, h) = αh + dx. Thus, Df (α, x) = x αidX in “matrix”
notation.
Proof ∀(α, x) ∈ IK × X, let L : IK × X → X be given by L(d, h) =

αh + dx, ∀(d, h) ∈ IK × X. Clearly, L is a linear operator. Note that
kLk = sup‚ ‚
k L(d, h) k
‚ ‚
(d,h)∈IK×X, ‚(d,h)‚≤1
≤ sup‚ ‚
|α| khk + |d| kxk
‚ ‚
(d,h)∈IK×X, ‚(d,h)‚≤1
1/2 1/2
2 2 2 2
≤ sup‚ ‚
|α| + kxk |d| + khk
‚ ‚
(d,h)∈IK×X, ‚(d,h)‚≤1
≤ k ( α, x ) k < +∞
where the second inequality follows from Cauchy-Schwarz Inequality. Hence,

L ∈ B ( IK × X, X ).
Clearly, AIK×X ( α, x ) = IK × X since (α, x) ∈ ( IK × X )◦ . ∀ǫ ∈ (0, ∞) ⊂
IR, set δ = 2ǫ ∈ (0, ∞) ⊂ IR, ∀(ᾱ, x̄) ∈ (IK × X) ∩ BIK×X ( ( α, x ) , δ ), we have
k f (ᾱ, x̄) − f (α, x) − L(ᾱ − α, x̄ − x) k

= k ᾱx̄ − αx − α(x̄ − x) − (ᾱ − α)x k = k (ᾱ − α)(x̄ − x) k
1 1
≤ (| ᾱ − α |2 + k x̄ − x k2 ) = k ( ᾱ − α, x̄ − x ) k2
2 2
≤ ǫ k ( ᾱ − α, x̄ − x ) k
By Definition 9.3, Df (α, x) = L. This completes the proof of the proposi-

tion. 2
In the previous proposition, we have abuse the notation using the “ma-
trix” notation that we identify xd as dx.
To state the next proposition, we will introduce a new notation. Let A ∈
B ( X, Y ) and B ∈ B ( Y, Z ), where X, Y, and Z are normed linear spaces over
IK. Clearly, f (A, B) := BA ∈ B ( X, Z ). Let g(A) : B ( Y, Z ) → B ( X, Z )
be given by g(A)(B) = BA, ∀B ∈ B ( Y, Z ). Clearly, g(A) is a bounded
linear operator. It is easy to see that g : B ( X, Y ) → B ( B ( Y, Z ) , B ( X, Z ) )
is a bounded linear operator with k g k ≤ 1. This operator g is needed in
compact “matrix” notation for many linear operators. We will use the ro
to denote g for any normed linear spaces X, Y, and Z. The meaning of ro
is “right operate”. For x ∈ X, we will identify X with B ( IR, X ) and write
ro(x)(A) = Ax.
This brings us to the next proposition.
Proposition 9.17 Let X and Y be normed linear spaces over IK, f :

B ( X, Y ) × X → Y be given by f (A, x) = Ax, ∀(A, x) ∈ B ( X, Y ) × X. Then,
f is Fréchet differentiable and Df : B ( X, Y ) × X → B ( B ( X, Y ) × X, Y ) is
given by ∀(A, x) ∈ B ( X, Y ) × X, ∀(∆, h) ∈ B (X, Y ) × X, Df
(A, x)(∆, h) =
Ah + ∆x. In “matrix” notation, Df (A, x) = ro(x) A .
Proof ∀(A, x) ∈ B ( X, Y ) × X, let L : B ( X, Y ) × X → Y be given by

L(∆, h) = Ah + ∆x, ∀(∆, h) ∈ B ( X, Y ) × X. Clearly, L is a linear operator.
Note that
kLk = sup ‚ ‚
k L(∆, h) k
‚ ‚
(∆,h)∈B(X,Y)×X, ‚(∆,h)‚≤1
9.3. CHAIN RULE AND MEAN VALUE THEOREM 257
≤ sup ‚ ‚
kAk khk + k∆k kxk
‚ ‚
(∆,h)∈B(X,Y)×X, ‚(∆,h)‚≤1
1/2 1/2
2 2 2 2
≤ sup ‚ ‚
kAk + kxk k∆k + khk
‚ ‚
(∆,h)∈B(X,Y)×X, ‚(∆,h)‚≤1
≤ k ( A, x ) k < +∞
where the first inequality follows from Proposition 7.64, and the second in-
equality follows from Cauchy-Schwarz Inequality. Hence, L ∈ B ( B ( X, Y )×
X, Y ).
Clearly, AB(X,Y)×X ( A, x ) = B ( X, Y ) × X since (A, x) ∈ ( B ( X, Y ) ×
◦
X ) = B ( X, Y ) × X. ∀ǫ ∈ (0, ∞) ⊂ IR, set δ = 2ǫ ∈ (0, ∞) ⊂ IR, ∀(Ā, x̄) ∈
(B ( X, Y ) × X) ∩ BB(X,Y)×X ( ( A, x ) , δ ), we have

f (Ā, x̄) − f (A, x) − L(Ā − A, x̄ − x)

= Āx̄ − Ax − A(x̄ − x) − (Ā − A)x = (Ā − A)(x̄ − x)
1 2 2 1 2
≤ ( Ā − A + k x̄ − x k ) = Ā − A, x̄ − x
2 2
≤ ǫ Ā − A, x̄ − x
where the first inequality follows from Proposition 7.64. By Definition 9.3,
Df (A, x) = L. This completes the proof of the proposition. 2
9.3 Chain Rule and Mean Value Theorem

Theorem 9.18 (Chain Rule) Let X, Y, and Z be normed linear spaces
over IK, Dx ⊆ X, Dy ⊆ Y, f : Dx → Dy , g : Dy → Z, x0 ∈ Dx ,
y0 := f (x0 ) ∈ Dy , and h := g ◦ f : Dx → Z. Assume that f is Fréchet
differentiable at x0 with Df (x0 ) ∈ B ( X, Y ) and g is Fréchet differen-
tiable at y0 with Dg(y0 ) ∈ B ( Y, Z ). Then, h is differentiable at x0 and
Dh(x0 ) ∈ B ( X, Z ) is given by
Dh(x0 ) = Dg(f (x0 )) ◦ Df (x0 ) = Dg(y0 )Df (x0 )
Proof Define L : X → Z by, ∀x̄ ∈ X, L(x̄) = Dg(y0 )Df (x0 )x̄ =
Dg(y0 )(Df (x0 )(x̄)). Clearly, L is a linear operator and, by Proposition 7.64,
L ∈ B ( X, Z ). p
∀ǫ ∈ (0, ∞) ⊂ IR, let ǭ = ( 4ǫ + (k Df (x0 ) k + k Dg(y0 ) k)2 −k Df (x0 ) k−
k Dg(y0 ) k)/2 ∈ (0, ∞) ⊂ IR. By the fact that Dg(y0 ) ∈ B ( Y, Z ),
∃δ1 ∈ (0, ∞) ⊂ IR such that ∀y ∈ Dy ∩ BY ( y0 , δ1 ), we have
k g(y) − g(y0 ) − Dg(y0 )(y − y0 ) k ≤ ǭ k y − y0 k
By the fact that Df (x0 ) ∈ B ( X, Y ), we have span ( ADx ( x0 ) ) = X and
∃δ2 ∈ (0, δ1 /(ǭ + k Df (x0 ) k)] ⊂ IR such that ∀x ∈ Dx ∩ BX ( x0 , δ2 ), we have
k f (x) − f (x0 ) − Df (x0 )(x − x0 ) k ≤ ǭ k x − x0 k
Then, by Proposition 7.64, k f (x) − y0 k = k f (x) − f (x0 ) k ≤ ǭ k x − x0 k +

k Df (x0 ) k k x − x0 k ≤ (ǭ + k Df (x0 ) k) k x − x0 k < δ1 . This implies that
f (x) ∈ Dy ∩ BY ( y0 , δ1 ). Then, we have
k h(x) − h(x0 ) − L(x − x0 ) k = k g(f (x)) − g(y0 ) − L(x − x0 ) k

≤ k g(f (x)) − g(y0 ) − Dg(y0 )(f (x) − y0 ) k +
k Dg(y0 ) ( f (x) − f (x0 ) − Df (x0 )(x − x0 ) ) k
≤ ǭ k f (x) − y0 k + k Dg(y0 ) k k f (x) − f (x0 ) − Df (x0 )(x − x0 ) k
≤ ǭ (ǭ + k Df (x0 ) k) k x − x0 k + ǭ k Dg(y0 ) k k x − x0 k
= ǭ (ǭ + k Df (x0 ) k + k Dg(y0 ) k) k x − x0 k = ǫ k x − x0 k
where the second inequality follows from Proposition 7.64. By Defini-

tion 9.3, Dh(x0 ) = L. This completes the proof of the proposition. 2

X, f1 : D → Y, f2 : D → Z, x0 ∈ D, and g : D → Y × Z be given by g(x) =
(f1 (x), f2 (x)), ∀x ∈ D. Then, the following statement holds. g is Fréchet
differentiable at x0 if, and only if, f1 and f2 are Fréchet differentiable at x0 .
In this case, Dg(x0 )(h)
= (Df1 (x0 )(h), Df2 (x0 )(h)), ∀h ∈ X. In “matrix”
Df1 (x0 )
notation, Dg(x0 ) = .
Df2 (x0 )
Proof “Sufficiency” By the differentiability of f1 and f2 at x0 , we

have span ( AD ( x0 ) ) = X. Define L : X → Y × Z by, ∀h ∈ X, L(h) =
(Df1 (x0 )(h), Df2 (x0 )(h)). Clearly, L is a linear operator. Note that
kLk = sup k L(h) k

h∈X, khk≤1
q
2 2
= sup k Df1 (x0 )(h) k + k Df2 (x0 )(h) k
h∈X, khk≤1
q
2 2 2 2
≤ sup k Df1 (x0 ) k k h k + k Df2 (x0 ) k k h k
h∈X, khk≤1
q
2 2
≤ k Df1 (x0 ) k + k Df2 (x0 ) k < +∞
where the first inequality follows from Proposition 7.64 and the last in-
equality follows from the fact Df1 (x0 ) ∈ B ( X, Y ) and Df2 (x0 ) ∈ B ( X, Z ).
Hence, L ∈ B ( X, Y × Z ).
Since f1 and f2 are differentiable at x0 , then, ∀ǫ ∈ (0, ∞) ⊂ IR, ∃δ1 ∈
(0, ∞) ⊂ IR such that ∀x √ ∈ D ∩ BX ( x0 , δ1 ), we have k f1 (x) − f1 (x0 ) −
Df1 (x0 )(x − x0 ) k ≤ ǫ/ 2 k x − x0 k; ∃δ2 ∈ (0, ∞) ⊂ IR such√that ∀x ∈
D∩BX ( x0 , δ2 ), we have k f2 (x)−f2 (x0 )−Df2 (x0 )(x−x0 ) k ≤ ǫ/ 2 k x−x0 k.
Let δ = min { δ1 , δ2 } ∈ (0, ∞) ⊂ IR. ∀x ∈ D ∩ BX ( x0 , δ ), we have
k g(x) − g(x0 ) − L(x − x0 ) k

= k (f1 (x), f2 (x)) − (f1 (x0 ), f2 (x0 )) −

(Df1 (x0 )(x − x0 ), Df2 (x0 )(x − x0 )) k
= k (f1 (x) − f1 (x0 ) − Df1 (x0 )(x − x0 ), f2 (x) −
f2 (x0 ) − Df2 (x0 )(x − x0 )) k
2
= k f1 (x) − f1 (x0 ) − Df1 (x0 )(x − x0 ) k +
2 1/2
k f2 (x) − f2 (x0 ) − Df2 (x0 )(x − x0 ) k
≤ ǫ k x − x0 k
Hence, g is differentiable at x0 and Dg(x0 ) = L.
“Necessity” By the differentiability of g at x0 , we have span ( AD ( x0 ) ) =
X. Note that f1 = πY ◦g. By Chain Rule and Proposition 9.13, f1 is Fréchet
differentiable at x0 and
h i
Df1 (x0 ) = idY ϑB(Z,Y) Dg(x0 )
By symmetry, f2 is Fréchet differentiable at x0 and

h i
Df2 (x0 ) = ϑB(Y,Z) idZ Dg(x0 )

Df1 (x0 )
Then, Dg(x0 ) = .
Df2 (x0 )
Theorem 9.20 (Mean Value Theorem) Let X be a real normed linear
space, D ⊆ X, f : D → IR, x1 , x2 ∈ D, and ϕ : [0, 1] → D be given by
ϕ(t) = tx1 + (1 − t)x2 , ∀t ∈ I := [0, 1] ⊂ IR. Assume that f is continuous
at ϕ(t), ∀t ∈ I and f is Fréchet differentiable at ϕ(t), ∀t ∈ I ◦ . Then, there
exists t0 ∈ I ◦ such that
f (x1 ) − f (x2 ) = Df (ϕ(t0 ))(x1 − x2 )
Proof By Propositions 9.19, 9.16, and 9.15 and Chain Rule, ϕ is
Fréchet differentiable and Dϕ(t)(h) = h(x1 −x2 ), ∀h ∈ IR, ∀t ∈ I. Define g :
I → IR by g(t) = f (ϕ(t)), ∀t ∈ I. By Chain Rule, g is Fréchet differentiable
at t, ∀t ∈ I ◦ and Dg(t)(h) = Df (ϕ(t))(Dϕ(t)(h)) = hDf (ϕ(t))(x1 − x2 ),
∀h ∈ IR, ∀t ∈ I ◦ . Then, Dg(t) = Df (ϕ(t))(x1 − x2 ), ∀t ∈ I ◦ . By Propo-
sition 3.12, g is continuous. By Mean Value Theorem (Bartle, 1976, see
Theorem 27.6), we have
f (x1 ) − f (x2 ) = g(1) − g(0) = Dg(t0 )(1 − 0)
= Df (t0 x1 + (1 − t0 )x2 )(x1 − x2 )
for some t0 ∈ I ◦ . This completes the proof of the theorem. 2
Toward a general Mean Value Theorem for vector-valued functions on
possibly complex normed linear spaces, we present the following two lem-
mas.
Lemma 9.21 Let D := { a + i0 | a ∈ I := [0, 1] ⊂ IR } ⊂ C, x0 :=

xr + ixi ∈ D, where xr ∈ I and xi = 0, f : D → C be Fréchet differentiable
at x0 , Df (x0 ) = dr + idi ∈ C, where dr , di ∈ IR, and g : I → IR be given by
g(t) = Re ( f (t + i0) ), ∀t ∈ I. Then, g is Fréchet differentiable at xr and
Dg(xr ) = dr = Re ( Df (x0 ) ) ∈ IR.
Proof Note that span ( AI ( xr ) ) = IR. ∀ǫ ∈ (0, ∞) ⊂ IR, by the

differentiability of f at x0 , ∃δ ∈ (0, ∞) ⊂ IR such that ∀x̄ = x̄r + ix̄i ∈
D ∩ BC ( x0 , δ ), we have | f (x̄) − f (x0 ) − Df (x0 )(x̄ − x0 ) | ≤ ǫ | x̄ − x0 |. Note
that x̄r ∈ I and x̄i = 0. Then, the above implies that | (Re ( f (x̄r ) ) −
Re ( f (xr ) ) − (x̄r − xr )dr ) + i(Im ( f (x̄r ) ) − Im ( f (xr ) ) − (x̄r − xr )di ) | ≤
ǫ | x̄r − xr |. This further implies that | Re ( f (x̄r ) ) − Re ( f (xr ) ) − (x̄r −
xr )dr | ≤ ǫ | x̄r − xr |. Then, ∀t ∈ I ∩ BIR ( xr , δ ), x̄ := t + i0 ∈ D ∩ BC ( x0 , δ )
and | g(t) − g(xr ) − (t − xr )dr | ≤ ǫ | t − xr |. Hence, Dg(xr ) = dr . This
completes the proof of the lemma. 2
Lemma 9.22 Let D := { a + i0 | a ∈ I := [0, 1] ⊂ IR } ⊂ C, f : D → C be

continuous, f be Fréchet differentiable at a + i0, ∀a ∈ I ◦ . Then, ∃t0 ∈ I ◦
such that Re ( f (1) − f (0) ) = Re ( Df (t0 ) ).
Proof Let g : I → IR be given by g(t) = Re ( f (t + i0) ), ∀t ∈ I.

Clearly, g is continuous since f is continuous. By Lemma 9.21, g is Fréchet
differentiable at t, ∀t ∈ I ◦ , and Dg(t) = Re ( Df (t + i0) ), ∀t ∈ I ◦ . By
Mean Value Theorem (Bartle, 1976, see Theorem 27.6), ∃t0 ∈ I ◦ such
that g(1) − g(0) = Dg(t0 ) = Re ( Df (t0 + i0) ). Then, Re ( f (1) − f (0) ) =
g(1) − g(0) = Re ( Df (t0 + i0) ) = Re ( Df (t0 ) ). This completes the proof of
the lemma. 2
Theorem 9.23 (Mean Value Theorem) Let X and Y be normed linear

spaces over IK, D ⊆ X, f : D → Y, x1 , x2 ∈ D, and the line segment
connecting x1 and x2 be contained in D. Assume that f is continuous at
x = tx1 + (1 − t)x2 , ∀t ∈ I := [0, 1] ⊂ IR and Df (x) ∈ B ( X, Y ) exists at
x = tx1 + (1 − t)x2 , ∀t ∈ I ◦ . Then, ∃t0 ∈ I ◦ such that k f (x1 ) − f (x2 ) k ≤
k Df (t0 x1 + (1 − t0 )x2 )(x1 − x2 ) k.

cases: Case 1: f (x1 ) = f (x2 ); Case 2: f (x1 ) 6= f (x2 ) and IK = IR; Case 3:
f (x1 ) 6= f (x2 ) and IK = C. Case 1: f (x1 ) = f (x2 ). Take t0 to be any point
in I ◦ . The desired result follows.
Case 2: f (x1 ) 6= f (x2 ) and IK = IR. By Proposition 7.85, ∃y∗ ∈ Y∗
with k y∗ k = 1 such that hh y∗ , f (x1 ) − f (x2 ) ii = k f (x1 ) − f (x2 ) k. Define
ϕ : I → D by ϕ(t) = tx1 + (1 − t)x2 , ∀t ∈ I. By Propositions 9.19, 9.16, and
9.15 and Chain Rule, ϕ is Fréchet differentiable. Define g : I → IR by g(t) =
hh y∗ , f (ϕ(t)) ii, ∀t ∈ I. By Proposition 3.12, g is continuous. By Chain
Rule and Propositions 9.17 and 9.19, g is Fréchet differentiable at t, ∀t ∈
I ◦ , and Dg(t)(d) = hh y∗ , Df (ϕ(t))(Dϕ(t)(d)) ii = hh y∗ , Df (ϕ(t))(d (x1 −
x2 )) ii = hh y∗ , Df (ϕ(t))(x1 − x2 ) ii d, ∀d ∈ IR and ∀t ∈ I ◦ . Hence, Dg(t) =

hh y∗ , Df (ϕ(t))(x1 − x2 ) ii, ∀t ∈ I ◦ . By Mean Value Theorem (Bartle, 1976,
see Theorem 27.6), there exists t0 ∈ I ◦ such that g(1) − g(0) = Dg(t0 ).
Then, we have k f (x1 ) − f (x2 ) k = hh y∗ , f (x1 ) − f (x2 ) ii = g(1) − g(0) =
Dg(t0 ) ≤ | Dg(t0 ) | = | hh y∗ , Df (ϕ(t0 ))(x1 − x2 ) ii | ≤ k Df (ϕ(t0 ))(x1 − x2 ) k,
where the last inequality follows from Proposition 7.72. The desired result
follows.
Case 3: f (x1 ) 6= f (x2 ) and IK = C. By Proposition 7.85, ∃y∗ ∈ Y∗
with k y∗ k = 1 such that hh y∗ , f (x1 ) − f (x2 ) ii = k f (x1 ) − f (x2 ) k. Let
D̄ := { a + i0 | a ∈ I } ⊂ C. Define ϕ : D̄ → D by ϕ(t) = tx1 + (1 − t)x2 ,
∀t ∈ D̄. By Propositions 9.19, 9.16, and 9.15 and Chain Rule, ϕ is Fréchet
differentiable and Dϕ(t)(d) = d (x1 − x2 ), ∀d ∈ C and ∀t ∈ D̄. Define
g : D̄ → C by g(t) = hh y∗ , f (ϕ(t)) ii, ∀t ∈ D̄. By Proposition 3.12, g is
continuous. By Chain Rule and Propositions 9.17 and 9.19, g is Fréchet
differentiable at a + i0, ∀a ∈ I ◦ , and Dg(a + i0)(d) = hh y∗ , Df (ϕ(a +
i0))(Dϕ(a+i0)(d)) ii = hh y∗ , Df (ϕ(a))(d (x1 −x2 )) ii = hh y∗ , Df (ϕ(a))(x1 −
x2 ) ii d, ∀d ∈ C and ∀a ∈ I ◦ . Hence, Dg(a + i0) = hh y∗ , Df (ϕ(a + i0))(x1 −
x2 ) ii, ∀a ∈ I ◦ . Note that g(1) − g(0) = hh y∗ , f (x1 ) ii − hh y∗ , f (x2 ) ii =
k f (x1 ) − f (x2 ) k ∈ IR. By Lemma 9.22, there exists t0 ∈ I ◦ such that
g(1) − g(0) = Re ( Dg(t0 ) ). Then, we have k f (x1 ) − f (x2 ) k = g(1) − g(0) ≤
| Dg(t0 ) | = | hh y∗ , Df (ϕ(t0 ))(x1 − x2 ) ii | ≤ k Df (ϕ(t0 ))(x1 − x2 ) k, where the
last inequality follows from Proposition 7.72. The desired result follows.

X × Y, f : D → Z, (x0 , y0 ) ∈ D. Assume that the following conditions hold.
(i) ∃δ0 ∈ (0, ∞) ⊂ IR, ∀(x, y) ∈ D ∩BX×Y ( ( x0 , y0 ) , δ0 ), we have (x, ty +
(1 − t)y0 ) ∈ D, ∀t ∈ I := [0, 1] ⊂ IR.
∂f
(ii) f is partial differentiable with respect to x at (x0 , y0 ) and ∂x (x0 , y0 ) ∈
B ( X, Z ).
(iii) ∀(x, y) ∈ D ∩ BX×Y ( ( x0 , y0 ) , δ0 ), f is partial differentiable with re-
spect to y at (x, y) and ∂f
∂y is continuous at (x0 , y0 ).
Then, f is Fréchet differentiable at (x0 , y0 ) and Df (x0 , y0 ) ∈ B ( X × Y, Z )

is given by Df (x0 , y0 )(h, k) = ∂f ∂f
∂x (x0 ,hy0 )(h)+ ∂y (x0 , y0 )(k), ∀(h, k) ∈ X×Y.
i
In “matrix” notation, Df (x0 , y0 ) = ∂f ∂x (x0 , y0 )
∂f
∂y (x0 , y0 ) .
Proof We will first show that span ( AD ( x0 , y0 ) ) = X × Y. Define

Dx0 := { y ∈ Y | (x0 , y) ∈ D } and Dy0 := { x ∈ X | (x, y0 ) ∈ D }.
By the partial differentiability of f with respect to x at (x0 , y0 ), we have

span ADy0 ( x0 ) = X. By the partial differentiability of f with respect

to y at (x0 , y0 ), we have span ADx0 ( y0 ) = Y. ∀u ∈ ADy0 ( x0 ), ∀ǫ ∈
(0, ∞) ⊂ IR, ∃x̄ := x0 + rū ∈ Dy0 with 0 < r < ǫ and ū ∈ BX ( u, ǫ ).
Then, (x̄, y0 ) = (x0 , y0 ) + r(ū, ϑY ) ∈ D and (ū, ϑY ) ∈ BX×Y ( ( u, ϑY ) , ǫ ).

Hence, (u, ϑY ) ∈ AD ( x0 , y0 ). Then, ADy0 ( x0 ) × { ϑY } ⊆ AD ( x0 , y0 ),
which implies that X × { ϑY } ⊆ span ( AD ( x0 , y0 ) ). By symmetry, we have
{ ϑX }×Y ⊆ span ( AD ( x0 , y0 ) ). By Proposition 7.17, span ( AD ( x0 , y0 ) ) =
X × Y.
Define L : X × Y → Z by L(h, k) = ∂f ∂f
∂x (x0 , y0 )(h) + ∂y (x0 , y0 )(k),
∀(h, k) ∈ X × Y. Clearly, L is a linear operator. Note that
kLk = sup
‚ ‚
k L(h, k) k
‚ ‚
(h,k)∈X×Y, ‚(h,k)‚≤1
∂f ∂f

≤ sup‚ ‚ (x0 , y0 ) k h k + (x0 , y0 ) k k k
‚ ‚
(h,k)∈X×Y, ‚(h,k)‚≤1
∂x ∂y
s
∂f 2 ∂f 2

≤ sup
‚ ‚ (x0 , y0 ) + (x0 , y0 ) ·
‚ ‚
(h,k)∈X×Y, ‚(h,k)‚≤1
∂x ∂y
q s
∂f 2 ∂f 2
2 2
khk + kkk ≤ (x0 , y0 ) + (x0 , y0 ) < +∞
∂x ∂y
where the first inequality follows from Proposition 7.64 and the second
inequality follows from Cauchy-Schwarz Inequality. Hence, L ∈ B ( X ×
Y, Z ).
∀ǫ ∈ (0, ∞) ⊂ IR, by the partial differentiability of f with respect to x
at (x0 , y0 ), ∃δ1 ∈ (0, δ0 ] ⊂ IR such that ∀(x, y) ∈ D ∩ BX×Y ( ( x0 , y0 ) , δ1 ),
√
we have f (x, y0 ) − f (x0 , y0 ) − ∂f
∂x (x0 , y0 )(x − x0 ) ≤ ǫ/ 2 k x − x0 k. By
∂f
the continuity of ∂y at (x0 , y0 ), ∃δ2 ∈ (0, δ1 ] ⊂ IR, such that ∀(x̄, ȳ) ∈
√

D ∩ BX×Y ( ( x0 , y0 ) , δ2 ), we have ∂f∂y (x̄, ȳ) − ∂f
∂y (x0 , y 0 ) < ǫ/ 2.
√
∂f
Claim 9.24.1 f (x, y) − f (x, y0 ) − ∂y (x0 , y0 )(y − y0 ) ≤ ǫ/ 2 k y − y0 k,
∀(x, y) ∈ D ∩ BX×Y ( ( x0 , y0 ) , δ2 ).
Proof of claim: Fix any (x, y) ∈ D ∩BX×Y ( ( x0 , y0 ) , δ2 ). Let D̄ = I if

IK = IR; or D̄ = { a+i0 | a ∈ I } ⊂ C if IK = C. Define ψ : D̄ → Z by ψ(t) =
f (x, ty + (1 − t)y0 ) − ∂f∂y (x0 , y0 )(t (y − y0 )), ∀t ∈ D̄. By Chain Rule, each
term in the definition of ψ is Fréchet differentiable. By Proposition 9.15, ψ
is Fréchet differentiable. By Mean Value Theorem, ∃t0 ∈ I ◦ ,
∂f

f (x, y) − f (x, y0 ) − (x0 , y0 )(y − y0 ) = k ψ(1) − ψ(0) k ≤ k Dψ(t0 ) k
∂y
∂f ∂f

= (x, t0 y + (1 − t0 )y0 )(y − y0 ) − (x0 , y0 )(y − y0 )
∂y ∂y
∂f ∂f √

≤ (x, t0 y + (1 − t0 )y0 ) − (x0 , y0 ) k y − y0 k ≤ ǫ/ 2 k y − y0 k
∂y ∂y
9.4. HIGHER ORDER DERIVATIVES 263
where the second inequality follows from Proposition 7.64. This completes
Therefore, ∀(x, y) ∈ D ∩ BX×Y ( ( x0 , y0 ) , δ2 ), we have
k f (x, y) − f (x0 , y0 ) − L(x − x0 , y − y0 ) k

∂f

≤ f (x, y) − f (x, y0 ) − (x0 , y0 )(y − y0 ) +
∂y
∂f

f (x, y0 ) − f (x0 , y0 ) − (x0 , y0 )(x − x0 )
√ √ ∂x
≤ ǫ/ 2 k y − y0 k + ǫ/ 2 k x − x0 k ≤ ǫ k (x − x0 , y − y0 ) k
where the last inequality follows from Cauchy-Schwarz Inequality. Hence,

Df (x0 , y0 ) = L. This completes the proof of the proposition. 2
We observe that Conditions (i) of Proposition 9.24 is easily satisfied
when (x0 , y0 ) ∈ D◦ .
9.4 Higher Order Derivatives

9.4.1 Basic concept
We introduce the following notation. Let X and Y be normed linear spaces
over IK. Denote B ( X, Y ) by B1 ( X, Y ). Recursively, denote B ( X, Bk ( X, Y ) )
by Bk+1 ( X, Y ), ∀k ∈ IN. Note that Bk ( X, Y ) is the set of bounded multi-
linear Y-valued functions on Xk , ∀k ∈ IN. Define the subset of sym-
metric functions by BS k ( X, Y ) := L ∈ Bk ( X, Y ) L(hk ) · · · (h1 ) =
L(vk ) · · · (v1 ), ∀(h1 , . . . , hk ) ∈ Xk , ∀(v1 , . . . , vk ) = a permutation of
(h1 , . . . , hk ) . Note that BS k ( X, Y ) is a closed subspace of Bk ( X, Y ).
Then, by Proposition 7.13, BS k ( X, Y ) is a normed linear space over IK.
If Y is a Banach space, then, by Proposition 7.66, Bk ( X, Y ) is a Banach
space. Then, by Theorem 7.35, BS k ( X, Y ) is a Banach space. For nota-
tional consistency, we will denote BS 0 ( X, Y ) := B0 ( X, Y ) := Y.

f : D → Y, and x0 ∈ D. Let f (1) be defined with domain of definition
dom f (1) . We may consider the derivative of f (1) . If f (1) is differen-

tiable at x0 ∈ dom f (1) , then f is said to be twice Fréchet differentiable
at x0 . The second order derivative of f at x0 is D(Df )(x0 ) =: D2 f (x0 ) =:
f (2) (x0 ) ∈ B ( X, B ( X, Y ) ) = B2 ( X, Y ). D2 f or f (2) will denote the
B2 ( X, Y )-valued function whose domain of definition is dom f (2) :=
(2)
x ∈ dom f (1) f (x) ∈ B2 ( X, Y ) exists . Recursively, if f (k) is

Fréchet differentiable at x0 ∈ dom f (k) , then f is said to be (k + 1)-
times Fréchet differentiable at x0 and the (k + 1)st order derivative of
f at x0 is Df (k) (x0 ) =: Dk+1 f (x0 ) =: f (k+1) (x0 ) ∈ Bk+1 ( X, Y ), where
k ∈ IN. Dk+1 f or f (k+1) will denote the Bk+1 ( X, Y )-valued function whose

domain of definition is dom f (k+1) := x ∈ dom f (k) f (k+1) (x) ∈

Bk+1 ( X, Y ) exists . For notational consistency, we will let f (0) = f .

Note that dom f (k+1) ⊆ dom f (k) ⊆ D, ∀k ∈ IN.

f : D → Y, and x0 ∈ D. Assume that ∃δ0 ∈ (0, ∞) ⊂ IR such that f is
k-times Fréchet differentiable at x, ∀x ∈ D ∩ BX ( x0 , δ0 ), where k ∈ IN,
that is D ∩ BX ( x0 , δ0 ) ⊆ dom f (k) , and f (k) is continuous at x0 . Then,
we say that f is Ck at x0 . If f is Ck at x, ∀x ∈ D, then, we say f is Ck . If
f is Ck at x0 , ∀k ∈ IN, then, we say that f is C∞ at x0 . If f is C∞ at x,
∀x ∈ D, then, we say that f is C∞ .
differentiable at x0 ∈ D does not imply that

Note that f being (k +1)-times
f is Ck at x0 since dom f (k) may not contain D∩BX ( x0 , δ ), ∀δ ∈ (0, ∞) ⊂

IR. When dom f (k) ⊇ D ∩ BX ( x0 , δ0 ), for some δ0 ∈ (0, ∞) ⊂ IR, and
f is (k + 1)-times differentiable at x0 , then f is Ck at x0 . In particular,
if f is Ck+1 at x0 , then f is Ck at x, ∀x ∈ D ∩ BX ( x0 , δ0 ), for some
δ0 ∈ (0, ∞) ⊂ IR. If f is infinitely many times differentiable at x, ∀x ∈ D,
then f is C∞ .

f : D → Y be Cn+m−1 at x0 and (n + m)-times Fréchet differentiable at
x0 ∈ D, where
n, m ∈ IN. Fix (h1 , . . . , hn ) ∈ Xn . Define the function g :
(n)
dom f → Y by g(x) = f (n) (x)(hn ) · · · (h1 ), ∀x ∈ Dn := dom f (n) .
Then, the following statements hold.
(i) g is m-times Fréchet differentiable at x0 and g (m) (x0 ) ∈ Bm ( X, Y )
is given by g (m) (x0 )(hn+m ) · · · (hn+1 ) = f (n+m) (x0 )(hn+m ) · · · (h1 ),
∀(hn+1 , . . . , hn+m ) ∈ Xm .
(ii) If f is Cn+m at x0 , then g is Cm at x0 .
Proof We will first prove (i) using mathematical induction on m.

1◦ m = 1. Since f is Cn at x0 , then ∃δ0 ∈ (0, ∞) ⊂ IR such that
D ∩ BX ( x0 , δ0 ) ⊆ Dn . By the (n + 1)-times differentiability of f at x0 ,
we have span ( ADn ( x0 ) ) = X. Define L : X → Y by, ∀h ∈ X, L(h) =
f (n+1) (x0 )(h)(hn ) · · · (h1 ). Clearly, L is a linear operator. Note that
(n+1)
kLk = sup k L(h) k = sup f (x0 )(h)(hn ) · · · (h1 )
h∈X, khk≤1 h∈X, khk≤1
(n+1)
≤ sup f (x0 ) k h k k hn k · · · k h1 k
h∈X, khk≤1

≤ f (n+1) (x0 ) k hn k · · · k h1 k < +∞
where the first inequality follows from Proposition 7.64. Hence, L ∈

B ( X, Y ).
(n)
∀ǫ ∈ (0, ∞) ⊂ IR, by the differentiability (n)of f (n)at x0 , ∃δ ∈ (0, δ0 ] ⊂ IR

such that ∀x ∈ Dn ∩BX ( x0 , δ ), we have f (x)−f (x0 )−f (n+1) (x0 )(x−
x0 ) ≤ ǫ/(1 + k hn k · · · k h1 k) k x − x0 k. Then, we have
k g(x) − g(x0 ) − L(x − x0 ) k

= f (n) (x)(hn ) · · · (h1 ) − f (n) (x0 )(hn ) · · · (h1 ) −

f (n+1) (x0 )(x − x0 )(hn ) · · · (h1 )

= (f (n) (x) − f (n) (x0 ) − f (n+1) (x0 )(x − x0 ))(hn ) · · · (h1 )

≤ f (n) (x) − f (n) (x0 ) − f (n+1) (x0 )(x − x0 ) k hn k · · · k h1 k
≤ ǫ k x − x0 k
where the first inequality follows from Proposition 7.64. Hence, Dg(x0 ) = L
and g is Fréchet differentiable at x0 .
2◦ Assume that (i) holds for m ≤ k, ∀k ∈ IN.
3◦ Consider the case m = k + 1. Since f is Cn+k at x0 , then,
∃δ0 ∈ (0, ∞) ⊂ IR such that f is (n + k)-times Fréchet differentiable
at x̄ and is Cn+k−1 at x̄, ∀x̄ ∈ D ∩ BX ( x0 , δ0 ). By inductive assump-
tion, g is k-times Fréchet differentiable at x̄ and g (k) (x̄)(hn+k ) · · · (hn+1 ) =
f (n+k) (x̄)(h k
n+k ) · · · (h1 ), ∀(hn+1 , . . . , hn+k ) ∈ X . Hence, x̄ ∈ D̄n+k :=
(k)
dom g . Then, we have D ∩ BX ( x0 , δ0 ) ⊆ D̄n+k ⊆ Dn ⊆ D. Note

that D̄n+k ∩ BX ( x0 , δ0 ) = D ∩ BX ( x0 , δ0 ). Then, span AD̄n+k ( x0 ) =
span ( AD ( x0 ) ) = X, since f is differentiable at x0 .
Define L : X → Bk ( X, Y ) by, ∀h ∈ X, ∀(hn+1 , . . . , hn+k ) ∈ Xk ,
L(h)(hn+k ) · · · (hn+1 ) = f (n+k+1) (x0 )(h)(hn+k ) · · · (h1 ). Clearly, L is a lin-
ear operator. Note that
kLk = sup k L(h) k

h∈X, khk≤1
= sup k L(h)(hn+k ) · · · (hn+1 ) k

h∈X, khk≤1, hn+i ∈X, khn+ik≤1, i=1,...,k
(n+k+1)
= sup f (x0 )(h)(hn+k ) · · · (h1 )
h∈X, khk≤1, hn+i ∈X, khn+ik≤1, i=1,...,k
(n+k+1)
≤ f (x0 ) k hn k · · · k h1 k < +∞
where the first inequality follows from Proposition 7.64. Then, L ∈

Bk+1 ( X, Y ).
∀ǫ ∈ (0, ∞) ⊂ IR, by the differentiability of f (n+k) at x0 , ∃δ ∈
(n+k)
(0, δ0 ] ⊂ IR such that ∀x ∈ dom f ∩ BX ( x0 , δ ) = D ∩ BX ( x0 , δ ),
we have f (n+k) (x) − f (n+k) (x0 ) − f (n+k+1) (x0 )(x − x0 ) ≤ ǫ/(1 +
k hn k · · · k h1 k) k x − x0 k. Then, ∀x ∈ D̄n+k ∩ BX ( x0 , δ ) = D ∩ BX ( x0 , δ ),
(k)
g (x) − g (k) (x0 ) − L(x − x0 )
(k)
= sup (g (x) − g (k) (x0 ) −
hn+i ∈X, khn+ik≤1, i=1,...,k

L(x − x0 ))(hn+k ) · · · (hn+1 )
(n+k)
= sup f (x)(hn+k ) · · · (h1 ) −
hn+i ∈X, khn+ik≤1, i=1,...,k

f (n+k) (x0 )(hn+k ) · · · (h1 ) − f (n+k+1) (x0 )(x − x0 )(hn+k ) · · · (h1 )

≤ f (n+k) (x) − f (n+k) (x0 ) − f (n+k+1) (x0 )(x − x0 ) k hn k · · · k h1 k
≤ ǫ k x − x0 k
where the first inequality follows from Proposition 7.64. Hence, g (k+1) (x0 ) =
Dg (k) (x0 ) = L. Therefore, g is (k + 1)-times differentiable at x0 .
This completes the induction process and the proof of (i).
For (ii), let f be Cn+m at x0 . By Definition9.26, ∃δ0 ∈ (0, ∞) ⊂ IR such
that D∩BX ( x0 , δ0 ) ⊆ Dn+m := dom f (n+m) ⊆ D and f (n+m) is continu-
ous at x0 . ∀x ∈ Dn+m ∩BX ( x0 , δ0 ) = D∩BX ( x0 , δ0 ), f is Cn+m−1 at x and
(n + m)-times differentiable at x. By (i), g is m-times Fréchet differentiable
at x and ∀(hn+1 , . . . , hn+m ) ∈ Xm , we have g (m) (x)(hn+m ) · · · (hn+1 ) =
f (n+m) (x)(hn+m ) · · · (h1 ). Then, D∩BX ( x0 , δ0 ) ⊆ dom g (m) ⊆ Dn ⊆ D.
∀ǫ ∈ (0, ∞) ⊂ IR, by the continuity of f (n+m) at x0 , ∃δ ∈ (0, δ0 ] ⊂ IR
such that f (n+m) (x) − f (n+m) (x0 ) < ǫ/(1 + k hn k · · · k h1 k), ∀x ∈

Dn+m ∩ BX ( x0 , δ ) = D ∩ BX ( x0 , δ ). ∀x̄ ∈ dom g (m) ∩ BX ( x0 , δ ) =
D ∩ BX ( x0 , δ ), we have
(m)
g (x) − g (m) (x0 )
(m)
= sup (g (x) − g (m) (x0 ))(hn+m ) · · · (hn+1 )
hn+i ∈X, khn+ik≤1, i=1,...,m
(n+m)
= sup f (x)(hn+m ) · · · (h1 ) −
hn+i ∈X, khn+ik≤1, i=1,...,m

f (n+m) (x0 )(hn+m ) · · · (h1 )

≤ f (n+m) (x) − f (n+m) (x0 ) k hn k · · · k h1 k < ǫ
where the first inequality follows from Proposition 7.64. Hence, g (m) is
continuous at x0 . Therefore, g is Cm at x0 .
Proposition 9.28 Let X and Y be normed linear spaces over IK, D ⊆

X, x0 ∈ D, and f : D → Y be Cn at x0 , where n ∈ IN. Assume that
∃δ0 ∈ (0, ∞) ⊂ IR such that the set D ∩ BX ( x0 , δ0 ) is convex. Then,
f (n) (x0 ) ∈ BS n ( X, Y ).
Proof Without loss of generality, assume f is n-times differentiable

at x, ∀x ∈ D ∩ BX ( x0 , δ0 ). We will prove the proposition by mathematical
induction on n.
1◦ n = 1. Clearly f (1) (x0 ) ∈ B ( X, Y ) = B1 ( X, Y ) = BS 1 ( X, Y ).

Next, we consider n = 2. We will prove this case using an argument
of contradiction. Suppose f (2) (x0 ) is not symmetric. Then, ∃h̄0 , l̄0 ∈ X
such that f (2) (x0 )(h̄0 )(l̄0 ) 6= f (2) (x0 )(l̄0 )(h̄0 ). By the differentiability of f
at x0 , we have span ( AD ( x0 ) ) = X. Then, by f (2) (x0 ) ∈ B2 ( X, Y ) and
Proposition 3.56, ∃h̃0 , l̃0 ∈ span ( AD ( x0 ) ) such that f (2) (x0 )(h̃0 )(l̃0 ) 6=
f (2) (x0 )(l̃0 )(h̃0 ). Since f (2) (x0 ) is multi-linear, then ∃ĥ0 , l̂0 ∈ AD ( x0 )
such that f (2) (x0 )(ĥ0 )(l̂0 ) 6= f (2) (x0 )(l̂0 )(ĥ0 ). By continuity
of (2)
f (x0 ),
∃ǫ1 ∈ (0, ∞) ⊂ IR such that ∀ȟ ∈ BX ĥ0 , ǫ1 , ∀ľ ∈ BX l̂0 , ǫ1 , we have
f (2) (x0 )(ȟ)( (2)
ľ) 6= f (x0 )(ľ)(ȟ). By ĥ0 , l̂0 ∈ AD ( x0 ), ∃rh , rl ∈ (0, ǫ1 ) ⊂ IR,
∃ȟ0 ∈ BX ĥ0 , ǫ1 , ∃ľ0 ∈ BX ˆl0 , ǫ1 , such that x0 + rh ȟ0 , x0 + rl ľ0 ∈ D ∩
BX ( x0 , δ0 ). Clearly, we have f (2) (x0 )(rh ȟ0 )(rl lˇ0 ) = rh rl f (2) (x0 )(ȟ0 )(ľ0 ) 6=
rh rl f (2) (x0 )(ľ0 )(ȟ0 ) = f (2) (x0 )(rl ˇl0 )(rh ȟ0 ). Let h0 := rh /2ȟ0 and l0 :=
rl /2ľ0 . Then, by the convexity of the set D ∩ BX ( x0 , δ0 ), we have
x0 , x0 + h0 , x0 + l0 , x0 + h0 + l0 ∈ D ∩ BX ( x0 , δ0 ) and f (2) (x0 )(h0 )(l0 ) 6=
f (2) (x0 )(l0 )(h0 ). Clearly,
h0 6= ϑX and l0 6= ϑX . Let ǫ0 := f (2) (x0 )(h0 )(l0 )
− f (2) (x0 )(l0 )(h0 ) /(k h0 k k l0 k) ∈ (0, ∞) ⊂ IR. Since f is C2 at x0 ,
(2) ∃δ1 ∈ (2)
then (0, δ0 ] ⊂ IR such that ∀x ∈ D ∩ BX ( x0 , δ1 ), we have
f (x) − f (x0 ) < ǫ0 /2. By proper scaling of h0 and l0 , we may
assume that ∀t1 , t2 ∈ I := [0, 1] ⊂ IR, x0 + t1 h0 + t2 l0 ∈ D ∩ BX ( x0 , δ1 ).
In summary, ∃h0 , l0 ∈ X \ { ϑX } such that ǫ0 := f (2) (x0 )(h0 )(l0 ) −
f (x0 )(l0 )(h0 ) /(k h0 k k l0 k) ∈ (0, ∞) ⊂ IR, ∀t1 , t2 ∈ I, f is twice differ-
(2)
entiable at x0 + t1 h0 + t2 l0 ∈ D ∩ BX ( x0 , δ0 ) and f (2) (x0 + t1 h0 + t2 l0 ) −

f (2) (x0 ) < ǫ0 /2.
Let D̄ := I, if IK = IR; or D̄ := { a + i0 | a ∈ I } ⊂ C, if IK = C. ∀t1 ∈ I,
define ψt1 : D̄ → B ( X, Y ) by ψt1 (t2 ) = f (1) (x0 + t1 h0 + t2 l0 ) − f (1) (x0 +
t1 h0 ) − f (2) (x0 )(t2 l0 ), ∀t2 ∈ D̄. By Propositions 9.19, 9.16, and 9.15 and
Chain Rule, each term in the definition of ψt1 is Fréchet differentiable.
Then, by Proposition 9.15, ψt1 is Fréchet differentiable at t2 , ∀t2 ∈ D̄. By
Mean Value Theorem, ∃t̄2 ∈ I ◦ such that
(1)
f (x0 + t1 h0 + l0 ) − f (1) (x0 + t1 h0 ) − f (2) (x0 )(l0 )
= k ψt1 (1) − ψt1 (0) k ≤ k Dψt1 (t̄2 ) k
(2)
= f (x0 + t1 h0 + t̄2 l0 )(l0 ) − f (2) (x0 )(l0 )
(2)
≤ f (x0 + t1 h0 + t̄2 l0 ) − f (2) (x0 ) k l0 k < ǫ0 k l0 k /2
where the second inequality follows from Proposition 7.64.

Define γ : D̄ → Y by γ(t1 ) = f (x0 + l0 + t1 h0 ) − f (x0 + t1 h0 ) −
f (2) (x0 )(l0 )(t1 h0 ), ∀t1 ∈ D̄. By Propositions 9.19, 9.16, and 9.15 and Chain
Rule, each term in the definition of γ is Fréchet differentiable. Then, by
Proposition 9.15, γ is Fréchet differentiable at t1 , ∀t1 ∈ D̄. By Mean Value
Theorem, ∃t̄1 ∈ I ◦ such that

f (x0 + l0 + h0 ) − f (x0 + h0 ) − f (x0 + l0 ) + f (x0 ) − f (2) (x0 )(l0 )(h0 )

= k γ(1) − γ(0) k ≤ k Dγ(t̄1 ) k = f (1) (x0 + l0 + t̄1 h0 )(h0 ) −

f (1) (x0 + t̄1 h0 )(h0 ) − f (2) (x0 )(l0 )(h0 )
(1)
≤ f (x0 + l0 + t̄1 h0 ) − f (1) (x0 + t̄1 h0 ) − f (2) (x0 )(l0 ) k h0 k
= k ψt̄1 (1) − ψt̄1 (0) k k h0 k < ǫ0 k l0 k k h0 k /2
where the second inequality follows from Proposition 7.64.

By symmetry, we have f (x0 + h0 + l0 ) − f (x0 + l0 ) − f (x0 + h0 ) +

f (x0 ) − f (2) (x0 )(h 0 )(l 0 ) < ǫ0 k h0 k k l0 k /2. Then, f (2) (x0 )(h0 )(l0 ) −

f (2) (x0 )(l0 )(h0 ) < ǫ0 k h0 k k l0 k. This leads to the contradiction ǫ0 :=
f (2) (x0 )(h0 )(l0 ) − f (2) (x0 )(l0 )(h0 ) /(k h0 k k l0 k) < ǫ0 .
Hence, f (2) (x0 ) must be symmetric and f (2) (x0 ) ∈ BS 2 ( X, Y ).
◦
2 Assume that the result holds ∀n ≤ k, k ∈ { 2, 3, . . .}.
3◦ Consider the case n = k+1. ∀(h1 , . . . , hk+1 ) ∈ Xk+1 , let (v1 , . . . , vk+1 )
be a permutation of (h1 , . . . , hk+1 ). We need to show that
f (k+1) (x0 )(hk+1 ) · · · (h1 ) = f (k+1) (x0 )(vk+1 ) · · · (v1 )
Since any permutation can be arrived at in finite number of steps by in-

terchanging two consecutive elements, then, all we need to show is that,
∀i = 1, . . . , k,
f (k+1) (x0 )(hk+1 ) · · · (hi+1 )(hi ) · · · (h1 )

= f (k+1) (x0 )(hk+1 ) · · · (hi )(hi+1 ) · · · (h1 )

1: 1 ≤ i < k; Case 2: i = k. Case 1: 1 ≤ i < k. Define
g : dom f (k) → Y by g(x) = f (k) (x)(hk ) · · · (hi+1 )(hi ) · · · (h1 ), ∀x ∈

dom f (k) . ∀x ∈ D ∩ BX ( x0 , δ0 ) = dom f (k+1) ∩ BX ( x0 , δ0 ), f is

(k + 1)-times differentiable at x, and dom f (k) ⊇ D ∩ BX ( x, δx ), where
δx := δ0 − k x − x0 k ∈ (0, ∞) ⊂ IR. Then, f is Ck at x. Clearly,
D ∩ BX ( x, δx ) = (D ∩ BX ( x0 , δ0 )) ∩ BX ( x, δx ) is convex. By inductive
assumption, g(x) = f (k) (x)(hk ) · · · (hi )(hi+1 ) · · · (h1 ). By Proposition 9.27,
g is C1 at x0 and f (k+1) (x0 )(hk+1 ) · · · (hi+1 )(hi ) · · · (h1 ) = g (1) (x0 )(hk+1 ) =
f (k+1) (x0 )(hk+1 ) · · · (hi )(hi+1 ) · · · (h1 ). This case is proved.
Case 2: i = k. Define g : dom f (k−1) → Y by, ∀x ∈ dom f (k−1) ,
g(x) = f (k−1) (x)(hk−1 ) · · · (h1 ). Then, by Proposition 9.27, g is C2 at
x0 and g (2) (x0 )(u)(v)
= f (k+1) (x0 )(u)(v)(hk−1 ) · · · (h1 ), ∀u, v ∈ X. Note
(k−1)
that dom f ∩ BX ( x0 , δ0 ) = D ∩ BX ( x0 , δ0 ) is convex. By the case
of n = 2, we have f (k+1) (x0 )(hk+1 )(hk ) · · · (h1 ) = g (2) (x0 )(hk+1 )(hk ) =
g (2) (x0 )(hk )(hk+1 ) = f (k+1) (x0 )(hk )(hk+1 ) · · · (h1 ). This case is also proved.
Hence, f (k+1) (x0 ) ∈ BS k+1 ( X, Y ).
This completes the induction process and the proof of the proposition.
2
Definition 9.29 Let X1 , . . . , Xp , andQY be normed linear spaces over IK,

p
where p ∈ { 2, 3, . . .}, D ⊆ X := , f : D → Y, and xo :=
i=1 Xi
∂f ∂f
(x1 o , . . . , xp o ) ∈ D. Assume that ∂xi1 : dom → B ( Xi1 , Y ) is par-
∂xi1

∂f
tial differentiable with resprect to xi2 at xo ∈ dom ∂x i
, where i1 , i2 ∈
1
2
{ 1, . . . , p }. Then, this partial derivative is denoted by ∂xi∂ ∂x f
i1
(xo ) ∈
2
B ( Xi2 , B ( Xi1 , Y ) ), which is one of the second order partial derivatives of
2
f . We will let ∂xi∂ ∂x f
denote the B ( Xi2 , B ( Xi1 , Y ) )-valued function whose
2 i1
n
2 ∂2 f
domain of definition is dom ∂xi∂ ∂x f
:= x ∈ dom ∂f
∂xi1 ∂xi ∂xi (x)
o 2 i1 2 1
2
∈ B ( Xi2 , B ( Xi1 , Y ) ) exists . There are a total of p second order partial
derivatives of f . Recursively, we may define kth-order partial derivatives,
k ∈ { 3, 4, . . .}. There are a total of pk k-order partial derivatives. A typical
k
such derivative is denoted by ∂xi ∂···∂x f
i
, where i1 , . . . , ik ∈ { 1, . . . , p }.
k 1
S Let X be a normed linear space over IK and D ⊆ X. Define Sm ( D ) :=

α∈IK αD. Clearly, Sm ( D ) ⊆ span ( D ).
Proposition 9.30 Let X be a normed linear space over IK, D ⊆ X,

and x0 ∈ D. Then, span ( AD ( x0 ) ) ⊆ span ( (D ∩ B ( x0 , δ )) − x0 ) and
AD ( x0 ) ⊆ Sm ( (D ∩ B ( x0 , δ )) − x0 ), ∀δ ∈ (0, ∞) ⊂ IR.
Proof ∀u ∈ AD ( x0 ), we will show that u ∈ Sm ( D − x0 ). ∀ǫ ∈

(0, ∞) ⊂ IR, by u ∈ AD ( x0 ), we have ∃x̄ := x0 + rū ∈ D such that
0 < r < ǫ and ū ∈ B ( u, ǫ ). Then, ū ∈ Sm ( D − x0 ) ∩ B ( u, ǫ ) 6= ∅.
Hence, by Proposition 3.3, u ∈ Sm ( D − x0 ). By the arbitrariness of u,
we have AD ( x0 ) ⊆ Sm ( D − x0 ) ⊆ span ( D − x0 ). By Proposition 7.17,
span ( AD ( x0 ) ) ⊆ span ( D − x0 ). By Definition 3.2, span ( AD ( x0 ) ) ⊆
span ( D − x0 ). ∀δ ∈ (0, ∞) ⊂ IR, we have x0 ∈ D ∩ B ( x0 , δ ) and
AD ( x0 ) = AD∩B(x0 ,δ) ( x0 ). Then, AD ( x0 ) ⊆ Sm ( (D ∩ B ( x0 , δ )) − x0 )
and span ( AD ( x0 ) ) ⊆ span ( (D ∩ B ( x0 , δ )) − x0 ). This completes the
9.4.2 Interchange order of differentiation

Next, we present two results on the interchangability of order of differen-
tiation. The first result does not assume the existence of the derivative
after the interchange, which then requires a stronger assumption on the set
D = dom ( f ). The second result assumes the existence of the derivative
after the interchange, where the stronger assumption on D can be removed.

X × Y, f : D → Z, and (x0 , y0 ) ∈ D. Assume that the following conditions
are satisfied.
(i) ∃δ0 ∈ (0, ∞) ⊂ IR such that D ∩ BX×Y ( ( x0 , y0 ) , δ0 ) =: D̃ is convex

and ∀(x, y) ∈ D̃, we have (x, y0 ), (x0 , y) ∈ D̃.
∂f ∂f ∂2 f ∂2f
(ii) ∂x (x, y), ∂y (x, y),and ∂x∂y (x, y) exist, ∀(x, y) ∈ D̃, and ∂x∂y is
continuous at (x0 , y0 ).
Then, ∀ǫ ∈ (0, ∞) ⊂ IR, ∃δ ∈ (0, δ0 ] ⊂ IR such that ∀(x, y) ∈ D ∩

BX×Y ( ( x0 , y0 ) , δ ) =: D̃δ , we have f (x, y)−f (x, y0 )−f (x0 , y)+f (x0 , y0 )−

∂2f
∂x∂y (x0 , y0 )(x − x0 )(y − y0 ) ≤ ǫ k x − x0 k k y − y0 k.
Furthermore, if, in addition, the following condition is satisfied.
(iii) ∃M ∈ [0, ∞) ⊂ IR, ∀h ∈ X, ∀ǫ ∈ (0, ∞) ⊂ IR, ∀(x, y) ∈ D̃, ∀δ̄ ∈

(0, ∞) ⊂ IR, ∃h1 , h2 ∈ Sm (Dy ∩ BX x0 , δ̄ ) − x0 such that k h −
h1 + h2 k ≤ ǫ k h k, k h1 k ≤ M k h k, and k h2 k ≤ M k h k, where Dy :=
{ x ∈ X | (x, y) ∈ D }, ∀y ∈ Y.
∂2 f
Then, ∂y∂x (x0 , y0 ) exists and is given by
∂ 2f ∂ 2f
(x0 , y0 )(k)(h) = (x0 , y0 )(h)(k); ∀h ∈ X, ∀k ∈ Y
∂y∂x ∂x∂y
∂2f
Proof ∀ǫ ∈ (0, ∞) ⊂ IR, by the continuity of ∂x∂y at (x0 , y0 ), ∃δ ∈
(0, δ0 ] ⊂ IR such that ∀(x, y)
∈ D ∩ BX×Y ( ( x0 , y0 ) , δ ) =: D̃δ ⊆ D̃, we have
∂2 f ∂2 f
∂x∂y (x, y) − ∂x∂y (x0 , y0 ) < ǫ/3. Note that, by (i), D̃δ is convex and,
∀(x, y) ∈ D̃δ , we have (x0 , y), (x, y0 ) ∈ D̃δ .

Claim 9.31.1 ∀(x, y) ∈ D̃δ , f (x, y) − f (x, y0 ) − f (x0 , y) + f (x0 , y0 ) −

∂2f
∂x∂y (x0 , y0 )(x − x0 )(y − y0 ) ≤ ǫ/3 kx − x0 k k y − y0 k.
Proof of claim: Fix (x, y) ∈ D̃δ . Let I := [0, 1] ⊂ IR. Define D̄ := I if

IK = IR; or D̄ := { a + i0 | a ∈ I } ⊆ C if IK = C.
∀t2 ∈ I, define ψt2 : D̄ → B ( Y, Z ) by ψt2 (t1 ) = ∂f
∂y (t1 x+(1−t1 )x0 , t2 y +
2
(1 − t2 )y0 ) − ∂f ∂ f
∂y (x0 , t2 y + (1 − t2 )y0 ) − ∂x∂y (x0 , y0 )(t1 (x − x0 )), ∀t1 ∈ D̄.
By Propositions 9.19, 9.16, and 9.15 and Chain Rule, each term in the
definition of ψt2 is differentiable. By Proposition 9.15, ψt2 is differentiable.
By Mean Value Theorem, ∃t̄1 ∈ I ◦ such that
∂f ∂f

(x, t2 y + (1 − t2 )y0 ) − (x0 , t2 y + (1 − t2 )y0 )−
∂y ∂y
∂2f

(x0 , y0 )(x − x0 )
∂x∂y
= k ψt2 (1) − ψt2 (0) k ≤ k Dψt2 (t̄1 ) k
2
∂ f
=
∂x∂y (t̄1 x + (1 − t̄1 )x0 , t2 y + (1 − t2 )y0 )(x − x0 ) −

∂2f
(x0 , y0 )(x − x0 ) ≤ ǫ/3 kx − x0 k
∂x∂y
where the last inequality follows from Proposition 7.64.

Define γ : D̄ → Z by γ(t2 ) = f (x, t2 y + (1 − t2 )y0 ) − f (x0 , t2 y + (1 −
∂2 f
t2 )y0 ) − ∂x∂y (x0 , y0 )(x − x0 )(t2 (y − y0 )), ∀t2 ∈ D̄. By Propositions 9.19,
9.16, and 9.15 and Chain Rule, each term in the definition of γ is differen-
tiable. By Proposition 9.15, γ is differentiable. By Mean Value Theorem,
∃t̄2 ∈ I ◦ such that
∂2f

f (x, y) − f (x, y0 ) − f (x0 , y) + f (x0 , y0 ) − (x0 , y0 )(x − x0 )(y − y0 )
∂x∂y
= k γ(1) − γ(0) k ≤ k Dγ(t̄2 ) k

∂f ∂f
= ∂y (x, t̄2 y + (1 − t̄2 )y0 )(y − y0 ) − ∂y (x0 , t̄2 y + (1 − t̄2 )y0 )(y −

∂2f
y0 ) − (x0 , y0 )(x − x0 )(y − y0 )

∂x∂y

∂f ∂f
≤ ∂y (x, t̄2 y + (1 − t̄2 )y0 ) − ∂y (x0 , t̄2 y + (1 − t̄2 )y0 ) −

∂2f
(x0 , y0 )(x − x0 ) k y − y0 k
∂x∂y
= k ψt̄2 (1) − ψt̄2 (0) k k y − y0 k ≤ ǫ/3 k x − x0 k k y − y0 k
where the second inequality follows from Proposition 7.64. This completes
the proof of the claim. n 2

Define Dx0 := { y ∈ Y | (x0 , y) ∈ D }; and D̂ := y ∈ Y (x0 , y) ∈
o
dom ∂f∂x . By (ii), we have span ADx0 ( y0 ) = Y and span ADy ( x ) =
X, ∀(x, y) ∈ D̃. Clearly, we have D̂ ∩ BY ( y0 , δ0 ) = Dx0 ∩ BY ( y0 , δ0 ). This

implies that span AD̂ ( y0 ) = Y.
2
∂ f
∀k ∈ Y, define Lk : X → Z by Lk (h) = ∂x∂y (x0 , y0 )(h)(k), ∀h ∈ X.
Clearly, Lk is a linear operator. Note that k Lk k = suph∈X, khk≤1 k Lk (h) k ≤
2
∂ f
∂x∂y (x0 , y0 ) k k k < +∞, where the first inequality follows from Propo-
sition 7.64. Hence, Lk ∈ B ( X, Z ).
Define L : Y → B ( X, Z ) by L(k) = Lk , ∀k ∈ Y. Clearly, L is a linear
∂2f
operator. Note that k L k = supk∈Y, kkk≤1 k L(k) k ≤ ∂x∂y (x0 , y0 ) < +∞.
Hence, L ∈ B ( Y, B ( X, Z )). √
Now, fix any y ∈ D̂ ∩ BY y0 , δ/ 2 , we will show that k ∆y k ≤ (2M +
1)ǫ k y − y0 k, where ∆y := ∂f ∂f
∂x (x0 , y) − ∂x (x0 , y0 ) − L(y − y0 ) ∈ B ( X, Z ).
2
∂ f
This immediately implies that ∂y∂x (x0 , y0 ) = L and completes the proof of
the proposition.
1: y = y0 ; Case 2: y 6= y0 . Case 1: y = y0 . The result √ is immediate. Case
2: y 6= y0 . By the existence of ∂f
∂x (x0 , y), ∃δ y1 ∈ (0, δ/ 2] ⊂ IR such that

∂f
∀x ∈ Dy ∩ BX ( x0 , δy1 ), we have f (x, y) − f (x0 , y) − ∂x (x0 , y)(x − x0 ) ≤
√
ǫ/3 k y − y0 k k x − x0 k. By the existence of ∂f y0 ), ∃δy2 ∈ (0, δ/ 2] ⊂
∂x (x0 ,

IR such that ∀x ∈ Dy0 ∩ BX ( x0 , δy2 ), we have f (x, y0 ) − f (x0 , y0 ) −

∂f
∂x (x0 , y 0 )(x − x0 ) ≤ ǫ/3 k y − y0 k k x − x0 k. Let δy = min { δy1 , δy2 } ∈
√
(0, δ/ 2] ⊂ IR. ∀x ∈ Dy ∩ BX ( x0 , δy ), we have (x, y), (x, y0 ), (x0 , y) ∈ D̃δ .
Then, x ∈ Dy0 ∩ BX ( x0 , δy ). By Claim 9.31.1 and the preceding argument,
we have
k ∆y (x − x0 ) k
∂f ∂f

= (x0 , y)(x − x0 ) − (x0 , y0 )(x − x0 ) − L(y − y0 )(x − x0 )
∂x ∂x
∂f

≤ (x0 , y)(x − x0 ) − f (x, y) + f (x0 , y) + f (x, y0 ) − f (x0 , y0 ) −
∂x
∂f

(x0 , y0 )(x − x0 ) + f (x, y) − f (x, y0 ) − f (x0 , y) + f (x0 , y0 ) −
∂x
∂2f

(x0 , y0 )(x − x0 )(y − y0 )
∂x∂y
≤ ǫ k x − x0 k k y − y0 k
∀h ∈ X, by (iii) and the continuity of ∆y , ∃h1 , h2 ∈ Sm ( (Dy ∩BX ( x0 , δy ))−
x0 ), such that k ∆y (h − h1 + h2 ) k ≤ ǫ k h k k y − y0 k, k h1 k ≤ M k h k, and
k h2 k ≤ M k h k. Then, ∃α1 , α2 ∈ IK and ∃x1 , x2 ∈ Dy ∩ BX ( x0 , δy ) such
that hi = αi (xi − x0 ), i = 1, 2. Then, we have
k ∆y (h) k
≤ k ∆y (h1 − h2 ) k + ǫ k h k k y − y0 k
= k α1 ∆y (x1 − x0 ) − α2 ∆y (x2 − x0 ) k + ǫ k h k k y − y0 k
≤ | α1 | k ∆y (x1 − x0 ) k + | α2 | k ∆y (x2 − x0 ) k + ǫ k h k k y − y0 k
≤ (| α1 | k x1 − x0 k + | α2 | k x2 − x0 k + k h k)ǫ k y − y0 k
= (k h1 k + k h2 k + k h k)ǫ k y − y0 k ≤ (2M + 1)ǫ k y − y0 k k h k
Then, we have k ∆y k ≤ (2M + 1)ǫ k y − y0 k. This case is proved.
In the preceding proposition, conditions (i) and (iii) are assumptions on
the set D. It is clear that (i) and (iii) are satisfied if (x0 , y0 ) ∈ D◦ .
X × Y, f : D → Z, and (x0 , y0 ) ∈ D. Assume that the following conditions
are satisfied.
(i) ∃δ0 ∈ (0, ∞) ⊂ IR such that D ∩ BX×Y ( ( x0 , y0 ) , δ0 ) =: D̃ is convex

and ∀(x, y) ∈ D̃, we have (x, y0 ), (x0 , y) ∈ D̃.
∂f ∂f ∂2 f ∂2f
(ii) ∂x (x, y), ∂y (x, y), ∂x∂y (x, y), and ∂y∂x (x, y) exist, ∀(x, y) ∈ D̃, and
∂2 f ∂2 f
∂x∂y and ∂y∂x are continuous at (x0 , y0 ).
∂2 f ∂2 f
Then, ∂y∂x (x0 , y0 )(k)(h) = ∂x∂y (x0 , y0 )(h)(k), ∀h ∈ X, ∀k ∈ Y.
Proof Define Dx0 := { y ∈ Y | (x0 , y) ∈ D } and Dy0 := { x ∈

X | (x, y0 ) ∈ D }. By (ii), we have span ADx0 ( y0 ) = Y and

span ADy0 ( x0 ) = X.
∀ǫ ∈ (0, ∞) ⊂ IR, by Proposition 9.31, ∃δ1 ∈ (0, δ0 ] ⊂ IR such that

∀(x, y) ∈ D∩BX×Y ( ( x0 , y0 ) , δ1 ) =: D̃δ1 ⊆ D̃, we have f (x, y)−f (x, y0 )−

∂2 f
f (x0 , y) + f (x0 , y0 ) − ∂x∂y (x0 , y0 )(x − x0 )(y − y0 ) ≤ ǫ/2 k x − x0 k k y − y0 k.
By symmetry, ∃δ2 ∈ (0, δ0 ] ⊂ IR such that ∀(x, y) ∈ BX×Y ( ( x0 , y0 ) , δ2 )

∩ D =: D̃δ2 ⊆ D̃, we have f (x, y) − f (x, y0 ) − f (x0 , y) + f (x0 , y0 ) −

∂2f
∂y∂x (x0 , y0 )(y − y0 )(x − x0 ) ≤ ǫ/2 kx − x0 k k y − y0 k.
Therefore, let δ := min { δ1 , δ2 } ∈ (0, δ0 ] ⊂ IR, ∀(x, y) ∈ D ∩
∂2f
BX×Y ( ( x0 , y0 ) , δ ) =: D̃δ = D̃δ1 ∩ D̃δ2 ⊆ D̃, we have ∂y∂x (x0 , y0 )(y −

2
∂ f
y0 )(x − x0 ) − ∂x∂y (x0 , y0 )(x − x0 )(y − y0 ) ≤ ǫ k x − x0 k k y − y0 k. By the
2 2
∂ f ∂ f
arbitrariness of ǫ, we have ∂y∂x (x0 , y0 )(y − y0 )(x − x0 ) = ∂x∂y (x0 , y0 )(x −
x0 )(y − y0 ).
Clearly, by (i), D̃δ is convex.
Suppose that the result of the proposition is not true, then ∃h0 ∈ X
∂2 f ∂2 f
and ∃k0 ∈ Y such that ∂y∂x (x0 , y0 )(k0 )(h0 ) 6= ∂x∂y (x0 , y0 )(h0 )(k0 ). By the

fact that span ADx0 ( y0 ) = Y and span ADy0 ( x0 ) = X and the conti-
∂2f ∂2f

nuity of ∂y∂x (x0 , y0 ) and ∂x∂y (x0 , y0 ), ∃h̄0 ∈ span ADy0 ( x0 ) and ∃k̄0 ∈
∂2 f ∂2 f
span ADx0 ( y0 ) such that ∂y∂x (x0 , y0 )(k̄0 )(h̄0 ) 6= ∂x∂y (x0 , y0 )(h̄0 )(k̄0 ).
By the multi-linearity of these two second-order partial derivatives, ∃ĥ0 ∈
∂2f
ADy0 ( x0 ) and ∃k̂0 ∈ ADx0 ( y0 ) such that ∂y∂x (x0 , y0 )(k̂0 )(ĥ0 ) 6=
∂2f
∂x∂y (x0 , y0 )(ĥ0 )(k̂0 ). By Proposition 9.30, we have
ADy0 ( x0 ) ⊆ Sm ( (Dy0 ∩ BX ( x0 , δ )) − x0 )
ADx0 ( y0 ) ⊆ Sm ( (Dx0 ∩ BY ( y0 , δ )) − y0 )
This implies that, by the continuity of these two second-order partial

derivatives, ∃ȟ0 ∈ Sm ( (Dy0 ∩ BX ( x0 , δ )) − x0 ) and ∃ǩ0 ∈ Sm ( (Dx0 ∩
∂2 f ∂2 f
BY ( y0 , δ )) − y0 ) such that ∂y∂x (x0 , y0 )(ǩ0 )(ȟ0 ) 6= ∂x∂y (x0 , y0 )(ȟ0 )(ǩ0 ).
Then, ∃x̄ ∈ Dy0 ∩ BX ( x0 , δ ), ∃ȳ ∈ Dx0 ∩ BY ( y0 , δ ), and ∃αh , αk ∈ IK

such that ȟ0 = αh (x̄ − x0 ) and ǩ0 = αk (ȳ − y0 ). By the multi-linearity of
∂2f
these two second-order partial derivatives, ∂y∂x (x0 , y0 )(ȳ − y0 )(x̄ − x0 ) 6=
∂2f
∂x∂y (x0 , y0 )(x̄ − x0 )(ȳ − y0 ). Clearly, (x̄, y0 ), (x0 , ȳ) ∈ D̃δ . By the
convexity of D̃δ , we have (x̂, ŷ) := 0.5 (x̄, y0 ) + 0.5 (x0 , ȳ) ∈ D̃δ . By
the multi-linearity of these two second-order partial derivatives, we have
∂2f ∂2 f
∂y∂x (x0 , y0 )(ŷ − y0 )(x̂ − x0 ) 6= ∂x∂y (x0 , y0 )(x̂ − x0 )(ŷ − y0 ). This is a
contradiction. Hence, the result of the proposition must hold.
9.4.3 High order derivatives of some common func-

tions
f : D → Y, and x0 ∈ D. Assume that ∃δ0 ∈ (0, ∞) ⊂ IR and ∃y0 ∈ Y such
that f (x) = y0 and span ( AD ( x ) ) = X, ∀x ∈ D ∩ BX ( x0 , δ0 ). Then, f is
C∞ at x0 and f (i) (x) = ϑBS i (X,Y) , ∀x ∈ D ∩ BX ( x0 , δ0 ), ∀i ∈ IN.
Proof ∀x ∈ D ∩ BX ( x0 , δ0 ), let δx := δ0 − k x − x0 k > 0. Then,

∀x̄ ∈ D ∩ BX ( x, δx ) ⊆ D ∩ BX ( x0 , δ0 ), we have f (x̄) = y0 . Note
that span ( AD ( x ) ) = X. By Proposition 9.10, f (1) (x) = ϑB(X,Y) . Let

D1 := dom f (1) . Then, D1 ∩ BX ( x0 , δ0 ) = D ∩ BX ( x0 , δ0 ). Then,
span ( AD1 ( x ) ) = X, ∀x ∈ D1 ∩ BX ( x0 , δ0 ). By recursively applying
the above argument and Proposition 9.28, we have f (i) (x) = ϑBS i (X,Y) ,
∀x ∈ D ∩ BX ( x0 , δ0 ), ∀i ∈ IN. This completes the proof of the proposition.
2
Proposition 9.34 Let X and Y be normed linear spaces over IK, D2 ⊆

D1 ⊆ X, x0 ∈ D2 , f : D1 → Y, g := f |D2 , k ∈ IN, and n ∈ IN ∪ { ∞ }.
Then, the following statements holds.
(i) If, ∀x ∈ D2 , f (k) (x) exists and span ( AD2 ( x ) ) = X, then g is k-times
Fréchet differentiable and g (i) (x) = f (i) (x), ∀x ∈ D2 , ∀i ∈ { 1, . . . , k }.
(ii) If, ∀x ∈ D2 , g (k) (x) exists and ∃δx ∈ (0, ∞) ⊂ IR such that D1 ∩
BX ( x, δx ) = D2 ∩ BX ( x, δx ), then f (k) (x) is exists and f (i) (x) =
g (i) (x), ∀x ∈ D2 , ∀i ∈ { 1, . . . , k }.
(iii) If f is Cn at x0 and ∃δ ∈ (0, ∞) ⊂ IR such that span ( AD2 ( x ) ) = X,

∀x ∈ D2 ∩ BX ( x0 , δ ), then, g is Cn at x0 .
(iv) If g is Cn at x0 and ∃δ ∈ (0, ∞) ⊂ IR such that D1 ∩ BX ( x0 , δ ) =

D2 ∩ BX ( x0 , δ ), then f is Cn at x0 .
Proof (i) We will use mathematical induction on k to prove this

statement.
1◦ k = 1. ∀x ∈ D2 , by Proposition 9.11, we have g (1) (x) exists and
g (x) = f (1) (x). Hence, the result holds in this case.
(1)
2◦ Assume that the result holds for k ≤ k̄ ∈ IN.

3◦ Consider the case k = k̄ + 1. By inductive assumption, g (k̄)(x) exists

and g (i) (x) = f (i) (x), ∀x ∈ D2 , ∀i ∈ 1, . . . , k̄ . Then, dom g (k̄) =

D2 ⊆ dom f (k̄) =: D̄1 . ∀x ∈ D2 , by the assumption, f (k̄) is differen-
tiable at x and span ( AD2 ( x ) ) = X. By Proposition 9.11, g (k̄) is Fréchet
differentiable at x and g (k̄+1) (x) = Dg (k̄) (x) = Df (k̄) (x) = f (k̄+1) (x). This
completes the induction process.
(ii) We will use mathematical induction on k to prove this statement.
1◦ k = 1. ∀x ∈ D2 , by Proposition 9.11, f (1) (x) exists and f (1) (x) =
(1)
g (x). Hence, the result holds.
3◦ Consider the case k = k̄ + 1. By inductive assumption, f (k̄)(x) exists

and f (i) (x) = g (i) (x), ∀x ∈ D2 , ∀i ∈ 1, . . . , k̄ . Then, dom g (k̄) =

D2 ⊆ dom f (k̄) =: D̄1 ⊆ D1 . ∀x ∈ D2 , by the assumption, g (k̄) is
differentiable at x and ∃δx ∈ (0, ∞) ⊂ IR such that D̄1 ∩ BX ( x, δx ) =
D2 ∩ BX ( x, δx ). Then, by Proposition 9.11, f (k̄) is Fréchet differentiable
at x and f (k̄+1) (x) = Df (k̄) (x) = Dg (k̄) (x) = g (k̄+1) (x). This completes the
induction process.
(iii) We will distinguish two exhaustive and mutually exclusive cases:
Case 1: n ∈ IN; Case 2: n = ∞.
Case 1: n ∈ IN. Without loss of generality, assume f is n-times differen-
tiable at x, ∀x ∈ D1 ∩ BX ( x0 , δ ). Let D̄2 := D2 ∩ BX ( x0 , δ ) and ḡ := f |D̄2 .
∀x ∈ D̄2 , f (n) (x) exists. Let δx := δ − k x − x0 k ∈ (0, ∞) ⊂ IR. Then, D̄2 ∩

BX ( x, δx ) = D2 ∩ BX ( x, δx ). Hence, span AD̄2 ( x ) = span ( AD2 ( x ) ) =
X. Then, by (i), ḡ is n-times differentiable and ḡ (i) (x) = f (i) (x), ∀x ∈ D̄2 ,
∀i ∈ { 1, . . . , n }. By (ii), g (n) (x) exists and g (i) (x) = ḡ (i) (x) = f (i) (x),
∀x ∈ D̄2 , ∀i ∈ { 1, . . . , n }. By the continuity of f (n) at x0 , ∀ǫ ∈ (0, ∞) ⊂ IR,
∃ ∈ (0, δ] ⊂ IR, ∀x ∈ dom f (n) ∩ BX x0 , δ̄ = D1 ∩ BX x0 , δ̄ , we have
δ̄ (n)
f (x) − f (n) (x0 ) < ǫ. ∀x ∈ dom g (n) ∩ BX x0 , δ̄ = D2 ∩ BX x0 , δ̄ ,
(n)
we have g (x) − g (n) (x0 ) = f (n) (x) − f (n) (x0 ) < ǫ. Hence, g (n) is
continuous at x0 . Therefore, g is Cn at x0 .
Case 2: n = ∞. ∀i ∈ IN, f is Ci at x0 . By Case 1, g is Ci at x0 . Hence,
g is C∞ at x0 .
(iv) We will distinguish two exhaustive and mutually exclusive cases:
Case 1: n ∈ IN. Without loss of generality, assume g is n-times
differentiable at x, ∀x ∈ D2 ∩ BX ( x0 , δ ) =: D̄2 . Let ḡ := g|D̄2 .
∀x ∈ D̄2 , g (n) (x) exists. Let δx := δ − k x − x0 k ∈ (0, ∞) ⊂ IR.
Then, D̄2 ∩ BX ( x, δx ) = D2 ∩ BX ( x, δx ) = D1 ∩ BX ( x, δx ). Hence,

span AD̄2 ( x ) = span ( AD2 ( x ) ) = X. Then, by (i), ḡ is n-times dif-
ferentiable and ḡ (i) (x) = g (i) (x), ∀x ∈ D̄2 , ∀i ∈ { 1, . . . , n }. By (ii),
f (n) (x) exists and f (i) (x) = ḡ (i) (x) = g (i) (x), ∀x ∈ D̄2 , ∀i ∈ { 1, . . . , n }.
(n)
By the continuity
(n)
of g x0 , ∀ǫ ∈ (0, ∞)
at ⊂ IR, ∃δ̄ ∈ (0, δ] ⊂ IR,
∀x ∈
(n) dom g ∩B
X x 0 , δ̄ = D 2 ∩B X x 0 , δ̄ = D1 ∩BX x0 , δ̄ , we have

g (x) − g (n) (x0 ) < ǫ. ∀x ∈ dom f (n) ∩ BX x0 , δ̄ = D1 ∩ BX x0 , δ̄ ,
(n)
we have f (x) − f (n) (x0 ) = g (n) (x) − g (n) (x0 ) < ǫ. Hence, f (n) is
continuous at x0 . Therefore, f is Cn at x0 .
Case 2: n = ∞. ∀i ∈ IN, g is Ci at x0 . By Case 1, f is Ci at x0 . Hence,
f is C∞ at x0 .
f : D → Y. Assume that there exist open sets O1 , O2 ⊆ X such that
D1 := D ∩ O1 and D2 := D ∩ O2 satisfy D1 ∪ D2 = D and f |D1 and f |D2
are Ck , where k ∈ IN ∪ { ∞ }. Then, f is Ck .
Proof ∀x ∈ D, without loss of generality, assume that x ∈ D1 . Then,
∃δ ∈ (0, ∞) ⊂ IR such that BX ( x, δ ) ⊆ O1 , which implies that D1 ∩
BX ( x, δ ) = D ∩ BX ( x, δ ). Since f |D1 is Ck , then, by Proposition 9.34,
(i)
∀x̄ ∈ D1 , f (i) (x̄) = f |D1 (x̄), ∀i ∈ IN with i ≤ k. Then, f is Ck at x. By the
arbitrariness of x, f is Ck . This completes the proof of the proposition. 2
Note that D1 and D2 are open sets in the subset topology of D. This
result should be compared with Theorem 3.11, where continuity on D can
be concluded when D1 and D2 are relatively open or are relatively closed.
For continuous differentiability, D1 and D2 must be relatively open for the
conclusion to hold.
Proposition 9.36 Let X be a normed linear space over IK, and f : X → X
be given by f = idX , that is f (x) = x, ∀x ∈ X. Then, f is C∞ , f (1) (x) =
idX , and f (i+1) (x) = ϑBS i+1 (X,X) , ∀x ∈ X, ∀i ∈ IN.

Proposition 9.37 Let X and Y be normed linear spaces over IK, and f :
X × Y → X be given byh f = πX , that is if (x, y) = x, ∀(x, y) ∈ X × Y. Then,
f is C∞ , f (1) (x, y) = idX ϑB(Y,X) and f (i+1) (x, y) = ϑBS i+1 (X×Y,X) ,
∀(x, y) ∈ X × Y, ∀i ∈ IN.
Proposition 9.38 Let X be a normed linear space over IK, f : X × X →
X be given by f (x1 ,x2 ) = x1 + x2 , ∀(x1 , x2 ) ∈ X × X. Then, f is
C∞ , f (1) (x1 , x2 ) = idX idX , and f (i+1) (x1 , x2 ) = ϑBS i+1 (X×X,X) ,
∀(x1 , x2 ) ∈ X × X, ∀i ∈ IN.
Proposition 9.39 Let X be a normed linear space over IK, f : IK × X → X

given by f (α,(2)
be x) = αx, ∀(α, x) ∈ IK × X. Then, f is C∞ , f (1) (α, x) =
x αidX , f (α, x)(d2 , h2 )(d1 , h1 ) = d1 h2 + d2 h1 , and f (i+2) (α, x) =
ϑBS i+2 (IK×X,X) , ∀(α, x) ∈ IK × X, ∀i ∈ IN, ∀(d1 , h1 ) ∈ IK × X, ∀(d2 , h2 ) ∈
IK × X.

f1 : D → Y, f2 : D → Y, x0 ∈ D, α1 , α2 ∈ IK, n ∈ IN, k ∈ IN ∪ { ∞ },
and g : D → Y be given by g(x) = α1 f1 (x) + α2 f2 (x), ∀x ∈ D. If f1 and
f2 are n-times differentiable, then, g is n-times differentiable and g (i) (x) =
(i) (i)
α1 f1 (x) + α2 f2 (x), ∀x ∈ D, ∀i ∈ { 1, . . . , n }. If f1 and f2 are Ck at x0 ,
(i) (i)
then g is Ck at x0 and g (i) (x) = α1 f1 (x)+α2 f2 (x), ∀x ∈ D ∩BX ( x0 , δ0 ),
∀i ∈ IN with i ≤ k, for some δ0 ∈ (0, ∞) ⊂ IR.
Proposition 9.41 Let X and Y be normed linear spaces over IK, f :

B ( X, Y ) × X → Y be given
by f (A, x) = Ax, ∀(A, x) ∈ B ( X, Y ) × X. Then,
f is C∞ , f (1) (A, x) = ro(x) A , f (2) (A, x)(∆2 , h2 )(∆1 , h1 ) = ∆1 h2 +
∆2 h1 , and f (i+2) (A, x) = ϑB “ ” , ∀(A, x) ∈ B ( X, Y ) × X,
S i+2 B(X,Y)×X,Y
∀i ∈ IN, ∀(∆1 , h1 ) ∈ B ( X, Y ) × X, ∀(∆2 , h2 ) ∈ B ( X, Y ) × X.
Proposition 9.42 Let X, Y, and Z be normed linear spaces over IK,

f : B ( Y, Z ) × B ( X, Y ) → B ( X, Z ) be given by f (Ayz , Axy ) = Ayz Axy ,
∀(A Z ) × B ( X, Y ). Then, f is C∞ , f (1) (Ayz , Axy ) =
yz , Axy ) ∈ B ( Y,(2)
ro(Axy ) Ayz , f (Ayz , Axy )(∆yz2 , ∆xy2 )(∆yz1 , ∆xy1 ) = ∆yz1 ∆xy2 +
∆yz2 ∆xy1 , and f (i+2) (Ayz , Axy ) = ϑB “ ”,
S i+2 B(Y,Z)×B(X,Y),B(X,Z)
∀(Ayz , Axy ) ∈ B ( Y, Z ) × B ( X, Y ), ∀i ∈ IN, ∀(∆yz1 , ∆xy1 ) ∈ B ( Y, Z ) ×

B ( X, Y ), ∀(∆yz2 , ∆xy2 ) ∈ B ( Y, Z ) × B ( X, Y ).
Proposition 9.43 Let X1 , . . . , Xp and Y1 , . . . , Ym be normed linear spaces

over IK, where p, m ∈ IN, Zji := B( Xi , Yj ), i = 1, . .. , p, j = 1, . . . , m,
Qm Qp Qp Qm
Z := j=1 i=1 Zji , and f : Z → B i=1 Xi , j=1 Yj be given by
 
A11 ··· A1p
 .. ..  ;
f (A11 , . . . , Amp ) =  . .  ∀(A11 , . . . , Amp ) ∈ Z
Am1 · · · Amp
Then, f is C∞ and
 
∆11 ··· ∆1p
 .. .. 
f (1) (A11 , . . . , Amp )(∆11 , . . . , ∆mp ) =  . . 
∆m1 · · · ∆mp
f (l+1) (A11 , . . . , Amp ) = ϑ “Q Qm ”
!
p
BS l+1 Z,B i=1 Xi , j=1 Yj
∀(A11 , . . . , Amp ) ∈ Z, ∀l ∈ IN, ∀(∆11 , . . . , ∆mp ) ∈ Z.

9.4.4 Properties of high order derivatives

X, f1 : D → Y, f2 : D → Z, x0 ∈ D, k ∈ IN, and g : D → Y × Z be given by
g(x) = (f1 (x), f2 (x)), ∀x ∈ D. Then, the following statements hold.
(k) (k)
(i) ∃δ0 ∈ (0, ∞) ⊂ IR such that f1 (x) and f2 (x) exist, ∀x ∈ D ∩
(k)
BX ( x0 , δ0 ) if, and only if, ∃δ0 ∈ (0, ∞) ⊂ IR such
" that g# (x) exists,
(i)
f1 (x)
∀x ∈ D ∩ BX ( x0 , δ0 ). In this case g (i) (x) = (i) , ∀x ∈ D ∩
f2 (x)
BX ( x0 , δ0 ), ∀i ∈ { 1, . . . , k }.
(ii) Let n ∈ IN ∪ { ∞ }. Then, f1 and f2 are Cn at x0 if, and only if, g is
Cn at x0 .
Proof (i) We will use mathematical induction on k to prove this
statement.
1◦ k = 1. The statement holds by Proposition 9.19.
2◦ Assume that the result holds for k = k̄ ∈ IN.
(k̄+1) (k̄+1)
3◦ Consider the case k = k̄ + 1. “Necessity” Let f1 (x) and f2 (x)
exist, ∀x ∈ D"∩ BX ( x0#, δ0 ). By inductive assumption, g (k̄) (x) exists
(i)
f1 (x)
and g (i) (x) = (i) , ∀x ∈ D ∩ BX ( x0 , δ0 ), ∀i ∈ 1, . . . , k̄ . Let
f2 (x)

(k̄) (k̄)
D̄1 := dom f1 , D̄2 := dom f2 and D̄ := dom g (k̄) . Then,
D̄1 ⊆ D, D̄2 ⊆ D, D̄ ⊆ D, D̄ ⊇ D ∩ BX ( x0 , δ0 ), and D̄ ∩ BX ( x0 , δ0 ) ⊆
D̄1 ∩ D̄2 . This implies that D̄ ∩ BX ( x0 , δ0 ) = D ∩ BX ( x0 , δ0 ) =: D̂

and span AD̂ ( x ) = span ( AD ( x ) ) = X, ∀x ∈ D̂. By the assumption,
(k̄) (k̄)
f1 and f2 are differentiable at x, ∀x ∈ D̂. By Propositions 9.19 and
(k̄) (k̄+1) (k̄)
9.11, ∀x ∈ D̂, g is differentiable at x and g (x) = D g (x) =
  " # D̂
(k̄)
D f1 (x) (k̄+1)
 D̂  = f1 (x)
.
(k̄) (k̄+1)
D f2 (x) f2 (x)
D̂
“Sufficiency” Let g (k̄+1) (x) exist, ∀x ∈ D ∩ BX ( x0 , δ0 ). " By induc- #

(i)
(k̄) (k̄) (i) f1 (x)
tive assumption, f1 (x) and f2 (x) exist and g (x) = (i) ,
f2 (x)

(k̄)
∀x ∈ D ∩ BX ( x0 , δ0 ), ∀i ∈ 1, . . . , k̄ . Let D̄1 := dom f1 , D̄2 :=

(k̄)
dom f2 and D̄ := dom g (k̄) . Then, D̄1 ⊆ D, D̄2 ⊆ D, D̄ ⊆ D,
D̄ ⊇ D ∩ BX ( x0 , δ0 ), and D ∩ BX ( x0 , δ0 ) ⊆ D̄1 ∩ D̄2 . This implies that
D̄ ∩ BX ( x0 , δ0 ) = D ∩ BX ( x0 , δ0 ) = D̄1 ∩ BX ( x0 , δ0 ) = D̄2 ∩ BX ( x0 , δ0 ) =:

D̂. Then, span AD̂ ( x ) = span ( AD ( x ) ) = X, ∀x ∈ D̂. By Propo-
(k̄) (k̄)
sitions 9.11 and 9.19, we have, ∀x ∈ D̂, f1 and f2 are differen-
 D̂ D̂
(k̄)
D f 1 (x)
tiable at x and g (k̄+1) (x) = D g (k̄) (x) =  D̂ . By Proposi-
(k̄)
D̂ D f2 (x)
D̂
(k̄) (k̄) (k̄+1) (k̄)
tion 9.11, we have D f1 (x) = Df1 (x) = f1 (x) and D f2 (x) =
D̂ " # D̂
(k̄+1)
(k̄) (k̄+1) (k̄+1) f1 (x)
Df2 (x) = f2 (x), ∀x ∈ D̂. Then, g (x) = (k̄+1) , ∀x ∈ D̂.
f2 (x)
This completes the induction process.
(ii) We will distinguish two exhaustive and mutually exclusive cases:
Case 1: n ∈ IN. “Sufficiency” Let g be Cn at x0 . Then, ∃δ0 ∈ (0, ∞) ⊂ IR
such that g is n-times differentiable at x, ∀x ∈ D∩BX ( x0 , δ0 ) =: " D̄. By (i),
#
(n)
(n) f1 (x)
f1 and f2 are n-times differentiable at x, ∀x ∈ D̄ and g (x) = (n) ,
f2 (x)
(n)
∀x ∈ D̄. By the continuity of g (n) at x0 and Proposition 3.32, f1 and
(n)
f2 are continuous at x0 . Then, f1 and f2 are Cn at x0 .
“Necessity” Let f1 and f2 be Cn at x0 . Then, ∃δ0 ∈ (0, ∞) ⊂ IR such
that f1 and f2 are n-times differentiable at x, ∀x ∈ D ∩ BX ( x"0 , δ0 ) =: D̄.
#
(n)
(n) f1 (x)
By (i), g is n-times differentiable at x, ∀x ∈ D̄ and g (x) = (n) ,
f2 (x)
(n) (n)
∀x ∈ D̄. By the continuity of f1 and f2 at x0 and Proposition 3.32,
g (n) is continuous at x0 . Then, g is Cn at x0 .
Case 2: n = ∞. “Sufficiency” Let g be C∞ at x0 . ∀i ∈ IN, g is Ci at
x0 . By Case 1, f1 and f2 are Ci at x0 . Then, f1 and f2 are C∞ at x0 .
“Necessity” Let f1 and f2 be C∞ at x0 . ∀i ∈ IN, f1 and f2 are Ci at x0 . By
Case 1, g is Ci at x0 . Then, g is C∞ at x0 .
Proposition 9.45 Let X, Y, and Z be normed linear spaces over IK, D1 ⊆

X, D2 ⊆ Y, f : D1 → D2 , g : D2 → Z, x0 ∈ D1 , and y0 := f (x0 ) ∈ D2 .
(i) Assume that f is Ck at x0 and g is Ck at y0 , for some k ∈ IN ∪ { ∞ }.

Then, h := g ◦ f is Ck at x0 .
(ii) Let k ∈ IN. Assume that f is k-times differentiable and g is k-times
differentiable. Then, h is k-times differentiable.
Proof (i) We will first use mathematical induction on k to show that
the result holds if k ∈ IN.
1◦ k = 1. By g being C1 at y0 , then ∃δ1 ∈ (0, ∞) ⊂ IR such that
g (1) (y) exists, ∀y ∈ D2 ∩ BY ( y0 , δ1 ), and g (1) is continuous at y0 . By
f being C1 at x0 , then, by Proposition 9.7, ∃δ ∈ (0, ∞) ⊂ IR such that
f (x) ∈ D2 ∩ BY ( y0 , δ1 ) and f (1) (x) exists, ∀x ∈ D1 ∩ BX ( x0 , δ ), and f (1)
is continuous at x0 . ∀x ∈ D1 ∩ BX ( x0 , δ ), by Chain Rule, h(1) (x) exists
and h(1) (x) = g (1) (f (x))f (1) (x). By Propositions 3.12, 9.7, 3.32, and 9.42,
h(1) is continuous at x0 . Hence, h is C1 at x0 .
3◦ Consider the case k = k̄ + 1. By g being Ck̄+1 at y0 , then ∃δ1 ∈
(0, ∞) ⊂ IR such that g (1) (y) exists, ∀y ∈ D2 ∩ BY ( y0 , δ1 ) =: D̄, and g (1) is
Ck̄ at y0 . By f being Ck̄+1 at x0 , then, by Proposition 9.7, ∃δ ∈ (0, ∞) ⊂ IR
such that f (x) ∈ D̄ and f (1) (x) exists, ∀x ∈ D1 ∩ BX ( x0 , δ ) =: D̂, and
f (1) is Ck̄ at x0 . ∀x ∈ D̂, by (1) (1)
Chain Rule, h (x) exists and(1)h (x) =
g (f (x))f (x). Then, h D̂ : D̂ → B ( X, Z ) is given by h D̂ (x) =
(1) (1) (1)

g (1) D̄ ( f |D̂ (x)) f (1) D̂ (x), ∀x ∈ D̂. By Proposition 9.34, g (1) D̄ is Ck̄

at y0 and f |D̂ and f (1) D̂ are Ck̄ at x0 . By inductive assumption and

Propositions 9.44, 9.42, and 3.32, h(1) D̂ is Ck̄ at x0 . By Proposition 9.34,
h(1) is Ck̄ at x0 . Hence, h is Ck̄+1 at x0 .
When k = ∞, then, ∀i ∈ IN, g is Ci at y0 and f is Ci at x0 , which further
implies by the induction conclusion, h is Ci at x0 . Hence, h is C∞ at x0 .
(ii) We will first use mathematical induction on k to show that the result
holds.
1◦ k = 1. By Chain Rule, h(1) (x) exists and h(1) (x) = g (1) (f (x))f (1) (x),
∀x ∈ D1 . Hence, the result holds.
3◦ Consider the case k = k̄ + 1. By Chain Rule, h(1) (x) exists and
h (x) = g (1) (f (x))f (1) (x), ∀x ∈ D1 . By inductive assumption and Propo-
(1)
sitions 9.44 and 9.42, h(1) is k̄-times differentiable. Hence, h is (k̄ + 1)-times
differentiable. This completes the induction process and the proof of the
proposition. 2
X × Y, f : D → Z be partial differentiable with respect to x, and partial
differentiable with respect to y. Then, the following statements hold.
∂f ∂f
(i) If f is (n + 1)-times differentiable, where n ∈ IN, then, ∂x and ∂y are
n-times differentiable.
∂f ∂f
(ii) If f is C1 at (x0 , y0 ) ∈ D, then ∂x and ∂y are continuous at (x0 , y0 ).
(iii) If f is Cn at (x0 , y0 ) ∈ D, where n ∈ { 2, 3, . . .} ∪ { ∞ }, then ∂f ∂x and

∂f
∂y are C n−1 at (x 0 , y 0 ).
h i
∂f ∂f
Proof By Proposition 9.9, f (1) (x, y) = ∂x (x, y) (x, y) ,
" ∂y #
idX
∀(x, y) ∈ D. Define g : X × Y → B ( X, X × Y ) by g(x, y) = ϑ .
B(X,Y)
By Proposition 9.33, g is C∞ . It is clear that ∂f ∂x (x, y) = f

(1)
(x, y)g(x, y),
∀(x, y) ∈ D.
(i) Since f is (n + 1)-times differentiable, then f (1) is n-times differen-
tiable. By Propositions 9.42, 9.44, and 9.45, we have ∂f ∂x is n-times differ-
entiable. By symmetry, ∂f ∂y is n-times differentiable. This completes the
proof of the proposition.
(ii) Since f is C1 at (x0 , y0 ), then f (1) is continuous at (x0 , y0 ). By
Propositions 9.42, 9.7, 3.32, and 3.12, we have ∂f ∂x is continuous at (x0 , y0 ).
∂f
By symmetry, ∂y is continuous at (x0 , y0 ).
(iii) Since f is Cn at (x0 , y0 ), then f (1) is Cn−1 at (x0 , y0 ). By Propo-
sitions 9.42, 9.44, and 9.45, we have ∂f ∂x is Cn−1 at (x0 , y0 ). By symmetry,
∂f
∂y is Cn−1 at (x0 , y0 ).
Proposition 9.47 Let X1 , . . . , X
Qp , and Y be normed linear spaces over IK,
where p ∈ { 2, 3, . . .}, D ⊆ X := pi=1 Xi , f : D → Y, xo ∈ D◦ , and k ∈ IN.
Assume that ∃δ0 ∈ (0, ∞) ⊂ IR such that all partial derivatives of f up to
kth order exist and are continuous at x, ∀x ∈ D̃ := BX ( xo , δ0 ) ⊆ D. Then,
f is Ck at x, ∀x ∈ D̃.
Proof We will prove this using mathematical induction on k.
1◦ k = 1. ∀x ∈ D̃, by repeated
h application of Proposition
i 9.24, we have
∂f ∂f
f (1) (x) exists and f (1) (x) = ∂x 1
(x) · · · ∂xp (x) .
3◦ h k = k̄ + 1. ∀x ∈ D̃,iby the case k = 1, f (x)
Consider the case (1)
∂f ∂f
exists and f (1) (x) = ∂x1 (x) · · · ∂xp (x) . ∀i ∈ { 1, . . . , p }, by the
∂f
assumption, all partial derivatives of ∂x i
up to k̄th order exist and are
∂f
continuous at x. Then, by inductive assumption, ∂x is Ck̄ at x. Define
Qp ∂f
i
∂f
the function g : D̂ → i=1 B ( Xi , Y ) by g(x) = ( ∂x1 (x), . . . , ∂x (x)), ∀x ∈
Tp p
∂f
D̂ := i=1 dom ∂x . Clearly, D̃ ⊆ D̂ ⊆ D. Then, by Proposition 9.44,
i
 ∂f

Dj ∂x 1
(x)
 .. 
g is k̄-times differentiable at x and g (j) (x) = 
 .
, ∀j = 1, . . . , k̄.

j ∂f
D ∂xp (x)
By Proposition 3.32, g is Ck̄ at x. By Propositions 9.45 and 9.43, f (1) is Ck̄

at x. Therefore, f is Ck̄+1 at x. This completes the induction process and
Theorem 9.48 (Taylor’s Theorem) Let X and Y be normed linear spaces

over IK, D ⊆ X, f : D → Y, x0 , x1 ∈ D, and n ∈ IN. Let D̄ := I :=
˜ := I ◦ if IK = IR or D̄ := { a + i0 | a ∈ I } ⊂ C and
[0, 1] ⊂ IR and D̄
˜
D̄ := { a + i0 | a ∈ I ◦ } ⊂ C if IK = C. Let ϕ : D̄ → D be given
by ϕ(t) = tx1 + (1 − t)x0 , ∀t ∈ D̄. Assume that dom f (n) ⊇ ϕ(D̄),
˜ ), and f (n) is continuous at x = ϕ(t), ∀t ∈ D̄. Let
dom f (n+1) ⊇ ϕ(D̄
Rn ∈ Y be given by

1 (1)
Rn := f (x1 ) − f (x0 )(x1 − x0 ) + · · · +
f (x0 ) +
1!

1 (n)
f (x0 ) (x1 − x0 ) · · · (x1 − x0 )
n! | {z }
n-times

(i) If Y = IR and IK = IR, then ∃t̄0 ∈ I ◦ such that
1
Rn = f (n+1) (ϕ(t̄0 )) (x1 − x0 ) · · · (x1 − x0 )
(n + 1)! | {z }
(n+1)-times
(ii) ∃t̄0 ∈ I ◦ such that

1 (n+1) n+1
k Rn k ≤ f (ϕ(t̄0 )) k x1 − x0 k
(n + 1)!
Proof (i) Let Y = IR and IK = IR. Define F : I → IR by

t
F (t) = f (ϕ(1)) − f (ϕ(1 − t)) + f (1) (ϕ(1 − t))(x1 − x0 ) + · · · +
1!

tn (n)
f (ϕ(1 − t)) (x1 − x0 ) · · · (x1 − x0 ) +Rn tn+1 ; ∀t ∈ I
n! | {z }
n-times
By Propositions 3.12, 3.32, 9.7, 7.23, and 7.65, F is continuous. Clearly, ϕ

is differentiable. By Chain Rule and Propositions 9.10, 9.15–9.17 and 9.19,
F is differentiable at t, ∀t ∈ I ◦ . Clearly, F (0) = F (1) = 0. By Mean Value
Theorem 9.20, ∃t0 ∈ I ◦ such that 0 = F (1) − F (0) = DF (t0 ). Then, we
have

0 = − − f (1) (ϕ(1 − t0 ))(x1 − x0 ) + f (1) (ϕ(1 − t0 ))(x1 − x0 ) −
t0 (2)
f (ϕ(1 − t0 ))(x1 − x0 )(x1 − x0 ) + · · · +
1!
t0n−1
f (n) (ϕ(1 − t0 )) (x1 − x0 ) · · · (x1 − x0 ) −
(n − 1)! | {z }
n-times

tn0 (n+1) n
f (ϕ(1 − t0 )) (x1 − x0 ) · · · (x1 − x0 ) +(n + 1)Rn t0
n! | {z }
(n+1)-times
tn0 (n+1)
= f (ϕ(1 − t0 )) (x1 − x0 ) · · · (x1 − x0 ) −(n + 1)Rn tn0
n! | {z }
(n+1)-times
Hence,
1
Rn = f (n+1) (ϕ(t̄0 )) (x1 − x0 ) · · · (x1 − x0 )
(n + 1)! | {z }
(n+1)-times
where t̄0 = 1 − t0 ∈ I ◦ .
(ii) By Proposition 7.85, ∃y∗ ∈ Y∗ with k y∗ k ≤ 1 such that k Rn k =
hh y∗ , Rn ii. Define G : D̄ → IK by

G(t) = y∗ , f (x1 ) − f (ϕ(1 − t)) −

n
X ti
f (i) (ϕ(1 − t)) (x1 − x0 ) · · · (x1 − x0 ) − k Rn k tn+1
i! | {z }
i=1
i-times
∀t ∈ D̄. By Propositions 3.12, 3.32, 9.7, 7.23, and 7.65, G is continuous.

Clearly, ϕ is differentiable. By Chain Rule and Propositions 9.10, 9.15–9.17
and 9.19, G is differentiable at t, ∀t ∈ D̄ ˜ . Clearly, G(0) = G(1) = 0.
1: IK = IR; Case 2: IK = C.
Case 1: IK = IR. By Mean Value Theorem 9.20, ∃t0 ∈ I ◦ such that
0 = G(1) − G(0) = DG(t0 ). Then, we have

0 = y∗ , f (1) (ϕ(1 − t0 ))(x1 − x0 ) −

Xn
ti−1
0
f (i) (ϕ(1 − t0 )) (x1 − x0 ) · · · (x1 − x0 ) +
i=1
(i − 1)! | {z }
i-times
Xn
ti0 (i+1)
f (ϕ(1 − t0 )) (x1 − x0 ) · · · (x1 − x0 ) − (n + 1) k Rn k tn0
i! | {z }
i=1
(i+1)-times

tn
= y∗ , 0 f (n+1) (ϕ(1 − t0 )) (x1 − x0 ) · · · (x1 − x0 ) −
n! | {z }
(n+1)-times
(n + 1) k Rn k tn0
Then, we have

k Rn k = y∗ , f (n+1) (ϕ(1 − t0 )) (x1 − x0 ) · · · (x1 − x0 )
(n + 1)! | {z }
(n+1)-times
1
≤ k y∗ k f (n+1) (ϕ(1 − t0 )) (x1 − x0 ) · · · (x1 − x0 )
(n + 1)! | {z }
(n+1)-times
1 (n+1) n+1
≤ f (ϕ(t̄0 )) k x1 − x0 k
(n + 1)!
where the last two inequalities follows from Proposition 7.64 and t̄0 =
1 − t0 ∈ I ◦ .
Case 2: IK = C. By Lemma 9.22, ∃t0 ∈ I ◦ such that Re ( G(1)−G(0) ) =
Re ( DG(t0 ) ). Then, we have

0 = Re y∗ , f (1) (ϕ(1 − t0 ))(x1 − x0 ) −
n
X ti−1

0

Re y∗ , f (i) (ϕ(1 − t0 )) (x1 − x0 ) · · · (x1 − x0 ) +
i=1
(i − 1)! | {z }
i-times
Xn

ti0 (i+1)
Re y∗ , f (ϕ(1 − t0 )) (x1 − x0 ) · · · (x1 − x0 ) −
i! | {z }
i=1
(i+1)-times
(n + 1) k Rn k tn0

tn
= Re y∗ , 0 f (n+1) (ϕ(1 − t0 )) (x1 − x0 ) · · · (x1 − x0 ) −
n! | {z }
(n+1)-times
(n + 1) k Rn k tn0
Hence,

k Rn k = Re y∗ , f (n+1) (ϕ(1 − t0 )) (x1 − x0 ) · · · (x1 − x0 )
(n + 1)! | {z }
(n+1)-times
1 (n+1)
≤ k y∗ k f (ϕ(1 − t0 )) (x1 − x0 ) · · · (x1 − x0 )
(n + 1)! | {z }
(n+1)-times
1 (n+1) n+1
≤ f (ϕ(t̄0 )) k x1 − x0 k
(n + 1)!
where the last two inequalities follows from Proposition 7.64 and t̄0 =
1 − t0 ∈ I ◦ .
9.5. MAPPING THEOREMS 285
9.5 Mapping Theorems

Definition 9.49 Let X := (X, ρ) be a metric space, S ⊆ X, and T : S →
X. T is said to be a contraction mapping on S if T (S) ⊆ S and ∃α ∈
[0, 1) ⊂ IR such that ∀x1 , x2 ∈ S, we have ρ(T (x1 ), T (x2 )) ≤ αρ(x1 , x2 ).
Then, α is called an contraction index for T .
Theorem 9.50 (Contraction Mapping Theorem) Let S 6= ∅ be a

closed subset of a complete metric space X := (X, ρ) and T be a contraction
mapping on S with contraction index α ∈ [0, 1) ⊂ IR. Then, the following
statements hold.
(i) ∃! x0 ∈ S such that x0 = T (x0 ).
(ii) ∀x1 ∈ S, recursively define xn+1 = T (xn ), ∀n ∈ IN. Then,

limn∈IN xn = x0 .
n−1
(iii) ρ(xn , x0 ) ≤ α1−α ρ(x2 , x1 ), ρ(xn , x0 ) ≤ α
1−α ρ(xn , xn−1 ), and ρ(xn , x0 )
≤ αρ(xn−1 , x0 ), ∀n ∈ { 2, 3, . . .}.
Proof Fix any x1 ∈ S 6= ∅. Recursively define xn+1 = T (xn ) ∈ S,

∀n ∈ IN. Then, ρ(xn , xn−1 ) = ρ(T (xn−1 ), T (xn−2 )) ≤ αρ(xn−1 , xn−2 ) ≤
· · · ≤ αn−2 ρ(x2 , x1 ), ∀n ∈ { 3, 4, . . .}. Therefore, ( xn )∞
n=1 ⊆ S is a Cauchy
sequence and converges to x0 ∈ S by X being complete, S being closed,
and Proposition 4.39. Clearly, T is continuous. Then, by Proposition 3.66,
x0 = T (x0 ). ∀x̄ ∈ S such that x̄ = T (x̄). Then, ρ(x0 , x̄) ≤ αρ(x0 , x̄) and
ρ(x0 , x̄) = 0. Hence, x̄ = x0 . Hence the statements (i) and (ii) are true.
Note that, by Propositions 3.66 and 4.30, ∀n ∈ { 2, 3, . . .},
∞
X ∞
X
ρ(xn , x0 ) = lim ρ(xn , xm ) ≤ ρ(xi+1 , xi ) ≤ αi−2 ρ(x2 , x1 )
m∈IN
i=n i=n+1
αn−1
= ρ(x2 , x1 )
1−α
∞
X ∞
X α
ρ(xn , x0 ) ≤ ρ(xi+1 , xi ) ≤ αi ρ(xn , xn−1 ) = ρ(xn , xn−1 )
i=n i=1
1−α
ρ(xn , x0 ) = ρ(T (xn−1 ), T (x0 )) ≤ αρ(xn−1 , x0 )
Lemma 9.51 Let X and Y be normed linear spaces over IK, D ⊆ X, x0 ∈

D, f : D → Y be C1 at x0 . Assume that ∃δ0 ∈ (0, ∞) ⊂ IR such that
D ∩ BX ( x0 , δ0 ) =: D̃ is convex. Then, ∀ǫ ∈ (0, ∞) ⊂ IR, ∃δ ∈ (0, ∞) ⊂ IR
such that, ∀x1 , x2 ∈ D ∩ BX ( x0 , δ ), we have f (x1 ) − f (x2 ) − f (1) (x0 )(x1 −
x2 ) ≤ ǫ k x1 − x2 k.
Proof ∀ǫ ∈ (0, ∞) ⊂ IR, by f being C1 at x0 , ∃δ ∈ (0, δ0 ] ⊂ IR such

that ∀x ∈ D ∩ BX ( x0 , δ ) =: D̄, we have f (1) (x) − f (1) (x0 ) < ǫ. Define
γ : D → Y by γ(x) = f (x)−f (1) (x0 )(x−x0 ), ∀x ∈ D. By Propositions 9.45,
9.38, 9.41, and 9.44, γ is C1 at x0 and γ (1) (x) = f (1) (x) − f (1) (x0 ), ∀x ∈ D̄.
Clearly, D̄ is convex. Then, ∀x1 , x2 ∈ D̄, by Mean Value Theorem 9.23 and
Proposition 7.64, we have f (x1 ) − f (x2 ) − f (1) (x
0 1 )(x − x 2 ) = k γ(x1 ) −
(1)
γ(x2 ) k ≤ γ (t0 x1 + (1 − t0 )x2 )(x1 − x2 ) ≤ ǫ k x1 − x2 k, for some
t0 ∈ (0, 1) ⊂ IR. This completes the proof of the lemma. 2
Theorem 9.52 (Injective Mapping Theorem) Let X and Y be Banach
spaces over IK, D ⊆ X, F : D → Y be C1 at x0 ∈ D◦ . Assume that
F (1) (x0 ) ∈ B ( X, Y ) is injective and M := R F (1) (x0 ) ⊆ Y is closed.
Then, ∃δ ∈ (0, ∞) ⊂ IR with U := BX ( x0 , δ ) ⊆ D such that F |U : U →
F (U ) is bijective and admits a continuous inverse Fi : F (U ) → U .
Proof By Proposition 7.13 and Theorem 7.35, M ⊆ Y is a Banach
space. Then, F (1) (x0 ) : X → M is bijective. By Open Mapping Theorem
7.103, the inverse
A of F (1) (x0 ) : X → M belongs to B ( M, X ). ∀h ∈ X, we
have k h k = AF (1) (x0 )h ≤ k A k F (1) (x0 )h
. Then, ∃r ∈ (0, ∞) ⊂ IR
(1)
such that r k A k ≤ 1 and r k h k ≤ F (x0 )h , ∀h ∈ X.
By Lemma 9.51, ∃δ ∈ (0, ∞) ⊂ IR with U := BX ( x0 , δ ) ⊆ D such that
∀x1 , x2 ∈ U , we have F (x1 )−F (x
(1)2 )−F (1)
(x
0 )(x1 −x2 ) ≤ r k x1 −x2 k /2.
∀x
1 , x2 ∈ U , r k x1 − x2 k ≤ F (x 0 )(x1 − x2 ) ≤ k F (x1 ) − F (x2 ) k +
F (x1 ) − F (x2 ) − F (1) (x0 )(x1 − x2 ) ≤ k F (x1 ) − F (x2 ) k + r k x1 − x2 k /2.
This implies that k F (x1 ) − F (x2 ) k ≥ r k x1 − x2 k /2. Hence, F |U : U →
F (U ) is injective and surjective. Then, F |U : U → F (U ) is bijective and
admits a inverse Fi : F (U ) → U . ∀y1 , y2 ∈ F (U ), we have k Fi (y1 ) −
Fi (y2 ) k ≤ 2/r k F (Fi (y1 )) − F (Fi (y2 )) k = 2/r k y1 − y2 k. Hence, Fi is
uniformly continuous. This completes the proof of the theorem 2
Theorem 9.53 (Surjective Mapping Theorem) Let X and Y be Ba-
nach spaces over IK, D ⊆ X, F : D → Y, x0 ∈ D◦ , and y0 := F (x0 ) ∈ Y.
Assume that F is C1 at x0 , and F (1) (x0 ) ∈ B ( X, Y ) is surjective. Then,
∃r ∈ (0, ∞) ⊂ IR, ∃δ ∈ (0, ∞) ⊂ IR, and ∃c1 ∈ [0, ∞) ⊂ IR with
c1 δ ≤ r such that ∀ȳ ∈ BY ( y0 , δ/2 ), ∀x̄ ∈ BX ( x0 , r/2 ) with ȳ = F (x̄),
∀y ∈ BY ( ȳ, δ/2 ), ∃x ∈ BX ( x0 , r ) ⊆ D with k x − x̄ k ≤ c1 k y − ȳ k, we have
y = F (x).

Proof Let M := N F (1) (x0 ) , which is a closed subspace by Propo-
sition 7.68. By Proposition 7.45, the quotient space X/M is a Banach
space. By Proposition 7.70, F (1) (x0 ) = A ◦ φ, where φ : X → X/M is the
natural homomorphism, and A ∈ B ( X/M, Y ) is injective. Since F (1) (x0 )
is surjective, then A is bijective and, by Open Mapping Theorem 7.103,
A−1 ∈ B ( Y, X/M ). Let c1 := 4 A−1 ∈ [0, ∞) ⊂ IR.
Define γ : D → X/M by γ(x) = A−1 (F (x) − F (1) (x0 )(x − x0 )), ∀x ∈ D.
By Propositions 9.45, 9.38, 9.41, 9.34, and 9.44, γ is C1 at x0 and γ (1) (x) =
A−1 (F (1) (x) − F (1) (x0 )), ∀x ∈ BX ( x0 , r0 ) ⊆ D, for some r0 ∈ (0, ∞) ⊂ IR.
Clearly, γ (1) (x0 ) = ϑB“X,X/M” . Then, by Lemma 9.51, ∃r ∈ (0, r0 ] ⊂ IR
such that ∀x1 , x2 ∈ BX ( x0 , r ) ⊆ D, we have k γ(x1 ) − γ(x2 ) k ≤ k x1 −
x2 k /4.
Let δ ∈ (0, ∞) ⊂ IR be such that c1 δ ≤ r. Fix any ȳ ∈ BY ( y0 , δ/2 ) and
any x̄ ∈ BX ( x0 , r/2 ) with ȳ = F (x̄). Fix any y ∈ BY ( ȳ, δ/2 ). Recursively
define x1 := x̄, [ xk+1 ] = [ xk ] + A−1 (y − F (xk )) and select xk+1 ∈ [ xk+1 ]
such that k xk+1 − xk k ≤ 2 k [ xk+1 ] − [ xk ] k, ∀k ∈ IN, where [ xk ] = φ(xk ) =
xk + M is the coset containing xk . Clearly, x1 ∈ BX ( x0 , r ). Note that
k x2 −x1 k ≤ 2 k [ x2 ]−[ x1 ] k = 2 A−1 (y− ȳ) ≤ 2 A−1 k y− ȳ k = c1 k y−
ȳ k /2 < r/4, where the second inequality follows from Proposition 7.64.
Then, x2 ∈ BX ( x0 , r ). Assume that x1 , . . . , xk ∈ BX ( x0 , r ) for some
k ∈ { 2, 3, . . .}. Note that ∀i ∈ { 2, . . . , k }, k xi+1 − xi k ≤ 2 k [ xi+1 ] −
[ xi ] k = 2 A−1 (y − F (xi ) + Aφ(xi )) − A−1 (y − F (xi−1 ) + Aφ(xi−1 )) =
2 k γ(xi )−γ(xi−1 ) k ≤ k xi −xi−1 k /2. Then, k xi+1 −xi k ≤ k x2 −x1 k /2i−1 .
Pk Pk
Hence, k xk+1 − x̄ k ≤ i=1 k xi+1 − xi k ≤ i=1 k x2 − x1 k /2i−1 = (2 −
1/2k−1 ) k x2 − x1 k < r/2. This implies that xk+1 ∈ BX ( x0 , r ). Inductively,
∞
we have ( xk )k=0 ⊆ BX ( x0 , r ) and k xk+1 −xk k ≤ k x2 −x1 k /2k−1 , ∀k ∈ IN.
∞
Hence, ( xk )k=0 is a Cauchy sequence. By the completeness of X, we have
limk∈IN xk = x ∈ X. Note that, by Propositions 3.66 and 4.30, k x − x̄ k =
limk∈IN k xk − x1 k ≤ limk∈IN (2 − 1/2k−2 ) k x2 − x1 k = 2 k x2 − x1 k < r/2.
Hence, x ∈ BX ( x0 , r ). By the differentiability of F and Propositions 9.7,
3.66, and 7.69, we have φ(x) = limk∈IN φ(xk+1 ) = limk∈IN (A−1 (y −F (xk ))+
φ(xk )) = φ(x) + A−1 (y − F (x)). This implies that y = F (x). Note that
k x − x̄ k ≤ 2 k x2 − x1 k ≤ c1 k y − ȳ k. This completes the proof of the
theorem. 2
Theorem 9.54 (Open Mapping Theorem) Let X and Y be Banach

spaces over IK, D ⊆ X be open, and F : D → Y be C1 . Assume that
F (1) (x) ∈ B ( X, Y ) is surjective, ∀x ∈ D. Then, F is an open mapping.
Proof Fix any open subset U ⊆ D, where U is open in the subset

topology of D. Since D is open, then U is open in X. We will show that
F (U ) is an open set in Y. Fix any y0 ∈ F (U ), there exists x0 ∈ U such that
y0 = x0 . Then, ∃r ∈ (0, ∞) ⊂ IR such that BX ( x0 , r ) ⊆ U . It is easy to
check that all assumptions of Surjective Mapping Theorem are satisfied at
x0 . Then, there exist an open set V ⊆ Y with y0 ∈ V and c1 ∈ [0, ∞) ⊂ IR
such that ∀ȳ ∈ V , ∃x̄ ∈ D with k x̄ − x0 k ≤ c1 k ȳ − y0 k, we have ȳ = F (x̄).
Take δ ∈ (0, ∞) ⊂ IR such that c1 δ ≤ r and BY ( y0 , δ ) ⊆ V . Then,
∀ȳ ∈ BY ( y0 , δ ), k x̄ − x0 k ≤ c1 k ȳ − y0 k < r. Then, x̄ ∈ BX ( x0 , r ) ⊆ U
and ȳ ∈ F (U ). Hence, BY ( y0 , δ ) ⊆ F (U ). Therefore, y0 ∈ (F (U ))◦ . By
the arbitrariness of y0 , we have F (U ) is open in Y. By the arbitrariness of
U , F is an open mapping. This completes the proof of the theorem. 2
Proposition 9.55 Let X and Y be Banach spaces over I K and A ∈ B ( X, Y )

be bijective. Then, ∀T ∈ B ( X, Y ) with k T − A k A−1 < 1, we have T is
‚ ‚
−1 ‚ −1‚2
‚A ‚ kT −Ak
bijective and T − A ≤ ‚‚ −1‚‚
−1
.
1−‚A ‚kT −Ak
Proof By Open Mapping Theorem 7.103, A−1 ∈ B ( Y, X ). We will

first prove the result for the special case Y = X and A = idX . We will
distinguish two exhaustive and mutually exclusive cases: Case 1: X is a
singleton set; Case 2: ∃x̄ ∈ X such that x̄ 6= ϑ X .
Case 1: X is a singleton set. Then, A−1 = k A k = 0. ∀T ∈ B ( X, X ),
we have T = idX . Then, T is bijective and T −1 − idX = 0. The result
holds for this case.
Case 2: ∃x̄ ∈ X such that x̄ 6= ϑX . Then, k A k = A−1 = 1. ∀T ∈
B ( X, X ) with k T − idX k < 1, let ∆ := T − idX . We will show that T
is bijective. ∀x1 , x2 ∈ X with T (x1 ) = T (x2 ), we have x1 + ∆(x1 ) =
x2 + ∆(x2 ), which implies that ∆(x1 − x2 ) = x2 − x1 . By Proposition 7.64,
we have k ∆ k k x1 − x2 k ≥ k x1 − x2 k. Since k ∆ k < 1 then k x1 − x2 k = 0
and x1 = x2 . Therefore, T is injective. ∀x0 ∈ X, define φ : X → X by
φ(x) = x0 − ∆(x), ∀x ∈ X. Clearly, φ is a contraction mapping on X with
contraction index k ∆ k. By Contraction Mapping Theorem, there exists a
unique x̄ ∈ X such that x̄ = φ(x̄). Then, x0 = x̄ + ∆(x̄) = T (x̄). Hence,
T is surjective. Then, T is bijective. By Open Mapping Theorem 7.103,
T −1 ∈ B ( X, X ).
∀y ∈ Y, let x = T −1 y. Then, y = T x = x + ∆x and x = y − ∆x. By
kyk
Proposition 7.64, we have k x k ≤ k y k + k ∆ k k x k and k x k ≤ 1− ∆ . By
−1 k k
the arbitrariness of y, we have T ≤ 1/(1 − k ∆ k). This further implies

that T −1 − idX = T −1 (idX − T ) ≤ T −1 k ∆ k ≤ k ∆ k /(1 − k ∆ k).
The result holds in this case.
Hence, the result holds for the special case Y = X and A = idX . Now
consider the general case. ∀T ∈ B ( X, Y ) with k T − A k A−1 < 1, we
have T̄ := A−1 T ∈ B ( X, X ). Note that T̄ − idX = A−1 (T − A) ≤

A−1 k T − A k < 1. Then, T̄ − idX k idX k < 1. By the special case,
‚ ‚
2‚ ‚
−1 k idXk ‚T̄ −idX‚
we have T̄ is bijective and T̄ − idX ≤ ‚
‚
‚ . Then, T is
‚
1−kidXk‚T̄ −idX‚
bijective and, by Proposition 7.64,

T̄ − idX = A−1 (T − A) ≤ A−1 k T − A k
−1
A k idX k = A−1
2
T̄ − idX
−1
T − A−1 = (T̄ −1 − idX )A−1 ≤ A−1 k idX k
1 − k idX k T̄ − idX
−1 2
A kT − Ak
≤
1 − A−1 k T − A k
Proposition 9.56 Let X and Y be Banach spaces over IK, D := { L ∈

B ( X, Y ) | L is bijective }, and f : D → B ( Y, X ) be given by f (A) =
A−1 , ∀A ∈ D. Then, D is open in B ( X, Y ), f is C∞ , and f (1) (A)(∆) =
−A−1 ∆A−1 , ∀A ∈ D, ∀∆ ∈ B ( X, Y ).
Proof By Proposition 9.55 and Open Mapping Theorem 7.103, D is

open and f is continuous. ∀A ∈ D, span ( AD ( A ) ) = B ( X, Y ) since D is
open and A ∈ D◦ . Define L : B ( X, Y ) → B ( Y, X ) by L(∆) = −A−1 ∆A−1 ,
∀∆ ∈ B ( X, Y ). Clearly, L is a linear operator. Note that
2
kLk = sup k L(∆) k ≤ A−1
∆∈B(X,Y), k∆k≤1
where the inequality follows from Proposition 7.64. Hence, L is a bounded

linear operator.
∀ǫ ∈ (0, ∞) ⊂ IR, by the continuity of f , ∃δ ∈ (0, ∞) ⊂ IR such that
f (Ā) − f (A) < ǫ, ∀Ā ∈ B ( A, δ ). Then, ∀Ā ∈ BB(X,Y) ( A, δ ), we
B(X,Y)
have

f (Ā) − f (A) − L(Ā − A) = Ā−1 − A−1 + A−1 (Ā − A)A−1

= − A−1 (Ā − A)Ā−1 + A−1 (Ā − A)A−1

≤ A−1 Ā − A f (Ā) − f (A) ≤ ǫ A−1 Ā − A
where the first inequality follows from Proposition 7.64. Hence, we have
f (1) (A) = L. Then, f is differentiable. Note that f (1) (A) = −f (A)ro(f (A)),
∀A ∈ D. By Propositions 9.42, 9.7, 3.12, and 3.32, f (1) is continuous.
Hence, f is C1 .
Assume that f is Ck , for some k ∈ IN. We will show that f is Ck+1 .
Then, f is C∞ . Note that f (1) (A) = −f (A)ro(f (A)), ∀A ∈ D. By Proposi-
tions 9.45, 9.42, and 9.44, f (1) is Ck . Then, f is Ck+1 . This completes the
Theorem 9.57 (Inverse Function Theorem) Let X and Y be Banach

spaces over IK, D ⊆ X, F : D → Y be C1 at x0 ∈ D◦ . Assume that
F (1) (x0 ) ∈ B ( X, Y ) is bijective. Then, ∃ open set U ⊆ D with x0 ∈ U and
∃ open set V ⊆ Y with y0 := F (x0 ) ∈ V such that
(i) F |U : U → V is bijective;
(1)
(ii) the inverse mapping Fi : V → U of F |U is differentiable, Fi : V →
(1) (1)
B ( Y, X ) is given by Fi (y) = (F (1) (Fi (y)))−1 , ∀y ∈ V , and Fi is
continuous at y0 ;
(iii) if F is k-times differentiable for some k ∈ IN, then Fi is k-times
differentiable;
(iv) if F is Ck at x0 for some k ∈ IN ∪ { ∞ }, then Fi is Ck at y0 .
Proof By Open Mapping Theorem 7.103, (F (1) (x0 ))−1 ∈ B ( Y, X ).

By F being C1 at x0 ∈ D◦ , ∃r̄ ∈ (0, ∞) ⊂ IR such that F (1) (x) ex-
ists, ∀x ∈ BX ( x0 , r̄ ) ⊆ D. Define T : BX ( ϑX , r̄ ) → X by T (x) =
(F (1) (x0 ))−1 (F (x + x0 ) − y0 ), ∀x ∈ BX ( ϑX , r̄ ) ⊆ D − x0 . Clearly,
T (ϑX ) = ϑX . By Propositions 9.45, 9.38, 9.34, and 9.44, T is C1 at ϑX , T
is differentiable, and T (1) (x) = (F (1) (x0 ))−1 F (1) (x + x0 ), ∀x ∈ BX ( ϑX , r̄ ).
Clearly, T (1) (ϑX ) = idX .
Define ψ : BX ( ϑX , r̄ ) → X by ψ(x) = T (x) − x. Then, by Propo-
sitions 9.38, 9.45, and 9.44, ψ is differentiable, ψ is C1 at ϑX , and
ψ (1) (x) = T (1) (x) − idX , ∀x ∈ BX ( ϑX , r̄ ). Clearly, ψ(ϑX ) = ϑX and
ψ (1) (ϑX ) = ϑB(X,X) . Fix any α ∈ (0, 1) ⊂ IR. Then, ∃r1 ∈ (0, r̄) ⊂ IR

such that BX ( ϑX , r1 ) ⊆ D − x0 and ψ (1) (x) ≤ α, ∀x ∈ BX ( ϑX , r1 ).
∀x1 , x2 ∈ BX ( ϑX , r1 ), by Mean Value Theorem, k ψ(x1 ) − ψ(x2 ) k ≤
supt0 ∈(0,1)⊂IR ψ (1) (t0 x1 + (1 − t0 )x2 )(x1 − x2 ) ≤ α k x1 − x2 k, where
the last inequality follows from Proposition 7.64.
∀x̄ ∈ BX ( ϑX , (1−α)r1 ), define φ : BX ( ϑX , r1 ) → X by φ(x) = x̄−ψ(x),
∀x ∈ BX ( ϑX , r1 ). ∀x ∈ BX ( ϑX , r1 ), k φ(x) k ≤ k x̄ k + k ψ(x) k <
(1 − α)r1 + k ψ(x) − ψ(ϑX ) k ≤ (1 − α)r1 + α k x k ≤ r1 . Hence, φ :
BX ( ϑX , r1 ) → BX ( ϑX , r1 ) ⊆ BX ( ϑX , r1 ). It is easy to see that φ is a
contraction mapping with contraction index α. By Contraction Mapping
Theorem, ∃! x̂ ∈ BX ( ϑX , r1 ) such that x̂ = φ(x̂) ∈ BX ( ϑX , r1 ), which is
equivalent to x̄ = T (x̂). Let Ū := T inv(BX ( ϑX , (1 − α)r1 )) ∩ BX ( ϑX , r1 )
and V̄ := BX ( ϑX , (1 − α)r1 ). Note that Ū and V̄ are open sets in X since
T is continuous by Proposition 9.7. Then, T |Ū : Ū → V̄ is bijective. Since
T (ϑX ) = ϑX , then ϑX ∈ Ū .
Hence, there exists an inverse mapping Ti : V̄ → Ū of T |Ū . Let U :=
Ū + x0 and V := F (1) (x0 )(V̄ ) + y0 . Clearly, U and V are open sets in X and
Y, respectively. Note that F |U (x) = F (1) (x0 ) T |Ū (x − x0 ) + y0 , ∀x ∈ U .
Then, F |U : U → V is bijective, whose inverse function is Fi : V → U .
The inverse function Fi is given by Fi (y) = Ti ((F (1) (x0 ))−1 (y − y0 )) + x0 ,
∀y ∈ V . Hence, the statement (i) holds.
Next, we will show that Fi : V → U is differentiable. Note that ∀x ∈ V̄ ,
x = T (Ti (x)) = Ti (x) + ψ(Ti (x)) and Ti (x) = x − ψ(Ti (x)). ∀x1 , x2 ∈ V̄ ,
we have Ti (x1 ), Ti (x2 ) ∈ Ū ⊆ BX ( ϑX , r1 ) and
k Ti (x1 ) − Ti (x2 ) k = k x1 − x2 − ψ(Ti (x1 )) + ψ(Ti (x2 )) k

≤ k x1 − x2 k + k ψ(Ti (x1 )) − ψ(Ti (x2 )) k
≤ k x1 − x2 k + α k Ti (x1 ) − Ti (x2 ) k
which further implies that k Ti (x1 ) − Ti (x2 ) k ≤ k x1 − x2 k /(1 − α). There-

fore, Ti is continuous . By Propositions 3.12, 7.23, and 3.32, Fi is continu-
ous. We need the following intermediate result.
Claim 9.57.1 ∀x ∈ U , let y = F (x). Then, Fi is differentiable at F (x)

(1)
and Fi (y) = (F (1) (x))−1 .
Proof of claim: Fix any x ∈ U and let y = F (x). Then, x − x0 ∈ Ū ⊆

BX ( ϑX , r1 ) and ψ (1) (x − x0 ) ≤ α. Note that T = idX + ψ and T (1) (x −
x
0 ) = idX + ψ (1) (x − x0 ). By Proposition 9.55, T (1) (x − x0 ) is bijective and
(T (1) (x − x0 ))−1 < ∞. Note that F (1) (x) = F (1) (x0 )T (1) (x − x0 ). Then,

F (1) (x) is bijective and c1 := (F (1) (x))−1 < ∞.
∀ǫ ∈ (0, ∞) ⊂ IR with ǫc1 < 1, by the differentiability of F at x,
∃δ1 ∈ (0, ∞) ⊂ IR such that ∀h ∈ X with k h k < δ1 , we have F (x + h) −
F (x)−F (1) (x)(h) ≤ ǫ k h k. By the continuity of Fi , ∃δ ∈ (0, ∞) ⊂ IR such
that ∀u ∈ Y with k u k < δ, we have y + u ∈ V and k Fi (y + u) − Fi (y) k < δ1 .
∀u ∈ Y with k u k < δ, let β := Fi (y + u) − Fi (y) − (F (1) (x))−1 u ≥ 0. Let
h := Fi (y + u) − x ∈ X. Then, k h k = k Fi (y + u) − Fi (y) k < δ1 . Note that

β = x + h − x − (F (1) (x))−1 u = (F (1) (x))−1 (u − F (1) (x)h)

≤ (F (1) (x))−1 u − F (1) (x)h

= c1 F (x + h) − F (x) − F (1) (x)h
≤ c1 ǫ k h k = ǫc1 k Fi (y + u) − Fi (y) k

≤ ǫc1 ( Fi (y + u) − Fi (y) − (F (1) (x))−1 u + (F (1) (x))−1 u )
≤ ǫc1 (β + c1 k u k)
ǫc2 (1)
Then, β ≤ 1−ǫc 1
1
k u k. Hence, Fi is differentiable at y and Fi (y) =
(1) −1
(F (x)) . This completes the proof of the claim. 2
(1)
Then, ∀y ∈ V , Fi (y) = (F (1) (Fi (y)))−1 . By Propositions 9.56 and
(1)
3.12, the continuity of Fi , and the continuity of F (1) at x0 , we have Fi is
continuous at y0 . Then, the statement (ii) holds.
For (iii), we will use mathematical induction on k.
1◦ k = 1. The result holds by (ii).
3◦ Consider the case k = k̄ + 1. By inductive assumption, Fi is k̄-
times differentiable. Clearly, F (1) is k̄-times differentiable. By (ii) and
(1)
Propositions 9.45 and 9.56, Fi is k̄-times differentiable. Then, Fi is (k̄+1)-
times differentiable. This completes the induction process and the proof of
the statement (iii).
For (iv), we will use mathematical induction on k to show that the result
holds when k ∈ IN.
1◦ k = 1. The result holds by (ii).
3◦ Consider the case k = k̄+1. Clearly, F (1) is Ck̄ at x0 . By the inductive
(1)
assumption, Fi is Ck̄ at y0 . By (ii) and Propositions 9.45 and 9.56, Fi is
Ck̄ at y0 . Hence, Fi is Ck̄+1 at y0 . This completes the induction process.
When k = ∞. ∀i ∈ IN, F is Ci at x0 . Then, by the induction conclusion,

Fi is Ci at y0 . Hence, Fi is C∞ at y0 .
Theorem 9.58 (Implicit Function Theorem) Let X := (X, O) be a

topological space, Y and Z be Banach spaces over IK, D ⊆ X ×Y, F : D → Z
be continuous. Assume that F is partial differentiable with respect to y
and ∂F ◦ ∂F
∂y is continuous at (x0 , y0 ) ∈ D , F (x0 , y0 ) = ϑZ , and ∂y (x0 , y0 ) ∈
B ( Y, Z ) is bijective. Then, the following statements hold.
(i) There exist an open set U0 ∈ O with x0 ∈ U0 and r1 ∈ (0, ∞) ⊂ IR

such that U0 × BY ( y0 , r1 ) ⊆ D and ∀x ∈ U0 , ∃! y ∈ BY ( y0 , r1 )
satisfying F (x, y) = ϑZ . This defines a function φ : U0 → BY ( y0 , r1 )
by φ(x) = y, ∀x ∈ U0 . Then, φ is continuous.
−1
∂F
∂F
(ii) ∀(x, y) ∈ U0 ×BY ( y0 , r1 ), ∂y (x, y) is bijective and ∂y (x, y) <

+∞.
−1
∂F
Proof By Open Mapping Theorem 7.103, ∂y (x0 , y0 ) ∈ B ( Z, Y ).
Define a mapping ψ : D → Y by
∂F −1
ψ(x, y) = y − (x0 , y0 ) F (x, y); ∀(x, y) ∈ D
∂y
Note that ψ(x0 , y0 ) = y0 . Then, by Propositions 7.23, 3.12, 3.27, and 3.32,
ψ is continuous. By the partial differentiability of F with respect to y, Chain
Rule, and Propositions 9.41, 9.15, and 9.19, ψ is partial differentiable with
respect to y and
∂ψ ∂F −1 ∂F
(x, y) = idY − (x0 , y0 ) (x, y); ∀(x, y) ∈ D
∂y ∂y ∂y
∂F ∂ψ
By the continuity of ∂y at (x0 , y0 ), then ∂y is continuous at (x0 , y0 ) ∈ D◦
∂ψ
and = ϑB(Y,Y) . Fix any α ∈ (0, 1) ⊂ IR. Then, ∃U1 ∈ O
∂y (x0 , y0 )
with x0 ∈ U1 and ∃r1 ∈ (0, ∞) ⊂ IR such that U1 × BY ( y0 , r1 ) ⊆ D and

∂ψ
∂y (x, y) ≤ α, ∀(x, y) ∈ U1 ×BY ( y0 , r1 ). By the continuity of ψ, ∃U0 ∈ O
with x0 ∈ U0 ⊆ U1 such that k ψ(x, y0 ) − y0 k = k ψ(x, y0 ) − ψ(x0 , y0 ) k <
(1 − α)r1 , ∀x ∈ U0 .
Fix any x ∈ U0 , define mapping γx : BY ( y0 , r1 ) → Y by γx (y) = ψ(x, y),
∀y ∈ BY ( y0 , r1 ). We will show that γx is a contraction mapping with
contraction index α. ∀y ∈ B Y ( y0 , r1 ), we have
k γx (y) − y0 k = k ψ(x, y) − ψ(x0 , y0 ) k

≤ k ψ(x, y) − ψ(x, y0 ) k + k ψ(x, y0 ) − ψ(x0 , y0 ) k
∂ψ

< sup (x, ty + (1 − t)y0 )(y − y0 ) + (1 − α)r1
t∈(0,1)⊂IR ∂y
∂ψ

≤ sup (x, ty + (1 − t)y0 ) k y − y0 k + (1 − α)r1
t∈(0,1)⊂IR ∂y
≤ αr1 + (1 − α)r1 = r1
where the second inequality follows from Mean Value Theorem and the
third inequality follows from Proposition 7.64. Then, γx : BY ( y0 , r1 ) →
BY ( y0 , r1 ) ⊆ BY ( y0 , r1 ). ∀y1 , y2 ∈ BY ( y0 , r1 ), we have
k γx (y1 ) − γx (y2 ) k = k ψ(x, y1 ) − ψ(x, y2 ) k

∂ψ

≤ sup (x, ty1 + (1 − t)y2 )(y1 − y2 )
t∈(0,1)⊂IR ∂y
∂ψ

≤ sup (x, ty1 + (1 − t)y2 ) k y1 − y2 k
t∈(0,1)⊂IR ∂y
≤ α k y1 − y2 k
where the first inequality follows from Mean Value Theorem and the sec-
ond inequality follows from Proposition 7.64. Hence, γx is a contraction
mapping with contraction index α.
By Contraction Mapping Theorem, ∃! y ∈ BY ( y0 , r1 ) such that y =
γx (y) ∈ BY ( y0 , r1 ), y = limn∈IN γx,n (y0 ), where γx,n (y0 ) is recursively
defined by γx,1 (y0 ) = y0 and γx,k+1 (y0 ) = γx (γx,k (y0 )), ∀k ∈ IN, and
n−1
k γx,n (y0 )−y k ≤ α1−α k γx (y0 )−y0 k < r1 αn−1 , ∀n ∈ { 2, 3, . . .}. By γx (y) =
y, we conclude that F (x, y) = ϑZ . Hence, ∀x ∈ U0 , ∃! y ∈ BY ( y0 , r1 ) such
that F (x, y) = ϑZ , since F (x, y) = ϑZ ⇔ y = γx (y). Then, we may define
φ : U0 → BY ( y0 , r1 ) by φ(x) = y = limn∈IN γx,n (y0 ), ∀x ∈ U0 . Hence,
F (x, φ(x)) = ϑZ , ∀x ∈ U0 .
Next, we show that φ is continuous. Fix any x̄ ∈ U0 . ∀ǫ ∈ (0, ∞) ⊂ IR,
∃n0 ∈ IN with n0 > 1 such that αn0 −1 r1 < ǫ/3. By the continuity of ψ, we
have that γx,n0 (y0 ) is continuous with respect to x, that is, ∃Ū ∈ O with
x̄ ∈ Ū ⊆ U0 such that ∀x1 ∈ Ū , we have k γx1 ,n0 (y0 ) − γx̄,n0 (y0 ) k < ǫ/3.
Then,
k φ(x1 ) − φ(x̄) k ≤ k φ(x1 ) − γx1 ,n0 (y0 ) k + k γx1 ,n0 (y0 ) − γx̄,n0 (y0 ) k +
k γx̄,n0 (y0 ) − φ(x̄) k ≤ r1 αn0 −1 + ǫ/3 + r1 αn0 −1 < ǫ
Hence, φ is continuous. Thus, the statement (i) is proved.

(ii) Note that, ∀(x, y) ∈ U1 × BY ( y0 , r1 ), we have ∂ψ
∂y (x, y) ≤ α.
∂ψ
By Proposition 9.55, idY − (x, y) is bijective with continuous inverse.
∂y −1
Note that idY − ∂ψ ∂y (x, y) = ∂F
∂y (x0 , y 0 ) ∂F ∂F
∂y (x, y). Therefore, ∂y (x, y)
is bijective with continuous inverse.
Theorem 9.59 (Implicit Function Theorem) Let X be normed linear

space over IK, Y and Z be Banach spaces over IK, D ⊆ X × Y, F : D → Z be
continuous. Assume that F is partial differentiable with respect to y and ∂F ∂y
is continuous at (x0 , y0 ) ∈ D◦ , F (x0 , y0 ) = ϑZ , and ∂F
∂y (x0 , y0 ) ∈ B ( Y, Z )
is bijective. Then, the following statements hold.
(i) There exist r0 , r1 ∈ (0, ∞) ⊂ IR such that BX ( x0 , r0 ) × BY ( y0 , r1 ) ⊆
D and ∀x ∈ BX ( x0 , r0 ), ∃! y ∈ BY ( y0 , r1 ) satisfying F (x, y) = ϑZ .
This defines a function φ : BX ( x0 , r0 ) → BY ( y0 , r1 ) by φ(x) = y,
∀x ∈ BX ( x0 , r0 ). Then, φ is continuous.
(ii) If F is Fréchet differentiable at (x, φ(x)) ∈ BX ( x0 , r0 ) × BY ( y0 , r1 )
for some x ∈ BX ( x0 , r0 ), then φ is Fréchet differentiable at x and
∂F −1 ∂F
φ(1) (x) = − (x, φ(x)) (x, φ(x))
∂y ∂x
(iii) Let n ∈ IN. If F is n-times Fréchet differentiable, then φ is n-times

Fréchet differentiable.
(iv) Let n ∈ IN ∪ { ∞ } and x̄ ∈ BX ( x0 , r0 ). If F is Cn at (x̄, φ(x̄)), then
φ is Cn at x̄.
Proof By Implicit Function Theorem 9.58, the statement (i) holds.

Furthermore, ∀(x, y) ∈ BX ( x0 , r0 ) × BY ( y0 , r1 ), ∂F∂y (x, y) is bijective and
−1
∂F
< +∞.
∂y (x, y)
(ii) Fix some x ∈ BX ( x0 , r0 ) such that F is differentiable
h at (x, φ(x)).
i
Let y := φ(x) ∈ BY ( y0 , r1 ). By Proposition 9.9, ∂F ∂x (x, y) ∂F
∂y (x, y) =
−1
F (1) (x, y). Let L := − ∂F ∂y (x, φ(x))
∂F
∂x (x, φ(x)) ∈ B ( X, Y ) and

∂F −1
c1 := ∂y (x, y)
< +∞. ∀ǫ ∈ (0, ∞) ⊂ IR with ǫc1 < 1,

by the differentiability of F at (x, y), ∃δ1 ∈ (0, ∞) ⊂ IR such that

∀(h, k) ∈ BX×Y ( ( ϑX , ϑY ) , δ1 ), we have (x + h, y + k) ∈ D and F (x +

h, y + k) − F (x, y) − ∂F ∂F
∂x (x, y)h − ∂y (x, y)k ≤ ǫ k (h, k) k. By the con-
√
tinuity of φ at x, ∃δ ∈ (0, min r0 − k x − x0 k , δ1 / 2 ] ⊂ IR such that
√
∀h ∈ BX ( ϑX , δ ), we have k φ(x + h) − φ(x) k = k φ(x + h) − y k < δ1 / 2.
∀h ∈ BX ( ϑX , δ ), let β := k φ(x + h) − φ(x) − Lh k ≥ 0. Then, k (h, φ(x +
h) − y) k < δ1 . Note that, by Proposition 7.64,
−1 ∂F
∂F ∂F
β = ∂y (x, y) (x, y)(φ(x + h) − φ(x)) + (x, y)h

∂y ∂x
∂F
≤ c1 F (x + h, φ(x + h)) − F (x, y) − (x, y)h −
∂x
∂F
(x, y)(φ(x + h) − y)
∂y
≤ c1 ǫ k (h, φ(x + h) − y) k ≤ c1 ǫ (k h k + k φ(x + h) − y k)
≤ c1 ǫ (k h k + k φ(x + h) − φ(x) − Lh k + k Lh k)
≤ c1 ǫ (β + (1 + k L k) k h k)
c1 ǫ (1+kLk)
Then, we have β ≤ 1−c1 ǫ k h k. Hence, φ(1) (x) = L. Then, the state-
ment (ii) holds.
For (iii), we will use mathematical induction on n to prove this result.
1◦ n = 1. The result follows from (ii).
2◦ Assume that the result holds for n = n̄ ∈ IN.
◦
3 Consider the case n = n̄ + 1. By (ii), we have φ is Fréchet differen-
−1
tiable and φ(1) (x) = − ∂F ∂y (x, φ(x)) ∂F
∂x (x, φ(x)), ∀x ∈ BX ( x0 , r0 ). By
inductive assumption, φ is n̄-times differentiable. By Proposition 9.46, ∂F ∂x
and ∂F∂y are n̄-times differentiable. By Propositions 9.45, 9.56, 9.44, and
9.42, φ(1) is n̄-times differentiable. Then, φ is (n̄ + 1)-times differentiable.
For (iv), let ȳ = φ(x̄). We will first use mathematical induction on n to
prove the result for n ∈ IN.
1◦ n = 1. By F being C1 at (x̄, ȳ), then ∃r̄ ∈ (0, ∞) ⊂ IR such that
F is differentiable at (x, y), ∀(x, y) ∈ D̄h := BX×Y ( ( x̄, ȳ ) , r̄ )i⊆ D. By
(1)
Propositions 9.34 and 9.9, F |D̄ (x, y) = ∂F ∂x (x, y)
∂F
∂y (x, y) , ∀(x, y) ∈

∂F
D̄. By Proposition 9.46, ∂F ∂x D̄ and ∂y are continuous at (x̄, ȳ). Since
D̄
D̄ is open, then ∂F ∂F
∂x and ∂y are continuous at (x̄, ȳ). By the continuity of
φ, ∃δ̄ ∈ (0, min { r0 − k x̄ − x0 k , r̄ }] ⊂ IR such that F is differentiable at
(x, φ(x)), ∀x ∈ BX x̄, δ̄ . By (ii), φ is differentiable at x and φ(1) (x) =
−1
− ∂F ∂y (x, φ(x)) ∂F
∂x (x, φ(x)), ∀x ∈ BX x̄, δ̄ . By Propositions 3.12,
3.32, 9.56, 9.42, and 9.7, φ(1) is continuous at x̄. Hence, φ is C1 at x̄.
2◦ Assume that the result holds for n = n̄ ∈ IN.
◦
3 Consider the case n = n̄ + 1. By F being Cn̄+1 at (x̄, ȳ), then
∃r̄ ∈ (0, ∞) ⊂ IR such that F is differentiable at (x, y), ∀(x, y) ∈ D̄ :=
(1)
B ( ( x̄, ȳ ) , r̄ ) ⊆ D. By Propositions 9.34 and 9.9, F |D̄ (x, y) =
h X×Y i
∂F ∂F ∂F
∂x (x, y) ∂y (x, y) , ∀(x, y) ∈ D̄. By Proposition 9.46, ∂x D̄ and

∂F
∂y are Cn̄ at (x̄, ȳ). Since D̄ is open, then, by Proposition 9.34, ∂F
∂x
D̄
and ∂F∂y are Cn̄ at (x̄, ȳ). By the inductive assumption, φ is Cn̄ at x̄. By
the continuity of φ, ∃δ̄ ∈ (0, min { r0 − k x̄ − x0 k , r̄ }] ⊂ IR such that F
is differentiable at (x, φ(x)), ∀x ∈ BX x̄, δ̄ . By (ii), φ is differentiable
−1
at x and φ(1) (x) = − ∂F ∂y (x, φ(x)) ∂F
∂x (x, φ(x)), ∀x ∈ BX x̄, δ̄ . By
Propositions 9.45, 9.44, 9.56, and 9.42, φ(1) is Cn̄ at x̄. Hence, φ is Cn̄+1 at
x̄.
This completes the induction process. Hence, (iv) holds when n ∈ IN.
When n = ∞. ∀i ∈ IN, F is Ci at (x̄, ȳ). Then, φ is Ci at x̄. Hence, φ is
C∞ at x̄. Hence, (iv) holds.
Proposition 9.60 Let X := (X, O) be a topological space, Y and Z be

normed linear spaces over IK, D ⊆ X ×Y, f : D → Z be partial differentiable
with respect to y and ∂f
∂y (x, y) = ϑB(Y,Z) , ∀(x, y) ∈ D. Let D̄ := πX (D),
where πX is the projection function of X × Y to X . Assume that ∀x ∈ D̄,
the set Dx := { y ∈ Y | (x, y) ∈ D } ⊆ Y is convex. Then, there exists a
function φ : D̄ → Z such that f (x, y) = φ(x), ∀(x, y) ∈ D. Furthermore,
(i) If f is continuous at (x0 , y0 ) ∈ D◦ , then φ is continuous at x0 .
(ii) If X is a normed linear space X over IK and f is Ck at (x0 , y0 ) ∈ D◦ ,
where k ∈ IN ∪ { ∞ }, then φ is Ck at x0 .
Proof ∀x ∈ D̄ = πX (D), Dx 6= ∅. By Axiom of Choice, ∃g : D̄ → Y

such that g(x) ∈ Dx , ∀x ∈ D̄. Define φ : D̄ → X by φ(x) = f (x, g(x)),
∀x ∈ D̄. ∀(x, y) ∈ D, we have x ∈ D̄ and y, g(x) ∈ Dx . By the convexity
of Dx , the line segment connecting y and g(x) is contained in Dx . By
Mean Value Theorem 9.23, ∃t0 ∈ (0, 1) ⊂ IR such that k f (x, y) − φ(x) k =

k f (x, y) − f (x, g(x)) k ≤ ∂f
∂y (x, t0 y + (1 − t0 )g(x))(y − g(x)) = 0. Hence,
f (x, y) = φ(x).
(i) Let f be continuous at (x0 , y0 ) ∈ D◦ . Then, ∃U ∈ O with x0 ∈ U
and ∃δ ∈ (0, ∞) ⊂ IR such that U × BY ( y0 , δ ) ⊆ D. ∀x ∈ U , we have
φ(x) = f (x, y0 ). Hence, φ is continuous at x0 .
(ii) Let X be a normed linear space X over IK and f be Ck at
(x0 , y0 ) ∈ D◦ , where k ∈ IN ∪ { ∞ }. Then, ∃δx , δy ∈ (0, ∞) ⊂ IR such that
BX ( x0 , δx ) × BY ( y0 , δy ) ⊆ D. ∀x ∈ BX ( x0 , δx ), we have φ(x) = f (x, y0 ).
By Proposition 9.45, φ|BX (x0 ,δx) is Ck at x0 . By Proposition 9.34, φ is Ck
at x0 .
9.6 Global Inverse Function Theorem

Definition 9.61 Let X , Y, and Z be topological spaces, F : X → Y and
σ : Z → Y. We will say θ : Z → X inverts F along σ if σ = F ◦ θ.
Lemma 9.62 Let X and Y be Hausdorff topological spaces, F : X → Y be

continuous and countably proper, x0 ∈ X , and y0 := F (x0 ) ∈ Y. Assume
that ∀x ∈ X , ∃U ∈ OX with x ∈ U and ∃V ∈ OY with F (x) ∈ V such that
9.6. GLOBAL INVERSE FUNCTION THEOREM 297
F |U : U → V is a homeomorphism. Then, given any continuous mapping

σ : [a, b] → Y with σ(t0 ) = y0 , where a, t0 , b ∈ IR and a ≤ t0 ≤ b, there
exists a unique continuous mapping θ : [a, b] → X with θ(t0 ) = x0 that
inverts F along σ.

cases: Case 1: a = b = t0 ; Case 2: a = t0 < b; Case 3: a < t0 ≤ b.
Case 1: a = b = t0 . Clearly, θ exists and is unique. This case is proved.
Case 2: a = t0 < b. “Uniqueness” Let θ1 : [a, b] → X and θ2 : [a, b] → X
be continuous mappings that inverts F along σ with θ1 (a) = θ2 (a) = x0 .
Let S := { s ∈ [a, b] ⊂ IR | θ1 (t) = θ2 (t) ∀t ∈ [a, s] ⊂ IR } and ξ := sup S.
Clearly, a ∈ S and a ≤ ξ ≤ b. It is easy to show that θ1 (t) = θ2 (t),
∞
∀t ∈ IR with a ≤ t < ξ. There exists ( tn )n=1 ⊆ S such that limn∈IN tn = ξ.
By Proposition 3.66 and the continuity of θ1 and θ2 , we have θ1 (ξ) =
limn∈IN θ1 (tn ) = limn∈IN θ2 (tn ) = θ2 (tn ), where the limit operator makes
sense since X is Hausdorff. Then, ξ ∈ S
We will next show that ξ = b by an argument of contradiction. Suppose
that ξ < b. Let x := θ1 (ξ) = θ2 (ξ) and y := F (x). Then, ∃U ∈ OX
with x ∈ U and ∃V ∈ OY with y ∈ V such that F |U : U → V is a
homeomorphism. By the continuity of θ1 and θ2 , ∃ξ¯ ∈ (ξ, b] such that
¯ ⊂ IR. Then, σ(t) = F (θ1 (t)) = F (θ2 (t)) ∈ V ,
θ1 (t), θ2 (t) ∈ U , ∀t ∈ [ξ, ξ]
∀t ∈ [ξ, ξ̄] ⊂ IR. Since F |U : U → V is a homeomorphism, then θ1 (t) =
θ2 (t), ∀t ∈ [ξ, ξ̄] ⊂ IR. Then, ξ¯ ∈ S and ξ < ξ¯ ≤ sup S = ξ. This is a
contradiction. Therefore, we must have ξ = b.
Therefore, θ1 (t) = θ2 (t), ∀t ∈ [a, ξ] = [a, b] ⊂ IR, since ξ ∈ S. This
shows that θ1 = θ2 . Hence, if θ exists then it must be unique.
“Existence” Let S := { s ∈ [a, b] ⊂ IR | there exists a continuous θ :
[a, s] → X that inverts F along σ|[a,s] with θ(a) = x0 } ⊂ IR and ξ :=
sup S. Clearly, a ∈ S and a ≤ ξ ≤ b.
We will show that ξ ∈ S by an argument of contradiction. Suppose
∞
ξ 6∈ S. Then, a < ξ ≤ b and ∃ ( tn )n=1 ⊆ S, which is nondecreasing, such
that limn∈IN tn = ξ. ∀n ∈ IN, there exists a continuous θn : [a, tn ] → X that
inverts F along σ|[a,tn ] with θn (a) = x0 . By the uniqueness property that
we have shown, we have θn = θn+1 |[a,tn ] . Hence, we may define θ : [a, ξ) →
X such that θ(t) = θn (t), ∀t ∈ [a, tn ] ⊂ IR, ∀n ∈ IN. Then, θ is continuous
and inverts F along σ|[a,ξ) with θ(a) = x0 . Note that σ(tn ) = F (θ(tn )),
∀n ∈ IN. By continuity of σ and Proposition 3.66, we have limn∈IN σ(tn ) =
σ(ξ) ∈ Y, where the limit operator makes sense since Y is Hausdorff. Then,
∞
( θ(tn ) )n=1 ⊆ F inv(M ), where M := { σ(tn ) ∈ Y | n ∈ IN } ∪ { σ(ξ) } ⊆ Y.
Clearly, M is compact in Y. Since F is countably proper, then F inv(M )
is countably compact. By Proposition 5.26, F inv(M ) have the Bolzano-
∞
Weierstrass property and ( θ(tn ) )n=1 admits a cluster point x ∈ F inv(M ).
By the continuity of F and Proposition 3.66, ( F (θ(tn )) )∞ ∞
n=1 = ( σ(tn ) )n=1
admits a cluster point F (x). Since Y is Hausdorff, then F (x) = σ(ξ) =: y.
By the assumption of the lemma, ∃U ∈ OX with x ∈ U and ∃V ∈ OY

with y ∈ V such that F |U : U → V is a homeomorphism. Since σ is
continuous, then σ inv(V ) is open in [a, b] ⊂ IR. Since ξ ∈ σ inv(V ), then
∃ξˆ ∈ [a, ξ) ⊂ IR such that [ξ, ˆ ξ] ⊆ σ inv(V ). By limn∈IN tn = ξ, ∃N ∈ IN such
that ∀n ∈ IN with n ≥ N , tn ∈ [ξ, ˆ ξ] ⊂ IR. Since ( θ(tn ) )∞ admits a cluster
n=1
point x ∈ U , then ∃n0 ∈ IN with n0 ≥ N such that θ(tn0 ) ∈ U . Clearly,
σ([tn0 , ξ]) ⊆ V . Define θ1 := ( F |U )inv ◦ σ|[tn ,ξ] : [tn0 , ξ] → U . Clearly, θ1
0
is continuous and inverts F along σ|[tn ,ξ] with θ1 (tn0 ) = θ(tn0 ). Define
0
θ̄ : [a, ξ] → X by θ̄(t) = θ(t), ∀t ∈ [a, tn0 ] ⊂ IR, θ̄(t) = θ1 (t), ∀t ∈ [tn0 , ξ].
By Theorem 3.11, θ̄ is continuous. Clearly, θ̄ inverts F along σ|[a,ξ] with
θ̄(a) = θ(a) = x0 . Hence, ξ ∈ S. This is a contradiction. Therefore, we
must have ξ ∈ S.
Next, we will show that ξ = b by an argument of contradiction. Suppose
ξ < b. Since ξ ∈ S, then ∃ a continuous function θ : [a, ξ] → X that inverts
F along σ|[a,ξ] with θ(a) = x0 . Let x := θ(ξ) ∈ X and y := F (x) = σ(ξ) ∈
Y. Then, ∃U ∈ OX with x ∈ U and ∃V ∈ OY with y ∈ V such that
F |U : U → V is a homeomorphism. By the continuity of σ, ∃ξ¯ ∈ (ξ, b] ⊂ IR
such that σ(t) ∈ V , ∀t ∈ [ξ, ξ] ¯ ⊂ IR. Define θ̄ : [a, ξ̄] → X by θ̄(t) = θ(t),
∀t ∈ [a, ξ], θ̄(t) = ( F |U )inv(σ(t)), ∀t ∈ [ξ, ξ̄] ⊂ IR. By Theorem 3.11, θ̄ is
continuous. It is clear that θ̄ inverts F along σ|[a,ξ̄] with θ̄(a) = x0 . Then,
ξ¯ ∈ S. This implies that ξ < ξ¯ ≤ sup S = ξ, which is a contradiction.
Hence, ξ = b ∈ S.
Case 3: a < t0 ≤ b. By Case 1 and 2, ∃!θ1 : [t0 , b] → X that is continuous
and inverts F along σ|[t0 ,b] with θ1 (t0 ) = x0 . Define σ̄ : [t0 , 2t0 − a] → Y
by σ̄(t) = σ(2t0 − t), ∀t ∈ [t0 , 2t0 − a] ⊂ IR. By Proposition 3.12, σ̄ is
continuous and σ̄(t0 ) = y0 . By Case 2, ∃! θ2 : [t0 , 2t0 − a] → X that is
continuous and inverts F along σ̄ with θ2 (t0 ) = x0 . Define θ̄ : [a, b] → X
by θ̄(t) = θ1 (t), ∀t ∈ [t0 , b] ⊂ IR, θ̄(t) = θ2 (2t0 − t), ∀t ∈ [a, t0 ] ⊂ IR.
By Theorem 3.11, θ̄ is continuous and inverts F along σ with θ̄(t0 ) = x0 .
The uniqueness of θ̄ follows from the uniqueness of θ1 and θ2 . This case is
proved.
Lemma 9.63 Let X and Y be Hausdorff topological spaces, F : X → Y be
continuous and countably proper, x0 ∈ X , and y0 = F (x0 ) ∈ Y. Assume
that ∀x ∈ X , ∃U ∈ OX with x ∈ U and ∃V ∈ OY with F (x) ∈ V such that
F |U : U → V is a homeomorphism. Then, given any continuous mapping
σ : [a, b] × [c, d] → Y with σ(a, c) = y0 , where a, b, c, d ∈ IR, a ≤ b, and
c ≤ d, there exists a unique continuous mapping θ : [a, b] × [c, d] → X with
θ(a, c) = x0 that inverts F along σ.
cases: Case 1: a = b; Case 2: a < b. Case 1: a = b. The result holds
by Lemma 9.62.
Case 2: a < b. “Uniqueness” Let θ1 : [a, b] × [c, d] → X and θ2 :

[a, b] × [c, d] → X be continuous mappings that invert F along σ with
θ1 (a, c) = θ2 (a, c) = x0 . Fix any (t, r) ∈ [a, b] × [c, d] ⊂ IR2 . Let σ̄ : [0, 1] →
Y, θ̄1 : [0, 1] → X , and θ̄2 : [0, 1] → X be defined by, ∀λ ∈ [0, 1] ⊂ IR,
σ̄(λ) = σ(λt + (1 − λ)a, λr + (1 − λ)c)

θ̄1 (λ) = θ1 (λt + (1 − λ)a, λr + (1 − λ)c)
θ̄2 (λ) = θ2 (λt + (1 − λ)a, λr + (1 − λ)c)
Since σ = F ◦ θ1 and σ = F ◦ θ2 , then, σ̄ = F ◦ θ̄1 and σ̄ = F ◦ θ̄2 .

By Proposition 3.12, σ̄, θ̄1 , and θ̄2 are continuous. This implies that θ̄1
inverts F along σ̄ with θ̄1 (0) = θ1 (a, c) = x0 ; and θ̄2 inverts F along σ̄ with
θ̄1 (0) = x0 . By Lemma 9.62, we have θ̄1 = θ̄2 . Then, θ1 (t, r) = θ̄1 (1) =
θ̄2 (1) = θ2 (t, r). Hence, θ1 = θ2 . This shows that θ : [a, b] × [c, d] → X is
unique when it exists.
“Existence” Define σ,c : [a, b] → Y by σ,c (t) = σ(t, c), ∀t ∈ [a, b] ⊂ IR.
By Proposition 3.12, σ,c is continuous with σ,c (a) = y0 . By Lemma 9.62,
there exists a unique continuous mapping θ,c : [a, b] → X that inverts F
along σ,c with θ,c (a) = x0 . Fix any t ∈ [a, b] ⊂ IR. Define σt : [c, d] → Y
by σt (r) = σ(t, r), ∀r ∈ [c, d] ⊂ IR. By Proposition 3.12, σt is continuous
with σt (c) = σ(t, c) = σ,c (t) = F (θ,c (t)). By Lemma 9.62, there exists a
unique continuous mapping θt : [c, d] → X that inverts F along σt with
θt (c) = θ,c (t).
Define θ : [a, b] × [c, d] → X by θ(t, r) = θt (r), ∀(t, r) ∈ [a, b] × [c, d].
Clearly, ∀(t, r) ∈ [a, b] × [c, d], σ(t, r) = σt (r) = F (θt (r)) = F (θ(t, r)).
Hence, θ inverts F along σ. θ(a, c) = θa (c) = θ,c (a) = x0 . All we need to
show is that θ is continuous to complete the proof of the lemma. Define
S := { r ∈ [c, d] ⊂ IR | θ|[a,b]×[c,r] is continuous } ⊂ IR and ξ = sup S.
Clearly, c ∈ S a c ≤ ξ ≤ d.
We will show that ξ ∈ S by an argument of contradiction. Suppose
∞
ξ 6∈ S. Then, c < ξ ≤ d and ∃ ( rn )n=1 ⊆ S, which is nondecreasing, such
that limn∈IN rn = ξ. ∀(t, r) ∈ [a, b] × [c, ξ) ⊂ IR2 , there exists n0 ∈ IN such
that ∀n ≥ n0 , we have rn > r. Then, θ|[a,b]×[c,rn ] is continuous implies that
θ is continuous at (t, r). Hence, θ|[a,b]×[c,ξ) is continuous.
Fix any t ∈ [a, b], let x = θ(t, ξ) ∈ X and y = F (x) = σ(t, ξ) ∈ Y. Then,
∃U ∈ OX with x ∈ U and ∃V ∈ OY with y ∈ V such that F |U : U → V
is a homeomorphism. Since σ is continuous, then ∃at , bt , ct , dt ∈ IR with
at < t < bt and c ≤ ct < ξ < dt such that σ(Dt ) ⊆ V , where Dt :=
((at , bt ) × [ct , dt )) ∩ ([a, b] × [c, d]) ⊂ IR2 . Define θ̄ : Dt → U by θ̄(t̄, r̄) =
( F |U )inv(σ(t̄, r̄)), ∀(t̄, r̄) ∈ Dt . By Proposition 3.12, θ̄ is continuous.
Claim 9.63.1 θ(t̄, r̄) = θ̄(t̄, r̄), ∀(t̄, r̄) ∈ Dt .
Proof of claim: Fix any (t̄, r̄) ∈ Dt . Note that θ̄ inverts F along σ|Dt .
Define θ̄t : Dt,2 → X by θ̄t (r̂) = θ̄(t, r̂), ∀r̂ ∈ Dt,2 := [ct , dt ) ∩ [c, d] ⊂ IR.
Then, θ̄t is continuous and inverts F along σt |Dt,2 with θ̄t (ξ) = x. Note
that θt |Dt,2 is also continuous and inverts F along σt |Dt,2 with θt (ξ) =
x. By Lemma 9.62, we have θ̄t = θt |Dt,2 and, in particular, θ̄(t, ct ) =
θ̄t (ct ) = θt (ct ) = θ(t, ct ). Define θ̄,ct : Dt,1 → X by θ̄,ct (t̂) = θ̄(t̂, ct ),
∀t̂ ∈ Dt,1 := (at , bt )∩[a, b] ⊂ IR. Define σ,ct : [a, b] → Y by σ,ct (t̂) = σ(t̂, ct ),
∀t̂ ∈ [a, b]. Define θ,ct : [a, b] → X by θ,ct (t̂) = θ(t̂, ct ), ∀t̂ ∈ [a, b]. Then,
θ̄,ct is continuous and inverts F along σ,ct |Dt,1 with θ̄,ct (t) = θ(t, ct ). Since
ct ∈ [c, ξ) ⊂ IR, then θ,ct |Dt,1 is continuous and inverts F along σ,ct |Dt,1
with θ,ct (t) = θ(t, ct ). By Lemma 9.62, we have θ,ct |Dt,1 = θ̄,ct and, in
particular, θ(t̄, ct ) = θ,ct (t̄) = θ̄,ct (t̄) = θ̄(t̄, ct ). Define θ̄t̄ : Dt,2 → X by
θ̄t̄ (r̂) = θ̄(t̄, r̂), ∀r̂ ∈ Dt,2 . Then, θ̄t̄ is continuous and inverts F along
σt̄ |Dt,2 with θ̄t̄ (ct ) = θ̄(t̄, ct ) = θ(t̄, ct ). Note that θt̄ |Dt,2 is also continuous
and inverts F along σt̄ |Dt,2 with θt̄ (ct ) = θ(t̄, ct ). By Lemma 9.62, we
have θ̄t̄ = θt̄ |Dt,2 and, in particular, θ̄(t̄, r̄) = θ̄t̄ (r̄) = θt̄ (r̄) = θ(t̄, r̄). This
Then, θ|Dt is continuous. Then, θ is continuous at (t, ξ). Then,
θ|[a,b]×[c,ξ] is continuous and ξ ∈ S. This contradicts with the hypothe-
sis ξ 6∈ S. Therefore, ξ ∈ S.
Now, we show ξ = d by an argument of contradiction. Suppose ξ < d.
Fix any t ∈ [a, b], let x = θ(t, ξ) ∈ X and y = F (x) = σ(t, ξ) ∈ Y. Then,
∃U ∈ OX with x ∈ U and ∃V ∈ OY with y ∈ V such that F |U : U → V
is a homeomorphism. Since σ is continuous, then ∃at , bt , ct , dt ∈ IR with
at < t < bt and ct < ξ < dt ≤ d such that σ(Dt ) ⊆ V , where Dt :=
((at , bt ) × (ct , dt )) ∩ ([a, b] × [c, d]) ⊂ IR2 . Define θ̄ : Dt → U by θ̄(t̄, r̄) =
( F |U )inv(σ(t̄, r̄)), ∀(t̄, r̄) ∈ Dt . By Proposition 3.12, θ̄ is continuous.
Claim 9.63.2 θ(t̄, r̄) = θ̄(t̄, r̄), ∀(t̄, r̄) ∈ Dt .
Proof of claim: Fix any (t̄, r̄) ∈ Dt . Note that θ̄ inverts F along σ|Dt .
Define θ̄,ξ : Dt,1 → X by θ̄,ξ (t̂) = θ̄(t̂, ξ), ∀t̂ ∈ Dt,1 := (at , bt ) ∩ [a, b] ⊂ IR.
Define σ,ξ : [a, b] → Y by σ,ξ (t̂) = σ(t̂, ξ), ∀t̂ ∈ [a, b]. Define θ,ξ : [a, b] → X
by θ,ξ (t̂) = θ(t̂, ξ), ∀t̂ ∈ [a, b]. Then, θ̄,ξ is continuous and inverts F along
σ,ξ |Dt,1 with θ̄,ξ (t) = x. Since ξ ∈ S, then θ,ξ |Dt,1 is continuous and
inverts F along σ,ξ |Dt,1 with θ,ξ (t) = θ(t, ξ) = x. By Lemma 9.62, we
have θ,ξ |Dt,1 = θ̄,ξ and, in particular, θ(t̄, ξ) = θ,ξ (t̄) = θ̄,ξ (t̄) = θ̄(t̄, ξ).
Define θ̄t̄ : Dt,2 → X by θ̄t̄ (r̂) = θ̄(t̄, r̂), ∀r̂ ∈ Dt,2 := (ct , dt ) ∩ [c, d] ⊂ IR.
Then, θ̄t̄ is continuous and inverts F along σt̄ |Dt,2 with θ̄t̄ (ξ) = θ̄(t̄, ξ) =
θ(t̄, ξ). Note that θt̄ |Dt,2 is also continuous and inverts F along σt̄ |Dt,2 with
θt̄ (ξ) = θ(t̄, ξ). By Lemma 9.62, we have θ̄t̄ = θt̄ |Dt,2 and, in particular,
θ̄(t̄, r̄) = θ̄t̄ (r̄) = θt̄ (r̄) = θ(t̄, r̄). This completes the proof
S of the claim. 2
Then, θ|Dt is continuous. Note that [a, b] ⊆ t∈[a,b]⊂IR (at , bt ). By
the compactness of S [a, b] ⊆ IR, there exists a finite set TN ⊆ [a, b] ⊂ IR
such that [a, b] ⊆ t∈TN (at , bt ). Note that θ|Dt , ∀t ∈ TN and θ|[a,b]×[c,ξ)
are continuous. Then,S by Theorem 3.11, θ|D is continuous, where D :=

([a, b] × [c, ξ)) ∪ ( t∈TN Dt ) ⊆ [a, b] × [c, d] ⊆ IR2 and all of the sets are
relatively open. Set d¯ = (mint∈TN dt + ξ)/2 ∈ (ξ, d]. It is clear that [a, b] ×
¯ ⊆ D ⊆ IR2 . Then, θ| ¯
[c, d] [a,b]×[c,d̄] is continuous and d ∈ S. This leads
¯
to the contradiction ξ < d ≤ sup S = ξ. Therefore, ξ = d. Then, θ is
continuous. This completes the proof of Case 2.
Theorem 9.64 (Global Inverse Function Theorem) Let X and Y be

Hausdorff topological spaces, X 6= ∅, F : X → Y be continuous and count-
ably proper. Assume that ∀x ∈ X , ∃U ∈ OX with x ∈ U and ∃V ∈ OY
with F (x) ∈ V such that F |U : U → V is a homeomorphism, X is arcwise
connected, and Y is simply connected. Then, F : X → Y is a homeomor-
phism.
Proof Fix x0 ∈ X = 6 ∅, let y0 = F (x0 ) ∈ Y. ∀y ∈ Y, since Y is

simply connected, then Y is arcwise connected. Then, there exists a curve
σ : I → Y, where I := [0, 1] ⊂ IR, such that σ(0) = y0 and σ(1) = y. By
Lemma 9.62, there exists a continuous mapping θ : I → X that inverts F
along σ with θ(0) = x0 . Then, y = σ(1) = F (θ(1)). Hence, F is surjective.
Fix x1 , x2 ∈ X such that F (x1 ) = F (x2 ) = y. Since X is arcwise
connected, then there exists a curve δ : I → X such that δ(0) = x1 and
δ(1) = x2 . Consider the curve η := F ◦ δ, which is continuous by Proposi-
tion 3.12. η is a closed curve since η(0) = F (x1 ) = y = F (x2 ) = η(1). Since
Y is simply connected, then η is homotopic to a single point ȳ ∈ Y. Then,
there exists a continuous mapping γ : I × I → Y such that γ(t, 0) = η(t),
γ(t, 1) = ȳ, and γ(0, t) = γ(1, t), ∀t ∈ I. By Lemma 9.63, there exists a
continuous function ζ : I × I → X that inverts F along γ with ζ(0, 0) = x1 .
Define γ0 : I → Y by γ0 (t) = γ(0, t), γ1 : I → Y by γ1 (t) = γ(1, t),
γ,0 : I → Y by γ,0 (t) = γ(t, 0), and γ,1 : I → Y by γ,1 (t) = γ(t, 1),
∀t ∈ I. Then, γ0 = γ1 . Define ζ0 : I → X by ζ0 (t) = ζ(0, t), ζ1 : I → X
by ζ1 (t) = ζ(1, t), ζ,0 : I → X by ζ,0 (t) = ζ(t, 0), and ζ,1 : I → X by
ζ,1 (t) = ζ(t, 1), ∀t ∈ I. Then, ζ0 is continuous and inverts F along γ0 . Set
x̄ = ζ0 (1) = ζ(0, 1) ∈ X , then, ȳ = F (x̄). ζ,1 is continuous and inverts F
along γ,1 with ζ,1 (0) = ζ(0, 1) = x̄. Since γ,1 is a constant function with
value ȳ. Then, the constant mapping λ : I → X given by λ(t) = x̄, ∀t ∈ I
is continuous and inverts F along γ,1 with λ(0) = x̄. By Lemma 9.62, we
have λ = ζ,1 and, in particular, x̄ = λ(1) = ζ,1 (1) = ζ(1, 1). Note that ζ1 is
continuous and inverts F along γ1 with ζ1 (1) = ζ(1, 1) = x̄. Since γ1 = γ0 .
ζ0 is continuous and inverts F along γ1 with ζ0 (1) = x̄. By Lemma 9.62, we
have ζ0 = ζ1 and in particular ζ(1, 0) = ζ1 (0) = ζ0 (0) = ζ(0, 0) = x1 . Note
that ζ,0 is continuous and inverts F along γ,0 = η with ζ,0 (0) = ζ(0, 0) = x1 .
By construction, δ is continuous and inverts F along η with δ(0) = x1 . By
Lemma 9.62, δ = ζ,0 and in particular, x2 = δ(1) = ζ,0 (1) = ζ(1, 0) = x1 .
Hence, x1 = x2 . Therefore, F is injective.
Hence, F is bijective and admits inverse Fi : Y → X . ∀y ∈ Y, let

x = Fi (y) ∈ X . Then, ∃U ∈ OX with x ∈ U and ∃V ∈ OY with y ∈ V
such that F |U : U → V is a homeomorphism. Then, Fi |V is the inverse of
F |U and is continuous. Then, Fi is continuous at y since V is open. By
the arbitrariness of y, Fi is continuous. Hence, F is a homeomorphism.
Theorem 9.65 (Global Inverse Function Theorem) Let X and Y be

Hausdorff topological spaces, F : X → Y be continuous and countably
proper. Let H := { x ∈ X | ∃U ∈ OX with x ∈ U ∋ · F |U : U →
F (U ) ∈ OY is a homeomorphism } ⊆ X , Σ := X \ H, Σ0 := F inv(F (Σ)),
X0 := X \ Σ0 , and Y0 := Y \ F (Σ). Assume that X0 6= ∅ is arcwise con-
nected, and Y0 is simply connected. Then, G := F |X0 : X0 → Y0 is a
homeomorphism.
Proof Let OX0 and OY0 be the subset topology on X0 and Y0 , re-
spectively.
Claim 9.65.1 Σ ⊆ X is closed.
Proof of claim: ∀x ∈ H, ∃Ux ∈ OX with x ∈ Ux such that F |Ux :

Ux → F (USx ) ∈ OY is a homeomorphism. ∀x̄ ∈ Ux , x̄ ∈ H. Then, Ux ⊆ H
and H = x∈H Ux . Hence, H ∈ OX . Then, Σ := X \ H is closed. 2
Claim 9.65.2 F inv(Y0 ) = X0 . G : X0 → Y0 is continuous and countably

proper.
Proof of claim: By Proposition 2.5, F inv(Y0 ) = F inv(Y \ F (Σ)) =

F inv(Y) \ F inv(F (Σ)) = X \ Σ0 = X0 and F (X0 ) = F (F inv(Y0 )) ⊆ Y0 .
Hence, G is a function of X0 to Y0 .
Fix any K ⊆ Y0 such that K is compact in OY0 . Then K is a compact
set in OY . Then, Ginv(K) = F inv(K) ⊆ X0 . By the countable properness
of F , we have F inv(K) ⊆ X is countably compact in OX . Then, it is easy
to show that Ginv(K) is countably compact in OX0 . Hence, G is countably
proper.
∀V0 ∈ OY0 , V0 = Y0 ∩ V , where V ∈ OY . Ginv(V0 ) = F inv(V0 ) =
F inv(Y0 ) ∩ F inv(V ) = X0 ∩ F inv(V ). Since F is continuous, F inv(V ) ∈ OX .
Thus, Ginv(V0 ) ∈ OX0 . Hence, G is continuous. 2
By Proposition 2.5, Σ0 = F inv(F (Σ)) ⊇ Σ ∩ dom ( F ) = Σ. Then,
X0 = X \ Σ0 ⊆ X \ Σ = H. ∀x ∈ X0 ⊆ H, ∃U ∈ OX with x ∈ U such that
F |U : U → F (U ) ∈ OY is a homeomorphism. Let U0 := X0 ∩ U ∈ OX0 ,
V := F (U ) ∈ OY , and V0 := F (U ) ∩ Y0 ∈ OY0 . Clearly, x ∈ U0 . By
Proposition 2.5, G(U0 ) = F (U0 ) ⊆ F (X0 ) ∩ F (U ) ⊆ Y0 ∩ V = V0 . Then,
G|U0 : U0 → V0 . Note that G|U0 = ( F |U )|U0 . Since F |U is injective, then
G|U0 is injective. ∀ȳ ∈ V0 , ȳ ∈ V then ∃x̄ ∈ U such that ȳ = F (x̄). Note
that ȳ ∈ Y0 and F inv(Y0 ) = X0 , then x̄ ∈ X0 . Hence, x̄ ∈ U0 and G(x̄) =
F (x̄) = ȳ. Then, G|U0 : U0 → V0 is surjective. Hence, G|U0 is bijective

with inverse Gi = Fi |V0 , where Fi is the inverse of F |U : U → V . Since
F |U is homeomorphism, then F |U and Fi are continuous. Then, G|U0 and
Gi are continuous. This shows that G|U0 : U0 → V0 is a homeomorphism.
By Global Inverse Function Theorem 9.64, G : X0 → Y0 is a homeo-
morphism. This completes the proof of the theorem. 2
Proposition 9.66 Let X := (X, O) be a topological space and Aα ⊆ X be

arcwise connected (in subset topology), ∀α ∈ Λ, whereSΛ is an index set.
Assume that Aα1 ∩ Aα2 6= ∅, ∀α1 , α2 ∈ Λ. Then, A := α∈Λ Aα is arcwise
connected (in subset topology).
Proof ∀x1 , x2 ∈ A, ∃α1 , α2 ∈ Λ such that xi ∈ Aαi , i = 1, 2. By

the assumption, let x0 ∈ Aα1 ∩ Aα2 6= ∅. ∀i ∈ {1, 2}, since Aαi is arcwise
connected, ∃ curve γi : [0, 1] ⊂ IR → Aαi suchthat γi (0) = x0 and γi (1) =
γ1 (1 − 2t) 0 ≤ t ≤ 1/2
xi . Define γ : [0, 1] ⊂ IR → A by γ(t) = ,
γ2 (2t − 1) 1/2 < t ≤ 1
∀t ∈ [0, 1] ⊂ IR. Then γ(0) = γ1 (1) = x1 and γ(1) = γ2 (1) = x2 . Note that
γ|[0,1/2] (t) = γ1 (1−2t), ∀t ∈ [0, 1/2] ⊂ IR, and γ|[1/2,1] (t) = γ2 (2t−1), ∀t ∈
[1/2, 1] ⊂ IR, are continuous functions. By Theorem 3.11, γ is continuous.
Therefore, γ is a curve connecting x1 and x2 . By the arbitrariness of x1
and x2 , we have A is arcwise connected. This completes the proof of the
proposition. 2
Proposition 9.67 Let X be a normed linear space and O ⊆ X be open and

connected. Then, O is arcwise connected.
Proof The result is trivial if O = ∅. Let x0 ∈ O S

6= ∅. Let M := { A ⊆
O | x0 ∈ A and A is arcwise connected } and A0 := A∈M A. Then, x0 ∈
A0 ⊆ O and, by Proposition 9.66, A0 is arcwise connected. ∀x ∈ A0 ⊆ O,
∃δ ∈ (0, ∞) ⊂ IR such that BX ( x, δ ) ⊆ O. Clearly, BX ( x, δ ) is arcwise
connected. Then, by Proposition 9.66, A0 ∪ BX ( x, δ ) is arcwise connected.
This implies that A0 ∪ BX ( x, δ ) ∈ M. Then, BX ( x, δ ) ⊆ A0 . By the
arbitrariness of x, we have A0 is open in X. We will show that A0 = O by
an argument of contradiction. Suppose A0 ⊂ O. Let E := O \ A0 6= ∅. Let
∂E be the boundary of E in X.
Claim 9.67.1 ∂E ∩ E 6= ∅.
Proof of claim: Suppose ∂E ∩E = ∅. By Proposition 3.3, E = E ∩E =

(∂E ∪ E ◦ ) ∩ E = E ◦ ∩ E = E ◦ . Hence, E is open in X. Then, A0 and
E form a separation of O. This contradicts with the assumption that O is
connected. Hence, the claim holds. 2
Let x1 ∈ ∂E ∩ E ⊆ O. Then, ∃δ1 ∈ (0, ∞) ⊂ IR such that
BX ( x1 , δ1 ) ⊆ O. x1 ∈ ∂E implies that BX ( x1 , δ1 ) ∩ E e 6= ∅. This implies
that ∃x2 ∈ BX ( x1 , δ1 ) ∩ (O \ E) = BX ( x1 , δ1 ) ∩ A0 . By Proposition 9.66,
A0 ∪ BX ( x1 , δ1 ) is arcwise connected. Then, by the definition of A0 , we

have BX ( x1 , δ1 ) ⊆ A0 and x1 ∈ A0 . This contradicts with the fact that
x1 ∈ E = O \ A0 . Therefore, A0 = O and O is arcwise connected. This
9.7 Interchange Differentiation and Limit

x0 ∈ D, and Fn : D → Y, ∀n ∈ IN. Assume that
(i) ∃δ0 ∈ (0, ∞) ⊂ IR such that D̄ := D ∩ BX ( x0 , δ0 ) − x0 is a conic

segment;
(ii) Fn is differentiable, ∀n ∈ IN;

∞
(1)
(iii) Fn converges uniformly to G : D → B ( X, Y );
n=1
(iv) ∀x ∈ D, limn∈IN Fn (x) = F (x), where F : D → Y.

(1)
Then, F is differentiable at x0 and F (1) (x0 ) = G(x0 ) = limn∈IN Fn (x0 ).
Proof By the differentiability of F1 , we have span ( AD ( x ) ) = X,

∀x ∈ D. ∀ǫ ∈ (0, ∞) ⊂ IR, by (iii), ∃n0 ∈ IN such that ∀n ∈ IN with
(1)
n ≥ n0 , Fn (x) − G(x) < ǫ/4, ∀x ∈ D. ∀n, m ∈ IN with n ≥ n0 and
m ≥ n0 , by Proposition 9.15, g : D → Y, defined by g(x) = Fn (x) − Fm (x),
(1) (1)
∀x ∈ D, is differentiable and g (1) (x) = Fn (x) − Fm (x), ∀x ∈ D. By
Mean Value Theorem 9.23, ∀x ∈ D̄ + x0 and ∀n, m ∈ IN with n ≥ n0
and m ≥ n0 , k Fn (x) − Fm (x) − Fn (x0 ) + Fm (x0 ) k = k g(x) − g(x0 ) k ≤
(1)
g (x̄)(x − x0 ) ≤ (1) (1)
Fn (x̄) − Fm (x̄) k x − x0 k ≤ ǫ k x − x0 k /2, where
(1)
x̄ = t0 x + (1 − t0 )x0 ∈ D̄ + x0 and t0 ∈ (0, 1) ⊂ IR. By Fn0 (x0 ) ∈ B ( X, Y ),
∃δ ∈ (0, δ0 ] ⊂ IR such that, ∀x ∈ D̂ := D ∩ BX ( x0 , δ ) ⊆ D̄ + x0 , we have

(1)
Fn0 (x) − Fn0 (x0 ) − Fn0 (x0 )(x − x0 ) ≤ ǫ k x − x0 k /4.
Fix any x ∈ D̂. ∀m ∈ IN with m ≥ n0 , we have k Fm (x) − Fm (x0 ) −

G(x0 )(x − x0 ) k ≤ k Fm (x) − Fm (x0 ) − Fn0 (x) + Fn0 (x0 ) k + Fn0 (x) −

(1) (1)
Fn0 (x0 ) − Fn0 (x0 )(x − x0 ) + Fn0 (x0 )(x − x0 ) − G(x0 )(x − x0 ) ≤ ǫ k x −
x0 k /2 + ǫ k x − x0 k /4 + ǫ k x − x0 k /4 ≤ ǫ k x − x0 k. Take limit as m → ∞,
we have k F (x) − F (x0 ) − G(x0 )(x − x0 ) k ≤ limm∈IN k Fm (x) − Fm (x0 ) −
G(x0 )(x − x0 ) k ≤ ǫ k x − x0 k. By the arbitrariness of x, F is differentiable
at x0 and F (1) (x0 ) = G(x0 ) = limn∈IN DFn (x0 ). This completes the proof
Example 9.69 Let X and Y be normed linear spaces over IK, Ω ⊆ X be
a compact set, which satisfies span ( AΩ ( x ) ) = X, ∀x ∈ Ω, k ∈ IN, and
9.7. INTERCHANGE DIFFERENTIATION AND LIMIT 305
W := C(Ω, Y) be the normed linear space defined in Example 7.31. Define

Z := { f ∈ C(Ω, Y) | f is Ck }. By Proposition 9.40, Z is a subspace of
C(Ω, Y). Then, Z := (Z, ⊕W , ⊗W , ϑW ) is vector space over the field IK.
∀f ∈ Z, ∀i ∈ { 0, . . . , k }, f (i) ∈ C(Ω, Bi ( X, Y )) with norm f (i) C ∈ IR.
P (i) 2 1/2
k
Now, define a norm on Z by k f kCk := i=0 f C
∈ [0, ∞) ⊂ IR,
∀f ∈ Z. If f = ϑW , by Proposition 9.33, f is C∞ and f (i) (x) = ϑBi (X,Y) ,
∀x ∈ Ω, ∀i ∈ IN, then, k f kCk = 0. On the other hand, if k f kCk =
0, then f = ϑW . ∀f1 , f2 ∈ Z, by Proposition 9.40, k f1 + f2 kCk =
2 1/2 P 1/2 P 1/2
Pk (i) (i) k

(i) 2 k

(i) 2
f
i=0 1 +f 2 ≤ f
i=0 1 + f
i=0 2 =
C C C
k f1 kCk + k f2 kCk , where the inequality follows from Minkowski’s Inequal-
ity, Theorem 7.9. ∀α ∈ IK, ∀f ∈ Z, by Proposition 9.40, k αf kCk =
P (i) 2 1/2 Pk 1/2
k 2
f (i) 2
i=0 αf C
= i=0 | α | C
= | α | k f kCk . This shows
that (Z, IK, k·kCk ) is a normed linear space, which will be denoted Ck (Ω, Y).
⋄
Example 9.70 Let X be a normed linear space over IK and Y be a Banach
space over IK, Ω ⊆ X be a compact set, and k ∈ IN. Assume that, ∀x ∈ Ω,
∃δx ∈ (0, ∞) ⊂ IR such that Ω ∩ BX ( x, δx ) − x is a conic segment and
span ( AΩ ( x ) ) = X. Let Ck (Ω, Y) be the normed linear space defined in
Example 9.69. We will show that Ck (Ω, Y) is also a Banach space over IK.
∞
Fix any Cauchy sequence
( fn )n=1 ⊆ Ck (Ω, Y). By the definition of
∞
(i)
the norm k · kCk , fn ⊆ C(Ω, Bi ( X, Y )) =: Wi is a Cauchy se-
n=1
quence, ∀i ∈ { 0, . . . , k }. ∀i ∈ { 0, . . . , k }, by Example 7.32 and Propo-
sition 7.66, C(Ω, Bi ( X, Y )) is a Banach space. Then, ∃gi ∈C(Ω,Bi ( X, Y ))
∞
(i) (i)
such that limn∈IN fn = gi in C(Ω, Bi ( X, Y )). Then, fn con-
n=1
verges uniformly to gi and gi is continuous. By Proposition 9.68, we have
(1) (i)
gi = gi+1 , ∀i ∈ { 0, . . . , k − 1 }. Then, we have g0 = gi , ∀i ∈ { 0, . . . , k },
2 1/2
Pk (i) (i)
and g0 ∈ Ck (Ω, Y). Then, k fn − g0 kCk = i=0 fn − g0 =
C

Pk (i)
2 1/2

i=0 fn − gi → 0 as n → ∞, where the first equality follows
C
from Proposition 9.40. Then, limn∈IN fn = g0 in Ck (Ω, Y). Hence, Ck (Ω, Y)
is complete and therefore a Banach space. ⋄
Sometimes, we need to consider a normed linear space of continuous
functions on a topological space which is not necessarily compact. This
leads us to the following examples.
Example 9.71 Let X := (X, O) be a topological space, Y be a normed
linear space over the field IK, and Cv (X , Y) be the vector space of all continu-
ous functions of X to Y as defined in Example 7.50 with null vector ϑ. Define
a function k·k : Cv (X , Y) → IRe by k f k = max { supx∈X k f (x) kY , 0 }, ∀f ∈
Cv (X , Y). Consider the set M := { f ∈ Cv (X , Y) | k f k < +∞ }. Clearly,

ϑ ∈ M. ∀f1 , f2 ∈ M, ∀α, β ∈ IK, k αf1 + βf2 k = max { supx∈X k αf1 (x) +
βf2 (x) kY , 0 } ≤ max { supx∈X (| α | k f1 (x) kY + | β | k f2 (x) kY ), 0 } < +∞.
Then, αf1 + βf2 ∈ M. Hence, M is a subspace of Cv (X , Y).
Clearly, ∀f ∈ M, k f k ∈ [0, ∞) ⊂ IR and k f k = 0 ⇔ f = ϑ.
∀f1 , f2 ∈ M, ∀α ∈ IK, k f1 + f2 k = max { supx∈X k f1 (x) + f2 (x) kY , 0 } ≤
max { supx∈X k f1 (x) kY + supx∈X k f2 (x) kY , 0 } = k f1 k + k f2 k, where the
first inequality follows from Proposition 3.81. k αf1 k =
max
{ supx∈X k αf 1 (x) k Y , 0 } = max { supx∈X | α | k f 1 (x) k Y , 0 } =
max { | α | supx∈X k f1 (x) kY , 0 } α 6= 0
= | α | k f1 k, where the third
0 α=0
equality follows from Proposition 3.81. Hence, (M, IK, k · k) is a normed
linear space, which will be denoted by Cb (X , Y). ⋄
Example 9.72 Let X := (X, O) be a topological space and Y be a

Banach space over the field IK (with norm k·kY ). Consider the normed linear
space Cb (X , Y) (with norm k · k) defined in Example 9.71. We will show
that this space is a Banach space. We will distinguish two exhaustive and
mutually exclusive cases: Case 1: X = ∅; Case 2: X 6= ∅. Case 1: X = ∅.
Then, Cb (X , Y) is a singleton set. Hence, any Cauchy sequence in Cb (X , Y)
must converge. Thus, Cb (X , Y) is a Banach space. Case 2: X 6= ∅. Take
a Cauchy sequence ( fn )∞ n=1 ⊆ Cb (X , Y). ∀ǫ ∈ (0, ∞) ⊂ IR, ∃N ∈ IN such
that ∀n, m ≥ N , 0 ≤ k fn (x) − fm (x) kY ≤ k fn − fm k < ǫ, ∀x ∈ X . This
∞
shows that, ∀x ∈ X , ( fn (x) )n=1 ⊆ Y is a Cauchy sequence, which converges
to f (x) ∈ Y since Y is complete. This defines a function f : X → Y. It is
∞
easy to show that ( fn )n=1 , viewed as a sequence of functions of X to Y,
converges uniformly to f . By Proposition 4.26, f is continuous. ∀x ∈ X ,
k f (x) kY ≤ k fN (x) − f (x) kY + k fN (x) kY = limm∈IN k fN (x) − fm (x) kY +
k fN (x) kY ≤ ǫ + k fN k. Hence, k f k ≤ k fN k + ǫ. Then, f ∈ Cb (X , Y).
It is easy to show that limn∈IN k fn − f k = 0. Hence, limn∈IN fn = f in
Cb (X , Y). Hence, Cb (X , Y) is a Banach space. In both cases, we have
shown that Cb (X , Y) is a Banach space when Y is a Banach space. ⋄
Example 9.73 Let X and Y be normed linear spaces over IK, Ω ⊆ X

be endowed with the subset topology, which satisfies span ( AΩ ( x ) ) = X,
∀x ∈ Ω, k ∈ IN, and W := Cb (Ω, Y) be the normed linear space
defined in Example 9.71 with null vector ϑW . Define Z := f ∈

Cb (Ω, Y) f is Ck and f (i) ∈ Cb (Ω, Bi ( X, Y )), i = 1, . . . , k . By Propo-
sition 9.40, Z is a subspace of W. Then, Z := (Z, ⊕W , ⊗W , ϑW ) is vector
(i)
space over the
(i) IK. ∀f ∈ Z, ∀i ∈ { 0, . . . , k }, f ∈ Cb (Ω, Bi ( X, Y ))
field
with norm f ∈ IR. Now, define a norm on Z by k f kCb k :=
Cb
P (i) 2 1/2
k
i=0 f C
∈ [0, ∞) ⊂ IR, ∀f ∈ Z. If f = ϑW , by Propo-
b
sition 9.33, f is C∞ and f (i) (x) = ϑBi (X,Y) , ∀x ∈ Ω, ∀i ∈ IN, then,

k f kCb k = 0. On the other hand, if k f kCb k = 0, then f = ϑW . ∀f1 , f2 ∈ Z,
9.7. INTERCHANGE DIFFERENTIATION AND LIMIT 307
2 1/2
Pk (i) (i)
by Proposition 9.40, k f1 + f2 kCb k = i=0 f1 + f2 ≤
Cb
1/2 P 1/2
Pk (i) 2 k

(i) 2
i=0 f1 + i=0 f2 = k f1 kCb k + k f2 kCb k , where
Cb Cb
the inequality follows from Minkowski’s Inequality, Theorem 7.9. ∀α ∈ IK,
P (i) 2 1/2
k
∀f ∈ Z, by Proposition 9.40, k αf kCb k = i=0 αf Cb
=
P
2 1/2
k f (i) 2
i=0 | α | Cb
= | α | k f kCb k . This shows that (Z, IK, k · kCb k )
is a normed linear space, which will be denoted Cb k (Ω, Y). ⋄
Example 9.74 Let X be a normed linear space over IK and Y be a Banach
space over IK, Ω ⊆ X be endowed with the subset topology, and k ∈ IN.
Assume that, ∀x ∈ Ω, ∃δx ∈ (0, ∞) ⊂ IR such that Ω ∩ BX ( x, δx ) − x
is a conic segment and span ( AΩ ( x ) ) = X. Let Cb k (Ω, Y) be the normed
linear space defined in Example 9.73. We will show that Cb k (Ω, Y) is also
a Banach space over IK.
Fix any Cauchy
sequence
( fn ) ∞
n=1 ⊆ Cb k (Ω, Y). By the definition of the
∞
(i)
norm k · kCb k , fn ⊆ Cb (Ω, Bi ( X, Y )) =: Wi is a Cauchy sequence,
n=1
∀i ∈ { 0, . . . , k }. ∀i ∈ { 0, . . . , k }, by Example 9.72 and Proposition 7.66,
Cb (Ω, Bi ( X, Y )) is a Banach space. Then, ∃g i ∈ Cb (Ω, Bi ( X, Y )) such that
∞
(i) (i)
limn∈IN fn = gi in Cb (Ω, Bi ( X, Y )). Then, fn converges uniformly
n=1
(1)
to gi and gi is continuous. By Proposition 9.68, we have gi = gi+1 ,
(i)
∀i ∈ { 0, . . . , k − 1 }. Then, we have g0 = gi , ∀i ∈ { 0, . . . , k }, and
1/2
Pk (i) (i) 2
g0 ∈ Cb k (Ω, Y). Furthermore, k fn −g0 kCb k = i=0 fn −g0 =
Cb

Pk (i)
2 1/2

i=0 f n − g i → 0 as n → ∞, where the first equality fol-
Cb
lows from Proposition 9.40. Then, limn∈IN fn = g0 in Cb k (Ω, Y). Hence,
Cb k (Ω, Y) is complete and therefore a Banach space. ⋄
Chapter 10
Local Theory of
Optimization
In this chapter, we will develop a number of tools for optimization of suf-

ficiently many times differentiable functions. As in Chapter 8, we will be
mainly concerned with real spaces, rather than complex ones.
10.1 Basic Notion

Definition 10.1 Let X := (X, O) be a topological space, f : X → IR,
and x0 ∈ X . x0 is said to be a point of minimum for f if f (x0 ) ≤ f (x),
∀x ∈ X . It is said to be the point of strict minimum for f if f (x0 ) < f (x),
∀x ∈ X \ { x0 }. It is said to be a point of relative minimum for f if
∃O ∈ O with x0 ∈ O such that f (x0 ) ≤ f (x), ∀x ∈ O. It is said to be a
point of relative strict minimum for f if ∃O ∈ O with x0 ∈ O such that
f (x0 ) < f (x), ∀x ∈ O \ { x0 }. Similar definitions for points of maxima.
Moreover, x0 is said to be a point of relative extremem if it is a point of
relative minimum or relative maximum. It is said to be a point of relative
strict extremum if it is a point of relative strict minimum or relative strict
maximum.
Proposition 10.2 Let X be a real normed linear space, D ⊆ X, x0 ∈ D,

f : D → IR, u ∈ AD ( x0 ). Assume that the directional derivative of f
at x0 along u exists and x0 is a point of relative minimum for f . Then,
Df (x0 ; u) ≥ 0.
Proof This is immediate from Definition 9.4. 2
Definition 10.3 Let X be a real normed linear space and A ∈ BS 2 ( X, IR ).

A is said to be positive definite if ∃m ∈ (0, ∞) ⊂ IR such that A(x)(x) =
2
hh Ax, x ii ≥ m k x k , ∀x ∈ X. Let the set of all such positive definite
309
310 CHAPTER 10. LOCAL THEORY OF OPTIMIZATION
operators be denoted by S+ X . A is said to be positive semi-definite if

A(x)(x) ≥ 0, ∀x ∈ X. Let the set of all such positive semi-definite operators
be denoted by Spsd X . A is said to be negative definite if ∃m ∈ (0, ∞) ⊂ IR
2
such that A(x)(x) ≤ −m k x k , ∀x ∈ X. Let the set of all such negative
definite operators be denoted by S− X . A is said to be negative semi-definite
if A(x)(x) ≤ 0, ∀x ∈ X. Let the set of all such negative semi-definite
operators be denoted by Snsd X . We will denote BS 2 ( X, IR ) by SX .
Proposition 10.4 Let X be a real normed linear space. Then,
(i) S− X = −S+ X and Snsd X = −Spsd X ;
(ii) S+ X and S− X are open sets in BS 2 ( X, IR ) = SX ;
(iii) Spsd X and Snsd X are closed convex cones in SX ;
◦ ◦
(iv) S+ X ⊆ Spsd X and S− X ⊆ Snsd X .
Proof (i) This is clear. (ii) Fix A ∈ S+ X . Then, ∃m ∈ (0, ∞) ⊂ IR

2
such that A(x)(x) ≥ m k x k . ∀B ∈ BS 2 ( X, IR ) with k B −A k < m/2, ∀x ∈
X, we have B(x)(x) = A(x)(x)+(B−A)(x)(x) ≥ m k x k2 −k B−A k k x k2 ≥
2
m k x k /2, where the first inequality follows from Proposition 7.64. This
◦
implies that B ∈ S+ X . Then, A ∈ S+ X . Hence, S+ X is open in SX .
Therefore, S− X = −S+ X is open in SX .
(iii) Clearly, ϑBS 2 (X,IR) ∈ Spsd X . ∀A ∈ Spsd X , ∀α ∈ [0, ∞) ⊂ IR, αA ∈
Spsd X . Hence, Spsd X is a cone. ∀A, B ∈ Spsd X , ∀x ∈ X, (A + B)(x)(x) =
A(x)(x) + B(x)(x) ≥ 0. Hence, A + B ∈ Spsd X . Then, Spsd X is a convex
cone.
Let M := SX \ Spsd X . ∀A ∈ M , ∃x0 ∈ X such that A(x0 )(x0 ) < 0.
2
Then, there exists m ∈ (0, ∞) ⊂ IR such that A(x0 )(x0 ) < −m k x0 k < 0.
∀B ∈ BS 2 ( X, IR ) with k B − A k < m/2, we have B(x0 )(x0 ) = A(x0 )(x0 ) +
2 2 2
(B − A)(x0 )(x0 ) < −m k x0 k + k B − A k k x0 k ≤ −m k x0 k /2 < 0, where
the first inequality follows from Proposition 7.64. This implies that B ∈ M
and A ∈ M ◦ . Then, M = M ◦ is open. Therefore, Spsd X is closed.
Snsd X = −Spsd X is clearly also a closed convex cone.
◦
(iv) Clearly, S+ X ⊆ Spsd X . Then, S+ X ⊆ Spsd X . This further implies
◦
that S− X ⊆ Snsd X . This completes the proof of the proposition. 2
Definition 10.5 Let (X , IK) be a vector space and K ⊆ X be convex. M ⊆
K is said to be an extreme subset of K if M 6= ∅ and ∀x1 , x2 ∈ K, ∀α ∈
(0, 1) ⊂ IR, αx1 + (1 − α)x2 ∈ M implies that x1 , x2 ∈ M . If a singleton
set { x0 } ⊆ K is an extreme subset, then x0 is called an extreme point of
K.
Proposition 10.6 Let X be a real normed linear space, K ⊆ X be a
nonempty convex set, and H := { x ∈ X | hh x∗0 , x ii = c } be a supporting
hyperplane of K, where x∗0 ∈ X∗ with x∗0 6= ϑX∗ and c ∈ IR. Then, any
extreme subset of K1 := K ∩ H is also an extreme subset of K.
10.1. BASIC NOTION 311
Proof Without loss of generality, assume that inf k∈K hh x∗0 , x ii = c.

Let M ⊆ K1 be an extreme subset of K1 . Then, M 6= ∅. ∀x1 , x2 ∈ IK,
∀α ∈ (0, 1) ⊂ IR, let x̄ := αx1 + (1 − α)x2 ∈ M ⊆ H. Then, hh x∗0 , x1 ii ≥ c
and hh x∗0 , x2 ii ≥ c and hh x∗0 , x̄ ii = c. This implies that α (hh x∗0 , x1 ii −
c) + (1 − α) (hh x∗0 , x2 ii − c) = 0 and hh x∗0 , x1 ii = c = hh x∗0 , x2 ii. Hence,
x1 , x2 ∈ K1 . Since, M is an extreme subset of K1 , then x1 , x2 ∈ M .
Therefore, M is an extreme subset of K. This completes the proof of the
proposition. 2
Proposition 10.7 (Krein-Milman) Let X be a real reflexive Banach

space, K ⊆ X be a nonempty bounded closed convex set, and M ⊆ K
be a weakly compact extreme subset of K. Then, M contains at least one
extreme point of K.
Proof By Proposition 8.11, K is compact in Xweak . Let M = { E ⊆

M | E is a weakly compact extreme subset of K }. Clearly, M ∈ M = 6 ∅.
Clearly, ⊇ defines an antisymmetric partial ordering on M, where smaller
sets are further down the stream. Next, we will use Zorn’s Lemma to show
that M admits a maximal element.
E ⊆ M be a nonempty totally ordered (by ⊇) subcollection. Let
Let T
E0 := E∈E E. ∀E ∈ E, E ⊆ M is weakly compact extreme subset of
K. Then, by Propositions 7.116, 5.5, and 3.61, E is weakly closed. By
Proposition 5.5, E0 is weakly compact. ∀x1 , x2 ∈ K, ∀α ∈ (0, 1) ⊂ IR,
let αx1 + (1 − α)x2 ∈ E0 . ∀E ∈ E, αx1 + (1 − α)x2 ∈ E. Since E is an
extreme subset of K, then x1 , x2 ∈ E. By the arbitrariness of E, we have
x1 , x2 ∈ E0 . Hence, E0 is an extreme subset of K if E0 6= ∅. ∀E ∈ E, E is
nonempty. Since E is totally ordered by ⊇, then the intersection of finite
number of sets in E is again in E, and hence nonempty. By Proposition 5.12,
E0 6= ∅. Then, E0 is a weakly compact extreme subset of K and E0 ∈ M.
Clearly, E0 is an upper bound of E (in terms of ⊇). Then, by Zorn’s Lemma,
M admits a maximal element EM . Then, EM ⊆ M is a weakly compact
extreme subset of K and EM 6= ∅.
We will show that EM is a singleton set, which then proves that M
contains an extreme point of K. Suppose that ∃x1 , x2 ∈ EM with x1 6=
x2 . Let N := span ( { x2 − x1 } ) and define a functional f : N → IR by
f (α (x2 − x1 )) = α, ∀α ∈ IR. Clearly, f is a linear functional on N , and
k f kN = 1/ k x2 − x1 k < ∞. By Hahn-Banach Theorem 7.83, there exists
x∗0 ∈ X∗ with k x∗0 k = 1/ k x2 − x1 k such that hh x∗0 , α (x2 − x1 ) ii = α,
∀α ∈ IR. Clearly, hh x∗0 , x1 ii =6 hh x∗0 , x2 ii. Note that EM is nonempty
and compact in Xweak and x∗0 is weakly continuous. By Proposition 5.29,
c := hh x∗0 , x0 ii = inf x∈EM hh x∗0 , x ii ∈ IR for some x0 ∈ EM . Define
H := { x ∈ X | hh x∗0 , x ii = c }. Let Em := EM ∩ H. Then, at least one of
x1 and x2 is not in Em . Hence, EM ⊃ Em . Clearly, Em ∋ x0 is nonempty.
Note that H is weakly closed. Then, by Proposition 5.5, Em ⊆ M is weakly
compact. ∀x̄1 , x̄2 ∈ K, ∀ᾱ ∈ (0, 1) ⊂ IR, let ᾱx̄1 + (1 − ᾱ)x̄2 ∈ Em ⊆
EM . Since EM is an extreme subset of K, then we have x̄1 , x̄2 ∈ EM .
This further implies that hh x∗0 , x̄1 ii ≥ c and hh x∗0 , x̄2 ii ≥ c. Note that
hh x∗0 , ᾱx̄1 + (1 − ᾱ)x̄2 ii = c. Then, we must have hh x∗0 , x̄1 ii = c =
hh x∗0 , x̄2 ii and x̄1 , x̄2 ∈ Em . This shows that Em is a extreme subset of K.
Then Em ∈ M. This contradicts with the fact that EM is maximal with
respect to ⊇. Therefore, EM is a singleton set.
Proposition 10.8 Let X be a real reflexive Banach space, K ⊆ X be a
nonempty bounded closed convex set, and E be the set of extreme points of
K. Then, K = co ( E ).
Proof Let C := co ( E ). By Proposition 7.15, C is closed and convex

and C ⊆ K. We will prove the result by an argument of contradiction.
Suppose K ⊃ C. Then, ∃x0 ∈ K \ C. By Proposition 8.10, there exists
x∗0 ∈ X∗ such that hh x∗0 , x0 ii < inf x∈C hh x∗0 , x ii. By Proposition 8.11, K
is compact in the weak topology and x∗0 is continuous in the weak topol-
ogy. Then, by Proposition 5.29, c0 := hh x∗0 , x1 ii = inf x∈K hh x∗0 , x ii ∈ IR
for some x1 ∈ K. Clearly c0 ≤ hh x∗0 , x0 ii < inf x∈C hh x∗0 , x ii. We will dis-
tinguish two exhaustive and mutually exclusive cases: Case 1: x∗0 = ϑX∗ ;
Case 2: x∗0 6= ϑX∗ . Case 1: x∗0 = ϑX∗ . Then, c0 = 0 and C = ∅. By
Proposition 10.7, E 6= ∅. Then, C 6= ∅. This is a contradiction. Case
2: x∗0 6= ϑX∗ . Let H := { x ∈ X | hh x∗0 , x ii = c0 }. H is a supporting
hyperplane of K and H ∩ C = ∅. Let Cm := K ∩ H 6= ∅. Clearly, Cm
is bounded closed and convex. By Proposition 10.7, there is an extreme
point xm ∈ Cm of Cm . Then, { xm } ⊆ Cm is an extreme subset of Cm . By
Proposition 10.6, { xm } is an extreme subset of K. Then, xm is an extreme
point of K and xm ∈ E. This leads to the contradiction xm ∈ Cm ⊆ H,
xm ∈ E ⊆ C and C ∩ H = ∅. Thus, in both cases, we have arrived at a
contradiction. Then, the hypothesis must be false. Hence, K = co ( E ).
Proposition 10.9 Let X be a real vector space, Ω ⊆ X be a convex set,
and f1 : Ω → IR and f2 : Ω → IR be convex functionals. Then, the following
statements hold.
Pn
(i) ∀n ∈ IN, ∀x1 , . .P
. , xn ∈ Ω, ∀α1 P , . . . , αn ∈ [0, 1] ⊂ IR with i=1 αi =
n n
1, we have f1 ( i=1 αi xi ) ≤ i=1 αi f1 (xi ). If, in addition, f1 is
strictly convex,
Pn x 1 , . . . , x
Pnn are distinct, and α1 , . . . , αn ∈ (0, 1) ⊂ IR,
then f1 ( i=1 αi xi ) < i=1 αi f1 (xi ).
(ii) ∀α1 , α2 ∈ [0, ∞) ⊂ IR, α1 f1 + α2 f2 is convex. If, in addition, f1 is
strictly convex and α1 ∈ (0, ∞) ⊂ IR, then α1 f1 + α2 f2 is strictly
convex.
(iii) ∀c ∈ IR, { x ∈ Ω | f1 (x) ≤ c } is convex.
(iv) Let Y be a real vector space, A : Y → X be an affine operator, D ⊆ Y
be convex, and A(D) ⊆ Ω. Then, f1 ◦ A|D : D → IR is convex.
10.1. BASIC NOTION 313
Proposition 10.10 Let f : [a, b] → IR, where a, b ∈ IR with a < b. Then,

(i) f is convex if, and only if, ∀x1 , x2 , x3 ∈ [a, b] ⊂ IR with x1 < x2 < x3 ,
we have
f (x2 ) − f (x1 ) f (x3 ) − f (x2 )
≤
x2 − x1 x3 − x2
if, and only if, ∀x1 , x2 , x3 ∈ [a, b] ⊂ IR with x1 < x2 < x3 , we have
f (x2 ) − f (x1 ) f (x3 ) − f (x1 )
≤
x2 − x1 x3 − x1
(ii) f is strictly convex if, and only if, ∀x1 , x2 , x3 ∈ [a, b] ⊂ IR with x1 <
x2 < x3 , we have
f (x2 ) − f (x1 ) f (x3 ) − f (x2 )
<
x2 − x1 x3 − x2
if, and only if, ∀x1 , x2 , x3 ∈ [a, b] ⊂ IR with x1 < x2 < x3 , we have
f (x2 ) − f (x1 ) f (x3 ) − f (x1 )
<
x2 − x1 x3 − x1
(iii) If f is convex and c ∈ (a, b) ⊂ IR, then, the one-sided derivatives

f (x) − f (c) f (x) − f (c)
lim+ ; lim−
x→c x−c x→c x−c
exist.
Proposition 10.11 Let X be a real normed linear space, Ω ⊆ X be convex,

and f : Ω → IR be differentiable. Then, the following statements hold.
(i) f is convex if, and only if, ∀x, y ∈ Ω, we have f (y) ≥ f (x) +
f (1) (x)(y − x).
(ii) f is strictly convex if, and only if, ∀x, y ∈ Ω with x 6= y, we have
f (y) > f (x) + f (1) (x)(y − x).
Proof (i) “Necessity” Let f be convex. ∀x, y ∈ Ω, by the convexity of

Ω, we have y − x ∈ AΩ ( x ). ∀α ∈ (0, 1] ⊂ IR, we have f (αy + (1 − α)x) ≤
αf (y) + (1 − α)f (x), which further implies that f (y) − f (x) ≥ (f (x + α (y −
x)) − f (x))/α. Then, we have
f (y) − f (x) ≥ lim (f (x + α (y − x)) − f (x))/α = Df (x; y − x)

α→0+
(1)
= f (x)(y − x)
where the first equality follows from Definition 9.4 and the last equality
follows from Proposition 9.5.
“Sufficiency” Let f (y) ≥ f (x) + f (1) (x)(y − x), ∀x, y ∈ Ω. ∀x1 , x2 ∈ Ω,
∀α ∈ [0, 1] ⊂ IR, let x := αx1 + (1 − α)x2 ∈ Ω. Then, f (x2 ) = f (x + α (x2 −
x1 )) ≥ f (x)+αf (1) (x)(x2 −x1 ). Note also, f (x1 ) = f (x+(1−α) (x1 −x2 )) ≥
f (x) + (1 − α)f (1) (x)(x1 − x2 ). Then, αf (x1 ) + (1 − α)f (x2 ) ≥ f (x). Hence,
f is convex.
(ii) “Necessity” Let f be strictly convex. ∀x, y ∈ Ω with x 6= y, by the
convexity of Ω, we have y − x ∈ AΩ ( x ). ∀α ∈ (0, 1) ⊂ IR, we have f (αy +
(1 − α)x) < αf (y) + (1 − α)f (x), which further implies that f (y) − f (x) >
(f (x + α (y − x)) − f (x))/α. Define A : IR → X by A(β) = x + β (y − x),
∀β ∈ IR. Clearly, A is a affine operator and A(I) ⊆ Ω, where I := [0, 1] ⊂ IR.
By Proposition 10.9, g := f ◦ A|I is convex. Then, we have
g(0.5) − g(0)
f (y) − f (x) > 2(f (x + 0.5 (y − x)) − f (x)) =
0.5
g(α) − g(0) f (x + α (y − x)) − f (x)
≥ lim = lim+
α→0+ α α→0 α
(1)
= Df (x; y − x) = f (x)(y − x)
where the second inequality follows from Proposition 10.10 and the third
equality follows from Definition 9.4 and the last equality follows from Propo-
sition 9.5.
“Sufficiency” Let f (y) > f (x) + f (1) (x)(y − x), ∀x, y ∈ Ω with x 6= y.
∀x1 , x2 ∈ Ω with x1 6= x2 , ∀α ∈ (0, 1) ⊂ IR, let x := αx1 + (1 − α)x2 ∈ Ω.
Then, f (x2 ) = f (x + α (x2 − x1 )) > f (x) + αf (1) (x)(x2 − x1 ). Note also,
f (x1 ) = f (x + (1 − α) (x1 − x2 )) > f (x) + (1 − α)f (1) (x)(x1 − x2 ). Then,
αf (x1 ) + (1 − α)f (x2 ) > f (x). Hence, f is strictly convex.
and f : Ω → IR be twice differentiable. Then, the following statements hold.
(i) If f (2) (x) is positive semi-definite, ∀x ∈ Ω, then f is convex.
(ii) If f is convex and C2 , then f (2) (x) is positive semi-definite, ∀x ∈
Ω◦ ∩ Ω.
(iii) If f is convex and f (2) (x) is positive definite for all x ∈ Ω \ E, where
E ⊆ Ω does not contain any line segment, then f is strictly convex.
Proof (i) ∀x, y ∈ Ω, by Taylor’s Theorem, ∃t0 ∈ (0, 1) ⊂ IR we have
1
f (y) = f (x) + f (1) (x)(y − x) + f (2) (t0 y + (1 − t0 )x)(y − x)(y − x)
2
By the assumption, f (2) (t0 y + (1 − t0 )x)(y − x)(y − x) ≥ 0. Then, f (y) ≥
f (x) + f (1) (x)(y − x). By the arbitrariness of x, y and Proposition 10.11, f
is convex.
10.2. UNCONSTRAINED OPTIMIZATION 315
(ii) We will prove this statement by an argument of contradiction. Sup-

pose ∃x0 ∈ Ω◦ ∩ Ω such that f (2) (x0 ) is not positive semi-definite. Then,
∃h ∈ X such that f (2) (x0 )(h)(h) < 0. We will distinguish two exhaustive
and mutually exclusive cases: Case 1: x0 ∈ Ω◦ ; Case 2: x0 6∈ Ω◦ . Case 1:
x0 ∈ Ω◦ . By the continuity of f (2) and x0 ∈ Ω◦ , ∃δ ∈ (0, ∞) ⊂ IR such
that x1 := x0 + δh ∈ Ω and f (2) (x0 + αδh)(h)(h) < 0, ∀α ∈ (0, 1) ⊂ IR. By
Taylor’s Theorem, ∃t0 ∈ (0, 1) ⊂ IR we have
δ 2 (2)
f (x1 ) = f (x0 ) + f (1) (x0 )(x1 − x0 ) + f (x0 + t0 δh)(h)(h)
2
Then, f (x1 ) < f (x0 ) + f (1) (x0 )(x1 − x0 ). This contradicts with the fact
that f is convex and Proposition 10.11.
Case 2: x0 6∈ Ω◦ . Then, x0 ∈ (Ω◦ ∩ Ω) \ Ω◦ . Then, by Proposition 4.13,
∞
there exists ( xn )n=1 ⊆ Ω◦ such that limn∈IN xn = x0 . By the continuity of
f , we have ∃n0 ∈ IN such that f (2) (xn0 )(h)(h) < 0. Hence, f (2) (xn0 ) is
(2)
not positive semi-definite and xn0 ∈ Ω◦ . By Case 1, there is a contradiction.

Hence, the statement must be true.
(iii) We will prove this statement by an argument of contradiction.
Suppose f is not strictly convex. By Proposition 10.11, ∃x, y ∈ Ω with
x 6= y such that f (y) = f (x) + f (1) (x)(y − x). By the convexity of
f and Proposition 10.11, ∀α ∈ [0, 1] ⊂ IR, we have f (x + α (y − x)) ≥
f (x) + αf (1) (x)(y − x) = f (x) + α(f (y) − f (x)). By the convexity of f ,
we have f (x + α (y − x)) = f (x) + α(f (y) − f (x)). Define g : [0, 1] → IR
by g(α) = f (αy + (1 − α)x) − αf (y) − (1 − α)f (x), ∀α ∈ I := [0, 1] ⊂ IR.
Then, g(α) = 0, ∀α ∈ I. This implies that g (2) (α) = 0, ∀α ∈ I, and
f (2) (αy + (1 − α)x)(y − x)(y − x) = 0, ∀α ∈ I. Hence, f (2) (αy + (1 − α)x)
is not positive definite, ∀α ∈ I. Hence, E contains the line segment con-
necting x and y. This contradicts with the assymption. Therefore, the
statement must be true.
10.2 Unconstrained Optimization

µ0 := inf f (x) (10.1)
x∈Ω
where X is a real normed linear space, Ω ⊆ X is a set, and f : Ω → IR is a

functional.
f : Ω → IR be a convex functional, and µ0 := inf x∈Ω f (x) ∈ IR. Then, the
(i) The set of all points of minimum for f , which is given by { x ∈
Ω | f (x) = µ0 }, is convex.
(ii) Any point of relative minimum for f is a point of minimum for f .
(iii) Any point of relative strict minimum for f is the point of strict min-
imum for f .
Proof (i) Note that { x ∈ Ω | f (x) = µ0 } = { x ∈ Ω | f (x) ≤ µ0 },

which is convex by Proposition 10.9.
(ii) Fix any x0 ∈ Ω that is a point of relative minimum for f . Then,
∃ǫ ∈ (0, ∞) ⊂ IR such that f (x) ≥ f (x0 ), ∀x ∈ Ω ∩ BX ( x0 , ǫ ). ∀y ∈ Ω,
∃α ∈ (0, 1) ⊂ IR such that x0 + α (y − x0 ) ∈ BX ( x0 , ǫ ). Then, f (x0 ) ≤
f (x0 + α (y − x0 )) = f (αy + (1 − α)x0 ) ≤ αf (y) + (1 − α)f (x0 ). This implies
that f (x0 ) ≤ f (y). Hence, x0 is a point of minimum for f .
(iii) Fix any x0 ∈ Ω that is a point of relative strict minimum for f .
Then, ∃ǫ ∈ (0, ∞) ⊂ IR such that f (x) > f (x0 ), ∀x ∈ (Ω∩BX ( x0 , ǫ ))\{ x0 }.
∀y ∈ Ω with y 6= x0 , ∃α ∈ (0, 1) ⊂ IR such that x0 + α (y − x0 ) ∈ BX ( x0 , ǫ ).
Then, f (x0 ) < f (x0 +α (y−x0 )) = f (αy+(1−α)x0 ) ≤ αf (y)+(1−α)f (x0 ).
This implies that f (x0 ) < f (y). Hence, x0 is a point of strict minimum for
f . This completes the proof of the proposition. 2
Proposition 10.14 Let X be a real reflexive Banach space, Ω ⊆ X be a

nonempty bounded closed convex set, and f : Ω → IR be a weakly upper
semicontinuous convex functional. Then, there exist an extreme point x0 ∈
Ω of Ω such that x0 is a point of maximum for f .
Proof By Proposition 8.11, Ω is weakly compact. Let Oweak ( X ) be

the weak topology on X and Oweak,Ω be the subset topology on Ω with
respect to Oweak ( X ). By Proposition 5.30, there exists x1 ∈ Ω that is
a point of maximum for f . Let M := { x ∈ Ω | f (x) ≥ f (x1 ) }. Then
x1 ∈ M 6= ∅. Note that, by Proposition 2.5, M = f inv(IR \ I) = Ω \ f inv(I),
where I = (−∞, f (x1 )) ⊂ IR. Since I is open in IR and f is weakly upper
semicontinuous, then, f inv(I) ∈ Oweak,Ω . Then, M is closed in Oweak,Ω . By
Proposition 5.5, M is weakly compact. Since f (x1 ) = maxx∈Ω f (x), then
M is an extreme subset of Ω. By Proposition 10.7, there exists x0 ∈ M
that is an extreme point of Ω. This completes the proof of the proposition.
2
Proposition 10.15 Let X be a real normed linear space, Ω ⊆ X, x0 ∈ Ω◦ ,

and f : Ω → IR be differentiable at x0 . Assume that x0 is a point of relative
extremum of f , then f (1) (x0 ) = ϑX∗ .
Proof Without loss of generality, assume that x0 is a point of relative

minimum for f . The case when x0 is a point of relative maximum for f
can be proved similarly. Since x0 ∈ Ω◦ , then AΩ ( x0 ) = X. ∀u ∈ X, by
Propositions 10.2 and 9.5, Df (x0 ; u) = f (1) (x0 )u ≥ 0 and Df (x0 ; −u) =
−f (1) (x0 )u ≥ 0. Then, f (1) (x0 )u = 0. By the arbitrariness of u, we have
f (1) (x0 ) = ϑX∗ . This completes the proof of the proposition. 2
10.2. UNCONSTRAINED OPTIMIZATION 317

and f : Ω → IR be C2 at x0 . Assume that x0 is a point of relative minimum
for f , then f (1) (x0 ) = ϑX∗ and f (2) (x0 ) is positive semi-definite.
Proof By Proposition 10.15, f (1) (x0 ) = ϑX∗ . We will show that

(2)
f (x0 ) is positive semi-definite by an argument of contradiction. Sup-
pose f (2) (x0 ) is not positive semi-definite. Then, ∃h ∈ X such that
f (2) (x0 )(h)(h) < 0. By the continuity of f (2) at x0 , there exists δ ∈
(0, ∞) ⊂ IR with D := BX ( x0 , δ ) ⊆ Ω such that f (2) (x)(h)(h) < 0, ∀x ∈ D.
Let x1 := x0 + αh ∈ D, where α ∈ (0, ∞) ⊂ IR is an arbitrary constant. By
Taylor’s Theorem 9.48, there exists t0 ∈ (0, 1) ⊂ IR such that
1
f (x1 ) = f (x0 ) + f (2) (x0 + t0 αh)(x1 − x0 )(x1 − x0 )
2
α2 (2)
= f (x0 ) + f (x0 + t0 αh)(h)(h) < f (x0 )
2
This contradicts with the fact that x0 is a point of relative minimum for f .
Hence, the result must be true. This completes the proof of the proposition.
2

and f : Ω → IR be twice differentiable at x, ∀x ∈ D := BX ( x0 , δ0 ) ⊆ Ω,
where δ0 ∈ (0, ∞) ⊂ IR is some constant. Assume that f (1) (x0 ) = ϑX∗ and
f (2) (x) is positive semi-definite, ∀x ∈ D. Then, x0 is a point of relative
minimum for f .
Proof ∀x ∈ D, by Taylor’s Theorem 9.48, there exists t0 ∈ (0, 1) ⊂ IR

such that
1
f (x) = f (x0 ) + f (2) (x0 + t0 (x − x0 ))(x − x0 )(x − x0 ) ≥ f (x0 )
2
Hence, x0 is a point of relative minimum for f . This completes the proof

and f : Ω → IR be C2 at x0 . Assume that f (1) (x0 ) = ϑX∗ and f (2) (x0 ) is
positive definite. Then, x0 is a point of relative strict minimum for f .
Proof By Proposition 10.4 and the continuity of f (2) at x0 , ∃δ ∈

(0, ∞) ⊂ IR such that f (2) (x) is positive definite, ∀x ∈ D := BX ( x0 , δ ) ⊆ Ω.
∀x ∈ D \ { x0 }, by Taylor’s Theorem, there exists t0 ∈ (0, 1) ⊂ IR such that
1
f (x) = f (x0 ) + f (2) (x0 + t0 (x − x0 ))(x − x0 )(x − x0 ) > f (x0 )
2
Hence, x0 is a point of relative strict minimum for f . This completes the
10.3 Optimization with Equality Constraints

µ0 := inf f (x) (10.2)

subject to x∈Ω
H(x) = ϑY
where X and Y are real normed linear spaces, Ω ⊆ X is a set, f : Ω → IR is

a functional, and H : Ω → Y is a function.
Definition 10.19 Let X and Y be real normed linear spaces, Ω ⊆ X, H :

Ω → Y be C1 at x0 ∈ Ω◦ . x0 is said to be a regular point of H if H (1) (x0 ) ∈
B ( X, Y ) is surjective.
Lemma 10.20 Let X and Y be real Banach spaces, Ω ⊆ X, f : Ω → IR

be C1 at x0 ∈ Ω◦ , and H : Ω → Y be C1 at x0 . Consider the optimization
problem (10.2). Assume that x0 is a point of relative minimum for f on
the set Ωc := { x ∈ Ω | H(x) = ϑY }; and x0 is a regular point of H. Then,
∀u ∈ X with H (1) (x0 )u = ϑY , we have f (1) (x0 )u = 0.
Proof Define T : Ω → IR × Y by T (x) =(f (x), H(x)), ∀x ∈ Ω. By

(1)
f (x0 )
Proposition 9.44, T is C1 at x0 and T (1) (x0 ) = .
H (1) (x0 )
We will prove the result using an argument of contradiction. Suppose
the result is not true. Then, ∃u0 ∈ X with H (1) (x0 )u0 = ϑY , we have
f (1) (x0 )u0 6= 0. We will show that T (1) (x0 ) is surjective. ∀(r, y) ∈ IR × Y,
by x0 being a regular point of H, ∃u1 ∈ X such that H (1) (x0 )u1 = y.
(1)
Let u = r−f (x0 )u1
f (1) (x0 )u0
u0 + u1 . Then, T (1) (x0 )u = (r, y). Hence, T (1) (x0 ) is
surjective.
Note that T (x0 ) = (f (x0 ), ϑY ) and IR × Y is a real Banach space, by
Propositions 7.22 and 4.31. By Surjective Mapping Theorem 9.53, ∃δr ∈
(0, ∞) ⊂ IR, ∃δ ∈ (0, ∞) ⊂ IR, and c1 ∈ [0, ∞) ⊂ IR with c1 δ ≤ δr such
that ∀(r, y) ∈ BIR×Y ( T (x0 ), δ/2 ), ∃x ∈ BX ( x0 , δr ) ⊆ Ω with k x − x0 k ≤
c1 k (r, y) − T (x0 ) k, we have T (x) = (r, y). Then, ∀δ̄r ∈ (0, δ/2) ⊂ IR, let
r1 = f (x0 ) − δ̄r ∈ IR. (r1 , ϑY ) ∈ BIR×Y ( T (x0 ), δ/2 ). Then, ∃x1 ∈ Ω with
k x1 −x0 k ≤ c1 k (r1 , ϑY )−T (x0 ) k = c1 | r1 −f (x0 ) | = c1 δ̄r < (1+c1 )δ̄r such
that T (x1 ) = (r1 , ϑY ). Then, H(x1 ) = ϑY and x1 ∈ Ωc ∩BX ( x0 , (1+c1 ) δ̄r ).
Furthermore, f (x1 ) = r1 < f (x0 ). This contradicts with the assumption
that x0 is a point of relative minimum for f on Ωc . Therefore, the result
must be true.
Proposition 10.21 (Lagrange Multiplier) Let X and Y be real Banach

spaces, Ω ⊆ X, f : Ω → IR be C1 at x0 ∈ Ω◦ , and H : Ω → Y be C1
at x0 . Consider the optimization problem (10.2). Assume that x0 is a
10.3. OPTIMIZATION WITH EQUALITY CONSTRAINTS 319
point of relative minimum for f on the set Ωc := { x ∈ Ω | H(x) = ϑY };

and x0 is a regular point of H. Then, there exists a Lagrange multiplier
y∗0 ∈ Y∗ such that the Lagrangian L : Ω × Y∗ → IR defined by L(x, y∗ ) =
f (x) + hh y∗ , H(x) ii, ∀(x, y∗ ) ∈ Ω × Y∗ , is stationary at (x0 , y∗0 ), that is
L(1) (x0 , y∗0 ) = ϑB(X×Y∗ ,IR) .
Proof By Lemma 10.20, ∀u ∈ X with H (1) (x0 )u = ϑY , we have

⊥
f (x0 )u = 0. Then, f (1) (x0 ) ∈ N H (1) (x0 )
(1)
. Since x0 is a regular
(1)

point of H, then R H (x0 ) = Y is closed. By Proposition 7.114, we have
⊥ ∗
(1)
N H (x0 ) (1)
= R H (x0 ) . Then, there exists y∗0 ∈ Y∗ such
∗
that f (1) (x0 ) = − H (1) (x0 ) y∗0 . By Propositions 9.34, 9.41, 9.38, 9.37,
9.44, and 9.45, the Lagrangian L is C1 at (x0 , y∗0 ) and, ∀(u, v∗ ) ∈ X × Y∗ ,

L(1) (x0 , y∗0 )(u, v∗ ) = f (1) (x0 )u + hh v∗ , H(x0 ) ii + y∗0 , H (1) (x0 )u
DD ∗ EE
= f (1) (x0 )u + H (1) (x0 ) y∗0 , u =0
where the second equality follows from that fact that x0 ∈ Ωc . Hence,
L(1) (x0 , y∗0 ) = ϑB(X×Y∗ ,IR) . This completes the proof of the proposition. 2
Proposition 10.22 (Generalized Lagrange Multiplier) Let X and Y

be real Banach spaces, Ω ⊆ X, f : Ω → IR be C1 at x0 ∈ Ω◦ , and H : Ω → Y
be C1 at x0 . Consider the optimization problem (10.2). Assume that x0 is
a point of relative minimum for f on the set Ωc := { x ∈ Ω | H(x) = ϑY };
and R H (1) (x0 ) ⊆ Y is closed. Then, there exists a Lagrange multiplier
(r0 , y∗0 ) ∈ IR × Y∗ with (r0 , y∗0 ) 6= (0, ϑY∗ ) such that the Lagrangian L :
Ω × Y∗ → IR defined by L(x, y∗ ) = r0 f (x) + hh y∗ , H(x) ii, ∀(x, y∗ ) ∈ Ω × Y∗ ,
is stationary at (x0 , y∗0 ), that is L(1) (x0 , y∗0 ) = ϑB(X×Y∗ ,IR) .
Proof We will distinguish

two exhaustive and mutually exclusive
cases: Case 1: R H (1) (x0 ) = Y; Case 2: R H (1) (x0 ) ⊂ Y.

Case 1: R H (1) (x0 ) = Y. Take r0 = 1. Clearly, x0 is a regular point
of H. The result follows from Proposition 10.21.
Case 2: R H (1) (x0 ) ⊂ Y. Take r0 = 0. Clearly, x0 is not a regu-

lar point of H. Then, ∃y0 ∈ Y \ R H (1) (x0 ) . Let M = R H (1) (x0 ) ,
which is a closed subspace of Y by the assumption. Then, by Proposi-
tion 4.10, δ := inf m∈M k y0 − m k > 0. By Proposition 7.97, we have
δ = maxy∗ ∈M ⊥ , ky∗k≤1 hh y∗ , y0 ii, where the maximum is achieved at y∗0 ∈
∗
M ⊥ . Then, y∗0 6= ϑY∗ and, by Proposition 7.112, y∗0 ∈ N H (1) (x0 ) .
∗
The Lagrangian L is given by L(x, y∗ ) = hh y∗ , H(x) ii, ∀(x, y∗ ) ∈ Ω × Y .
By Propositions 9.34, 9.41, 9.37, 9.44, and 9.45, L is C1 at (x0 , y∗0 ) and,
∀(u, v∗ ) ∈ X × Y∗ ,

L(1) (x0 , y∗0 )(u, v∗ ) = hh v∗ , H(x0 ) ii + y∗0 , H (1) (x0 )u
DD ∗ EE
= H (1) (x0 ) y∗0 , u = hh ϑX∗ , u ii = 0
where the second equality follows from that fact that x0 ∈ Ωc . Hence,
L(1) (x0 , y∗0 ) = ϑB(X×Y∗ ,IR) . This case is proved.
Proposition 10.23 Let X and Y be real Banach spaces, Ω ⊆ X, f : Ω → IR

be C2 at x0 ∈ Ω◦ , H : Ω → Y be C2 at x0 . Consider the optimization problem
(10.2). Assume that

(i) H(x0 ) = ϑY and R H (1) (x0 ) ⊆ Y is closed;
(ii) the Lagrangian L : Ω × Y∗ → IR defined by L(x, y∗ ) = f (x) +
hh y∗ , H(x) ii, ∀(x, y∗ ) ∈ Ω × Y∗ , is stationary at (x0 , y∗0 ), where
y∗0 ∈ Y∗ is a Lagrange multiplier;
2
(iii) ∂∂xL2 (x0 , y∗0 ) is positive definite on the subspace M := N H (1) (x0 ) ,
2 2
that is, ∃m ∈ (0, ∞) ⊂ IR such that ∂∂xL2 (x0 , y∗0 )(h)(h) ≥ m k h k ,

∀h ∈ N H (1) (x0 ) .
Then, x0 is a point of relative strict minimum for f on the set Ωc := { x ∈
Ω | H(x) = ϑY }.
Proof By Propositions 9.34, 9.37, 9.38, 9.41, 9.44, and 9.45, L is C2

at (x0 , y∗0 ). By Proposition 9.9 and (ii),
h i
L(1) (x0 , y∗0 ) = ∂L
∂x (x0 , y∗0 )
∂L
∂y∗ (x0 , y∗0 ) = ϑB(X×Y∗ ,IR)
2
Then, ∃δ0 ∈ (0, ∞) ⊂ IR such that f (2) (x), H (2) (x), and ∂∂xL2 (x, y∗ ) exists,
∀x ∈ BX ( x0 , δ0 ) ⊆ Ω and ∀y∗ ∈ BY∗ ( y∗0 , δ0 ), and, by Proposition 9.46,
∂2L
2 at (x0 , y∗0 ). 2Then, ∃δ1 ∈
∂x2 is continuous (0, δ0 ] ⊂ IR and ∃c1 ∈ [0, ∞) ⊂
(2)
∂ L
IR such that ∂x2 (x, y∗0 ) − ∂x2 (x0 , y∗0 ) < m/5 and H (x) ≤ c1 ,
∂ L
∀x∈ D1 := BX (x0 , δ1 ). By Propositions 7.114 and 7.98 and (i), M ⊥ =
∗
R H (1) (x0 ) is closed. Then, by Proposition 7.113, ∃c2 ∈ [0, ∞) ⊂ IR
∗
such that, ∀x∗ ∈ R H (1) (x0 ) , there exists y∗ ∈ Y∗ such that x∗ =
∗
H (1) (x0 ) y∗ and k y∗ k ≤ c2 k x∗ k.
Claim 10.23.1 ∀x ∈ Ωc ∩ D1 , ∃h0 ∈ M such that k x − x0 − h0 k ≤

2 2 2
c1 c2 k x−x0 k , k x−x0 k−c1 c2 k x−x0 k ≤ k h0 k ≤ k x−x0 k+c1 c2 k x−x0 k .
Proof of claim: Fix any x ∈ Ωc ∩ D1 . Then, H(x)

= H(x0 ) = ϑY . By
Taylor’s Theorem 9.48, ∃t0 ∈ (0, 1) ⊂ IR such that H (1) (x0 )(x − x0 ) =

H(x)−H(x0 )−H (1) (x0 )(x−x0 ) ≤ 1 H (2) (t0 x+(1−t0 )x0 ) k x−x0 k2 ≤
2
2
c1 k x − x0 k /2. By Proposition 7.97, we have inf h∈M k x − x0 − h k =
maxx∗ ∈M ⊥ , kx∗k≤1 hh x∗ , x − x0 ii, where the maximum is achieved at x∗1 ∈
∗
M ⊥ = R H (1) (x0 ) with k x∗1 k ≤ 1. Then, ∃y∗1 ∈ Y∗ such that
10.3. OPTIMIZATION WITH EQUALITY CONSTRAINTS 321
∗
x∗1 = H (1) (x0 ) y∗1 and k y∗1 k ≤ c2 . By Proposition 7.68, M is closed.
Then, ∃h0 ∈ M such
that k x − x0 − h0 k ≤ 2 inf h∈M k x − x0 − h k =

2 hh x∗1 , x − x0 ii = 2 y∗1 , H (1) (x0 )(x − x0 ) ≤ 2 k y∗1 k H (1) (x0 )(x −
2
x0 ) ≤ c1 c2 k x − x0 k .
Then, k h0 k ≥ k x − x0 k − k x − x0 − h0 k ≥ k x − x0 k − c1 c2 k x − x0 k2 ;
2
and k h0 k ≤ k x − x0 k + k x − x0 − h0 k ≤ k x − x0 k + c1 c2 k x − x0 k . This
∂2L
Let c3 = ∂x2 (x0 , y∗0 ) . Let δ ∈ (0, δ1 ] ⊂ IR such that c1 c2 δ ≤ 1/4,
c21 c22 (c3 + m/5)δ 2 ≤ m/5, and 5c1 c2 (c3 + m/5)δ/2 ≤ m/5. ∀x ∈ Ωc ∩
BX ( x0 , δ ), by Claim 10.23.1, ∃h0 ∈ M such that k x − x0 − h0 k ≤ c1 c2 k x −
2
x0 k ≤ k x − x0 k /4, 3 k x − x0 k /4 ≤ k h0 k ≤ 5 k x − x0 k /4. By Taylor’s
Theorem 9.48, ∃t1 ∈ (0, 1) ⊂ IR such that
∂L
f (x) − f (x0 ) = L(x, y∗0 ) − L(x0 , y∗0 ) − (x0 , y∗0 )(x − x0 )
∂x
1 ∂2L
= (t1 x + (1 − t1 )x0 , y∗0 )(x − x0 )(x − x0 )
2 ∂x2 | {z }
x̄
1 ∂2L ∂2L
= 2
(x̄, y∗0 )(h0 )(h0 ) + (x̄, y∗0 )(x − x0 − h0 )(h0 ) +
2 ∂x ∂x2
∂2L
(x̄, y∗0 )(h0 )(x − x0 − h0 ) +
∂x2
2
∂ L
2
(x̄, y∗0 )(x − x0 − h0 )(x − x0 − h0 )
∂x
1 ∂2L ∂2L ∂2L
≥ 2
(x0 , y∗0 )(h0 )(h0 ) + ( 2 (x̄, y∗0 ) − (x0 , y∗0 ))(h0 )(h0 ) −
2 ∂x ∂x ∂x2
∂2L
2
2 (x̄, y∗0 ) (2 k x − x0 − h0 k k h0 k + k x − x0 − h0 k )
∂x
1 ∂2L ∂2L
2 2
≥ m k h0 k − m k h0 k /5 − 2 (x̄, y∗0 ) − (x , y
0 ∗0 +)
2 ∂x ∂x2
∂2L
2
2 (x0 , y∗0 ) (2 k x − x0 − h0 k k h0 k + k x − x0 − h0 k )
∂x
1 4m 2 5 3 4

≥ k h0 k − (c3 + m/5) ( c1 c2 k x − x0 k + c21 c22 k x − x0 k )
2 5 2
1 4m 9 m m m
≥ − − k x − x0 k2 = k x − x0 k2
2 5 16 5 5 40
Hence, x0 is a point of relative strict minimum for f on the set Ωc . This
Proposition 10.24 Let X and Y be real Banach spaces, Ω ⊆ X, f : Ω → IR
be C2 at x0 ∈ Ω◦ , H : Ω → Y be C2 at x0 . Consider the optimization problem
(10.2). Assume that x0 is a regular point of H and is a point of relative
minimum for f on the set Ωc := { x ∈ Ω | H(x) = ϑY }. Then, there exists
a Lagrange multiplier y∗0 ∈ Y∗ such that
(i) the Lagrangian L : Ω × Y∗ → IR defined by L(x, y∗ ) = f (x) +

hh y∗ , H(x) ii, ∀(x, y∗ ) ∈ Ω × Y∗ , is stationary at (x0 , y∗0 );
∂2L

(ii) is positive semi-definite on the subspace N H (1) (x0 ) =:
∂x2 (x0 , y∗0 )
2
M , that is, ∂∂xL2 (x0 , y∗0 )(h)(h) ≥ 0, ∀h ∈ N H (1) (x0 ) .
Proof Under the assumption of the proposition, by Proposition 10.21,

there exists a Lagrange multipler y∗0 ∈ Y∗ such that (i) holds. We will show
that (ii) also holds by an argument of contradiction. Suppose (ii) does not
2
hold. Then, ∃h0 ∈ M with k h0 k = 1 such that ∂∂xL2 (x0 , y∗0 )(h0 )(h0 ) <
−m < 0 for some m ∈ (0, ∞) ⊂ IR. By Surjective Mapping Theorem 9.53,
∃r1 ∈ (0, ∞) ⊂ IR, ∃δ1 ∈ (0, ∞) ⊂ IR, and ∃c1 ∈ [0, ∞) ⊂ IR with c1 δ1 ≤ r1
such that ∀ȳ ∈ BY ( ϑY , δ1 /2 ), ∀x̄ ∈ BX ( x0 , r1 /2 ) with ȳ = H(x̄), ∀y ∈
BY ( ȳ, δ1 /2 ), ∃x ∈ BX ( x0 , r1 ) ⊆ Ω with k x − x̄ k ≤ c1 k y − ȳ k, we have
y = H(x). By Propositions 9.34, 9.37, 9.38, 9.41, 9.44, and 9.45, L is C2 at
(x0 , y∗0 ). By Proposition 9.9 and (i),
h i
L(1) (x0 , y∗0 ) = ∂L
∂x (x0 , y ∗0 ) ∂L
∂y∗ (x0 , y ∗0 ) = ϑB(X×Y∗ ,IR)
2
By Proposition 9.46, ∃r2 ∈ (0, r1 ] ⊂ IR such that ∂∂xL2 (x, y∗0 ) exists and

∂2L 2
∂x2 (x, y∗0 ) − ∂∂xL2 (x0 , y∗0 ) < m/5, ∀x ∈ BX ( x0 , r2 ). Since H is C2 at x0 ,

then ∃c2 ∈ [0, ∞) ⊂ IR and ∃r3 ∈ (0, r2 ] ⊂ IR such that H (2) (x) ≤ c2 ,
2
∀x ∈ BX ( x0 , r3 ). Let c3 := ∂∂xL2 (x0 , y∗0 ) .
∀δ ∈ (0, r3 /2) ⊂ IR such that c2 δ 2 < δ1 , c1 c2 δ/2 ≤ 1/4, c21 c22 (c3 +
m/5)δ 2 /4 ≤ m/5, and c1 c2 (c3 + m/5)δ ≤ m/5. By Taylor’s Theorem 9.48,
∃t0 ∈ (0, 1) ⊂ IR such that

k H(x0 + δh0 ) k = H(x0 + δh0 ) − H(x0 ) − δH (1) (x0 )h0
1
H (2) (x0 + t0 δh0 ) δ 2 ≤ c2 δ 2 /2 < δ1 /2
≤
2
Let ȳδ := H(x0 + δh0 ) ∈ BY ( ϑY , δ1 /2 ) and x̄δ := x0 + δh0 ∈ BX ( x0 , r1 /2 ).
Note that ȳδ = H(x̄δ ) and ϑY ∈ BY ( ȳδ , δ1 /2 ). Then, ∃xδ ∈ BX ( x0 , r1 )
with k xδ − x̄δ k ≤ c1 k ȳδ k ≤ c1 c2 δ 2 /2 such that H(xδ ) = ϑY . Then,
we have k xδ − x0 k ≥ k δh0 k − k xδ − x̄δ k ≥ δ − c1 c2 δ 2 /2 ≥ 3δ/4; and
k xδ − x0 k ≤ k δh0 k + k xδ − x̄δ k ≤ δ + c1 c2 δ 2 /2 ≤ 5δ/4 < r3 . Hence,
xδ ∈ Ωc ∩ BX ( x0 , r3 ). By Taylor’s Theorem 9.48, ∃t1 ∈ (0, 1) ⊂ IR such
that
∂L
f (xδ ) − f (x0 ) = L(xδ , y∗0 ) − L(x0 , y∗0 ) − (x0 , y∗0 )(xδ − x0 )
∂x
1 ∂ 2L
= (t1 xδ + (1 − t1 )x0 , y∗0 )(xδ − x0 )(xδ − x0 )
2 ∂x2 | {z }
x̂
10.4. INEQUALITY CONSTRAINTS 323
1 ∂2L
= (x̂, y∗0 )(x̄δ − x0 )(x̄δ − x0 ) +
2 ∂x2
∂2L ∂2L
(x̂, y ∗0 )(x δ − x̄δ )(x̄δ − x0 ) + (x̂, y∗0 )(x̄δ − x0 )(xδ − x̄δ ) +
∂x2 ∂x2
2
∂ L
2
(x̂, y∗0 )(xδ − x̄δ )(xδ − x̄δ )
∂x
1 2 ∂2L ∂2L
≤ δ 2
(x0 , y∗0 )(h0 )(h0 ) + δ 2 ( 2 (x̂, y∗0 ) −
2 ∂x ∂x
∂2L ∂2L

(x 0 , y ∗0 ))(h 0 )(h 0 ) + (x̂, y ∗0 ) (2 k xδ − x̄δ k δ k h0 k +
∂x2 ∂x2
2
k xδ − x̄δ k )
1 ∂2L ∂2L

< − mδ 2 + mδ 2 /5 + 2 (x̂, y∗0 ) − (x 0 , y ∗0 ) +
2 ∂x ∂x2
∂2L

2 (x0 , y∗0 ) (c1 c2 δ 3 + c21 c22 δ 4 /4)
∂x
1 4m 2
≤ − δ + (c3 + m/5) (c1 c2 δ 3 + c21 c22 δ 4 /4)
2 5
1 4m 2 m 2 m 2 m
≤ − δ + δ + δ = − δ2 < 0
2 5 5 5 5
Thus, limδ→0+ xδ = x0 , xδ ∈ Ωc , and f (xδ ) < f (x0 ), for sufficiently small
δ. Then, x0 is not a point of relative minimum for f on the set Ωc . This
contradicts with the assumption. Hence, (ii) must hold. This completes
10.4 Inequality Constraints

µ0 := inf f (x) (10.3)

subject to x∈Ω
⋖
G(x) = ϑZ
where X is a real normed linear spaces, Ω ⊆ X is a set, f : Ω → IR is a

functional, Z is a real normed linear space with a positive cone P ⊆ Z, and
G : Ω → Z is a function.
Theorem 10.25 (Generalized Kuhn-Tucker Theorem) Let X be a

real Banach space, Ω ⊆ X, x0 ∈ Ω◦ , Z be a real Banach space with a posi-
tive cone P ⊆ Z, and f : Ω → IR and G : Ω → Z be C1 at x0 . Consider the
optimization problem (10.3). Assume that x0 is a regular
n point
of G and ois
⋖
a point of relative minimum for f on the set Ωc := x ∈ Ω G(x) = ϑZ .
⋗
Then, there exists a Lagrange multiplier z∗0 ∈ Z∗ with z∗0 = ϑZ∗ such that
the Lagrangian L : Ω → IR defined by L(x) = f (x) + hh z∗0 , G(x) ii, ∀x ∈ Ω,

is stationary at x0 and hh z∗0 , G(x0 ) ii = 0.
Proof Consider the small variation equivalent problem of (10.3) at

x0 :
µ̄0 := inf f (1) (x0 )u (10.4)
subject to u∈X
⋖
G(x0 ) + G(1) (x0 )u = ϑZ
This problem is convex, and belongs to the class of problems studied in
Section 8.8. The primal function for (10.4) is ω : Γ̄ → IRe , where
n o
⋖
Γ̄ := z̄ ∈ Z ∃u ∈ X ∋· G(x0 ) + G(1) (x0 )u = z̄ (10.5a)
ω(z̄) = inf f (1) (x0 )u; ∀z̄ ∈ Γ̄ (10.5b)
⋖
u∈X, G(x0 )+G(1) (x 0 )u=z̄
Since G(1) (x0 ) ∈ B ( X, Z ) is surjective, then Γ̄ = Z. Note that µ̄0 = ω(ϑZ ).

⋖
Since x0 ∈ Ωc , then z0 := G(x0 ) = ϑZ . Hence, µ̄0 ≤ 0.
Claim 10.25.1 µ̄0 = 0.
Proof of claim: We will prove this using an argument of contra-

diction. Suppose µ̄0 < 0. Then, ∃u0 ∈ X with k u0 k > 0 such that
⋖
f (1) (x0 )u0 = −m k u0 k < 0 and G(x0 ) + G(1) (x0 )u0 = ϑZ . By Surjec-
tive Mapping Theorem 9.53, ∃r1 ∈ (0, ∞) ⊂ IR, ∃δ1 ∈ (0, ∞) ⊂ IR,
and ∃c1 ∈ [0, ∞) ⊂ IR with c1 δ1 ≤ r1 such that ∀z̄ ∈ BZ ( z0 , δ1 /2 ),
∀x̄ ∈ BX ( x0 , r1 /2 ) with z̄ = G(x̄), ∀z ∈ BZ ( z̄, δ1 /2 ), ∃x ∈
BX ( x0 , r1 ) ⊆ Ω
with k x − x̄ k ≤ c1 k z − z̄ k, we have z = G(x). Let c2 := G(1) (x0 ) and
c3 := f (1) (x0 ) . By f and G being C1 at x0 , ∃r2 ∈ (0, r1 ] ⊂ IR such that
∀x ∈ BX ( x0 , r2 ), f (1) (x) − f (1) (x0 ) < m/3 and G(1) (x) − G(1) (x0 ) <
m
3 (1+c1 +c1 (c3 +m/3)) .
∀δ ∈ (0, 1) ⊂ IR such that δ k u0 k < r2 /2, (c2 + m/3)δ k u0 k < δ1 /2,
and δm k u 0 k /3 < r2 /2. By Mean Value Theorem 9.23, ∃t0 ∈ (0, 1) ⊂ IR
such that G(x 0 + δu0 ) − G(x0 ) − δG(1) (x0 )u0 ≤ (G(1) (x0 + t0 δu0 ) −
G(1) (x0 )) (δu0 ) < 3 (1+c1 +c1m(c3 +m/3)) δ k u0 k < δ1 /2. Let x̄δ := x0 +
δu0 ∈ BX ( x0 , r2 /2 ), z̄δ := G(x̄δ ), and zδ := G(x0 ) + δG(1) (x0 )u0 ∈
B
δ , δ1 /2 ). Note that k z̄δ −z0 k ≤ G(x0 +δu0 )−G(x0 )−δG
(1)
(x0 )u0 +
Z ( z̄(1)
δG (x0 )u0 < c2 δ k u0 k + m
3 (1+c1 +c1 (c3 +m/3)) δ k u0 k < δ1 /2 and z̄δ ∈
BZ ( z0 , δ1 /2 ). Then, ∃xδ ∈ BX ( x0 , r1 ) with k xδ − x̄δ k ≤ c1 k zδ − z̄δ k ≤
c1 m
3 (1+c1 +c1 (c3 +m/3)) δ k u0 k < r2 /2 such that zδ = G(xδ ). Note that G(xδ ) =
⋖
zδ = (1 − δ)G(x0 ) + δ(G(x0 ) + G(1) (x0 )u0 ) = ϑZ . Then, xδ ∈ Ωc . Note also
that xδ ∈ BX ( x0 , r2 ). By Mean Value Theorem 9.20, ∃t1 , t2 ∈ (0, 1) ⊂ IR
such that
f (xδ ) − f (x0 ) = f (xδ ) − f (x̄δ ) + f (x̄δ ) − f (x0 )

= f (1) (t1 xδ + (1 − t1 )x̄δ ) (xδ − x̄δ ) + δf (1) (x0 + t2 δu0 )u0

≤ ( f (1) (x0 ) + f (1) (t1 xδ + (1 − t1 )x̄δ ) − f (1) (x0 ) ) k xδ − x̄δ k

+δf (1) (x0 )u0 + δ f (1) (x0 + t2 δu0 ) − f (1) (x0 ) k u0 k
c1 m
≤ −mδ k u0 k + (c3 + m/3) δ k u0 k +
3 (1 + c1 + c1 (c3 + m/3))
mδ k u0 k /3 < −mδ k u0 k /3 < 0
Note that k xδ − x0 k ≤ k xδ − x̄δ k + δ k u0 k < (1 + m/3)δ k u0 k. Then,

we have shown that f (xδ ) < f (x0 ), xδ ∈ Ωc , and limδ→0+ xδ = x0 . This
contradicts with the assumption that x0 is a point of relative minimum for
f on Ωc . Hence, µ̄0 = 0.
Then, ω(ϑZ ) = 0. By Fact 8.52, ω : Z → IR is real-valued and convex.
Next, we will show that ω is continuous at ϑZ by Proposition 8.22.
By Proposition 7.113, ∃c4 ∈ [0, ∞) ⊂ IR, ∀z̄ ∈ Z, ∃ū ∈ X such that
⋖
z̄ = G(1) (x0 )ū and k ū k ≤ c4 k z̄ k. Then, G(x
0 )+G
(1)
(x0 )ū = G(x0 )+ z̄ = z̄
and f (1) (x0 )ū ≤ f (1) (x0 ) k ū k ≤ c4 f (1) (x0 ) k z̄ k. This implies
that ∀z̄ ∈ BZ ( ϑZ , 1/2 ), ω(z̄) ≤ c4 f (1) (x0 ) /2 =: r0 − 1/2. Then,
◦
BIR×Z ( ( r0 , ϑZ ) , 1/2 ) ⊆ [ ω, Z ]. Hence, (r0 , ϑZ ) ∈ ω, Γ̄ . By Proposi-
tion 8.22, ω is continuous at ϑZ . By Proposition 8.23, ω is continuous.
By Proposition 8.34, we have
0 = µ̄0 = ω(ϑZ ) = max (−ω conj(z∗ ))

z∗ ∈Γ̄conj
where Γ̄conj and ω conj : Γ̄conj → IR are the conjugate set and conju-
gate functional of ω. By Fact 8.53, Γ̄conj ⊆ P ⊖ . Let the maximum
⋗
be achieved at −z∗0 ∈ Γ̄conj, where z∗0 = ϑZ∗ . Define ω̄ : P ⊖ → IRe
by ω̄(z∗ ) = supz∈Γ̄ (hh z∗ , z ii − ω(z)), ∀z∗ ∈ P ⊖ . By Fact 8.54, we have
maxz∗ ∈Γ̄conj (−ω conj(z∗ )) = maxz∗ ∈P ⊖ (−ω̄(z∗ )), where both maximums are
achieved at −z∗0 , and ∀z∗ ∈ P ⊕ ,

−ω̄(−z∗ ) = inf (f (1) (x0 )u + z∗ , G(x0 ) + G(1) (x0 )u )
u∈X
Then, we have

0 = µ̄0 = max inf (f (1) (x0 )u + z∗ , G(x0 ) + G(1) (x0 )u )
⋗
z∗ =ϑZ∗ u∈X
where the This implies that hh z∗0 , G(x0 ) ii +

DD maximum is achieved∗at z∗0 .EE
(1) (1)
inf u∈X f (x0 ) + G (x0 ) z∗0 , u = 0 by Proposition 8.37. For
∗
the infimum to be finite, we must have f (1) (x0 ) + G(1) (x0 ) z∗0 = ϑX∗ .
Hence, the Lagrangian L is stationary at x0 . Then, 0 = hh z∗0 , G(x0 ) ii.
Proposition 10.26 Let X be a real Banach space, Y be a real Banach space

with a positive cone P ⊆ Y, and A ∈ B ( X, Y ) be surjective. Then,
(Ainv(P ))⊕ = A∗ (P ⊕ )
Proof ∀x∗ ∈ A∗ (P ⊕ ), ∃y∗ ∈ P ⊕ such that x∗ = A∗ y∗ . ∀x ∈ Ainv(P ),

we have Ax ∈ P . Then, hh x∗ , x ii = hh A∗ y∗ , x ii = hh y∗ , Ax ii ≥ 0. By the
arbitrariness of x, x∗ ∈ (Ainv(P ))⊕ . By the arbitrariness of x∗ , we have
A∗ (P ⊕ ) ⊆ (Ainv(P ))⊕ .
On the other hand, fix any x∗ ∈ (Ainv(P ))⊕ . ∀x ∈ N ( A ), x ∈ Ainv(P ),
since ϑY ∈ P . Then, hh x∗ , x ii ≥ 0. Since −x ∈ N ( A ) as well,
then hh x∗ , x ii = 0. Hence, x∗ ∈ (N ( A ))⊥ . By Proposition 7.114,
(N ( A ))⊥ = R ( A∗ ). Then, ∃y∗ ∈ Y∗ such that x∗ = A∗ y∗ . ∀y ∈ P ,
since A is surjective, then ∃x ∈ Ainv(P ) such that y = Ax. Then, we have
hh y∗ , y ii = hh y∗ , Ax ii = hh A∗ y∗ , x ii = hh x∗ , x ii ≥ 0. By the arbitrariness
of y, we have y∗ ∈ P ⊕ . Then, x∗ ∈ A∗ (P ⊕ ). By the arbitrariness of x∗ , we
have (Ainv(P ))⊕ ⊆ A∗ (P ⊕ ).
Therefore, we have A∗ (P ⊕ ) = (Ainv(P ))⊕ . This completes the proof of
the proposition. 2
Next, we present the second-order sufficient condition for a relative strict
minimum point in the optimization problem (10.3) with inequality con-
straints.
Proposition 10.27 Let X be a real Banach space, Ω ⊆ X, x0 ∈ Ω◦ , Z

be a real Banach space with a positive cone P ⊆ Z, and f : Ω → IR and
G : Ω → Z be C2 at x0 . Consider the optimization problem (10.3). Assume
that
⋖
(i) G(x0 ) = ϑZ and x0 is regular point of G;
(ii) z∗0 ∈ P ⊕ is the Lagrange multiplier, the Lagrangian L : Ω → IR
defined by L(x) = f (x) + hh z∗0 , G(x) ii, ∀x ∈ Ω, is stationary at x0 ;
(iii) hh z∗0 , G(x0 ) ii = 0;
∃m ∈ (0, ∞)
(iv) n (2)
⊂ IR such that L (x0 )(u)(u)
o ≥ m k u k2 , ∀u ∈ Mc :=
⋖
u ∈ X G(x0 ) + G(1) (x0 )u = ϑZ , that is, L(2) (x0 ) is positive
definite on the set Mc .
n
Then, x0 is a point of relative strict minimum of f on the set Ωc := x ∈
o
⋖
X G(x) = ϑZ .
Proof By Propositions 9.34, 9.37, 9.40, 9.41, 9.44, and 9.45, L is

C2 at x0 . By (ii), L(1) (x0 ) = ϑB(X,IR) = ϑX∗ . Then, ∃δ0 ∈ (0, ∞) ⊂ IR
such that f (2) (x), G(2) (x), and L(2) (x) exist, ∀x ∈ BX ( x0 , δ0 ) ⊆ Ω and
L(2) is continuous at x0 . Then, ∃δ1 ∈ (0, δ0 ] ⊂ IR and ∃c1 ∈ [0, ∞) ⊂ IR

such that L(2) (x) − L(2) (x0 ) < m/5 and G(2) (x) ≤ c1 , ∀x ∈ D1 :=

BX( x0 , δ1 ). By Propositions 7.114 and 7.98 and (i), (N G(1) (x0 ) )⊥ =
∗
R G(1) (x0 ) is closed. Then, by Proposition 7.113, ∃c2 ∈ [0, ∞) ⊂ IR
∗
such that, ∀x∗ ∈ R G(1) (x0 ) , there exists z∗ ∈ Z∗ such that x∗ =
∗
G(1) (x0 ) z∗ and k z∗ k ≤ c2 k x∗ k.
Claim 10.27.1 ∀x ∈ Ωc ∩ D1 , ∃h0 ∈ Mc such that k x − x0 − h0 k ≤

2 2
c1 c2 k x − x0 k and k x − x0 k − c1 c2 k x − x0 k ≤ k h0 k ≤ k x − x0 k +
2
c1 c2 k x − x0 k .
⋖
Proof of claim: Fix any x ∈ Ωc ∩D1 . Then, G(x) = ϑZ . It is easy to see
that Mc ∋ ϑX is a nonempty closed convex set. Then, by Proposition 8.15,
we have 0 ≤ δ̄ := inf h∈Mc k x − x0 − h k = maxx∗ ∈Mc supp, kx∗k≤1 (hh x∗ , x −
x0 ii − g(x∗ )) ≥ 0, where g : Mcsupp → IR is the support functional of
Mc , Mcsupp := { x∗ ∈ X∗ | supu∈Mc hh x∗ , u ii < +∞ }, and g(x∗ ) =
supu∈Mc hh x∗ , u ii, ∀x∗ ∈ Mcsupp.
We will show that Mcsupp ⊆ ((G(1) (x0 ))inv(P ))⊕ . Fix any x∗ ∈ Mcsupp.
⋗
∀u ∈ (G(1) (x0 ))inv(P ), we have G(1) (x0 )u = ϑZ . ∀α ∈ [0, ∞) ⊂ IR, it is easy
to show that −αu ∈ Mc . Suppose hh x∗ , u ii < 0. Then, supū∈Mc hh x∗ , ū ii ≥
supα∈[0,∞)⊂IR hh x∗ , −αu ii = +∞. This implies that x∗ 6∈ Mcsupp, which is
a contradiction. Hence, we must have hh x∗ , u ii ≥ 0. By the arbitrariness
of u, we have x∗ ∈ ((G(1) (x0 ))inv(P ))⊕ . By the arbitrariness of x∗ , we have
Mcsupp ⊆ ((G(1) (x0 ))inv(P ))⊕ .
Then, δ̄ = hh x∗0 , x − x0 ii − g(x∗0 ) for some x∗0 ∈ Mcsupp ⊆
((G(1) (x0 ))inv(P ))⊕ with k x∗0 k ≤ 1. By (i) and Proposition 10.26, we
have x∗0 ∈ (G(1) (x0 ))∗ (P ⊕ ) ⊆ R (G(1) (x0 ))∗ . Then, ∃z∗1 ∈ Z∗ such that
x∗0 = (G(1) (x0 ))∗ z∗1 and k z∗1 k ≤ c2 k x∗0 k ≤ c2 . This further implies that

δ̄ = z∗1 , G(1) (x0 )(x − x0 ) − sup z∗1 , G(1) (x0 )u
u∈Mc

(1)

= z∗1 , −G(x) + G(x0 ) + G (x0 )(x − x0 ) −

sup z∗1 , −G(x) + G(x0 ) + G(1) (x0 )u
u∈Mc
where the second

equality follows from Proposition 8.37. By (i), we have
R G(1) (x0 ) = Z and ∃u1 ∈ X such that G(1) (x0 )u1 = G(x) − G(x0 ).
⋖
It is
easy to see that u1 ∈ Mc since x ∈ Ω c and G(x) = ϑZ . Then,

δ̄ ≤ z∗1 , −G(x) + G(x0 ) + G(1) (x0 )(x − x0 ) .
By Taylor’s Theorem 9.48, ∃t0 ∈ (0, 1) ⊂ IR such that G(x) − G(x0 ) −

G(1) (x0 )(x−x0 ) ≤ 12 G(2) k x−x0 k2 ≤ c1 k x−x0 k2 /2.
(t0 x+(1−t0)x0 ) (1)
Then, we have δ̄ ≤ k z∗1 k G(x) − G(x0 ) − G (x0 )(x − x0 ) ≤ c1 c2 k x −
2
x0 k /2. Since Mc is closed, then ∃h0 ∈ Mc such that k x − x0 − h0 k ≤
2
2δ̄ ≤ c1 c2 k x − x0 k .
2
Then, k h0 k ≥ k x − x0 k − k x − x0 − h0 k ≥ k x − x0 k − c1 c2 k x − x0 k ;
and k h0 k ≤ k x − x0 k + k x − x0 − h0 k ≤ k x − x0 k + c1 c2 k x − x0 k2 . This
Let c3 = L(2) (x0 ) . Let δ ∈ (0, δ1 ] ⊂ IR such that c1 c2 δ ≤ 1/4,
c21 c22 (c3 + m/5)δ 2 ≤ m/5, and 5c1 c2 (c3 + m/5)δ/2 ≤ m/5. ∀x ∈ Ωc ∩
BX ( x0 , δ ), by Claim 10.27.1, ∃h0 ∈ Mc such that k x−x0 −h0 k ≤ c1 c2 k x−
2
x0 k ≤ k x − x0 k /4 and 3 k x − x0 k /4 ≤ k h0 k ≤ 5 k x − x0 k /4. By Taylor’s
Theorem 9.48, ∃t1 ∈ (0, 1) ⊂ IR such that
f (x) − f (x0 ) ≥ L(x) − L(x0 ) − L(1) (x0 )(x − x0 )

1 (2)
= L (t1 x + (1 − t1 )x0 )(x − x0 )(x − x0 )
2 | {z }
x̄
1
= L(2) (x̄)(h0 )(h0 ) + L(2) (x̄)(x − x0 − h0 )(h0 ) +
2

L(2) (x̄)(h0 )(x − x0 − h0 ) + L(2) (x̄)(x − x0 − h0 )(x − x0 − h0 )
1
≥ L(2) (x0 )(h0 )(h0 ) + (L(2) (x̄) − L(2) (x0 ))(h0 )(h0 ) −
2
(2)
L (x̄) (2 k x − x0 − h0 k k h0 k + k x − x0 − h0 k2 )
1
≥ m k h0 k2 − m k h0 k2 /5 − L(2) (x̄) − L(2) (x0 ) + L(2) (x0 )
2
2
·(2 k x − x0 − h0 k k h0 k + k x − x0 − h0 k )
1 4m 2 5 3 4

≥ k h0 k − (c3 + m/5) ( c1 c2 k x − x0 k + c21 c22 k x − x0 k )
2 5 2
1 4m 9 m m 2 m 2
≥ − − k x − x0 k = k x − x0 k
2 5 16 5 5 40
Hence, x0 is a point of relative strict minimum for f on the set Ωc . This
Proposition 10.28 Let X be a real Banach space, Ω ⊆ X, x0 ∈ Ω◦ , Z

be a real Banach space with a positive cone P ⊆ Z, and f : Ω → IR and
G : Ω → Z be C2 at x0 . Consider the optimization problem (10.3). Assume
that x0 is n
a regular point of G and
o a point of relative minimum for f on the
⋖
set Ωc := x ∈ X G(x) = ϑZ . Then, there exists a Lagrange multiplier
z∗0 ∈ P ⊕ such that
(i) the Lagrangian L : Ω → IR defined by L(x) = f (x) + hh z∗0 , G(x) ii,
∀x ∈ Ω, is stationary at x0 and hh z∗0 , G(x0 ) ii = 0;

(ii) L(2) (x0 ) is positive semi-definite on the subspace N G(1) (x0 ) =: M ,

that is, G(2) (x0 )(h)(h) ≥ 0, ∀h ∈ N G(1) (x0 ) .
Proof By the Generalized Kuhn-Tucker Theorem 10.25, there exists

⋗
a Lagrange multiplier z∗0 ∈ Z∗ with z∗0 = ϑZ∗ such that (i) holds. We
will show that (ii) also holds by an argument of contradiction. Suppose (ii)
does not hold. Then, ∃h0 ∈ M with k h0 k = 1 such that L(2) (x0 )(h0 )(h0 ) <
−m < 0 for some m ∈ (0, ∞) ⊂ IR. Let z0 := G(x0 ) ∈ Z. By Surjective
Mapping Theorem 9.53, ∃r1 ∈ (0, ∞) ⊂ IR, ∃δ1 ∈ (0, ∞) ⊂ IR, and ∃c1 ∈
[0, ∞) ⊂ IR with c1 δ1 ≤ r1 such that ∀z̄ ∈ BZ ( z0 , δ1 /2 ), ∀x̄ ∈ BX ( x0 , r1 /2 )
with z̄ = G(x̄), ∀z ∈ BZ ( z̄, δ1 /2 ), ∃x ∈ BX ( x0 , r1 ) ⊆ Ω with k x − x̄ k ≤
c1 k z − z̄ k, we have z = G(x). By Propositions 9.34, 9.37, 9.40, 9.41,
9.44, and 9.45, L is C2 at x0 . By (i), L(1) (x0 ) = ϑB(X,IR) = ϑX∗ . Then,

∃r2 ∈ (0, r1 ] ⊂ IR such that L(2) (x) exists and L(2) (x) − L(2) (x0 ) <
m/5, ∀x ∈ BX ( x0 , r2 ). Since G is C2 at x0 , then ∃c2 ∈ [0, ∞) ⊂ IR
and ∃r ∈ (0, r2 ] ⊂ IR such that G(2) (x) ≤ c2 , ∀x ∈ BX ( x0 , r3 ). Let
3 (2)
c3 := L (x0 ) .
∀δ ∈ (0, r3 /2) ⊂ IR such that c2 δ 2 < δ1 , c1 c2 δ/2 ≤ 1/4, c21 c22 (c3 +
m/5)δ 2 /4 ≤ m/5, and c1 c2 (c3 + m/5)δ ≤ m/5. By Taylor’s Theorem 9.48,
∃t0 ∈ (0, 1) ⊂ IR such that

k G(x0 + δh0 ) − z0 k = G(x0 + δh0 ) − G(x0 ) − δG(1) (x0 )h0
1
G(2) (x0 + t0 δh0 ) δ 2 ≤ c2 δ 2 /2 < δ1 /2
≤
2
Let z̄δ := G(x0 + δh0 ) ∈ BZ ( z0 , δ1 /2 ) and x̄δ := x0 + δh0 ∈ BX ( x0 , r1 /2 ).
Note that z̄δ = G(x̄δ ) and z0 ∈ BZ ( z̄δ , δ1 /2 ). Then, ∃xδ ∈ BX ( x0 , r1 )
with k xδ − x̄δ k ≤ c1 k z0 − z̄δ k ≤ c1 c2 δ 2 /2 such that G(xδ ) = z0 . Then,
we have k xδ − x0 k ≥ k δh0 k − k xδ − x̄δ k ≥ δ − c1 c2 δ 2 /2 ≥ 3δ/4; and
k xδ − x0 k ≤ k δh0 k + k xδ − x̄δ k ≤ δ + c1 c2 δ 2 /2 ≤ 5δ/4 < r3 . Hence,
xδ ∈ Ωc ∩ BX ( x0 , r3 ). By Taylor’s Theorem 9.48, ∃t1 ∈ (0, 1) ⊂ IR such
that
f (xδ ) − f (x0 ) = L(xδ ) − L(x0 ) − L(1) (x0 )(xδ − x0 ) − hh z∗0 , G(xδ ) ii +

hh z∗0 , G(x0 ) ii = L(xδ ) − L(x0 ) − L(1) (x0 )(xδ − x0 )
1 (2)
= L (t1 xδ + (1 − t1 )x0 )(xδ − x0 )(xδ − x0 )
2 | {z }
x̂
1
= L(2) (x̂)(x̄δ − x0 )(x̄δ − x0 ) + L(2) (x̂)(xδ − x̄δ )(x̄δ − x0 ) +
2

L(2) (x̂)(x̄δ − x0 )(xδ − x̄δ ) + L(2) (x̂)(xδ − x̄δ )(xδ − x̄δ )
1 2 (2)
≤ δ L (x0 )(h0 )(h0 ) + δ 2 (L(2) (x̂) − L(2) (x0 ))(h0 )(h0 ) +
2
(2)
L (x̂) (2 k xδ − x̄δ k δ k h0 k + k xδ − x̄δ k2 )
1
< − mδ 2 + mδ 2 /5 + L(2) (x̂) − L(2) (x0 ) + L(2) (x0 )
2
·(c1 c2 δ 3 + c21 c22 δ 4 /4)
1 4m 2
≤ − δ + (c3 + m/5) (c1 c2 δ 3 + c21 c22 δ 4 /4)
2 5
1 4m 2 m 2 m 2 m
≤ − δ + δ + δ = − δ2 < 0
2 5 5 5 5
Thus, limδ→0+ xδ = x0 , xδ ∈ Ωc , and f (xδ ) < f (x0 ), for sufficiently small
δ. Then, x0 is not a point of relative minimum for f on the set Ωc . This
contradicts with the assumption. Hence, (ii) must hold. This completes
Chapter 11
General Measure and

Integration
11.1 Measure Spaces

Definition 11.1 A measurable space ( X, B ) is a set X and a σ-algebra
B (of subsets of X) on X. A subset A ⊆ X is said to be B-measurable
if A ∈ B, or simply measurable when no confusion may arise from the
context.
Definition 11.2 Let ( X, B ) be a measurable space. A measure µ on

( X, B ) is a nonnegative extended real-valued function on B, i. e. a map-
ping µ : B → [0, ∞] ⊆ IRe , such that
(i) µ(∅) = 0;
∞
[ ∞
X ∞
(ii) µ ( Ei ) = µ ( Ei ), where the sequence ( Ei )i=1 ⊆ B are disjoint.
i=1 i=1
Then, the triple ( X, B, µ ) is called a measure space.
Fact 11.3 Sn Let ( X, B,

Pµn ) be a measure space. Then, µ is finitely
n
additive,
i. e., µ ( i=1 Ei ) = i=1 µ ( Ei ), where n ∈ Z+ and ( Ei )i=1 ⊆ B is pair-
wise disjoint.
∞
Proof Consider the sequence of measurable sets ( Ei )i=1 ⊆ B, with
∞
Ei = ∅, i = n+1,
Snn+2, . . .. Clearly,
S∞ the sets inP( Ei )i=1 are pairwise
Pn disjoint.
∞
Therefore, µ ( i=1 Ei ) = µ ( i=1 Ei ) = i=1 µ ( Ei ) = i=1 µ ( Ei ).
Proposition 11.4 Let ( X, B, µ ) be a measure space. ∀A, B ∈ B such that

A ⊆ B, then, µ(A) ≤ µ(B).
331
332 CHAPTER 11. GENERAL MEASURE AND INTEGRATION

Proof e ∈ B since B is a σ-algebra. Note that A ∩ B ∩
The set B ∩ A

e = ∅, then, µ(B) = µ A ∪ B ∩ A
A e = µ (A) + µ B ∩ A e ≥ µ(A),
by Fact 11.3. This completes the proof of the proposition. 2
Proposition 11.5 Let ( X, B, µ ) be a measure space. A sequence

∞
( En )n=1 ⊆ B is such thatT En ⊇ En+1 , n = 1, 2, . . .. If µ(E1 ) < +∞,
∞
then, limn∈IN µ ( En ) = µ ( n=1 En ).
T∞ e S∞ f
Proof SLet E = n=1 En ∈ B. Then, E = n=1 En ∈ B. Note that
E1 = E ∪
∞ ]
n=1 En ∩ En+1 . Clearly, the right-hand-side of the above
equality is a disjoint union of measurable sets. Therefore,
∞
X
µ ( E1 ) = µ(E) + ]
µ En ∩ En+1 (11.1)
n=1

On the other hand, note that En = En+1 ∪ En ∩ E ]n+1 , n = 1, 2, . . .,

which implies that µ ( En ) = µ(En+1 ) + µ En ∩ E ] n+1 , since the two
sets on the right-hand-side of the above equality are disjoint, and all three
numbers are finite by Proposition 11.4.
Then,Psubstituting the above equality into (11.1) yields µ ( E1 ) =
∞
µ(E) + n=1 ( µ ( En ) − µ ( En+1 ) ) = µ(E) + µ ( E1 ) − limn∈IN µ ( En ).
Since µ ( E1 ) < +∞, then µ ( E ) < +∞ by Proposition 11.4 and E ⊆ E1 .
Therefore, we have limn∈IN µ ( En ) = µ(E).
Proposition 11.6 Let S ( X, B, µ ) bePa measure space. A sequence

∞ ∞ ∞
( En )n=1 ⊆ B. Then, µ ( n=1 En ) ≤ n=1 µ ( En ).
S
n−1
Proof Let G1 = E1 , Gn = En \ i=1 Ei , n = 2, 3, . . .. Then,
∞
( GS
n )n=1 is a sequence
P∞ of disjoint and measurable
Sn subsets
Sn of X. Therefore,
∞
µ ( i=1 Gi S) = i=1 µS( Gi ). Note that, i=1 Gi = i=1 Ei , n = 1, 2, . . ..
Therefore, ∞ i=1 Gi =
∞
i=1 Ei . Thus,
∞
[ ∞
X
µ( Ei ) = µ ( Gi ) (11.2)
i=1 i=1
By Proposition 11.4, Gn ⊆ En implies that µ ( Gn ) ≤ µ ( En ), n = 1, 2, . . ..

S∞
Applying
P∞ these inequalities in the equality (11.2), yields µ ( i=1 Ei ) ≤
i=1 µ ( Ei ).
Proposition 11.7 Let (X, B,Sµ) be a measure space and ( Ai )∞ i=1 ⊆ B with
∞
Ai ⊆ Ai+1 , ∀i ∈ IN. Then, µ( i=1 Ai ) = limi∈IN µ(Ai ) ∈ IRe .
11.1. MEASURE SPACES 333
S∞ S∞
Proof Let A := i=1 Ai ∈ B. Note that A = A1 ∪ ( i=1 (Ai+1 \
Ai )), where the sets in the union are pairwise
P∞ disjoint. Then, by countable
additivity
Pn of measure, µ(A) = µ(A1 )+ i=1 µ(A i+1 \Ai ) = limn∈IN (µ(A1 )+
i=1 µ(A i+1 \ Ai )) = limn∈IN µ(A n+1 ) = lim i∈IN µ(Ai ), where the third
equality follows from Fact 11.3. This completes the proof of the proposition.
2
Proposition 11.8 Let (X, B, µ) be a measure space. Then, ∀E1 , E2 ∈ B

with µ(E1 △ E2 ) = 0, we have µ(E1 ) = µ(E2 ).
Proof 0 = µ(E1 △ E2 ) = µ(E1 \ E2 ) + µ(E2 \ E1 ). Then, µ(E1 \ E2 ) =

µ(E2 \ E1 ) = 0. Hence, we have µ(E1 ) = µ(E1 ∩ E2 ) + µ(E1 ∩ Ef2 ) = µ(E1 ∩
f
E2 ) + µ(E2 ∩ E1 ) = µ(E2 ). This completes the proof of the proposition. 2
Lemma 11.9 (Borel-Cantelli) P i1 Let (X, B, µ) be a measure space and

∞ ∞
( ET )
n n=1S ⊆ B. Assume that n=1 µ(En ) < ∞. Then, µ(G) :=
∞
µ( n∈IN m=n Em ) = 0.
P∞
Proof ∀ǫ ∈ (0,S ∞) ⊂ IR, ∃NP∈ IN such that n=N µ(En ) < ǫ.
Then, 0 ≤ µ(G) ≤ µ( ∞ m=N Em ) ≤ ∞
m=N µ(E m ) < ǫ, where the second
inequality follows from Proposition 11.4; and the third inequality follows
from Proposition 11.6. By the arbitrariness of ǫ, we have µ(G) = 0. This
completes theT proofS∞of the lemma. 2
The set n∈IN m=n Em is equal to the set of elements that is in En ,
n ∈ IN, infinitely often. The book Williams (1991) uses the notation
lim supn∈IN En to denote this set. The book S Williams
T (1991) also uses the
notation lim inf n∈IN En to denote the set n∈IN ∞ m=n m , which is equals
E
to the set of elements that is in all of Em , m ∈ IN with n ≤ m, eventually.
We will not formally use these notations. But, these sets are very important
in the study of probability measure spaces.
Definition 11.10 Let ( X, B, µ ) be a measure space. µ is said to be finite if

µ(X) < +∞. µ is said to be σ-finiteSif there exists a sequence of measurable
∞ ∞
subsets of X, ( Xn )n=1 , such that n=1 Xn = X and µ ( Xn ) < +∞, n =
1, 2, . . ..
A set E ⊆ X is said to be of finite measure, if E ∈ B, and µ(E) < +∞.
A set E ⊆ X is said to be of σ-finite measure,Sif there exists a sequence of
∞ ∞
measurable subsets of X, ( En )n=1 , such that n=1 En = E and µ ( En ) <
+∞, n = 1, 2, . . ..
Definition 11.11 Let ( X, B, µ ) be a measure space. It is said to be com-

plete if ∀A, E ⊆ X, with A ⊆ E, E ∈ B, and µ(E) = 0, then, A ∈ B.
Proposition 11.12 Let ( X, B, µ ) be a measure space. Then, there is a

unique complete measure space ( X, B0 , µ0 ) such that
(i) B ⊆ B0 ;
(ii) ∀E ∈ B, µ(E) = µ0 (E);
(iii) ∀E ⊆ X, E ∈ B0 if, and only if, E = A ∪ B, where A, B ⊆ X with
B ∈ B, and there exists a C ∈ B, such that A ⊆ C and µ(C) = 0.
Then, ( X, B0 , µ0 ) is said to be the completion of ( X, B, µ ).
Furthermore, let ( X, B1 , µ1 ) be another complete measure space that
satisfies (i) and (ii), then, B0 ⊆ B1 and µ0 (E) = µ1 (E), ∀E ∈ B0 .
Proof Define B0 to be the collection of subsets of X as the following.

B0 = E ⊆ X there exists A, B, C ⊆ X such that E = A ∪ B,

B, C ∈ B, µ(C) = 0, and A ⊆ C
∀E ∈ B, let A = ∅, B = E, and C = ∅. Then, E = A ∪ B, B, C ∈ B,
µ(C) = 0, and A ⊆ C. Therefore, E ∈ B0 . Hence, B ⊆ B0 .
The collection B0 form a σ-algebra on X, which is proved in the follow-
ing.
∀E1 , E2 ∈ B0 , there exist A1 , B1 , C1 , A2 , B2 , C2 ⊆ X such thatE1 =
A1 ∪ B1 , E2 = A2 ∪ B2 , B1 , C1 , B2 , C2 ∈ B, µ(C1 ) = µ(C2 ) = 0, and
A1 ⊆ C1 , A2 ⊆ C2 . Then, E1 ∪ E2 = ( A1 ∪ A2 ) ∪ ( B1 ∪ B2 ). The
sets B1 ∪ B2 , C1 ∪ C2 ∈ B, and A1 ∪ A2 ⊆ C1 ∪ C2 . The sequence of
inequalities holds, 0 ≤ µ ( C1 ∪ C2 ) ≤ µ ( C1 ) + µ ( C2 ) ≤ 0, where the
first one follows from Proposition 11.4, and the second one follows from
Proposition 11.6. This further implies that µ ( C1 ∪ C2 ) = 0. By the
definition of B0 , E1 ∪ E2 ∈ B0 .
Note that E f1 = B f1 ∩ A
f1 = Bf1 ∩ f1 \ C
A f1 ∪ C f1 ⊆ A
f1 , since C f1 .

This implies that E f1 = B f1 ∩ A f1 \ C
f1 ∪ B f1 ∩ C f1 ∩ C
f1 . Since B f1 ∈ B

and B f1 ∩ A f1 \ Cf1 = B f1 ∩ A
f1 ∩ C1 ⊆ C1 and µ(C1 ) = 0, then, E f1 ∈ B0 .
Therefore, B0 form an algebra on the set X.
∞
Consider an arbitrary sequence ( En )n=1 ⊆ B0 . Then, there exists
An , Bn , Cn ⊆ X, such that EnS= An ∪ BnS , Bn , Cn ∈ B,SAn ⊆ Cn , and
∞ ∞ ∞
µ(Cn ) = 0, n = 1, 2, . . .. Then,
S∞ n=1 E n = ( Sn=1 An ) ∪ ( n=1 Bn ). Since
∞
B S∞ then, n=1 Bn ∈
S∞is a σ-algebra, S∞B and n=1 PC∞n ∈ B. Furthermore,
S∞ n=1 A n ⊆ n=1 C n and 0 ≤ µ ( n=1 C n ) ≤ n=1 µ(Cn ) = 0. Then,
n=1 En ∈ B0 .
This proves that B0 is a σ-algebra.
Define a mapping µ0 : B0 → [0, ∞] ⊆ IRe as following. ∀E ∈ B0 , there
exists A, B, C ⊆ X such that E = A ∪ B, B, C ∈ B, A ⊆ C, and µ(C) = 0.
µ0 ( E ) := µ(B).
The mapping µ0 is well defined because of the following. ∀E ∈ B0 , let
A1 , A2 , B1 , B2 , C1 , C2 ⊆ X be such that,
E = A1 ∪ B1 = A2 ∪ B2
11.1. MEASURE SPACES 335
B1 , C1 , B2 , C2 ∈ B
µ(C1 ) = µ(C2 ) = 0 A1 ⊆ C1 A2 ⊆ C2

Then, µ ( B1 ) = µ f2 ∪( B1 ∩B2 ) = µ B1 ∩ B
B1 ∩ B f2 +µ ( B1 ∩B2 ) ≤

µ B1 ∩ B f2 + µ ( B2 ), where the last inequality follows from Proposition
11.4.
Since A1 ∪ B1 = A2 ∪ B2 = E implies f ∩ ( A1 ∪ B1 ) = Bf
that B2 2 ∩ ( A2 ∪
f f f f
B2 ) = B2 ∩ A2 ⊆ C2 , then B2 ∩ B1 ⊆ B2 ∩ B1 ∪ B2 ∩ A1 ⊆ C2 . By

Proposition 11.4, this implies that µ B f2 ∩ B1 = 0. Therefore, µ ( B1 ) ≤
µ ( B2 ).
By an argument similar to the above, it can be concluded that µ ( B2 ) ≤
µ ( B1 ). Combining the two inequalities, yields µ ( B2 ) = µ ( B1 ).
This shows that µ0 (E) is well defined.
∀E ∈ B ⊆ B0 , E = E ∪ ∅, then, µ0 (E) = µ(E). This proves that µ0
agrees with µ on B.
In the following, it will be shown that the nonnegative, extended real-
valued function µ0 defines a measure on the measurable space ( X, B0 ).
Since ∅ ∈ B, then µ0 ( ∅ ) = µ ( ∅ ) = 0.
Consider any sequence of subsets ( En )∞ n=1 ⊆ B0 , which are pairwise dis-
joint. There exists An , Bn , Cn ⊆ X, such that En = An ∪ Bn , Bn , Cn ∈ B,
An ⊆ Cn , and µ(Cn ) = 0, n = 1, 2, . . .. Since S∞Bn ⊆ En ,P n = 1, 2, . . .,
∞ ∞
then, (SBn )n=1 are pairwise
S∞ disjoint.
S∞ Hence, µ (
S∞ n=1 B n ) =S∞n=1 µ ( Bn ).
∞
S n=1 En =P(∞ n=1 An ) ∪ ( n=1 BnS
Since ), n=1 ASn ⊆ n=1 Cn , 0 ≤
µ ( S∞n=1 Cn ) ≤ S∞
n=1 µ(C n ) = 0,
P∞ and ∞ ∞
n=1 Bn , Pn=1 Cn ∈ B then,
∞ ∞
µ0 ( n=1 En ) = µ ( n=1 Bn ) = n=1 µ ( Bn ) = n=1 µ0 ( En ). This
proves that µ0 is countably additive for disjoint B0 -measurable sets.
Hence, µ0 is a measure on ( X, B0 ).
In the following, it is proved that ( X, B0 , µ0 ) is a complete measure
space.
∀E0 ⊆ X, such that there exists E ∈ B0 with E0 ⊆ E and µ0 ( E ) = 0.
Then, there exists A, B, C ⊆ X such that E = A ∪ B, B, C ∈ B, A ⊆ C,
and µ(C) = 0, by the definition of B0 and E ∈ B0 . By the definition of µ0 ,
we have µ0 (E) = µ(B) = 0. Hence, E0 = E0 ∪ ∅ and E0 ⊆ A ∪ B ⊆ C ∪ B.
Since ∅, C ∪ B ∈ B, and 0 ≤ µ ( C ∪ B ) ≤ µ(C) + µ(B) = 0, then E0 ∈ B0 .
This proves that ( X, B0 , µ0 ) is complete.
Let ( X, B1 , µ1 ) be any complete measure space that satisfies the (i)
and (ii). It is shown in the following that B0 ⊆ B1 by an argument of
contradiction. Suppose there exist a set E ∈ B0 \ B1 , then, E 6∈ B. Since
E ∈ B0 , then, there exists A, B, C ⊆ X, such that E = A ∪ B, A ⊆ C,
B, C ∈ B, and µ(C) = 0. This implies B, C ∈ B1 and µ1 (C) = µ(C) = 0.
Hence, A 6∈ B1 , otherwise, we have E ∈ B1 . But, A ⊆ C, with µ1 (C) = 0,
which contradicts the fact that ( X, B1 , µ1 ) being complete.
Therefore, we have B0 ⊆ B1 .
∀E ∈ B0 , there exists A, B, C ⊆ X, such that E = A ∪ B, A ⊆ C,

B, C ∈ B, and µ(C) = 0. Then, µ0 (E) = µ(B) = µ1 (B) ≤ µ1 (E) ≤
µ1 ( B ∪ C ) ≤ µ1 (B) + µ1 (C) = µ(B), where Propositions 11.4 and 11.6
have been applied. Therefore, µ0 and µ1 agrees on the σ-algebra B0 .
Hence, ( X, B0 , µ0 ) is a complete measure space that satisfies (i), (ii),
and (iii). It is the unique such space since B0 is unique by (iii), then µ0
is also unique since any complete measure space ( X, B0 , µ1 ) satisfying (i)
and (ii) will be such that µ1 (E) = µ0 (E), ∀E ∈ B0 .
Proposition 11.13 Let X := (X, B, µ) be a measure space, A ∈ B, B̂ ⊆ B
be a σ-algebra on X, and BA := { C ⊆ A | C ∈ B }. Then, the following
statements hold.
(i) (X, B̂, µ|B̂ ) and A := (A, BA , µ|BA ) are measure spaces. The measure
space A is said to be the subspace of the measure space X .
(ii) If, in addition, X is complete, then A is also complete.
(iii) Let X¯ := (X, B̄, µ̄) be the completion of X as defined in Proposi-
tion 11.12, and Ā := (A, B̄A , µ̄A ) be the measure subspace of X¯ . Then,
Ā is the completion of A.
Proof (i) Since B̂ is a σ-algebra on X, then (X, B̂) is a measurable
space. ∀B ∈ B̂ ⊆ B, 0 ≤ µ(B) ≤ +∞ is well-defined. Then, µ|B̂ :
B̂ → [0, ∞] ⊆ IRe . Clearly, µ|B̂ (∅) = 0. ∀ pairwise disjoint sequence
∞ S∞
( Ei )i=1 ⊆ B̂ ⊆ B, we have E := i=1 Ei ∈ B̂ and µ|B̂ (E) = µ(E) =
P∞ P∞
i=1 µ(Ei ) = i=1 µ|B̂ (Ei ). Hence, (X, B̂, µ|B̂ ) is a measure space.
Note that ∅ ∈ BA and A ∈ BA . ∀EA ∈ BA , then A ⊇ A \ EA ∈ B
∞
and A S∞ \ EA ∈ BA . ∀ (S EAi )i=1 ⊆ BA , ∀i ∈ IN, A ⊇ EAi ∈ B. Then,
∞
A ⊇ i=1 EAi ∈ B and i=1 EAi ∈ BA . Hence, BA is a σ-algebra on A. It
is straightforward to show that µ|BA is a measure on the measurable space
(A, BA ). Hence (A, BA , µ|BA ) is a measure space.
(ii) If, in addition, (X, B, µ) is complete. ∀EA ⊆ A such that there exists
B ∈ BA with EA ⊆ B and µ|BA (B) = 0. Then, B ∈ B and µ(B) = 0.
Then, EA ∈ B by the completeness of (X, B, µ). Thus, EA ∈ BA . By the
arbitrariness of EA , (A, BA , µ|BA ) is complete.

(iii) Note that B̄A = C ⊆ A C ∈ B̄ and µ̄A = µ̄|B̄A . By (ii), Ā
is a complete measure space. Since B ⊆ B̄, then BA ⊆ B̄A . ∀E ∈ BA ,
µ|BA (E) = µ(E) = µ̄(E) = µ̄A (E). ∀E ⊆ A, assume that E = EA ∪ EB
with EB , EC ∈ BA , EA ⊆ EC , and µ|BA (EC ) = 0. Then, µ̄A (EC ) = 0
and EA ∈ B̄A since Ā is complete. Then, E ∈ B̄A . ∀E ⊆ A, assume that
E ∈ B̄A . Then, E ⊆ A and E ∈ B̄. By Proposition 11.12, E = EA ∪ EB
with EB , EC ∈ B, EA ⊆ EC , and µ(EC ) = 0. Then, EB , EC ∩ A ∈ BA ,
EA ⊆ EC ∩ A, and 0 ≤ µ|BA (EC ∩ A) = µ(EC ∩ A) ≤ µ(EC ) = 0. Hence,
(i) — (iii) of Proposition 11.12 are satisfied and Ā is the completion of A.
11.2. OUTER MEASURE AND THE EXTENSION THEOREM 337
11.2 Outer Measure and the Extension The-

orem
Definition 11.14 Let X be a set. An outer measure is a function µo :
X
2 → [0, ∞] ⊂ IRe satisfying
(i) µo (∅) = 0;
(ii) if A ⊆ B ⊆ X, then µo (A) ≤ µo (B); (monotonicity)
S∞ P∞
(iii) if E ⊆ i=1 Ei ⊆ X, then µo (E) ≤ i=1 µo (Ei ). (countable
subadditivity)
Note that (i) and (iii) above implies finite subadditivity.
Definition 11.15 Let X be a set and µo : X2 → [0, ∞] ⊂ IRe be an outer

measure. E ⊆ X is said to be measurable with respect to µo if ∀A ⊆ X,
e
we have µo (A) = µo (A ∩ E) + µo (A ∩ E).
Lemma 11.16 Let X be a set and µo : X2 → [0, ∞] ⊂ IRe be an outer

measure. ∀E ⊆ X with µo (E) = 0, then E is measurable with respect to
µo .
Proof Fix any E ⊆ X with µo (E) = 0. ∀A ⊆ X, 0 ≤ µo (A ∩ E) ≤

e ≤ µo (A). Then, we have µo (A) ≤ µo (A ∩ E) +
µo (E) = 0 and µo (A ∩ E)
e ≤ µo (A). Hence, E is measurable with respect to µo . This
µo (A ∩ E)
Theorem 11.17 Let X be a set, µo : X2 → [0, ∞] ⊂ IRe be an outer

measure, B := { E ⊆ X | E is measurable with respect to µo }, and µ̄ :=
µo |B : B → [0, ∞] ⊂ IRe . Then, B is a σ-algebra on X and (X, B, µ̄) is a
complete measure space.
Proof Clearly ∅, X ⊆ B. ∀E ∈ B, we have E e ∈ B. ∀E1 , E2 ∈ B,

∀A ⊆ X, by the measurability of E1 and E2 , we have µo (A) = µo (A ∩
E2 ) + µo (A ∩ Ef2 ) = µo (A ∩ E2 ) + µo (A ∩ Ef2 ∩ E1 ) + µo (A ∩ E f2 ∩ Ef1 ). Note
f
that A ∩ (E1 ∪ E2 ) = A ∩ (E2 ∪ (E1 \ E2 )) = (A ∩ E2 ) ∪ (A ∩ E1 ∩ E2 ). Then,
we have µo (A ∩ (E1 ∪ E2 )) ≤ µo (A ∩ E2 ) + µo (A ∩ E1 ∩ E f2 ). Then, we have
µo (A) ≥ µo (A ∩ (E1 ∪ E2 )) + µo (A ∩ E f1 ∩ E
f2 ) = µo (A ∩ (E1 ∪ E2 )) + µo (A ∩
^
E1 ∪ E2 ) ≥ µo (A). Hence, E1 ∪S E2 ∈ B. Thus, B is an algebra on X.
∞ n
∀ ( Ei )i=1 ⊆ B. Let Gn := i=1 Ei ∈ B and Ē1 := G1 ∈ B, Ēn+1 :=
Gn+1 S \ Gn ∈ B,S∀n ∈ IN. Then, Ē1 , Ē2 , . . . are pairwise disjoint. Let
E := ∞ i=1 Ei =
∞
i=1 Ēi . ∀A ⊆ X, we have µo (A) = µo (A ∩ Gn ) + µo (A ∩
fn ) ≥ µo (A ∩ Gn ) + µo (A ∩ E)
G e and µo (A ∩ Gn+1 ) = µo (A ∩ Gn+1 ∩ Ēn+1 ) +
]
µo (A∩Gn+1 ∩ Ēn+1 ) = µo (A∩ Ēn+1 )+µo (A∩Gn ), ∀n ∈ IN. Hence, we have
Pn Pn e
µo (A ∩ Gn ) = i=1µo (A ∩ Ēi ) and µo (A) ≥ i=1 µo (A ∩ Ēi ) + µo (A ∩ E),
P∞ e Note that
∀n ∈ IN. STherefore, µo (A) ≥ i=1 µo (A ∩ Ēi ) + µo (A P ∩ E).
∞ ∞
A ∩ E = i=1 (A ∩ Ēi ), which implies that µo (A ∩ E) ≤ i=1 µo (A ∩ Ēi ),
by countable subadditivity of outer measures. Then, we have µo (A) ≥
P∞ e e
i=1 µo (A ∩ Ēi ) + µo (A ∩ E) ≥ µo (A ∩ E) + µo (A ∩ E) ≥ µo (A). Hence,
by the arbitrariness of A, E ∈ B. This implies that B isPa σ-algebra on X.
∞
P∞Set A = E in the above, we have µ̄(E) = µo (E) = i=1 µo (E ∩ Ēi ) =
i=1 µ̄(Ēi ). Hence, (X, B, µ̄) is a measure space.
Fix any A, E ⊆ X with A ⊆ E, E ∈ B, and µ̄(E) = 0. Then, 0 ≤
µo (A) ≤ µo (E) = µ̄(E) = 0. By Lemma 11.16, A ∈ B. Therefore, (X, B, µ̄)
is complete.
Definition 11.18 Let X be a set and A ⊆ X2 be an algebra on X. A

measure on algebra A is a function µ : A → [0, ∞] ⊂ IRe that satisfies:
(i) µ(∅) = 0;
S
(ii) ∀ ( Ai )∞ := ∞
i=1 ⊆ A with AP i=1 Ai ∈ A and A1 , A2 , . . . being pairwise
∞
disjoint, then µ(A) = i=1 µ(Ai ).
µ is said to be finite if µ(X)S < +∞; and it is said to be σ-finite if

∞ ∞
∃ ( Xi )i=1 ⊆ A such that X = i=1 Xi and µ(Xi ) < ∞, ∀i ∈ IN.
Clearly, a measure on an algebra is monotonic.
Theorem 11.19 (Carathéodory Extension Theorem) Let X be a set,

A ⊆ X2 be an algebra on X, and µ : A → [0, ∞] ⊂ IRe be a measure on
algebra A. Define µo : X2 → [0, ∞] ⊂ IRe by
∞
X
µo (A) = ∞
inf S∞ µ(Ai ), ∀A ⊆ X
(Ai)i=1 ⊆A, A⊆ i=1 Ai i=1
(i) µo is an outer measure on X and is said to be the outer measure

induced by µ.
(ii) Let B := { E ⊆ X | E is measurable with respect to µo } and µ̄ :=

µo |B : B → [0, ∞] ⊂ IRe . Then, (X, B, µ̄) is a complete measure space
and µ̄(A) = µ(A), ∀A ∈ A. Hence, µ̄ is an extension of µ to the
σ-algebra B ⊇ A.
(iii) µ̄ is finite if µ is finite; and µ̄ is σ-finite if µ is σ-finite.
(iv) Let Ba be the σ-algebra on X generated by A. If µ is σ-finite, then

µ̄|Ba is the unique measure on the measurable space (X, Ba ) that is
an extension of µ.
(v) If µ is σ-finite, then the measure space (X, B, µ̄) is the completion of
the measure space (X, Ba , µ̄|Ba ).
Proof We need the following intermediate results.

S∞
Claim 11.19.1
P∞ Let A ∈ A, ( Ai )∞
i=1 ⊆ A, and A ⊆ i=1 Ai . Then,
µ(A) ≤ i=1 µ(Ai ).
Proof
T of claim: Let G1 := A ∩ A1 ∈ A and Gn+1 := A ∩ An+1 ∩
n fi ∈ A, ∀n ∈ IN. Then, A = S∞ Gi and G1 , G2 , . . . are pairwise
A
i=1 i=1
P∞ P∞
disjoint. This implies that µ(A) = i=1 µ(Gi ) ≤ i=1 µ(Ai ), where the
inequality follows from the monotonicity of µ. This completes the proof of
the claim. 2
Hence, ∀A ∈ A, we have µo (A) = µ(A).
Claim 11.19.2 µo is an outer measure.
Proof of claim: Clearly, µo (∅) = µ(∅) = 0 since ∅ ∈ A. ∀A1 ⊆

A2 ⊆ X, by the definition of µo , we have µo (A1 ) ≤ µo (A2 ). S We need only
∞
to show the countable subadditivity for µo . Fix any E ⊆ i=1 Ei ⊆ X.
µo (Ei ) < ∞, ∀i ∈ IN; Case 2: ∃i0 ∈ IN such that µo (Ei0 ) = ∞.
∞
Case 1: µo (Ei ) < ∞, ∀i ∈ IN. ∀ǫ ∈ (0, ∞) ⊂ IR, ∀i ∈ IN, ∃ ( Ai,j )j=1 ⊆
S∞ P∞
A such that Ei ⊆ j=1 Ai,j and µo (Ei ) ≤ j=1 µ(Ai,j ) < µo (Ei ) + ǫ/2i .
S S S∞
Then, E ⊆ ∞ E ⊆ ∞ A . By the definition of µo , we have
P∞ i=1P∞ i P∞ i,j
i=1 j=1
µo (E) ≤ i=1 j=1 µ(Ai,j ) ≤ i=1 µo (Ei ) + ǫ. By the arbitrariness of ǫ,
P∞
we have µo (E) ≤ i=1 µo (Ei ).
P∞Case 2: ∃i0 ∈ IN such that µo (Ei0 ) = ∞. Then, µo (E) ≤ ∞ =
i=1 µo (Ei ). P
In both cases, we have shown that µo (E) ≤ ∞ i=1 µo (Ei ). Hence, µo is
an outer measure. This completes the proof of the claim. 2
Hence, the statement (i) holds.
(ii) By Theorem 11.17, ( X, B, µ̄) is a complete measure space.
Claim 11.19.3 A ⊆ B.
Proof of claim: Fix any A ∈ A. ∀Ā ⊆ X, we will show that µo (Ā) =

e by distinguishing two exhaustive and mutually
µo (Ā ∩ A) + µo (Ā ∩ A)
exclusive cases: Case 1: µo (Ā) = ∞; Case 2: µo (Ā) < ∞. Case 1: µo (Ā) =
∞. Then, µo (Ā) ≥ µo (Ā ∩ A) + µo (Ā ∩ A) e ≥ µo (Ā), where the second
inequality follows from the countable subadditivity of an outer measure.
∞
S∞2: µo (Ā) < ∞. ∀ǫP∈
Case
∞
(0, ∞) ⊂ IR, ∃ ( Ai )i=1 ⊆ A such that
Ā ⊆ i=1 Ai and µo (Ā) ≤ i=1 µ(Ai ) < µo (Ā) + ǫ. By the countable
additivity of µ, we have µ(Ai ) = µ(Ai ∩ A) + µ(Ai ∩ A), e ∀i ∈ IN. Then,
P∞ e ≥ µo (Ā ∩ A) + µo (Ā ∩ A)
e ≥
µo (Ā) + ǫ > i=1 (µ(Ai ∩ A) + µ(Ai ∩ A))
µo (Ā), where the second inequality follows from the definition of µo ; and
the third inequality follows from the countable subadditivity of µo . By the
e This case is
arbitrariness of ǫ, we have µo (Ā) = µo (Ā ∩ A) + µo (Ā ∩ A).
proved.
Hence, in both cases, we have µo (Ā) = µo (Ā ∩ A) + µo (Ā ∩ A). e By
the arbitrariness of Ā, we have A is measurable with respect to µo . Hence,
A ∈ B and A ⊆ B. This completes the proof of the claim. 2
∀A ∈ A, we have µ̄(A) = µo (A) = µ(A). Hence, the statement (ii)
holds.
(iii) Note that X ∈ A. If µ is finite, then µ̄(X) = µ(X) < ∞. Hence, µ̄
is finite. S∞
∞
If µ is σ-finite, then ∃ ( Xi )i=1 ⊆ A with X = i=1 Xi such that µ(Xi ) <
∞
+∞, ∀i ∈ IN. Then, µ̄(Xi ) = µ(Xi ) < +∞ and ( Xi )i=1 ⊆ B. Hence, µ̄ is
σ-finite.
(iv) Let µ be σ-finite and µ̃ : Ba → [0, ∞] ⊂ IRe be any measure that is
an extension of µ, that is, µ̃(A) = µ(A), ∀A ∈ A. Clearly, Ba ⊆ B. Then,
by Proposition 11.13, µ̄|Ba is a measure on (X, Ba ) and it is an extension
∞ S∞
of µ. Let Aσ := { E ⊆ X | ∃ ( Ai )i=1 ⊆ A ∋· E = i=1 Ai }. Since B ⊇ A
and is a σ-algebra on X, then Aσ ⊆ Ba ⊆ B.
Claim 11.19.4 ∀E ∈ Aσ , µ̃(E) = µ̄(E).

∞
Proof of claim: Fix any E ∈ Aσ . Then, ∃ ( Ai )i=1 ⊆ A ∋ · E =
S∞ S Sn
∞
i=1 Ai . Let Ā1 := A1 and Ān+1 = ( n+1 i=1 Ai ) \ ( i=1 Ai ), ∀n ∈ IN. Then,
S∞
Āi i=1 ⊆ A, E = i=1 Āi , and Ā1 , Ā2 , . . . are pairwise disjoint. Then, we
P P∞ P∞
have µ̃(E) = ∞ i=1 µ̃(Āi ) = i=1 µ(Āi ) = i=1 µ̄(Āi ) = µ̄(E), where the
first and last equality follows from the countable additivity of measures.
Claim 11.19.5 ∀B ∈ Ba with µ̄(B) < ∞, we have µ̄(B) = µ̃(B).
Proof of claim: Fix any B ∈ Ba with µ̄(B) < ∞. Then, µo (B) =

∞
i=1 ⊆ A such
µ̄(B) < ∞.S∀ǫ ∈ (0, ∞) ⊂ IR, by the definition of µo , ∃ ( Ai )P
∞ ∞
that B ⊆ i=1 Ai =: E ∈ Aσ ⊆ Ba andPµ̄(B) = µo (B) ≤ i=1 µ(Ai ) <
∞
µ̄(B) + ǫ. Then, µ̃(B) ≤ µ̃(E) = µ̄(E) ≤ i=1 µ(Ai ) < µ̄(B) + ǫ, where the
first inequality follows from the monotonicity of measure, Proposition 11.4;
the first equality follows from Claim 11.19.4; and the second inequality
follows from the countable subadditivity of measure, Proposition 11.6. By
the arbitrariness of ǫ, we have µ̃(B) ≤ µ̄(B).
On the other hand, µ̄(E) = µ̄(B)+µ̄(E\B) < µ̄(B)+ǫ. Since µ̄(B) < ∞,
then µ̄(E \ B) < ǫ. Note that E \ B ∈ Ba . This implies that µ̄(B) ≤
µ̄(E) = µ̃(E) = µ̃(B) + µ̃(E \ B) ≤ µ̃(B) + µ̄(E \ B) < µ̃(B) + ǫ, where the
second inequality follows from the result of the previous paragraph. By the
arbitrariness of ǫ, we have µ̄(B) ≤ µ̃(B).
Hence, µ̄(B) = µ̃(B). This completes the proof of the claim. 2
∞ S∞
Since µ is σ-finite, then ∃ ( Xi )i=1 ⊆ A such that X = i=1 Xi and
µ(Xi ) < ∞, ∀i ∈ IN. Without loss of generality, we may S assume that
X1 , X2 , . . . are pairwise disjoint. ∀B ∈ Ba , we have B = ∞ i=1 (B ∩ Xi ),
B ∩ X1 , B ∩ X2 , . . . are pairwise disjoint, and µ̄(B ∩ XP
i ) ≤ µ̄(Xi ) < ∞
∞
P∞ B ∩ Xi ∈ Ba , ∀i ∈ IN. This implies that µ̃(B) = i=1 µ̃(B ∩ Xi ) =
with
i=1 µ̄(B ∩ Xi ) = µ̄(B), where the first and last equality follows from
the countable additivity of measures; and the second equality follows from
Claim 11.19.5. Hence, µ̄|Ba = µ̃. Therefore, µ̄|Ba is the unique measure on
(X, Ba ) that is an extension of µ.
(v) Let µ be σ-finite. Consider the measure space (X, Ba , µ̄|Ba ). By
Proposition 11.12, this measure space admits the completion (X, B̂, µ̂).
Since (X, B, µ̄) is a complete measure space that agrees with µ̄|Ba on Ba ,
by Proposition 11.12, we have B̂ ⊆ B and µ̂ = µ̄|B̂ .
Claim 11.19.6 ∀B ∈ B, ∃U ∈ Ba with B ⊆ U such that µ̄(U \ B) = 0.
P∞
Proof of claim: ∀B ∈ B, µ̄(B) = inf (Ai)∞ ⊆A,B⊆S∞ Ai i=1 µ(Ai ).
i=1 i=1
We first prove the special case µ̄(B) < +∞. ∀i ∈ IN, ∃ ( Ui,j )∞ j=1 ⊆ A
S∞
with B ⊆ j=1 Ui,j =: Ui ∈ Ba such that µ̄(B) ≤ µ̄(Ui ) = µ̂(Ui ) ≤
P∞ −i
j=1 µ(Ui,j ) < µ̄(B) + 2 < +∞. Then, µ̄(Ui ) = µ̄(B) + µ̄(Ui \ B) <
T∞
µ̄(B) + 2 < +∞. This implies that µ̄(Ui \ B) < 2−i . Let U := i=1 Ui ∈
−i
Ba . Clearly, B ⊆ U and µ̄(U \ B) ≤ µ̄(Ui \ B) < 2−i , ∀i ∈ IN. Hence,

µ̄(U \ B) = 0. S∞
Now,S∞we prove the general case µ̄(B) ∈ [0, ∞] ⊂ IRe . B = i=1 (Xi ∩
B) =: i=1 Bi . ∀i ∈ IN, µ̄(Bi ) ≤ µ̄(Xi ) = µ(Xi ) < +∞. By the special
case, ∃Ui ∈ Ba with Bi ⊆ Ui such that
S P∞ µ̄(Ui \ Bi ) =P0. Then, B ⊆
∞ ∞
U
i=1 i =: U ∈ B a and 0 ≤ µ̄(U \B) ≤ i=1 µ̄(U i \B) ≤ i=1 µ̄(Ui \Bi ) =
0, where the second inequality follows from the countable subadditivity of
measure. This completes the proof of the claim. 2
∀B ∈ B, by Claim 11.19.6, ∃U, Ū ∈ Ba with B ⊆ U and B e ⊆ Ū
such that µ̄(U \ B) = µ̄(Ū \ B) e = 0. Let F := U ē ∈ B . Then, F ⊆ B and
a
e
µ̄(B\F ) = µ̄(Ū \B) = 0. Then, B = F ∪(B\F ), B\F ⊆ U \F , F, U \F ∈ Ba
and µ̂(U \ F ) = µ̄|Ba (U \ F ) = µ̄(U \ F ) = µ̄(U \ B) + µ̄(B \ F ) = 0. This
shows that B ∈ B̂, by the completeness of (X, B̂, µ̂). By the arbitrariness
of B, we have B ⊆ B̂. Hence, B = B̂ and µ̄ = µ̂. Hence (X, B, µ̄) is the
completion of (X, Ba , µ̄|Ba ).
Definition 11.20 An interval I in IR is any of the following sets: (i) ∅;
(ii) (a, b) ⊆ IR with a, b ∈ IRe and a < b; (iii) [a, b) ⊂ IR with a ∈ IR,
b ∈ IRe , and a < b; (iv) (a, b] ⊂ IR with a ∈ IRe , b ∈ IR, and a < b; and (v)
[a, b] ⊂ IR with a, b ∈ IR and a ≤ b.
Example 11.21 Let X = IR,

A := { E ⊆ IR | E is the union of finitely many intervals in IR }
It is clear that A is an algebra on IR. ∀E ∈ A, E may be Sn written as the

union of finitely many P pairwise disjoint intervals: E = i=1 Ii , for some
n ∈ IN. Define µ(E) = ni=1 µ(Ii ), where

0 if I = ∅
µ(I) =
b − a if I is any other types of interval
Clearly, µ(∅) = 0; µ(I1 ∪ I2 ) = µ(I1 ) + µ(I2 ), ∀ intervals I1 , I2 ⊆ IR with

I1 ∩ I2 = ∅. Then, µ : A → [0, ∞] ⊂ IRe is well-defined and µ(E1 ∪ E2 ) =
µ(E1 ) + µ(E2 ), ∀E1 , E2 ∈ ASwith E1 ∩ E2 = ∅. Hence, µ is finitely additive.
∞ ∞
Fix any interval I = i=1 Ei , where ( Ei )i=1P⊆ A and E1 , E2 , . . .
∞
are pairwise
Sn disjoint. We will show that µ(I) = Pnµ(Ei ). ∀n ∈ IN,
i=1
I ⊇ i=1P Ei . Then, by finite additivity of µ, µ(I) ≥ i=1 µ(Ei ). Hence,
∞
µ(I) ≥ i=1 µ(Ei ). We willPdistinguish three exhaustive and mutu-
∞
ally exclusive cases: P∞ Case 1: i=1 µ(Ei ) = P ∞; Case 2: I = ∅; Case
∞
3: I 6= ∅ and P i=1 µ(Ei ) < ∞. Case 1: i=1 µ(E Pi∞ ) = ∞. Then,
∞
∞ ≥ µ(I) ≥ i=1 µ(E i ) = ∞. Hence,
P∞ µ(I) = i=1 µ(Ei ) = ∞.
Case 2: I = P∞ ∅. Then, 0 = µ(I) ≤ P∞
i=1 µ(E i ). Hence, we have
0 = µ(I)
S i = i=1 µ(E i ). Case 3: I 6
= ∅ and i=1 µ(E i ) < ∞. ∀i ∈ IN,
Ei = nj=1 Ii,j , where ni ∈ IN and Ii,1 , . . . , Ii,ni are pairwise disjoint inter-
Pni S∞ S∞ Sni
vals. Clearly, µ(Ei ) = j=1 µ(Ii,j ). Then, I = i=1 Ei = i=1 j=1 Ii,j .
P∞ P∞ Pni
Then, we have i=1 µ(Ei ) = i=1 j=1 µ(Ii,j ) < ∞. Fix any closed
interval [a, b] := I¯ ⊆ I, where a, b ∈ IR and a ≤ b. Such a, b ∈ IR ex-
ists since I 6= ∅. ∀ǫ ∈ (0, ∞) ⊂ IR, ∀i ∈ IN, ∀j ∈ {1, . . . , ni }, we may
−i
enlarge Ii,j to an open interval I¯i,j ⊇ Ii,j with µ(I¯i,j ) ≤ µ(Ii,j ) + 2ni ǫ .
S ∞ S ni ¯
Then, I¯ ⊆ i=1 j=1 Ii,j . By the compactness of I, ¯ ∃N ∈ IN such that
S N S n ¯ ≤ PN Pni µ(I¯i,j ) ≤
I¯ ⊆ i=1 j=1 i
I¯i,j . Clearly, we have b − a = µ(I) i=1 j=1
PN Pni 2−i ǫ P∞ Pni
i=1 j=1 (µ(Ii,j ) + ni )P ≤ ǫ + i=1 j=1 µ(Ii,j ). By the arbitrariness
∞ Pni P∞
of ǫ, a, b, we have µ(I) ≤ i=1 j=1 µ(Ii,j ). Then, µ(I) ≤ i=1 µ(Ei ).
P∞
Thus, we P∞have µ(I) = i=1 µ(Ei ). Hence, in all three cases, we have
µ(I) = i=1 µ(Ei ). S∞
∞
∀E ∈ A, ∀ ( Ei )i=1 ⊆SA with E = i=1 Ei and E1 , E2 , . . . being pairwise
n
disjoint, we have E = i=1 Ii , where S∞ n ∈ IN and I1 , . . . , In are pairwise
disjoint intervals. Then, Ij = P i=1 (Ij ∩ Ei ), ∀j ∈ {1, . . . , n}. By the
∞
above argument,
Pn we havePn jP∞ i=1 µ(Ij ∩ Ei P
µ(I ) = ), ∀j ∈P{1, . . . , n}. Then,
∞ n
µ(E) = j=1 µ(Ij ) = j=1 i=1 µ(Ij ∩ Ei ) = i=1 j=1 µ(Ij ∩ Ei ) =
P∞
i=1 µ(Ei ), where the last equality follows from the finite additivity of µ.
Hence, µ is a measure on algebra A and is σ-finite. By Carathéodory
Extension Theorem 11.19, µ extends uniquely to a σ-finite complete mea-
sure space (X, B, µ̄). This measure space is called the Lebesgue measure
space. Since B is a σ-algebra on IR and the topology OIR on IR is second
countable, then B ⊇ OIR . We will denote the Lebesgue measure space by
(IR, BL , µL ), where BL is the collection of Lebesgue measurable sets in IR
and µL is the Lebesgue measure.
Let µLo be the Lebesgue outer measure induced by µ as defined in

Carathéodory Extension Theorem 11.19. We claim that
∞
X
µLo (E) = ∞
inf S∞ µ(Ii ); ∀E ⊆ IR (11.3)
(Ii)i=1 are open intervals, E⊆ i=1 Ii i=1
P∞
To prove this, we note that µLo (E) = inf (Ei)∞ ⊆A, E⊆
S∞
i=1 µ(Ei ).
i=1 i=1 Ei
Then, clearly, we have
∞
X
µLo (E) ≤ ∞
inf S∞ µ(Ii )
∞ S∞
Sni the other hand, ∀ ( Ei )i=1 ⊆ A with E ⊆ i=1 Ei , ∀i ∈ IN, Ei =
On
j=1 Ii,j , where n ∈ IN and Ii,1 , . . . , Ii,ni are pairwise disjoint intervals,
Pni i
and µ(Ei ) = j=1 µ(Ii,j ). ∀ǫ ∈ (0, ∞) ⊂ IR, ∀j ∈ {1, . . . , ni }, we may
−i
enlarge Ii,j to an open interval I¯i,j ⊇ Ii,j with µ(I¯i,j ) ≤ µ(Ii,j ) + 2ni ǫ .
S∞ Sni S∞ Sni ¯ P∞
Then, we have E ⊆ i=1 j=1 Ii,j ⊆ i=1 j=1 Ii,j and i=1 µ(Ei ) =
P∞ Pni P∞ Pni ¯ 2−i ǫ P∞ Pni
i=1 j=1 µ(Ii,j ) ≥ i=1 j=1 (µ(Ii,j ) − n ) = i=1 j=1 µ(I¯i,j ) − ǫ ≥
Pi
∞
−ǫ + inf (Ii)∞ are open intervals, E⊆S∞ Ii i=1 µ(Ii ). This implies that
i=1 i=1
P∞
µLo (E) ≥ −ǫ + inf (Ii)∞ are open intervals, E⊆S∞ Ii i=1 µ(Ii ). Hence,
i=1 i=1
by the arbitrariness of ǫ, we have
∞
X
µLo (E) ≥ ∞
inf S∞ µ(Ii )
Therefore, (11.3) is true.

By Carathéodory Extension Theorem 11.19, µL = µLo |BL and
(IR, BL , µL ) is the completion of (IR, Ba , µL |Ba ), where Ba is the σ-algebra
on IR generated by A. Clearly, OIR ⊆ Ba and Ba is the σ-algebra on IR
generated by OIR . ⋄
Definition 11.22 Let X := (X, O) be a topological space. The collection

of Borel sets on X is the smallest σ-algebra on X that contains O, which
will be denoted by BB ( X ). The smallest algebra on X that contains O will
be denoted by A ( X ).
Clearly, we have BB ( IR ) ⊆ BL .
Proposition 11.23 Let E ⊆ IR. Then, the following statements are equiv-
alent.
(i) E ∈ BL .
(ii) ∀ǫ ∈ (0, ∞) ⊂ IR, ∃O ∈ OIR with E ⊆ O such that µLo (O \ E) < ǫ.
(iii) ∀ǫ ∈ (0, ∞) ⊂ IR, ∃F ⊆ IR with Fe ∈ OIR and F ⊆ E such that

µLo (E \ F ) < ǫ.
If µLo (E) < +∞. Then, (i)–(iii) are also equivalent to
(iv) ∀ǫ ∈ (0, ∞) ⊂ IR, ∃U ∈ OIR which is finite union of open intervals,
such that µLo (U △ E) < ǫ.
Hence, the Lebesgue measure space (IR, BL , µL ) is the completion of the
Borel measure space (IR, BB ( IR ) , µB := µL |BB (IR) ).
Proof Fix E ⊆ IR.

(i) ⇒ (ii). First, we show the special case that µLo (E) < +∞. Let
E ∈ BL . By Example 11.21,
∞
X
µLo (E) = µL (E) = ∞
inf S∞ µL (Ii )
∞
Then, ∀ǫ ∈ S (0, ∞) ⊂ IR, ∃ a sequence of open intervals (P Ii )i=1 ⊆ OIR
with E ⊆ ∞ I
i=1 i =: O ∈ O IR such that µ L (E) ≤ µL (O) ≤ ∞
i=1 µL (Ii ) <
µL (E) + ǫ < +∞. Then, ǫ > µL (O) − µL (E) = µL (O \ E) = µLo (O \ E),
where the first equality follows from the countable additivity of µL . Hence,
(ii) holds.
Next, we show the general case µLo (E) ∈ [0, ∞] ⊂ IRe . Let E ∈ BL
and I1 := (−1,S1] ⊂ IR, In := (−n,
S∞ −n + 1] ∪ (n − 1, n] ⊂ IR, ∀n = 2, 3, . . ..
∞
Clearly, E = i=1 (Ii ∩ E) =: i=1 Ei . Fix any ǫ ∈ (0, ∞) ⊂ IR. ∀i ∈ IN,
Ii ∈ BL and Ei ∈ BL with µL (Ei ) ≤ µL (Ii ) = 2. By the special case
we have just shown, ∃Oi ∈ OIR ⊆ BL with S∞ Ei ⊆ Oi such that µLo (Oi \
Ei ) = µL (Oi \ Ei ) < 2−i ǫ. Let O := i=1 Oi ∈ OIR . Then, µLo (O \
S S∞ S T∞ f
E) = µL (O \ E) = µL (( ∞ Oi ) ∩ ^ Ei ) = µL (( ∞i=1 Oi ) ∩ ( i=1 Ei )) =
S∞ T∞ f i=1 P∞ i=1 T∞ f P∞
µL ( i=1 (Oi ∩ ( j=1 Ej ))) ≤ i=1 µL (Oi ∩ ( j=1 Ej )) ≤ i=1 µL (Oi ∩
P∞
f
Ei ) = i=1 µL (Oi \ Ei ) < ǫ. Hence (ii) holds.
(ii) ⇒ (i). Fix any A ⊆ IR. ∀ǫ ∈ (0, ∞) ⊂ IR, by (ii), ∃O ∈ OIR with
E ⊆ O such that µLo (O \ E) < ǫ. Note that A ∩ E e = (A ∩ E e ∩ O) ∪ (A ∩
Ee ∩ O)e ⊆ (O \ E) ∪ (A ∩ O)e and A ∩ E ⊆ A ∩ O. By Definition 11.14, we
have µLo (A) ≤ µLo (A ∩ E) + µLo (A ∩ E) e ≤ µLo (A ∩ O) + µLo (O \ E) +
e
µLo (A ∩ O) ≤ µLo (A) + ǫ, where the third inequality follows from the fact
that O ∈ OIR ⊆ BL and Definition 11.15. By the arbitrariness of ǫ, we have
µLo (A) = µLo (A ∩ E) + µLo (A ∩ E). e By the arbitrariness of A, we have
E ∈ BL .
(i) ⇔ (iii). E ∈ BL ⇔ E e ∈ BL ⇔ ∀ǫ ∈ (0, ∞) ⊂ IR, ∃O ∈ OIR with
Ee ⊆ O such that µLo (O \ E)e < ǫ, where the last ⇔ follows from (i) ⇔ (ii).
e
Let F := O, we have F ⊆ E and µLo (E \ F ) = µLo (O \ E) e < ǫ.
Next, we show (i) – (iii) are equivalent to (iv) under the additional
assumption that µLo (E) < +∞.
(i) ⇒ (iv). Let E ∈ BL . ∀ǫ ∈ (0, ∞) ⊂S IR, by Example 11.21, ∃ a

∞ ∞
P∞ ( Ii )i=1 with E ⊆ i=1 Ii =: O ∈ OIR such that
sequence of open intervals
µLo (E) = µL (E) ≤ i=1 µL (Ii ) ≤ µL (E)+ǫ/2 < +∞. Then, ∃N ∈ IN such
P∞ SN
that i=N +1 µL (Ii ) < ǫ/2. Let U := i=1 Ii ∈ OIR . We have µLo (U △E) =
µL (U △ E) = µL (U \ E) + µL (E \P e Note that
U ) ≤ µL (O \ E) + µL (E ∩ U).
∞
µL (O) = µL (E) + µL (O \ E) ≤ i=1 µL (Ii ) ≤ µL (E) + ǫ/2 < +∞ and
e = (E ∩ U e ∩ O) ∪ (E ∩ U e ∩ O)
e e S∞
E∩U S∞ = E ∩ U ∩ O ⊆ P O \ U ⊆ i=N +1 Ii .
∞
Then, µLo (U △ E) ≤ ǫ/2 + µL ( i=N +1 Ii ) ≤ ǫ/2 + i=N +1 µL (Ii ) < ǫ.
Hence, (iv) holds.
(iv) ⇒ (i). Fix any set A ⊆ IR. By (iv), ∀ǫ ∈ (0, ∞) ⊂ IR, ∃U ∈ OIR
which is finite union of open intervals, such that µLo (U △ E) < ǫ/2. Note
that A ∩ E = (A ∩ U ∩ E) ∪ (A ∩ E ∩ U) e ⊆ (A ∩ U ) ∪ (E \ U ) and
e e e e
A ∩ E = (A ∩ E ∩ U ) ∪ (A ∩ E ∩ U ) ⊆ (U \ E) ∪ (A ∩ Ue ). By Definition 11.14,
e ≤ µLo ((A ∩ U ) ∪ (E \ U )) + µLo ((U \ E) ∪
µLo (A) ≤ µLo (A ∩ E) + µLo (A ∩ E)
e e ) = µLo (A) +
(A ∩ U )) ≤ µLo (A ∩ U ) + µLo (E \ U ) + µLo(U \ E) + µLo (A ∩ U
µLo (E \ U ) + µLo (U \ E) ≤ µLo (A) + 2µLo (E △ U ) ≤ µLo (A) + ǫ, where the
equality follows from the fact that U ∈ OIR ⊆ BL and Definition 11.15. By
the arbitrariness of ǫ, we have µLo (A) = µLo (A ∩ E) + µLo (A ∩ E). e By the
arbitrariness of A, we have E ∈ BL . Hence (i) holds.
Finally, by Example 11.21, the Lebesgue measure space is the comple-
tion of the Borel measure space (IR, BB ( IR ) , µL |BB (IR) ). This completes

space, i = 1, 2, X := X1 × X2 =: (X1 × X2 , O) be the product topological
space, E := { B1 × B2 ⊆ X1 × X2 | Bi ∈ BB ( Xi ) , i = 1, 2 }, and B be the
σ-algebra on X1 × X2 generated by E. Then, B = BB ( X ).
Proof Let OBi ⊆ Oi be a countable basis for Xi , i = 1, 2. Without

loss of generality, assume that Xi ∈ OBi , i = 1, 2. By Proposition 3.28,
X is second countable with a countable basis OB := { OB1 × OB2 ⊆ X1 ×
X2 | OBi ∈ OBi , i = 1, 2 } ⊆ O. Clearly,
S∞ OBi ⊆ Oi ⊆ BB ( Xi ), i =
1, 2. Then, OB ⊆ E. ∀O ∈ O, O = i=1 Oi , where Oi ∈ OB , ∀i ∈ IN.
Hence, O ∈ B. This implies that O ⊆ B. Since B is a σ-algebra, then
O ⊆ BB ( X ) ⊆ B.
On the other hand, note that BB ( X ) is the σ-algebra generated by O.
Then, ∀O1 ∈ O1 , ∀O2 ∈ O2 , we have O1 × O2 ∈ O ⊆ BB ( X ).
Claim 11.24.1 ∀O1 ∈ O1 , ∀B2 ∈ BB ( X2 ), we have O1 × B2 ∈ BB ( X ).
Proof of claim: Fix any O1 ∈ O1 . Define F := { E ⊆ X2 | O1 ×

E ∈ BB ( X ) }. Clearly, O2 ⊆ F. Then, ∅, X2 ∈ O2 ⊆ F. ∀E ∈ F, we
have O1 × E ∈ BB ( X ). Note that O1 × X2 ∈ BB ( X ). This leads to
O1 × (X2 \ E) = (O1 × X2 ) \ (O1 × E) ∈ BB ( X ). Thus, X2 \ E ∈ F.
∞
∀ ( Ei )i=1 ⊆ F, we have O1 × Ei ∈ BB ( X ), ∀i ∈ IN. This implies that
S∞ S∞ S∞
O1 × ( i=1 Ei ) = i=1 (O1 × Ei ) ∈ BB ( X ) and i=1 Ei ∈ F. The above
shows that F is a σ-algebra on X2 . Then, O2 ⊆ BB ( X2 ) ⊆ F. Hence,
∀B2 ∈ BB ( X2 ), we have B2 ∈ F and O1 × B2 ∈ BB ( X ). This completes
Claim 11.24.2 ∀B1 ∈ BB ( X1 ), ∀B2 ∈ BB ( X2 ), we have B1 × B2 ∈

BB ( X ).
Proof of claim: Fix any B2 ∈ BB ( X2 ). Define F := { E ⊆ X1 | E ×

B2 ∈ BB ( X ) }. By Claim 11.24.1, O1 ⊆ F. Then, ∅, X1 ∈ O1 ⊆ F.
∀E ∈ F, we have E × B2 ∈ BB ( X ). Note that X1 × B2 ∈ BB ( X ).
This leads to (X1 \ E) × B2 = (X1 × B2 ) \ (E × B2 ) ∈ BB ( X ). Thus,
∞
X1 \ E ∈ F. S ∀ ( Ei )i=1 ⊆ F, we
S have Ei × B2 ∈ BB ( X ), ∀i ∈ IN. This
S∞
implies that ( i=1 Ei ) × B2 = ∞
∞
i=1 (Ei × B 2 ) ∈ B B ( X ) and i=1 Ei ∈ F.
The above shows that F is a σ-algebra on X1 . Then, O1 ⊆ BB ( X1 ) ⊆ F.
Hence, ∀B1 ∈ BB ( X1 ), we have B1 ∈ F and B1 × B2 ∈ BB ( X ). This
By Claim 11.24.2, E ⊆ BB ( X ). By the definition of B, we have B ⊆
BB ( X ). Hence, B = BB ( X ). This completes the proof of the proposition.
2
Proposition 11.25 Let X := (X, O) be a topological space, E ∈ BB ( X ),

E := (E, OE ) be the topological space with the subset topology of X , and
BE := { C ⊆ E | C ∈ BB ( X ) }. Then, BE = BB ( E ).
Proof Clearly ∅, E ∈ BE . ∀A ∈ BE , we have A ⊆ E and A ∈ BB ( X ).

Then, E ⊇ E \ A ∈ BB ( X ) and E \ A ∈ BE .S ∀ ( Ai )∞ i=1 ⊆ BE , we
∞
have
S∞ E ⊇ Ai ∈ B B ( X ), ∀i ∈ I
N. Then, E ⊇ i=1 Ai ∈ BB ( X ) and
i=1 Ai ∈ BE . This shows that BE is a σ-algebra on E.
∀OE ∈ OE , ∃O ∈ O ⊆ BB ( X ) such that OE = O ∩ E. Then, OE ∈ BE
and OE ⊆ BE . Hence, OE ⊆ BB ( E ) ⊆ BE .
On the other hand, let Ẽ := (X \ E, OX\E ) be the topological space
with the subset topology of X .
Claim 11.25.1 ∀C ∈BB ( X ), we have C1 := C ∩ E ∈ BB ( E ) and C2 :=

C ∩ (X \ E) ∈ BB Ẽ .
n

Proof of claim: Define F := A1 ∪ A2 ⊆ X A1 ∈ BB ( E ) , A2 ∈
o
BB Ẽ . ∀O ∈ O, O ∩ E ∈ OE ⊆ BB ( E ) and O ∩ (X \ E) ∈ OX\E ⊆

BB Ẽ . Then, O = (O ∩ E) ∪ (O ∩ (X \ E)) ∈ F and O ⊆ F.

Clearly, ∅, E ∈ BB ( E ) and ∅, X \ E ∈ BB Ẽ . Then, ∅ = ∅ ∪ ∅ ∈ F

and X = E ∪ (X \ E) ∈ F. ∀A ∈ F, ∃A1 ∈ BB ( E ) and ∃A2 ∈ BB Ẽ such
that A = A1 ∪ A2 . Then, A1 = A ∩ E and A2 = A ∩ (X \ E). Note that
X \A = (E ∪(X \E))\A = (E \A)∪((X

\E)\A)
= (E \A1 )∪((X \E)\A2 ),
E \ A1 ∈ BB ( E ), and (X \ E) \ A2 ∈ BB Ẽ . This implies that X \ A ∈ F.
∞
∀ (A ⊆ F, let Ai,1 := ES∩ Ai ∈ BBS( E ) and Ai,2 := (X S
i )i=1 \ E) ∩ Ai ∈
BB Ẽ , ∀i ∈ IN. Note that ∞ A
i=1 i = ∞
i=1 (Ai,1 ∪ Ai,2 ) = ( ∞
i=1 Ai,1 ) ∪
S∞ S∞ S∞
( i=1 Ai,2 ), i=1 Ai,1 ∈ BB ( E ), and i=1 Ai,2 ∈ BB Ẽ . This implies
S∞
that i=1 Ai ∈ F. The above shows that F is a σ-algebra on X. Then,
O ⊆ BB ( X ) ⊆ F. This completes the proof of the claim. 2
∀C ∈ BE , we have E ⊇ C ∈ BB ( X ). By Claim 11.25.1, C = C ∩ E ∈
BB ( E ). Then, BE ⊆ BB ( E ). Therefore, BE = BB ( E ). This completes the
Definition 11.26 Let X := (X, O) be a topological space and (X, B, µ) be
a measure space on the same set X. The triple X := (X , B, µ) is said to
be a topological measure space if B = BB ( X ) and ∀E ∈ BB ( X ), ∀ǫ ∈
(0, ∞) ⊂ IR, ∃U ∈ O with E ⊆ U such that µ(U \ E) < ǫ.
We will say that X is finite or σ-finite if the underlying measure space is
so. We will say that X is Tychonoff, Hausdorff, regular, completely regular,
or normal if X is so. We will say that X is first countable or second
countable if X is so. We will say that X is separable, second category
everywhere, connected, or locally connected if X is so. We will say that
X is compact, countably compact, sequentially compact, locally compact,
σ-compact, or paracompact if X is so.
Let X := (X, ρ) be a metric space, O be the natural topology on X
generated by the metric ρ, and (X, B, µ) be a measure space on the same
set X. The triple X := (X , B, µ) is said to be a metric measure space if
((X, O), B, µ) is a topological measure space. X is said to be a complete
metric measure space, if X is a complete metric space. X is said to be
totally bounded if X is so.
Let X := (X , IK, k · k) be a normed linear space over the field IK, O be
the natural topology on X generated by the norm k · k, and (X, B, µ) be a
measure space on the same set X. The triple X := (X, B, µ) is said to be
a normed linear measure space if ((X, O), B, µ) is a topological measure
space. Furthermore, if X is a Banach space, then X is said to be a Banach
measure space. Depending on whether IK = IR or IK = C, we will say that
X is a real or complex Banach measure space.
Proposition 11.27 Let X := (X, O) be a topological space, (X, B, µ) be
a measure space on the same set X, and B = BB ( X ). The triple X :=
(X , B, µ) is topological measure space if, and only if, ∀E ∈ BB ( X ), ∀ǫ ∈
(0, ∞) ⊂ IR, ∃X \ F ∈ O with F ⊆ E such that µ(E \ F ) < ǫ.
Proof “Necessity” ∀E ∈ B, ∀ǫ ∈ (0, ∞) ⊂ IR, X \ E ∈ B. By X
being a topological measure space, ∃U ∈ O with X \ E ⊆ U such that
µ(U \ (X \ E)) < ǫ. Then, X \ U ⊆ E and µ(E \ (X \ U )) = µ(E ∩ U ) =
µ(U \ (X \ E)) < ǫ. Hence, F := X \ U is the set we seek.
“Sufficiency” ∀E ∈ B, ∀ǫ ∈ (0, ∞) ⊂ IR, X \ E ∈ B. By the assumption,

∃X \ F ∈ O with F ⊆ X \ E such that µ((X \ E) \ F ) < ǫ. Let U := X \ F .
Then, E ⊆ U and µ(U \ E) = µ((X \ F ) \ E) = µ((X \ E) \ F ) < ǫ. Hence,
X is a topological measure space. 2
Example 11.28 The real line IR is a real Banach space with norm defined
to be the absolute value. Then, by Proposition 11.23 and Example 11.21,
R := ((IR, IR, | · |), BB ( IR ) , µB ) is a σ-finite real Banach measure space. ⋄
Proposition 11.29 Let X := (X , B, µ) be a topological measure space,

where X := (X, O) is a topological space, E ∈ B, E := (E, OE ) be the
topological space with the subset topology of X , and (E, BE , µE ) be the mea-
sure subspace of X as defined in Proposition 11.13. Then, E := (E, BE , µE )
is a topological measure space and is said to be the topological measure
subspace of X.
Proof By Definition 11.26, B = BB ( X ). By Proposition 11.13, BE =

{ C ⊆ E | C ∈ B } and µE = µ|BE . By Proposition 11.25, we have
BE = BB ( E ).
∀A ∈ BE , ∀ǫ ∈ (0, ∞) ⊂ IR, E ⊇ A ∈ B. By X being a topological
measure space, ∃U ∈ O with A ⊆ U such that µ(U \ A) < ǫ. Let Ū :=
U ∩ E ∈ OE ⊆ BE . Clearly, A ⊆ Ū and 0 ≤ µE (Ū \ A) = µ((U ∩ E) \ A) ≤
µ(U \ A) < ǫ. Hence, E is a topological measure space. This completes the
Definition 11.30 Let X be a set and C ⊆ X2 be a nonempty collection of

subsets of X. C is said to be a semialgebra on X if ∀C1 , C2 ∈ C, C1 ∩C2 ∈ C
f1 is a finite disjoint union of sets in C.
and C
Proposition 11.31 Let X be a set and C ⊆ X2 be a semialgebra on X.

A := { A ⊆ X | A is the finite disjoint union of sets in C }. Then, A is
the algebra on X generated by C.
S
Proof Clearly ∅ ∈ A. Fix C1 ∈ C 6= ∅. Then, C f1 = n Ci ,
i=2
n f1 =
where
Sn n ∈ IN, ( C )
i i=2 ⊆ C is pairwise disjoint. Then, X = C 1 ∪ C
C
i=1 i , where the sets in the
S i union are pairwise disjoint. Hence, X ∈ A.
∀A1 , A2 ∈ A, then Ai = nj=1 Cj,i , where ni ∈ Z+ and ( Cj,i )nj=1
i
⊆ C is
f1 = Tn1 C g
pairwise disjoint, i = 1, 2. Note that A j=1 j,1 . ∀j ∈ {1, . . . , n1 },
g S mj mj
C j,1 = l=1 Cl,j,1 , where mj ∈ Z+ and ( Cl,j,1 )l=1 ⊆ C is pairwise disjoint.
Then,
mj
n1 [ m1 mj
n1 [
\ [ \
f1
A = Cl,j,1 = (Cl1 ,1,1 ∩ ( Cl,j,1 ))
j=1 l=1 l1 =1 j=2 l=1
m1
[ m
[2 n1 mj
\[
= (Cl1 ,1,1 ∩ ( (Cl2 ,2,1 ∩ ( Cl,j,1 )))
l1 =1 l2 =1 j=3 l=1
m1 [
m2 mj
n1 [
[ \
= (Cl1 ,1,1 ∩ Cl2 ,2,1 ∩ ( Cl,j,1 )))
l1 =1 l2 =1 j=3 l=1
m1 mn 1 n1
[ [ \
= ··· Clj ,j,1
l1 =1 ln1 =1 j=1
T
When n1 = 0, clearly A f1 = X ∈ A. When n1 ≥ 1, n1 Clj ,j,1 ∈ C for any
j=1
admissible choice of indices l1 , . . . T , ln1 . For different T admissible choices of
n1 n1
indices l1 , . . . , ln1 and l̄1 , . . . , l̄n1 , ( j=1 Clj ,j,1 ) ∩ ( j=1 Cl̄j ,j,1 ) = ∅. Hence,
f Sn1 Sn2
A1 ∈ A. Note that A1 ∩ A2 = j1 =1 j2 =1 (Cj1 ,1 ∩ Cj2 ,2 ). Cj1 ,1 ∩ Cj2 ,2 ∈ C
for any admissible choice of indices j1 , j2 . For different admissible choices
of indices j1 , j2 and j̄1 , j̄2 , (Cj1 ,1 ∩ Cj2 ,2 ) ∩ (Cj̄1 ,1 ∩ Cj̄2 ,2 ) = ∅. Hence,
A1 ∩ A2 ∈ A.
Therefore, A is an algebra on X. Clearly, A is the smallest algebra
on X containing C. Hence, A is the algebra on X generated by C. This
Proposition 11.32 Let X be a set, C be a semialgebra on X, and µ : C →

[0, +∞] ⊂ IRe . Assume that
S
(i) ∀C ∈ C, ∀n ∈P Z+ , ∀ pairwise disjoint ( Ci )ni=1 ⊆ C with C = ni=1 Ci ,
n
then µ(C) = i=1 µ(Ci );
∞ S∞
(ii) ∀C ∈ C,P∀ pairwise disjoint ( Ci )i=1 ⊆ C with C = i=1 Ci , then
µ(C) ≤ ∞ i=1 µ(Ci ).
Then, µ admits a unique extension to a measure µ̄ on the algebra on X, A,

generated by C.
Proof By Proposition 11.31, A = { A ⊆ X | A is the finite Pn disjoint

union S of sets in C }. Define µ̄ : A → [0, ∞] ⊂ IRe by µ̄(A) = i=1 µ(Ci ),
∀A = ni=1 Ci ∈ A where n ∈ Z+ and ( Ci )ni=1 ⊆ C is pairwise disjoint. By
(i), µ̄ is
Snwell-defined. Clearly µ̄(∅) = 0. ∀A1 , A2 ∈ A with A1 ∩ A2 = ∅,
nl
Al = i=1 l
Ci,l , where nl ∈ Z+ and ( Ci,l )i=1 ⊆ C is pairwise disjoint,
S2 Snl
l = 1, 2. A1 ∪ A2 = l=1 i=1 Ci,l where Ci,l , l = 1, 2, i = 1, . . . , nl are
P P l
pairwise disjoint. Then, µ̄(A1 ∪ A2 ) = 2l=1 ni=1 µ(Ci,l ) = µ̄(A1 ) + µ̄(A2 ).
Hence, µ̄ is finitely additive. S∞
∞
∀ ( Ai )i=1 ⊆ A with A = i=1 Ai ∈ A Sand A1 , A2 , . . . Sbeing pair-
n n
wise
Pn disjoint. By finite additivity µ̄(A) P∞= µ̄(( i=1 Ai ) ∪ (A \ i=1 Ai )) ≥
i=1 µ̄(Ai ), ∀n ∈ S IN. Then, µ̄(A) ≥ i=1 µ̄(Ai ). On the other hand, since
n̄ n̄
A ∈ A, then A = i=1 SniCi , where n̄ ∈ Z+ and ( Ci )i=1 ⊆niC is pairwise dis-
joint. ∀i ∈ IN, Ai = j=1 Cj,i , where ni ∈ Z+ and ( Cj,i )j=1 ⊆ C is pairwise
S∞ S∞ Snl
disjoint. Then, ∀i ∈ {1, . . . , n̄}, Ci = Ci ∩( l=1 Al ) = l=1 j=1 (Cj,l ∩Ci ).
P∞ Pnl
By (ii), we have µ(Ci ) ≤ µ(C j,l ∩ C i ). Therefore, µ̄(A) =
Pn̄ Pn̄ P∞ Pnll=1 j=1 P∞ Pnl Pn̄
i=1 µ(C i ) ≤ i=1 l=1 j=1 µ(C j,l ∩ Ci ) = l=1 j=1 i=1 µ(C j,l ∩
P∞ Pnl P∞
Ci ) = l=1 j=1 µ(Cj,l ) = l=1 µ̄(Al ), where the third equality follows
P∞
from (i). Hence, µ̄(A) = l=1 µ̄(Al ).
This implies that µ̄ is a measure on algebra A. Clearly, it is an extension
of µ to A and it is the unique extension. This completes the proof of the
proposition. 2
11.3 Measurable Functions

Definition 11.33 Let (X, B) be a measurable space, Y := (Y, OY ) be a
topological space, and f : X → Y. We will say that f is B-measurable, if
∀O ∈ OY , f inv(O) ∈ B. When it is clear from the context, we will simply
say that f is measurable.
Proposition 11.34 Let (X, B) be a measurable space, Y := (Y, OY ) be a

topological space, and f : X → Y. Then,
(i) f is B-measurable if, and only if, ∀E ∈ BB ( Y ), f inv(E) ∈ B;
(ii) if Y is second countable with a countable basis B̄, then f is B-
measurable if, and only if, ∀BY ∈ B̄, f inv(BY ) ∈ B.
Proof (i) “Sufficiency” is obvious. “Necessity” Let f be B-measurable.

Define BY := { E ⊆ Y | f inv(E) ∈ B }. Clearly, OY ⊆ BY . We will
show that BY is a σ-algebra on Y . Then, BB ( Y ) ⊆ BY and the result is
established.
Clearly, f inv(∅) = ∅ ∈ B and f inv(Y ) = X ∈ B, then ∅, Y ∈ BY . ∀E ∈
BY , by Proposition 2.5, f inv(Y \ E) = f inv(Y ) \ f inv(E) = X \ f inv(E) ∈ B.
∞
Hence, Y \ E ∈ BY . ∀ ( ES i )i=1 ⊆ BY , S
we have f inv(Ei ) ∈ B, ∀i ∈S
IN. Then,
∞ ∞ ∞
by Proposition 2.5, f inv( i=1 Ei ) = i=1 f inv(Ei ) ∈ B. Then, i=1 Ei ∈
BY . This shows BY is a σ-algebra on Y .
(ii) “Necessity” is obvious. “Sufficiency” ∀O S∞ ∈ OY , since Y is second
∞
countable, then
S∞ ∃ ( Bi )i=1 ⊆ B̄ such that O = i=1 Bi . This implies that
f inv(O) = i=1 f inv(Bi ) ∈ B, where the equality follows from Proposi-
tion 2.5. Hence, f is B-measurable.
Proposition 11.35 Let (X, B) be a measurable space, f : X → IRe . Then,

the following statements are equivalent.
(i) f is B-measurable.
(ii) ∀α ∈ IR, the set { x ∈ X | f (x) < α } ∈ B.
(iii) ∀α ∈ IR, the set { x ∈ X | f (x) ≥ α } ∈ B.
(iv) ∀α ∈ IR, the set { x ∈ X | f (x) ≤ α } ∈ B.
(v) ∀α ∈ IR, the set { x ∈ X | f (x) > α } ∈ B.
11.3. MEASURABLE FUNCTIONS 351
These statements imply
(vi) ∀α ∈ IRe , the set { x ∈ X | f (x) = α } ∈ B.
Proposition 11.36 Let X := (X, B) be a measurable space, fi : X →

[0, ∞] ⊂ IRe be B-measurable, i = 1, 2, and c ∈ (0, ∞) ⊂ IR. Then, cf1 and
f1 + f2 are B-measurable.
Proof ∀α ∈ IR, { x ∈ X | cf1 (x) < α } = { x ∈ X | f1 (x) < α/c } ∈ B

by Proposition 11.35. Then, by Proposition
S 11.35, cf1 is B-measurable.
{ x ∈ X | f1 (x) + f2 (x) < α } = r∈Q ({ x ∈ X | f1 (x) < r } ∩ { x ∈
X | f2 (x) < α−r }) ∈ B by Proposition 11.35. Then, by Proposition 11.35,
f1 + f2 is B-measurable. This completes the proof of the proposition. 2
Proposition 11.37 Let X := (X , B, µ) be a topological measure space, Y be

a topological space, and f : X → Y be continuous. Then, f is B-measurable.
Proposition 11.38 Let (X, B) be a measurable space, Y and Z be topo-

logical spaces, f : X → Y be B-measurable, and g : Y → Z be continuous.
Then, h := g ◦ f : X → Z is B-measurable.
Proof ∀O ∈ OZ , g inv(O) ∈ OY since g is continuous. hinv(O) =

f inv(g inv(O)) ∈ B. Hence, h is B-measurable. 2
Proposition 11.39 Let (X, B) be a measurable space, Yi := (Yi , Oi ) be

a second countable topological space, fiQ: X → Yi , ∀i ∈ N ⊆ IN, N is
a countable index set, Y := (Y, O) := i∈N Yi be the product topological
space, and f : X → Y be given by πi (f (x)) = fi (x), ∀x ∈ X, ∀i ∈ N .
Then, f is B-measurable if, and only if, fi is B-measurable, ∀i ∈ N .
Proof “Sufficiency” Let fi ’s be B-measurable. ∀i ∈ N , let BY i be

a countable basis for Yi . Without loss of generality, assume ∅, Yi ∈ BY i .
Then, Y is second countable S with a countable basis BY as defined in Propo-
∞
sition 3.28.
Q ∀O ∈ O, O = l=1 OBl where OBl ∈ BY , ∀l ∈ IN. ∀l ∈ IN,
OBl = i∈N Bli , where Bli ∈ BY i , ∀i ∈ NT , Bli = Yi , ∀i ∈ N \ Nl , and
Nl ⊆ N is a finite set. Then, f inv(OBl ) = i∈N fiinv(Bli ) ∈SB since fi ’s
∞
S∞ B-measurable and B is a σ-algebra. Then, f inv(O) = f inv( l=1 OBl ) =
are
l=1 f inv(OBl ) ∈ B. Hence, f is B-measurable.
Q “Necessity” Let f be B-measurable. ∀i0 ∈ N , ∀Oi0 ∈ Oi0 , let O :=
i∈N Oi ∈ O, where Oi = Yi , ∀i ∈ N with i 6= i0 . By the measurability of
f , we have fi0 inv(Oi0 ) = f inv(O) ∈ B. Hence, fi0 is B-measurable.
Proposition 11.40 Let (X, B) be a measurable space, fn : X → IRe be

B-measurable, ∀n ∈ IN, f¯S := lim supn∈IN fn : X → IRe defined by f¯S (x) =
lim supn∈IN fn (x), ∀x ∈ X, and f¯I := lim inf n∈IN fn : XW → IRe Vdefined
n n
by f¯I (x) = lim inf n∈IN fn (x), ∀x ∈ X. Then, ∀n ∈ Z+ , i=1 fi , i=1 fi ,
¯ ¯
supi∈IN fi , inf i∈IN fi , lim supn∈IN fn = fS , and lim inf n∈IN fn = fI are B-
measurable.
Wn Sn
Proof ∀α ∈ IR, { x ∈ X | i=1 fiW (x) > α } = i=1 { x ∈ X | fi (x) >
α } ∈ B. Hence, by Proposition 11.35, ni=1 fi is B-measurable.
S∞
∀α ∈ IR, { x ∈ X | supi∈IN fi (x) > α } = i=1 { x ∈ X | fi (x) > α } ∈
B. Hence, by Proposition 11.35, supi∈IN fi is B-measurable.
Vn
By arguments that are similar to the above, i=1 fi and inf i∈IN fi are
B-measurable.
By Definition 3.82, f¯S = inf sup fj and f¯I = sup inf fj . Then,
i∈IN j∈IN,j≥i i∈IN j∈IN,j≥i
f¯S and f¯I are B-measurable. This completes the proof of the proposition.
2
∞
PropositionS∞ 11.41 Let (X, B) be a measurable space, ( Ei )i=1 ⊆ B be
such that i=1 Ei = X, Y := (Y, O) be a topological space, BEi := { B ∈
B | B ⊆ Ei }, ∀i ∈ IN, and f : X → Y. Then, f |Ei is BEi -measurable,
∀i ∈ IN, if, and only if, f is B-measurable.
Proof “Necessity” Assume that f |Ei is BEi -measurable, ∀i ∈ IN.

∀O ∈ O, by the assumption, we have ( f |Ei )inv(O) ∈ BEi ⊆ B, ∀i ∈ IN.
S∞
Then, f inv(O) = i=1 ( f |Ei )inv(O) ∈ B. Hence, f is B-measurable.
“Sufficiency” Assume that f is B-measurable. ∀O ∈ O, by the assump-
tion, f inv(O) ∈ B. Then, ( f |Ei )inv(O) = f inv(O) ∩ Ei ∈ BEi , ∀i ∈ IN.
Hence, f |Ei is BEi -measurable, ∀i ∈ IN. This completes the proof of the
proposition. 2
Definition 11.42 Let X := (X, B, µ) be a measure space. A property P is

said to hold almost everywhere in X (abbreviated a.e.) if the set of points
where it fails to hold belongs to B and have measure 0. We will write
P a.e. in X or P (x) a.e. x ∈ X .
Lemma 11.43 Let X := (X, B) be a measurable space, Y := (Y, ρ) be a

separable metric space, and f : X → Y and g : X → Y be B-measurable.
Then, the function h : X → IR, defined by h(x) = ρ(f (x), g(x)), ∀x ∈ X, is
B-measurable.
Proof By Proposition 4.4, Y is second countable. By Proposi-

tion 11.39, the function h1 : X → Y × Y, defined by h1 (x) = (f (x), g(x)),
∀x ∈ X, is B-measurable. By Propositions 11.38 and 4.30, the function h
is B-measurable. 2
Lemma 11.44 Let X := (X, B, µ) be a measure space, Y := (Y, ρ) be a sep-

arable metric space, and fi : X → Y be B-measurable, i = 1, 2, 3. Assume
that f1 = f2 a.e. in X and f2 = f3 a.e. in X . Then, f1 = f3 a.e. in X .
Proof Let E1 := { x ∈ X | f1 (x) 6= f2 (x) }, E2 := { x ∈ X | f2 (x) 6=

f3 (x) }, and E3 := { x ∈ X | f3 (x) 6= f1 (x) }. By the assumption, we have
E1 , E2 ∈ B and µ(E1 ) = µ(E2 ) = 0. Clearly, E3 ⊆ E1 ∪ E2 . Note that
E3 = { x ∈ X | ρ(f1 (x), f3 (x)) > 0 } ∈ B by Lemma 11.43. Then, we have
0 ≤ µ(E3 ) ≤ µ(E1 ) + µ(E2 ) = 0. Hence, f1 = f3 a.e. in X . This completes
Lemma 11.45 Let X := (X, B, µ) be a measure space, Yi := (Yi , Oi ) be a

Qtopological space, ∀i ∈ N ⊆ IN, where N is a
second countable metrizable
countable index set, Y := i∈N Yi be the product space, fi : X → Yi and
gi : X → Yi be B-measurable, ∀i ∈ N , f : X → Y be defined by πi (f (x)) =
fi (x), ∀i ∈ N , ∀x ∈ X, and g : X → Y be defined by πi (g(x)) = gi (x),
∀i ∈ N , ∀x ∈ X. Then, f = g a.e. in X if, and only if, fi = gi a.e. in X ,
∀i ∈ N .
Proof “Sufficiency” Let fi = gi a.e. in X , ∀i ∈ N . Then, Ei := { x ∈

X | fi (x) 6= gi (x) } ∈SB and µ(Ei ) = 0, ∀i ∈ N . Let E := { x ∈ X | f (x) 6=
g(x) }, we have E = i∈N Ei ∈ B and µ(E) = 0. Hence, f = g a.e. in X .
“Necessity” Let f = g a.e. in X . Then, E := { x ∈ X | f (x) 6= g(x) } ∈
B and µ(E) = 0. ∀i ∈ N , define Ei := { x ∈ X | fi (x) 6= gi (x) }. Clearly,
Ei ⊆ E. Since Yi is a second countable metrizable topological space, let
ρi : Yi × Yi → [0, ∞) ⊂ IR be the metric on Yi whose natural topology
is Oi . Then, (Yi , ρi ) is a separable metric space, by Proposition 4.4. By
Lemma 11.43, we have Ei = { x ∈ X | ρi (fi (x), gi (x)) > 0 } ∈ B. Then,
0 ≤ µ(Ei ) ≤ µ(E) = 0. Hence, fi = gi a.e. in X .
Lemma 11.46 Let X := (X, B, µ) be a measure space, Y be a topological

space, Z := (Z, ρ) be a separable metric space, fi : X → Y be B-measurable,
i = 1, 2, g : Y → Z be continuous. Assume that f1 = f2 a.e. in X . Then,
g ◦ f1 = g ◦ f2 a.e. in X .
Proof By the assumption, E := { x ∈ X | f1 (x) 6= f2 (x) } ∈ B and

µ(E) = 0. By Proposition 11.38, we have g ◦ fi is B-measurable, i = 1, 2.
By Lemma 11.43, E ⊇ Ē := { x ∈ X | g(f1 (x)) 6= g(f2 (x)) } = { x ∈
X | ρ(g(f1 (x)), g(f2 (x))) > 0 } ∈ B. Then, 0 ≤ µ(Ē) ≤ µ(E) = 0. Hence,
g ◦ f1 = g ◦ f2 a.e. in X . This completes the proof of the lemma. 2
Proposition 11.47 Let X := (X, B, µ) be a complete measure space, Y

be a topological space, f : X → Y be B-measurable, g : X → Y, and
g = f a.e. in X . Then, g is B-measurable.
Proof Let E := { x ∈ X | f (x) 6= g(x) }. Then, E ∈ B and µ(E) = 0.

∀O ∈ OY , g inv(O) = g inv(O)∩(E ∪(X \E)) = (g inv(O)∩E)∪(g inv (O)∩(X \
E)) = (g inv(O)∩E)∪(f inv (O)∩(X \ E)). Note that X \ E, f inv(O) ∈ B. By
the completeness of X , E ⊇ g inv(O) ∩ E ∈ B. Then, g inv(O) ∈ B. Hence, g
is B-measurable. 2
Proposition 11.48 Let X := (X, B, µ) be a measure space, Y := (Y, ρ) be

a metric space, fn : X → Y be B-measurable, ∀n ∈ IN, and f : X → Y.
Assume that limn∈IN fn (x) = f (x), ∀x ∈ X. Then, f is B-measurable.
Proof Fix any open set O ⊆ Y. ∀n ∈ IN, define On := { y ∈

T
O | BY ( y, 1/n ) ⊆ O }. Then, On = O ∩ y∈Y\O (Y \ BY ( y, 1/n )) . Note
T
that y∈Y\O (Y \ BY ( y, 1/n )) is a closed set in Y. Then, On ∈ BB ( Y ).
S∞ T∞ S∞ T∞
Claim 11.48.1 f inv(O) = l=1 k=l n=1 j=n fj inv(Ok ) =: U .
Proof of claim: ∀x ∈ f inv(O), then y := f (x) ∈ O. Since O is

open, then
∃L ∈ I
N such that BY ( y, 1/L ) ⊆ O. Then, ∀l ≥ L + 1,
1
∀ȳ ∈ BY y, L (L+1) , ∀ỹ ∈ BY ( ȳ, 1/l ), we have ρ(y, ỹ) ≤ ρ(y, ȳ)+ρ(ȳ, ỹ) <
1 1 1
L (L+1) + l ≤ L. This implies that ỹ ∈ BY ( y, 1/L ) ⊆ O. Then,

1
BY ( ȳ, 1/l ) ⊆ O. Thus, ȳ ∈ Ol and BY y, L (L+1) ⊆ Ol . Since
limn∈IN fn (x) = f (x) = y, then ∃N ∈ IN such that ∀n ≥ N , ρ(fn (x), y) <
1 1
L (L+1) . Then, fn (x) ∈ BY y, L (L+1) ⊆ Ol and x ∈ fninv(Ol ). By
T∞ S T∞
arbitrariness of n, x ∈ j=N fj inv(Ol ) ⊆ ∞ f (O ). By arbi-
T∞ S∞ T∞n=1 j=n j inv l
trariness of l, we have x ∈ k=L+1 n=1 j=n fj inv(Ok ) ⊆ U . Hence, by
the arbitrariness of x, f inv(O) ⊆ U . S∞ T∞
On the other hand, ∀x ∈ U , ∃L ∈ IN such that x ∈ n=1 j=n fj inv(OL ).
Then, ∃N ∈ IN such that ∀n ≥ N , x ∈ fninv(OL ) and fn (x) ∈ OL . Since
limn∈IN fn (x) = f (x), then ∃N̄ ≥ N , N̄ ∈ IN such that ρ(fN̄ (x), f (x)) <
1/L. Then, f (x) ∈ BY ( fN̄ (x), 1/L ). Note that fN̄ (x) ∈ OL and
BY ( fN̄ (x), 1/L ) ⊆ O. Then, f (x) ∈ O and x ∈ f inv(O). By the arbi-
trariness of x, U ⊆ f inv(O).
Hence, f inv(O) = U . This completes the proof of the claim. 2
∀k ∈ IN, ∀j ∈ IN, by Proposition 11.34, fj inv(Ok ) ∈ B. By Claim 11.48.1,
f inv(O) ∈ B. Hence, f is B-measurable. This completes the proof of the
proposition. 2
Proposition 11.49 Let X := (X, B, µ) be a complete measure space, Y :=

(Y, ρ) be a metric space, fn : X → Y be B-measurable, ∀n ∈ IN, and f :
X → Y. Assume that limn∈IN fn = f a.e. in X . Then, f is B-measurable.
Proof Let E := { x ∈ X | ( fn (x) )∞n=1 does not converge to f (x) }.

By the assumption, E ∈ B and µ(E) = 0. Let g := f |X\E and gn :=
fn |X\E , ∀n ∈ IN. Then, limn∈IN gn (x) = g(x), ∀x ∈ X \ E ∈ B.
Let XE := (X \ E, BX\E , µX\E ) be the complete measure subspace of X

as defined in Proposition 11.13. Clearly, gn is BX\E -measurable, ∀n ∈ IN.
Then, g is BX\E -measurable by Proposition 11.48. ∀ open set O ⊆ Y,
g inv(O) ∈ BX\E ⊆ B. f inv(O) = g inv(O) ∪ { x ∈ E | f (x) ∈ O }. By
the completeness of X , we have E ⊇ { x ∈ E | f (x) ∈ O } ∈ B. Then,
f inv(O) ∈ B. Hence, f is B-measurable. This completes the proof of the
proposition. 2
Proposition 11.50 Let (X, B) be a measurable space, Y := (Y, ρ) be a

separable metric space, fn : X → Y be B-measurable, ∀n ∈ IN, and f :
X → Y be B-measurable. Then, the set
∞
E := { x ∈ X | ( fn (x) )n=1 converges to f (x) } ∈ B
Proof We will show that

∞
\ ∞ \
[ ∞ ∞ [
\ ∞ \
∞
E= { x ∈ X | ρ(fk (x), f (x)) < 1/m } =: Ek,m =: Ē
m=1 i=1 k=i m=1 i=1 k=i
Then, ∀m ∈ IN, ∀k ∈ IN, Ek,m ∈ B by Lemma 11.43. This further implies

that Ē ∈ B.
∀x ∈ E, ∀m ∈ IN, ∃k0 ∈ IN, T ∀k ∈ IN with kS≥ kT 0 , ρ(fk (x), f (x)) <
∞ ∞ ∞
1/m. Then, x ∈ Ek,m and x ∈ k=k0 Ek,m ⊆ i=1 k=i Ek,m . By the
arbitrariness of m, we have x ∈SĒ. This implies that E ⊆ Ē. On the other
∞ T∞
hand,
T∞ ∀x ∈ Ē, ∀m ∈ IN, x ∈ i=1 k=i Ek,m . Then, ∃k0 ∈ IN, such that
x ∈ k=k0 Ek,m . ∀k ∈ IN with k ≥ k0 , x ∈ Ek,m and ρ(fk (x), f (x)) < 1/m.
This leads to limn∈IN fn (x) = f (x) and x ∈ E. Then, we have Ē ⊆ E.
Hence, E = Ē ∈ B. This completes the proof of the proposition. 2

a separable complete metric space, fi : X → Y be B-measurable, ∀i ∈ IN,
∞
E := { x ∈ X | ( fi (x) )i=1 converges in Y }
and f T: E S→ YT defined by f (x) = limi∈IN fi (x), ∀x ∈ E. Then,

∞ ∞ ∞ T∞
E = j=1 m=1 l=m n=m Ej,l,n =: Ē ∈ B, where Ej,l,n := { x ∈
X | ρ(fl (x), fn (x)) < 1/j }, ∀j, l, n ∈ IN, and f is BE -measurable, where
(E, BE , µE ) is the measure subspace of X .
Proof ∀j, l, n ∈ IN, by Lemma 11.43 and the separability of Y, Ej,l,n ∈

B. Then, Ē ∈ B.
∀x ∈ Ē, ∀j ∈ IN, ∃m0 ∈ IN, ∀l, n ∈ IN with l ≥ m0 and n ≥ m0 , we
have ρ(fl (x), fn (x)) < 1/j. Then, ( fi (x) )∞
i=1 ⊆ Y is a Cauchy sequence.
∞
By the completeness of Y, ( fi (x) )i=1 converges in Y. Hence, x ∈ E. By
the arbitrariness of x, we have Ē ⊆ E.
On the other hand, ∀x ∈ E, since ( fi (x) )∞ i=1 converges in Y, then it is
a Cauchy sequence. ∀j ∈ IN, ∃m0 ∈ IN, ∀l, n ∈ IN with l ≥ m0 and n ≥ m0 ,
we have ρ(fl (x), fn (x)) < 1/j. Then, x ∈ Ej,l,n . Then, x ∈ Ē. By the
arbitrariness of x, we have E ⊆ Ē. Therefore, E = Ē ∈ B.
Note that f (x) = limi∈IN fi |E (x), ∀x ∈ E. Clearly, fi |E is BE -
measurable, ∀i ∈ IN. By Proposition 11.48, f is BE -measurable.
Proposition 11.52 Let X := (X, B, µ) be a measure space, Y := (Y, O)
be a Hausdorff topological space, Z := (Z, ρ) be a separable metric space,
fn : X → Y be B-measurable, ∀n ∈ IN, f : X → Y be B-measurable, and
g : Y → Z be continuous. Assume that limn∈IN fn = f a.e. in X . Then,
limn∈IN g ◦ fn = g ◦ f a.e. in X .
Proof Let E := { x ∈ X | limn∈IN fn (x) = f (x) } and Ē := { x ∈
X | limn∈IN g(fn (x)) = g(f (x)) }. By Proposition 3.66, we have E ⊆ Ē.
By the assumption, E ∈ B and µ(E) e = 0. By Proposition 11.38, g ◦ fn
and g ◦ f are B-measurable, ∀n ∈ IN. By Proposition 11.50, Ē ∈ B. Then,
0 ≤ µ(E)ē ≤ µ(E)e = 0. Hence, limn∈IN g ◦ fn = g ◦ f a.e. in X . This
Proposition 11.53 Let X := (X, B, µ) be a measure space, Yi := (Yi , Oi )
be a second countable metrizable topological space, fi : X → Yi be B-
measurable, gn,i : X → Yi be B-measurable,
Q ∀n ∈ IN, ∀i ∈ N ⊆ IN, N
is a countable index set, Y := (Y, O) := i∈N Yi be the product topological
space, f : X → Y be given by πi (f (x)) = fi (x), ∀x ∈ X, ∀i ∈ N , and
gn : X → Y be given by πi (gn (x)) = gn,i (x), ∀x ∈ X, ∀i ∈ N , ∀n ∈ IN.
Then, limn∈IN gn = f a.e. in X if, and only if, limn∈IN gn,i = fi a.e. in X ,
∀i ∈ N .
Proof By Proposition 11.39, f and gn are B-measurable, ∀n ∈ IN.
“Sufficiency” Assume limn∈IN gn,i = fi a.e. in X , ∀i ∈ N . ∀i ∈ N , let Ei :=
∞
{ x ∈ X | ( gn,i (x) )n=1 does not converge to fi (x) }. Then, Ei ∈ B and
µ(Ei ) = 0. Let E := { x S ∈ X | ( gn (x) )∞ P to f (x) }.
n=1 does not converge
By Proposition 3.67, E = i∈N Ei ∈ B. Then, 0 ≤ µ(E) ≤ i∈N µ(Ei ) =
0. Hence, limn∈IN gn = f a.e. in X . “Necessity” Assume limn∈IN gn =
f a.e. in X . Let E and Ei be as defined above, ∀i ∈ IN. Then, E ∈ B
and µ(E) = 0. ∀i ∈ N , by Proposition 3.67, we have Ei ⊆ E. Since Yi is
second countable metrizable topological space, let ρi : Yi ×Yi → [0, ∞) ⊂ IR
be the metric on Yi whose natural topology is Oi . Then, by Proposition 4.4,
(Yi , ρi ) is a separable metric sapce. By Proposition 11.50, we have Ei ∈ B.
Then, 0 ≤ µ(Ei ) ≤ µ(E) = 0. Hence. limn∈IN gn,i = fi a.e. in X . This
Theorem 11.54 (Egoroff ’s Theorem) Let X := (X, B, µ) be a finite
measure space, Y := (Y, ρ) be a separable metric space, fn : X → Y be
B-measurable, ∀n ∈ IN, and f : X → Y be B-measurable. Assume that
limn∈IN fn= f a.e. in X . Then, ∀η ∈ (0, ∞) ⊂ IR, ∃A ∈ B with µ(A) < η
∞
such that fn |X\A converges uniformly to f |X\A .
n=1
∞
Proof Let E := { x ∈ X | ( fn (x) )n=1 does not converge to f (x) }.
By the assumption, E ∈ B and µ(E) = 0.
∀η ∈ (0, ∞) ⊂ IR, ∀n ∈ IN, ∀m ∈ IN, let
Gm,n := { x ∈ X \ E | ρ(fm (x), f (x)) ≥ 2−n }
By Lemma 11.43, Gm,n ∈ B. Let

∞
[
Hm,n := Gj,n = { x ∈ X \ E | ρ(fi (x), f (x)) ≥ 2−n for some i ≥ m }
j=m
Then, Hm+1,n ⊆ Hm,n ∈ B. ∀x ∈ X \ E, since T∞limj∈IN fj (x) = f (x),

then ∃mx ∈ IN such that x 6∈ Hmx ,n . Hence, m=1 Hm,n = ∅. Note
T µ(H1,n ) ≤ µ(X) < ∞. By Proposition 11.5, limm∈IN µ(H
that m,n ) =
µ( ∞m=1 H m,n ) = 0. Then, ∃m n ∈ I
N such that µ(H m n ,n ) < 2 −n
η. Let
An := Hmn ,n ∈ B. Then, µ(An ) < 2−n η and ∀i ≥ mn , ∀x ∈ (X \ E) \ An ,
−n
we have ρ(fi (x), f (x))
S∞ < 2 .
Let A := E ∪ ( n=1 P An ) ∈ B. By countable subadditivity of measure,
∞
we have µ(A) ≤ µ(E) + n=1 µ(An ) < η. ∀ǫ ∈ (0, ∞) ⊂ IR, ∃n0 ∈ IN with
−n0
0 < 2 ≤ ǫ. ∀j ≥ mn0 ∈ IN, ∀x∈ X \ A ⊆ (X \ E) \ An0 , we have
∞
ρ(fj (x), f (x)) < 2−n0 ≤ ǫ. Hence, fn |X\A converges uniformly to
n=1
f |X\A . This completes the proof of the proposition. 2
Definition 11.55 Let X := (X, B, µ) be a measure space, Y := (Y, ρ) be

a separable metric space, fn : X → Y be B-measurable, ∀n ∈ IN, and
∞
f : X → Y be B-measurable. We will say that ( fn )n=1 converges to f in
measure in X if ∀ǫ ∈ (0, ∞) ⊂ IR, ∃N ∈ IN such that ∀n ∈ IN with n ≥ N ,
we have µ(An,ǫ ) := µ({ x ∈ X | ρ(fn (x), f (x)) ≥ ǫ }) < ǫ. In this case, we
will write limn∈IN fn = f in measure in X .
Note that in the above definition, ∀ǫ ∈ (0, ∞) ⊂ IR, ∀n ∈ IN, An,ǫ ∈ B

by Lemma 11.43. Hence, the definition is well-defined.
Proposition 11.56 Let X := (X, B, µ) be a measure space, Y := (Y, ρ)

be a separable metric space, fn : X → Y be B-measurable, ∀n ∈ IN, and
f : X → Y be B-measurable. Assume that limn∈IN fn = f in measure in X .
∞ ∞
Then, there exists a subsequence ( fnk )k=1 of ( fn )n=1 such that
limk∈IN fnk = f a.e. in X .

Proof Define An,k := x ∈ X ρ(fn (x), f (x)) ≥ 2−k , ∀n, k ∈ IN.
By Lemma 11.43, An,k ∈ B. By the assumption, ∃n1 ∈ IN such that
∀n ∈ IN with n ≥ n1 , we have µ(An,1 ) < 2−1 . ∀k ∈ IN with k > 1, by the
assumption, ∃nk ∈IN with nk > nk−1 such that ∀n ∈ IN with n ≥ nk , we
have µ(An,k ) = µ( x ∈ X ρ(fn (x), f (x)) ≥ 2−k ) < 2−k . This defines a
∞
subsequence ( fnk )k=1 .
T∞ S∞ S∞
P∞Let A := i=1 −i+1 k=i Ank ,k ∈ B. Then, µ(A) ≤ µ( k=i Ank ,k ) ≤
k=i µ(Ank ,k ) < 2 , ∀i ∈ IN. Hence, µ(A) = 0. ∀x ∈ X \ A =
S∞ T∞
^ ^
i=1 k=i Ank ,k , ∃i0 ∈ IN such that ∀k ∈ IN with k ≥ i0 , x ∈ Ank ,k .
−k
Then, we have ρ(fnk (x), f (x)) < 2 . Hence, limk∈IN fnk (x) = f (x). Then,
∞
E := { x ∈ X | ( fnk (x) )k=1 does not converge to f (x) } ⊆ A. By Propo-
sition 11.50, we have E ∈ B and µ(E) = 0. Therefore, limk∈IN fnk =
f a.e. in X . This completes the proof of the proposition. 2
Proposition 11.57 Let X := (X, B, µ) be a finite measure space, Y :=

(Y, ρ) be a separable metric space, fn : X → Y be B-measurable, ∀n ∈ IN,
and f : X → Y be B-measurable. Assume that limn∈IN fn = f a.e. in X .
Then, limn∈IN fn = f in measure in X .
Proof ∀ǫ ∈ (0, ∞) ⊂ Egoroff’s Theorem 11.54, ∃A ∈ B

IR, by∞
with µ(A) < ǫ such that fn |X\A converges uniformly to f |X\A .
n=1
Then, ∃n0 ∈ IN, ∀n ∈ IN with n ≥ n0 , we have ρ(fn (x), f (x)) < ǫ,
∀x ∈ X \ A. Then, An,ǫ := { x ∈ X | ρ(fn (x), f (x)) ≥ ǫ } ⊆ A. By
Lemma 11.43, An,ǫ ∈ B and µ(An,ǫ ) ≤ µ(A) < ǫ. This shows that
limn∈IN fn = f in measure in X . This completes the proof of the propo-
sition. 2
Proposition 11.58 Let X := (X, B, µ) be a measure space, Y := (Y, ρ)

be a separable metric space, fn : X → Y be B-measurable, ∀n ∈ IN, and
f : X → Y be B-measurable. Then, limn∈IN fn = f in measure in X if,
and only if, every subsequence ( fnk )∞ ∞
k=1 of ( fn )n=1 admits a subsequence
∞
fnkj that converges to f in measure.
j=1
∞
Proof “Necessity” Let ( fn )n=1 converges to f in measure and
∞ ∞ ∞
( fnk )k=1 be a subsequence of ( fn )n=1 . Clearly, ( fnk )k=1 converges to
f in measure, and it is a subsequence of itself. Hence, the result holds.
∞ ∞
“Sufficiency” Assume that every subsequence ( fnk )k=1 of ( fn )n=1 ad-
∞
mits a subsequence fnkj that converges to f in measure. We will
j=1
prove the result using an argument of contradiction. Suppose ( fn )∞
n=1 does
not converge to f in measure. Then, ∃ǫ0 ∈ (0, ∞) ⊂ IR, ∀n0 ∈ IN, ∃n ∈ IN
with n ≥ n0 such that µ(An ) := µ({ x ∈ X | ρ(fn (x), f (x)) ≥ ǫ0 }) ≥ ǫ0 ,
where An ∈ B by Lemma 11.43. Then, ∃n1 ∈ IN such that µ(An1 ) ≥ ǫ0 .
∀k ∈ IN, ∃nk+1 ∈ IN with nk+1 > nk such that µ(Ank+1 ) ≥ ǫ0 . This defines
∞
a subsequence ( fnk )k=1 , which satisfies that ∀k ∈ IN, µ(Ank ) = µ({ x ∈
X | ρ(fnk (x), f (x)) ≥ ǫ0 }) ≥ ǫ0 . Clearly, there does not exist a subse-
∞
quence of ( fnk )k=1 that converges to f in measure. This contradicts with
the assumption. Therefore, ( fn )∞
n=1 converges to f in measure.

(Y, ρ) be a separable metric space, fn : X → Y be B-measurable, ∀n ∈ IN,
and f : X → Y be B-measurable. Then, limn∈IN fn = f in measure in X if,
∞ ∞
and
only if, every subsequence ( fnk )k=1 of ( fn )n=1 admits a subsequence
∞
fnkj that converges to f a.e. in X .
j=1
∞
Proof “Necessity” Let ( fn )n=1 converge to f in measure. Let
( fnk )∞ be a subsequence of ( fn )∞ ∞
n=1 . Clearly, ( fnk )k=1 converges to
k=1 ∞
f in measure. By Proposition 11.56, there exists a subsequence fnkj
j=1
∞
of ( fnk )k=1 that converges to f a.e. in X .
∞ ∞
“Sufficiency” Assume
that
every subsequence ( fnk )k=1 of ( fn )n=1 ad-
∞
mits a subsequence fnkj that converges to f a.e. in X . By Proposi-
∞ j=1
tion 11.57, fnkj converges to f in measure. By Proposition 11.58, we

j=1
∞
have ( fn )n=1 converges to f in measure in X .
Definition 11.60 Let X := (X, B, µ) be a measure space, Y := (Y, ρ) be

a separable metric space, and fn : X → Y be B-measurable, ∀n ∈ IN.
∞
We will say that ( fn )n=1 is Cauchy in measure in X if ∀ǫ ∈ (0, ∞) ⊂
IR, ∃n0 ∈ IN, ∀n, m ∈ IN with n ≥ n0 and m ≥ n0 , we have µ({ x ∈
X | ρ(fn (x), fm (x)) ≥ ǫ }) < ǫ.

a separable complete metric space, and fn : X → Y be B-measurable, ∀n ∈
∞
IN. Assume that ( fn )n=1 is Cauchy in measure in X . Then, ∃f : X → Y
such that f is B-measurable and limn∈IN fn = f in measure in X .
Proof Let n0 := 0. ∀i ∈ IN, by the assumption, ∃ni ∈ IN with

ni > n
i−1 such that ∀n, m ∈ IN with n ≥ ni and m ≥ ni , we have µ( x∞∈
X ρ(fn (x), fm (x)) ≥ 2−i ) < 2−i . This defines a subsequence ( fni )i=1
∞ −i
of ( fn )n=1 . ∀i ∈ IN, let Ai := x ∈ X Tρ(fnS i (x), fni+1 (x)) ≥ 2 . Then,
−i ∞ ∞
Ai ∈ B and µ(Ai ) < 2 . Let A := i=1 j=i Aj ∈ B. Then, µ(A) ≤
S∞ P∞
µ( j=i Aj ) ≤ j=i µ(Aj ) < 2−i+1 , ∀i ∈ IN. Hence, µ(A) = 0. ∀x ∈ X \
S∞ T∞
A= fj , ∃i0 ∈ IN such that x ∈ A
A fi and ρ(fni (x), fni+1 (x)) < 2−i ,
i=1 j=i
∞
∀i ∈ IN with i ≥ i0 . Then, ( fni (x) )i=1 ⊆ Y is a Cauchy sequence. By the
completeness of Y, ∃! f (x) ∈ Y such that limi∈IN fni (x) = f (x). ∀x ∈ A,
we assign f (x) := f1 (x) ∈ Y. This defines a function f : X → Y that
satisfies limi∈IN fni (x) = f (x), ∀x ∈ X \ A. By Proposition 11.48, f |X\A is
BX\A -measurable, where (X \ A, BX\A , µX\A ) is the measure subspace of
X . Clearly, f |A = f1 |A is BA -measurable, where (A, BA , µA ) is the measure
subspace of X . By Proposition 11.41, f is B-measurable.
S∞ T∞ f
∀i ∈ IN, ∀x ∈ ^ j=i Aj = j=i Aj ⊆ X\A, we have ρ(fnj (x), fnj+1 (x)) <
2−j , ∀j ≥ i. Then, by Propositions 4.30, 3.66, and 3.67, ρ(fni (x), f (x)) =
Pl−1
liml∈IN ρ(fni (x), fnl (x)) ≤ liml∈IN j=i ρ(fnj (x), fnj+1 (x)) < 2−i+1 .
S
Then, Ei := x ∈ X ρ(fni (x), f (x)) ≥ 2−i+1 ⊆ ∞ j=i Aj . By
P∞
Lemma 11.43, Ei ∈ B and µ(Ei ) ≤ j=i µ(Aj ) < 2−i+1 .
∀ǫ ∈ (0, ∞) ⊂ IR, ∃i0 ∈ IN such that 2−i0 +1 < ǫ/2. ∀n ∈ IN
with n ≥ ni0 , we have µ({ x ∈ X | ρ(fn (x), f (x)) ≥ ǫ }) ≤ µ({ x ∈
X | ρ(fn (x), fni0 (x)) + ρ(fni0 (x), f (x)) ≥ ǫ }) ≤ µ({ x ∈
X | ρ(fn (x), fni0 (x)) ≥ ǫ/2 }) + µ({ x ∈ X | ρ(fni0 (x), f (x)) ≥ ǫ/2 }) <
2−i0 + 2−i0 +1 < ǫ. Hence, limn∈IN fn = f in measure in X . This completes
Definition 11.62 Let X be a set and A ⊆ X. The characteristic function

1 x∈A
χA,X : X → {0, 1} ⊂ IR is defined by χA,X (x) = , ∀x ∈
0 x∈X \A
X.
Definition 11.63 Let X := (X, B, µ) be a measure space, Y be a normed

linear space. φ : X → Y is said to be a simple function if ∃n ∈ Z+ ,
∃y1 , . . . , yn ∈PY, and ∃A1 , . . . , An ∈ B with µ(Ai ) < +∞, i = 1, . . . , n, such
n
that φ(x) = i=1 yi χAi ,X (x), ∀x ∈ X. We will say that a simple function
φ is in canonical representation if y1 , . . . , yn are distinct and none equals
to ϑY , and A1 , . . . , An are nonempty and pairwise disjoint.
Clearly, every simple function admits a unique canonical representation.

(Y, IK, k · k) be a separable normed linear space, and f : X → U ⊆ Y be
B-measurable. Then,
(i) ∀ǫ ∈ (0, ∞) ⊂ IR, ∃ a simple function φǫ : X → U such that µ({ x ∈
X | k f (x) − φǫ (x) k ≥ ǫ }) < ǫ;
∞
(ii) there exists a sequence of simple functions ( ϕn )n=1 , ϕn : X → U ,
∀n ∈ IN, that converges to f in measure.
Proof (i) By Proposition 4.38, U , considered as a subspace of the

metric space Y, is separable. We will distinguish two exhaustive and mutu-
ally exclusive cases: Case 1: U = ∅; Case 2: U 6= ∅. Case 1: U = ∅. Then,
X = ∅. ∀ǫ ∈ (0, ∞) ⊂ IR, choose φǫ : X → U to be the simple function with
n = 0 as in Definition 11.63. Then, µ({ x ∈ X | k f (x) − φǫ (x) k ≥ ǫ }) =
∞
µ(∅) = 0 < ǫ. Hence, (i) holds. Case 2: U 6= ∅. Then, ∃ ( yi )i=1 ⊆ U
such that ∀y ∈ U , ∀δ ∈ (0, ∞) ⊂SIR, ∃i ∈ IN ∋ · Sk y − yi k < δ.
∀ǫ ∈ (0, ∞) ⊂ IR, we have U ⊆ ∞ B ( y , ǫ ) =: ∞ i=1 V̄i . Define
Si i=1 Y i
V1 := V̄1 ∈ BB ( Y ), Vi+1 := V̄i+1 \ ( j=1 V̄j ) ∈ BB ( Y ), ∀i ∈ IN. Clearly,
S∞
U ⊆ i=1 Vi and V1 , V2 , . . . are pairwise disjoint. Then, by Propositions 2.5
S∞ ∞
and 11.34, X = f inv(U ) = i=1 fP inv(Vi ) and ( f inv(Vi ) )i=1 ⊆ B and are
∞
pairwise disjoint. Then, P µ(X) = i=1 µ(f inv(Vi )) < +∞. This implies
that ∃n0 ∈ IN such that ∞ i=n0 +1 µ(f (Vi )) < ǫ. Let Ai := f inv(Vi ) ∈ B,
Sninv
0
i = 1, . . . , n0 , and An0 +1 := X \ ( i=1 A ) ∈ B. Define the simple func-
Pn0 +1 i
tion φǫ : X → U by φǫ (x) = i=1 yi χAi ,X (x), ∀x ∈ X. ∀x ∈ X,
∃! ix ∈ {1, . . . , n0 + 1} such that x ∈ Aix . Then, φǫ (x) = yix ∈ U .
∀x ∈ X \ An0 +1 , ix ∈ {1, . . . , n0 } and x ∈ Aix = f inv(Vix ) ⊆ f inv(V̄ix ).
Then, φǫ (x) = yix and f (x) ∈ V̄ix = BY ( yix , ǫ ). Hence, k fS (x)−φǫ (x) k < ǫ.
Then, A := { x ∈ X | k f (x) − φǫ (x) k ≥ ǫ } ⊆ An0 +1 = ∞ i=n0 +1 f inv(Vi ).
P∞
By Lemma 11.43, A ∈ B. Then, µ(A) ≤ i=n0 +1 µ(f inv(Vi )) < ǫ. Hence,
(i) holds. In both cases, we have proved (i).
∞
(ii) ∀n ∈ IN, let ϕn := φ2−n . Then, ( ϕn )n=1 converges to f in
measure. This completes the proof of the proposition. 2
Proposition 11.65 Let X := (X, B, µ) be a σ-finite measure space, Y be

a separable normed linear space, U ⊆ Y be a conic segment, and f : X →
U ⊆ Y be B-measurable. Then, there exists a sequence of simple functions
∞
( ϕn )n=1 , ϕn : X → U , ∀n ∈ IN, such that limn∈IN ϕn = f a.e. in X and
k ϕn (x) k ≤ k f (x) k, ∀x ∈ X, ∀n ∈ IN.
Proof We will first consider the special case Y = IR and X is fi-

nite. ∀ǫ ∈ (0, ∞) ⊂ IR, by Proposition 11.5, ∃Mǫ ∈ IN such that
µ({ x ∈ X | | f (x) | ≥ Mǫ ǫ }) =: µ(Aǫ ) < ǫ. Let Ii := [−(Mǫ − i +
1)ǫ, −(Mǫ − i)ǫ) ⊂ IR, i = 1, . . . , 2Mǫ and Ai := f inv(Ii ) ∈ B. Note
that µ(Ai ) ≤ µ(X) < +∞, i = 1, . . . , 2Mǫ and Ai ’s are pairwise dis-
PMǫ P2M
joint. Define φǫ := i=1 −(Mǫ − i)ǫχAi ,X + i=Mǫ ǫ +1 −(Mǫ − i + 1)ǫχAi,X .
Clearly, we have φǫ : X → U , | φǫ (x) | ≤ | f (x) |, ∀x ∈ X, and µ({ x ∈
X | | f (x) − φǫ (x) | > ǫ }) ≤ µ(Aǫ ) < ǫ. Then, the sequence of sim-
∞
ple functions ( φ2−n )n=1 converges to f in measure in X . By Proposi-
∞ ∞
tion 11.56, there exists a subsequence ( ϕk )k=1 = ( φ2−nk )k=1 such that
limk∈IN ϕk = f a.e. in X . The result holds in this special case.
Next, we consider the special case X is finite.
∞ By Proposition 11.64,
there exists a sequence of simple functions ψ̄i i=1 , ψ̄i : X → U , ∀i ∈ IN,
that converges to f in measure. ∞ By Proposition 11.56, there exists a
∞
subsequence ( ψn )n=1 = ψ̄in n=1 , such that limn∈IN ψn = f a.e. in X .
By Propositions 7.21 and 11.38, P ◦ f is B-measurable, where P ◦ f :
X → [0, ∞) ⊂ IR is defined by P ◦ f (x) = k f (x) k, ∀x ∈ X.1 By
the previous special case, there exists a sequence of simple functions
∞
( φn )n=1 , φn : X → [0, ∞) ⊂ IR, ∀n ∈ IN, such that limn∈IN φn =
P ◦ f a.e. in X and 0 ≤ φn (x) ≤ P ◦ f (x), ∀x ∈ X, ∀n ∈ IN. Let
E1 := { x ∈ X | ( ψn (x) )∞n=1 does not converge to f (x) } and E2 := { x ∈
∞
X | ( φn (x) )n=1 does not converge to k f (x) k }. Then, E1 , E2 ∈ B and
1 This notation will be used throughout the rest of the notes. With this notation, we
distinguish that k f k is a nonnegative real number and P ◦ f is a nonnegative real valued

function.
µ(E1 ) = µ(E2 ) = 0. Fix any n ∈ IN. Let ψn admit the canonical represen-
Pñ
tation ψn = j=1 yj χAj ,X , where ñ ∈ Z+ , y1 , . . . , yñ ∈ U are distinct and
none equals to ϑY , A1 , . . . , Añ ∈ B are pairwise disjoint, nonempty,
Sñ and
of finite measure. Let yñ+1 := ϑY ∈ U and Añ+1 := X \ ( j=1 Aj ) ∈ B.
Pñ+1
Then, ψn = j=1 yj χAj ,X . Let φn admit the canonical representation
Pn̄
j=1 aj χĀj ,X , where n̄ ∈ Z+ , a1 , . . . , an̄ ∈ [0, ∞) ⊂ IR are distinct and
none equals to 0, Ā1 , . . . , Ān̄ ∈ B are pairwise disjoint, S nonempty, and
of finite measure. Let an̄+1 := 0 and Ān̄+1 := X \ ( n̄j=1 Āj ) ∈ B.
Pn̄+1
Then, φn =
j=1 aj χĀj ,X . Define a simple function ϕn : X → U by
yj if k yj k ≤ al
ϕn (x) = , ∀x ∈ Aj ∩ Āl , j = 1, . . . , ñ + 1,
(al / k yj k)yj if k yj k > al
l = 1, . . . , n̄ +1. Clearly, ϕn (x) ∈ U , ∀x ∈ X. Alternatively, we
ψn (x) if k ψn (x) k ≤ φn (x)
have ϕn (x) = , ∀x ∈ X.
(φn (x)/ k ψn (x) k)ψn (x) if k ψn (x) k > φn (x)
Then, we have k ϕn (x) k ≤ φn (x) ≤ P ◦ f (x), ∀x ∈ X, ∀n ∈ IN,
and limn∈IN ϕn (x) = f (x), ∀x ∈ X \ (E1 ∪ E2 ). Let E := { x ∈
∞
X | ( ϕn (x) )n=1 does not converge to f (x) }. Then, E ⊆ E1 ∪ E2 . By
Proposition 11.50, E ∈ B. This implies that 0 ≤ µ(E) ≤ µ(E1 )+µ(E2 ) = 0.
Therefore, limn∈IN ϕn = f a.e. in X . Hence, the result holds in this special
case.
Finally, we consider the general S∞ case. Since X is σ-finite, then
∞
∃ ( Xi )i=1 ⊆ B such that X = i=1 Xi and µ(Xi ) < +∞, ∀i ∈ IN. With-
out loss of generality, we may assume that Xi ⊆ Xi+1 , ∀i ∈ IN. Fix
any i ∈ IN, let Xi := (Xi , Bi , µi ) be the finite measure subspace of X as
defined in Proposition 11.13. Then, f |Xi : Xi → U is Bi -measurable.
By the second special case, there exists a sequence of simple functions
∞
( φi,n )n=1 , φi,n : Xi → U , ∀n ∈ IN, such that k φi,n (x) k ≤ k f (x) k,
∀x ∈ Xi , ∀n ∈ IN, and limn∈IN φi,n = f |Xi a.e. in Xi . By Proposi-
tion 11.57, limn∈IN φi,n = f |Xi in measure in Xi . Then, ∃ni ∈ IN such

that µi (Ei ) := µi ( x ∈ Xi f |Xi (x) − φi,n (x) ≥ 2−i ) < 2−i . Let
Pn̄i
φi,ni admit the canonical representation φi,ni = j=1 yi,j χAi,j ,Xi , where
n̄i ∈ Z+ , yi,1 , . . . , yi,n̄i ∈ U are distinct and none equals to ϑY , and
Ai,1 , . . . , Ai,n̄i ∈ Bi ⊆ B are pairwise disjoint, nonempty, and of finite mea-
sure. P Then, we may define a simple function ϕi : X → U ∪ {ϑY } = U by
ϕi = n̄j=1 i
yi,j χAi,j ,X . Note that ϕi (x) = φi,ni (x) and k ϕi (x) k ≤ k f (x) k,
∀x ∈ Xi , ϕi (x) = ϑY ∈ U and k ϕi (x) k = 0 ≤k f (x) k, ∀x ∈ X \ Xi . Hence,
(x) k ≤ k f (x) k, ∀x ∈ X. Then, Ei = x ∈ X k f (x) − ϕi (x) k ≥
k ϕi
−i
2 ∩ Xi ∈ B and µ(Ei ) = µi (Ei ) < 2−i by Proposition 11.13.
T S∞ S∞
Let E := ∞ i=1 j=i Ej ∈ B. µ(E) ≤ µ( j=i Ej ) < 2
−i+1
, ∀i ∈ IN.
Then, µ(E) = 0. ∀x ∈ X \ E, ∃i0 ∈ IN such that x ∈ Xi0 . Then, x ∈ Xj ,
∀j ∈ IN with j ≥ i0 . ∃i1 ∈ IN such that x ∈ X \ Ej , ∀j ∈ IN with
j ≥ i1 . Let k0 = max{i0 , i1 }. ∀k ≥ k0 , x ∈ Xk \ Ek and k ϕk (x) −
f (x) k < 2−k This implies that limk∈IN ϕk (x) = f (x). Then, Ē := { x ∈
11.4. INTEGRATION 363
∞
X | ( ϕk (x) )k=1 does not converge to f (x) } ⊆ E. By Proposition 11.50,
we have Ē ∈ B and µ(Ē) = 0. Hence, limk∈IN ϕk = f a.e. in X . This
Proposition 11.66 Let X := (X, B, µ) be a σ-finite measure space, U :=

[0, ∞) ⊂ IR, and f : X → U be B-measurable. Then, there exists a sequence
∞
of simple functions ( ϕn )n=1 , ϕn : X → U , ∀n ∈ IN, such that 0 ≤ ϕn (x) ≤
ϕn+1 (x) ≤ f (x), ∀x ∈ X, ∀n ∈ IN, and limn∈IN ϕn (x) = f (x), ∀x ∈ X.
S∞
Proof ∃ ( Xn ) ∞
n=1 ⊆ B such that X = n=1 Xn and µ(Xn ) < ∞,
∀n ∈ IN. Without loss of generality, we may assume that Xn ⊆ Xn+1 , ∀n ∈
IN. Fix any n ∈ IN. Let Ii := ((i − 1)/n, i/n] and Ei := f inv(Ii ) ∩ Xn ∈ B,
i = 1, . . . , n2 . Note that Ei ’s are pairwise disjoint and µ(Ei ) ≤ µ(Xn ) < ∞,
Pn2
∀i ∈ {1, . . . , n2 }. Define φn := i=1 (i − 1)/nχEi ,X . Then, φn : X → U ,
0 ≤ φn (x) ≤ f (x), ∀x ∈ X, φn is a simple function,Wn and 0 ≤ f (x) − φn (x) ≤
1/n, ∀x ∈ f inv([0, n]) ∩ Xn . Define ϕn := i=1 φn . Then, ϕn : X → U ,
0 ≤ ϕn (x) ≤ ϕn+1 (x) ≤ f (x), ∀x ∈ X, ϕn is a simple function, and
0 ≤ f (x) − ϕn (x) ≤ 1/n, ∀x ∈ f inv([0, n]) ∩ Xn . ∀x ∈ X, ∃n0 ∈ IN
such that x ∈ Xn0 and 0 ≤ f (x) ≤ n0 . Then, ∀n ∈ IN with n0 ≤ n,
| f (x) − ϕn (x) | ≤ 1/n. This implies that limn∈IN ϕn (x) = f (x). This
Thus, we have generalized Littlewood’s three principles: “every Lebesgue
measurable set in IR is almost a finite union of open intervals” (Proposi-
tion 11.23); “every measurable function taking value in a separable normed
linear spaces is almost a simple function” (Propositions 11.64 and 11.65);
“every convergent sequence of measurable functions taking value in a
separable metric space is nearly uniformly convergent” (Egoroff’s Theo-
rem 11.54).
11.4 Integration
Proposition 11.67 Let X be a normed linear space, BB ( X ) be the col-
lection of Borel sets on X. A representation of X is the collection R :=
{ (xα , Uα ) | α ∈ Λ }, where Λ is a S finite index set, ( Uα )α∈Λ ⊆ BB ( X )
are nonempty and pairwise disjoint, α∈Λ Uα = X, xα ∈ Uα , and k xα k <
inf x∈Uα k x k + 1, ∀α ∈ Λ. The set of all representations of X is denoted
R ( X ). Introduce a relation on R ( X ) by ∀R1 := { (xα , Uα ) | α ∈
Λ } , R2 := { (yβ , Vβ ) | β ∈ Γ } ∈ R ( X ), we will say R1 R2 if, ∀α ∈ Λ,
∃β ∈ Γ such that xα = yβ , and, ∀β ∈ Γ, ∃α ∈ Λ such that Vβ ⊆ Uα . Then,
I ( X ) := (R ( X ) , ) is a directed system and is a antisymmetric partial
ordering on R ( X ). I ( X ) is said to be the integration system on X.
Proof Clearly, R0 := {(ϑX , X)} ∈ R ( X ) 6= ∅. Clearly, is reflexive

and transitive. ∀R1 := { (xα , Uα ) | α ∈ Λ } , R2 := { (yβ , Vβ ) | β ∈ Γ } ∈
R ( X ) with R1 R2 and R2 R1 , ∀α ∈ Λ, ∃β ∈ Γ such that Uα ⊆ Vβ ,
by R2 R1 . By R1 R2 , ∃ᾱ ∈ Λ such that Vβ ⊆ Uᾱ . Then, we have

Uα ⊆ Vβ ⊆ Uᾱ . By R1 ∈ R ( X ), ( Uα̃ )α̃∈Λ are nonempty and pairwise
disjoint. Then, we must have α = ᾱ and Uα = Vβ . By R1 R2 , ∃β̄ ∈ Γ
such that xα = yβ̄ Then, Uα = Vβ ∋ xα = yβ̄ ∈ Vβ̄ . By R2 ∈ R ( X ),

Vβ̃ are nonempty and pairwise disjoint. Then, we must have β̄ = β
β̃∈Γ
and xα = yβ . Then, (xα , Uα ) ∈ R2 . Hence, by the arbitrariness of α,
we have R1 ⊆ R2 . By an argument that is similar to the above, we have
R2 ⊆ R1 . Therefore, R1 = R2 . This shows that is an antisymmetric
partial ordering on R ( X ).
∀R1 := { (xα , Uα ) | α ∈ Λ } , R2 := { (yβ , Vβ ) | β ∈ Γ } ∈ R ( X ), define
R3 ∈ R ( X ) as follows. ∀α ∈ Λ, ∀β ∈ Γ, let Wα,β := Uα ∩ Vβ ∈ BB ( X ).
We will distinguish six exhaustive and mutually exclusive cases.
h1i h2i
Case 1: Wα,β = ∅. Define Wα,β = Wα,β = ∅.
h1i
Case 2: Wα,β 6= ∅, xα 6∈ Wα,β , and yβ 6∈ Wα,β . Define Wα,β = Wα,β ∈

h1i h1i h1i h2i
BB ( X ), zα,β ∈ Wα,β such that zα,β < inf x∈W h1i k x k + 1, and Wα,β = ∅.
α,β
h1i
Case 3: xα ∈ Wα,β and yβ 6∈ Wα,β . Define Wα,β = Wα,β ∈ BB ( X ),

h1i h1i h2i h1i
zα,β = xα ∈ Wα,β , and Wα,β = ∅. Then, zα,β = k xα k < inf x∈Uα k x k +
1 ≤ inf x∈W h1i k x k + 1.
α,β
h1i
Case 4: xα 6∈ Wα,β and yβ ∈ Wα,β . Define Wα,β = Wα,β ∈ BB ( X ),

h1i h1i h2i h1i
zα,β = yβ ∈ Wα,β , and Wα,β = ∅. Then, zα,β = k yβ k < inf x∈Vβ k x k +
1 ≤ inf x∈W h1i k x k + 1.
α,β
h1i h1i
Case 5: xα = yβ ∈ Wα,β . Define Wα,β = Wα,β ∈ BB ( X ), zα,β =

h1i h2i h1i
xα ∈ Wα,β , and Wα,β = ∅. Then, zα,β = k xα k < inf x∈Uα k x k + 1 ≤
inf x∈W h1i k x k + 1.
α,β
Case 6: xα ∈ Wα,β , yβ ∈ Wα,β , and xα 6= yβ . Let δ = k xα − yβ k >
h1i h1i h1i
0. Define Wα,β = Wα,β ∩ BX ( xα , δ/2 ) ∈ BB ( X ), zα,β = xα ∈ Wα,β ,
h2i h2i h2i
W = Wα,β ∩ ( BX ( xα , δ/2 ) )∼ ∈ BB ( X ), and zα,β = yβ ∈ Wα,β . Then,
α,β
h1i h2i
zα,β = k xα k < inf x∈Uα k x k + 1 ≤ inf x∈W h1i k x k + 1 and zα,β =
α,β
k yβ k < inf x∈Vβ k x k + 1 ≤ inf x∈W h2i k x k + 1.
n α,β o
hii hii hii
Define R3 := (zα,β , Wα,β ) α ∈ Λ, β ∈ Γ, i = 1, 2, Wα,β 6= ∅ .
Clearly, R3 ∈ R ( X ), R1 R3 , and R2 R3 . Therefore, I ( X ) is a directed
system. This completes the proof of the proposition. 2
Definition 11.68 Let X := (X, B, µ) be a finite measure space, Y be a

normed linear space with the integration system I ( Y ) := (R ( Y ) , ), and f :
X → Y be B-measurable. ∀R = { (yα , Uα ) | α ∈ Λ } ∈ R ( Y ), define FR :=
P
α∈Λ yα µ(f inv(Uα )) ∈ Y. This defines a net ( FR )R∈I(Y) . f is said to be
integrable if the net admits a limit in Y. In this case, limR∈I(Y) FR ∈ Y is

R R
said to be the integral of f overRX and denoted
R by X f dµ or X f (x) dµ(x).
When Y = IR, we will denote X f dµ := X f (x) dµ(x) := limR∈I(IR) FR ∈
IRe whenever the limit exists.
Definition 11.69 Let X := (X, B, µ) be a measure space with µ(X) = ∞,

Y be a normed linear space, and f : X → Y be B-measurable. Define the set
M ( X ) := { A ∈ B | µ(A) < +∞ }. Clearly, M ( X ) := (M ( X ) , ⊆)
is a directed system. ∀A ∈ M ( X ), µ induces a finite measure space
(A, BA , µA ) as defined in Proposition 11.13. Define a net ( FA )A∈M(X ) by
R
FA := A f |A dµA ∈ Y, ∀A ∈ M ( X ). f is said to be integrable if the net is
well defined and admits a limit in Y. In this case, limA∈M(X ) FA ∈ Y is said
R R
to be the integral of f over X and denoted by X f dµ or X f (x) dµ(x).
When Y = IR, we will allow the net ( FA )A∈M(X ) ⊆ IRe and denote
R R
X
f dµ := X f (x) dµ(x) := limA∈M(X ) FA ∈ IRe whenever the limit ex-
ists.
Proposition 11.70 Let X := (X, B, µ) be a finite measure space, Y be a

normed linear space, f : X → Y be B-measurable, and X̄ := (X, B̄, µ̄) be a
finite measure
R R that is an extension of X , i. e., B ⊆ B̄ and µ = µ̄|B .
space
Then, X f dµ = X f dµ̄, whenever one of the integrals exists.
Proof Let I ( Y ) be the integration Rsystem on Y as defined in Propo-

sition 11.67, ( FR )R∈I(Y) be the net for X f dµ, and F̄R R∈I(Y) be the
R
net for X f dµ̄, as defined in Definition 11.68. ∀R := { (yα , Uα ) | α ∈
Λ } ∈ I ( Y ), ∀α ∈ Λ, we have f inv(Uα ) ∈ B ⊆ B̄ since f is B-measurable,
and µ(f inv(Uα )) = µ̄(fPinv(Uα )) ∈ IR since µ = µ̄|B . Then,
P R FR =
α∈Λ y α µ(f inv (U α )) = y
α∈Λ R α µ̄(f inv (U α )) = F̄R ∈ Y. Hence, X f dµ =
limR∈I(Y) FR = limR∈I(Y) F̄R = X f dµ̄, whenever one of the integrals ex-
ists. This completes the proof of the proposition. 2
Lemma 11.71 Let X := (X, B, µ) be a finite measure space, Y be a normed

linear space, f : X → Y be B-measurable, X̂ ∈ B, and X̂ := (X̂, B̂, µ̂) be the
finite measure subspaceR of X as defined
R in Proposition 11.13. Assume that
µ(X \ X̂) = 0. Then, X f dµ = X̂ f |X̂ dµ̂, whenever one of the integrals
exists.
Proof Let I ( Y ) be the integration system on Y as defined

in Propo-
R
sition 11.67, ( FR )R∈I(Y) be the net for X f dµ, and F̂R be the
R∈I(Y)
R
net for X̂ f |X̂ dµ̂, as defined in Definition 11.68. ∀R := { (yα , Uα ) | α ∈
Λ } ∈ I ( Y ), ∀α ∈ Λ, we have f inv(Uα ) ∩ X̂ = f |X̂ inv(Uα ) ∈ B̂ ⊆ B since f
is B-measurable,
P and 0 ≤ µ(f invP (Uα ) ∩ (X \ X̂)) ≤ µ(X \ X̂) = 0. Then,
FR = α∈Λ αy µ(f inv (U α )) = α∈Λ yα (µ(f inv(Uα ) ∩ X̂) + µ(f inv(Uα ) ∩
P P
(X \ X̂))) = α∈Λ yα µ( f |X̂ inv(Uα )) = α∈Λ yα µ̂( f |X̂ inv(Uα )) = F̂R ∈ Y.
R R
Hence, X f dµ = limR∈I(Y) FR = limR∈I(Y) F̂R = X̂ f |X̂ dµ̂, whenever
one of the integrals exists. This completes the proof of the proposition. 2
Proposition 11.72 Let X := (X, B, µ) be a measure space with µ(X) =

+∞, Y be a normed linear space, f : X R→ Y be B-measurable,
R and X¯ :=
(X, B̄, µ̄) be the completion of X . Then, X f dµ = X f dµ̄, whenever one
of the integrals exists.
R
Proof Let ( FA )A∈M(X ) be the net for X f dµ and F̄Ā Ā∈M“X̄ ”
R
be the net for X f dµ̄ as defined in Definition 11.69. Clearly, M ( X ) ⊆
M X̄ , since X̄R is the completion of X R. We will distinguish two exhaustive
cases: Case 1: R X f dµ̄ exists; Case 2: X f dµ exists.

Case 1: X f dµ̄ exists. Then, the net F̄Ā Ā∈M“X̄ ” is well defined.
R
¯
R∀A ∈ M ( X ), A ∈ M X . By Proposition 11.70, FA = A f |A dµA =
A f |A dµ̄A = F̄A , where (A, BA , µA ) is the finite measure subspace of
X and (A, B̄A , µ̄A ) is the finite complete measure
subspace of X¯ . Then,
¯
( FA )A∈M(X ) is well defined. ∀Ā ∈ M X , we have Ā ∈ B̄ with µ̄(Ā) <
+∞. By Proposition 11.12 and its proof, ∃Ã, B̃, C̃ ⊆ X with Ā = Ã ∪ B̃,
B̃, C̃ ∈ B, Ã ⊆ C̃, µ(C̃) = 0, and µ̄(Ā) = µ(B̃). Then, Ā ⊆ B̃ ∪ C̃ =: A ∈ B
and µ(A) ≤ µ(B̃) + µ(C̃) = µ(B̃) = µ̄(Ā) < +∞. This shows that A ∈
M ( X ) and Ā ⊆ A. Hence, ( FA )A∈M(X ) is a subnet of F̄Ā Ā∈M“X̄ ” . By
R R
Proposition 3.70, X f dµ = limA∈M(X ) FA = limĀ∈M“X̄ ” F̄Ā = X f dµ̄.
R
Case 2: X f dµ exists. Then, the net ( FA )A∈M(X ) is well defined.

∀Ā ∈ M X¯ , we have Ā ∈ B̄ with µ̄(Ā) < +∞. By Proposition 11.12 and
its proof, ∃Ã, B̃, C̃ ⊆ X with Ā = Ã ∪ B̃, B̃, C̃ ∈ B, Ã ⊆ C̃, µ(C̃) = 0,
and µ̄(Ā) = µ(B̃). Let B̃ =: A ∈ B. Then, 0 ≤ µ̄(Ā \ A) = µ̄(Ã \
B̃) ≤ µ̄(C̃) = µ(C̃) = 0 and µ(A) = µ̄(Ā) < +∞. This shows that
A ∈ M ( X ) and A ⊆ Ā. Let A := (A, BA , µA ) be the finite measure
subspace of X , Ā := (Ā, B̄Ā , µ̄Ā ) be the finite complete measure subspace
of X¯, and Â := (A, B̄A , µ̄A ) be the R finite completeR measure subspace of Ā.
By Lemma 11.71, we have F̄Ā = Ā f |Ā dµ̄Ā = A f |A dµ̄A , whenever one
of them exists. Since X¯ is the completion
R of X , Rthen Â is an extension of
A. By Proposition 11.70, we have A f |A dµ̄A = A f |A dµA = FA . Hence,
F̄Ā = FA . Then, the net F̄Ā Ā∈M“X̄ ” is well defined.
R Fix any open set U (U ⊆ IRe ifR Y = IR or U ⊆ Y if Y 6= IR) with

X f dµ ∈ U . Since limA∈M(X ) FA = X f dµ ∈ U , then ∃A0 ∈ M ( X ) such
that ∀A ∈ M ( X ) with A0 ⊆ A, we have FA ∈ U . Note that A0 ∈ B ⊆ B̄
and µ(A0 ) = µ̄(A0 ) < +∞. Then, A0 ∈ M X̄ . ∀Ā ∈ M X̄ with
A0 ⊆ Ā, then Ā ∈ B̄ and µ̄(Ā) < +∞. By Proposition 11.12 and its
proof, ∃Ã, B̃, C̃ ⊆ X with Ā = Ã ∪ B̃, B̃, C̃ ∈ B, Ã ⊆ C̃, µ(C̃) = 0, and
µ̄(Ā) = µ(B̃). Let A := A0 ∪ B̃ ∈ B. Then, 0 ≤ µ̄(Ā \ A) = µ̄((Ã ∪ B̃) \

(A0 ∪ B̃)) ≤ µ̄((Ã ∪ B̃) \ B̃) ≤ µ̄(Ã \ B̃) ≤ µ̄(C̃) = µ(C̃) = 0, A ⊆ Ā, and
µ(A) ≤ µ(B̃) + µ(A0 ) = µ̄(Ā) + µ(A0 ) < +∞. This shows that A ∈ M ( X )
and A0 ⊆ A ⊆ Ā. Let A := (A, BA , µA ) be the finite measure subspace
of X , Ā := (Ā, B̄Ā , µ̄Ā ) be the finite complete measure subspace of X̄ ,
and Â := (A, B̄A , µ̄A ) be the Rfinite completeRmeasure subspace of Ā. By
Lemma 11.71, we have F̄Ā = Ā f |Ā dµ̄Ā = A f |A dµ̄A , whenever one of
them exists. Since X¯ is the completion
R of X , then
R Â is an extension of A.
By Proposition 11.70, we have A Rf |A dµ̄A = A f |A dµA = FRA . Hence,
F̄Ā = FA ∈ U . Therefore, we have X f dµ̄ = limĀ∈M“X̄ ” F̄Ā = X f dµ.
R R
Hence, in both cases, we have X f dµ = X f dµ̄. This completes the
Proposition 11.73 Let X := (X, B, µ) be a measure space, Y be a normed

linear space, φ : X → Y be a simple function in canonical representation,
i. e., ∃n ∈ Z+ , ∃y1 , . . . , yn ∈ Y, which are distinct and none equals to
ϑY , ∃A1 , . . . , An ∈ B, which Pare nonempty, pairwise disjoint, and R of finite
n
measure,
Pn such that φ(x) = i=1 y i χ A i ,X (x), ∀x ∈ X. Then, X
φ dµ =
i=1 y i µ(A i ) =: I ∈ Y.

cases: Case 1: µ(X) < +∞; Case 2: µ(X) = +∞. Sn
Case 1: µ(X) < +∞. Let yn+1 := ϑY and An+1 := X \ ( i=1 Ai ) ∈ B.
Let ǫ0 := min{1, min1≤i<j≤n+1 k yi − yj k} > 0, by the assumption. Let
( ΦR )R∈I(Y) be the net as defined in Definition 11.68 for the simple function
φ.
∀ǫ ∈ (0, ǫ0 /2) ⊂ IR, let Ui := BY ( yi , ǫ ) ∈ BB ( Y ), i = 1, . . . , n + 1,
which are clearly pairwise disjoint and nonempty. We will distinguish Sn+1 two
exhaustive and mutually exclusive subcases: Case 1a: Y = i=1 Ui ; Case
Sn+1
1b: Y ⊃ i=1 Ui .
Sn+1
Case 1a: Y = i=1 Ui . Then, ∃δ ∈ (0, ∞) ⊂ IR such that Y =
BY ( ϑY , δ ). Then, Y must be the trivial normed linear space, i. e., Y is
a singleton set containing ϑY . There is a single representation of Y, which
is R0 := {(ϑY , Y)}. Then, ΦR0 = ϑY . Clearly, we must have n = 0, since
y1 , . . . , yn ∈ Y are distinct and none equals to ϑY . Then, I = ϑY . Hence,
∀R ∈ I ( Y ) with R0 R, k ΦR − I k = k ΦR0 − I k = 0.
Sn+1 Tn+1 f
Case 1b: Y ⊃ i=1 Ui . Let Un+2 = i=1 U i ∈ BB ( Y ), which is
nonempty. Let yn+2 ∈ Un+2 be such that k yn+2 k < inf y∈Un+2 k y k + 1.
Let R0 := { (yi , Ui ) | i = 1, . . . , n + 2 }.nIt is easy to o R0 ∈ I ( Y ).
check that

∀R̃ ∈ I ( Y ) with R0 R̃, then R̃ = (ỹα , Ũα ) α ∈ Λ , where Λ is a

finite index set, Ũα ⊆ BB ( Y ) are nonempty and pairwise disjoint,
S α∈Λ
α∈Λ Ũα = Y, ỹα ∈ Ũα , and k ỹα k < inf y∈Ũα k y k + 1, ∀α ∈ Λ. ∀i ∈
{1, . . . , n + 2}, by R0 R̃, ∃! αi ∈ Λ such that yi = ỹαi and, by R̃ ∈ I ( Y ),

∃! ᾱi ∈ Λ such that yi ∈ Ũᾱi . Since Ũα ⊆ BB ( Y ) are nonempty and
α∈Λ
pairwise disjoint and ỹα ∈ Ũα , ∀α ∈ Λ, then αi = ᾱi . Again by R0 R̃, we
have Ũαi ⊆ Ui . Hence, α1 , . . . , αn+2 are distinct. Let P Λ̄ := {α1 , . . . , αn+2 }.
∀α ∈ Λ \ Λ̄, φinv(Ũα ) = ∅. Then, ΦR̃ = α∈Λ ỹα µ(φinv(Ũα )) =
Pn+2 Pn+2
i=1 αi ỹ µ(φinv (Ũ αi )) = i=1 iy µ(φ inv (Ũ αi )). Note that ∀i ∈
{1, . . . , n + 1}, φinv(Ũαi ) = Ai and P µ(Ai ) ≤ µ(X) < +∞. Furthermore,
n
φinv(Ũαn+2 ) = ∅. Hence, ΦR̃ = i=1 yi µ(Ai ) = I. Then, we have
k ΦR̃ − I k = 0.
In both subcases, we have ∃R R 0 ∈ I ( Y ), ∀R ∈ I ( Y ) with R0 R, we
have k ΦR − I k = 0 < ǫ. Hence, X φ dµ = limR∈I(Y) ΦR = I.
Case 2: µ(X) = +∞. ∀A ∈ M ( X ), R µ(A) < +∞. φ|A : A → Y
is a simple function. By Case 1, ΦA = A φ|A dµA ∈ Y is well-defined,
where (A, BA , µA ) is the finite measure subspace
Sn of X . Hence, the net
( ΦA )A∈M(X ) is well-defined. Take A0 := i=1 Ai ∈ B. Then, µ(A0 ) =
Pn
PnTherefore, A0 ∈ M ( XR). ∀A ∈ M ( X ) with A0 ⊆ A,
i=1 µ(Ai ) < +∞.
by Case 1, ΦA = i=1 yi µ(Ai ) = I. Then, X φ dµ = limA∈M(X ) ΦA = I.
Clearly, the above result holds for simple functions given in any form,
not necessarily in canonical representation. It also shows that integral of
simple functions
R R that is, ∀R simple functions
are linear, R φ1 and φ2 ,R ∀c ∈ IK,
we have X (φ1 +φ2 ) dµ = X φ1 dµ+ X φ2 dµ and X (cφ1 ) dµ = c X φ1 dµ.
Lemma 11.74 Let X := (X, B, µ) be a finite measure space, Y be a
separable Banach space, φn : X → Y be a simple function in canon-
ical representation, ∀n ∈ IN, and f : X → Y be B-measurable. As-
sume that limn∈IN φn = f a.e. in X and ∃M ∈ [0, ∞) ⊂ IR such that
Rk φn (x) k ≤ M , ∀x
R ∈ X, ∀n ∈ IN. Then, f is integrable over X and
X f dµ = limn∈IN X φn dµ ∈ Y.
∞
Proof Let E := { x ∈ X | ( φn (x) )n=1 does not convergeR to f (x) }.
Then, E ∈ B and µ(E) = 0. Let ( FR )R∈I(Y) be the net for X f dµ as
defined in Definition 11.68.
∀ǫ ∈ (0, 1) ⊂ IR, by Egoroff’s
Theorem 11.54, ∃E1 ∈ B with µ(E1 ) <
∞
ǫ
4M+2 such that φn |X\E1 converges uniformly to f |X\E1 . Clearly,
n=1
E ⊆ E1 . Then, ∃n0 ∈ IN, ∀n ∈ IN with n ≥ n0 , ∀x ∈ X \ E1 ,
ǫ
k φn (x) − f (x) k < 6µ(X)+1 =: ǭ. Fix any n ≥ n0 . Let φn admit the
Pn̄
canonical representation φn = i=1 yi χAi ,X , where n̄ ∈ Z+ , y1 , . . . , yn̄ ∈ Y
are distinct and none equals to ϑY , and A1 , . . . , An̄ ∈ B are nonempty,
pairwise
S disjoint, and of finite Smeasure. Let yn̄+1 := ϑY and An̄+1 :=
X \ ( n̄i=1 Ai ) ∈ B. Then, X = n̄+1
i=1 Ai and the sets in the union are pair-
wise disjoint and of finite measure. Define V̄i := BY ( yi , ǭ ), i = 1, . . . , n̄ + 1.
S
Define V1 := V̄1 ∈ BB ( Y ), Vi+1 := V̄i+1 \ ( ij=1 V̄j ) ∈ BB ( Y ), i = 1, . . . , n̄.
Sn̄+1
Let Vn̄+2 := Y \ ( j=1 V̄j ). Clearly, we may form a representation
R̄ := { (ȳi , Vi ) | i = 1, . . . , n̄ + 2, Vi 6= ∅ } ∈ I ( Y ), where ȳi ∈ Vi are

any vectors that satisfy thenassumption of Proposition
o 11.67. ∀R ∈ I ( Y )

with R̄ R. Let R := (ŷγ , Ûγ ) γ ∈ Γ . ∀γ ∈ Γ, by R̄ R,
∃!iγ ∈ {1, . . . , n̄ + 2} such that Ûγ ⊆ Viγ . Define Γ̄ := { γ ∈ Γ | iγ = n̄+2 }.
Let Aγ,i := Ai ∩ f inv(Ûγ ) ∩ (X \ E1 ) ∈ B, i = 1, . . . , n̄ + 1.

Claim 11.74.1 ∀γ ∈ Γ̄, f inv(Ûγ ) ⊆ E1 and ŷγ µ(f inv(Ûγ ) ∩ E1 ) ≤ (M +
1)µ(f inv(Ûγ ) ∩ E1 ).
Sn̄+1
Proof of claim: Fix any γ ∈ Γ̄. Ûγ ⊆ Vn̄+2 = Y \ ( j=1 V̄j ). Then,
B ∋ f inv(Ûγ ) ⊆ E1 . We will distinguish two exhaustive and mutually
exclusive cases: Case 1: f inv(Ûγ ) ⊆ E; Case 2: f inv(Ûγ ) ∩ (E1 \ E) 6= ∅.

Case 1: f inv(Ûγ ) ⊆ E. Then, µ(f inv(Ûγ ) ∩ E1 ) = 0 and ŷγ µ(f inv(Ûγ ) ∩

E1 ) = 0 = (M + 1)µ(f inv(Ûγ ) ∩ E1 ). Case 2: f inv(Ûγ ) ∩ (E1 \ E) 6= ∅.
Then, ∃x ∈ E1 \ E such that f (x) ∈ Ûγ . Note that limm∈IN φm (x) = f (x)
and k φm (x) k ≤ M , ∀m ∈ IN. Then, by Propositions 7.21 and 3.66, we
have k f (x) k = limm∈IN k φm (x) k ≤ M . Then, by R ∈ I ( Y ), k ŷγ k <

inf y∈Ûγ k y k + 1 ≤ M + 1. Therefore, ŷγ µ(f inv(Ûγ ) ∩ E1 ) ≤ (M +
1)µ(f inv(Ûγ ) ∩ E1 ). This completes the proof of the claim. 2
∀γ ∈ Γ \ Γ̄, Ûγ ⊆ Viγ , where iγ ∈ {1, . . . , n̄ + 1}. ∀i ∈ {1, . . . , n̄ + 1}
with Aγ,i 6= ∅, then ∃x ∈ Aγ,i , φn (x) = yi and f (x) ∈ BY (yi , ǭ ) ∩ Ûγ ⊆
BY ( yi , ǭ ) ∩ Viγ ⊆ BY ( yi , ǭ ) ∩ V̄iγ ⊆ BY ( yi , ǭ ) ∩ BY yiγ , ǭ . Note that

ŷγ ∈ Ûγ ⊆ BY yiγ , ǭ . Therefore, we have k ŷγ − yi k ≤ ŷγ − yiγ + yiγ −
f (x) + k f (x) − yi k < 3ǭ.
P R Pn̄
Note that FR = γ∈Γ ŷγ µ(f inv(Ûγ )) and X φn dµ = i=1 yi µ(Ai ), by
Proposition 11.73. Then,
Z
X
n̄
X

FR −
φn dµ = ŷγ µ(f inv(Ûγ )) − yi µ(Ai )
X γ∈Γ i=1
X

= ŷγ (µ(f inv(Ûγ ) ∩ (X \ E1 )) + µ(f inv(Ûγ ) ∩ E1 )) −
γ∈Γ
n̄+1
X

yi (µ(Ai ∩ E1 ) + µ(Ai ∩ (X \ E1 )))
i=1
X n̄+1
X n̄+1
X

= ŷγ ( µ(Aγ,i ) + µ(f inv(Ûγ ) ∩ E1 )) − yi (µ(Ai ∩ E1 ) +
γ∈Γ i=1 i=1
X

µ(Aγ,i ))
γ∈Γ
X n̄+1
X X n̄+1
X

= ŷγ µ(Aγ,i ) + ŷγ µ(f inv(Ûγ ) ∩ E1 ) − yi µ(Ai ∩ E1 ) −
γ∈Γ i=1 γ∈Γ i=1
X n̄+1
X

yi µ(Aγ,i )
γ∈Γ i=1
X n̄+1
X X

= (ŷγ − yi )µ(Aγ,i ) + ŷγ µ(f inv(Ûγ ) ∩ E1 ) −
γ∈Γ i=1 γ∈Γ
n̄+1
X

yi µ(Ai ∩ E1 )
i=1
X n̄+1
X X n̄+1
X

= (ŷγ − yi )µ(Aγ,i ) + (ŷγ − yi )µ(Aγ,i ) +
γ∈Γ\Γ̄ i=1 γ∈Γ̄ i=1
X n̄+1
X

ŷγ µ(f inv(Ûγ ) ∩ E1 ) − yi µ(Ai ∩ E1 )
γ∈Γ i=1
X n̄+1
X X

= (ŷγ − yi )µ(Aγ,i ) + ŷγ µ(f inv(Ûγ ) ∩ E1 ) −
γ∈Γ\Γ̄ i=1 γ∈Γ
n̄+1
X

yi µ(Ai ∩ E1 )
i=1
X n̄+1
X X

≤ k ŷγ − yi k µ(Aγ,i ) + ŷγ µ(f inv(Ûγ ) ∩ E1 ) +
γ∈Γ\Γ̄ i=1 γ∈Γ
n̄+1
X
k yi k µ(Ai ∩ E1 )
i=1
X n̄+1
X X

≤ 3ǭ µ(Aγ,i ) + ŷγ µ(f inv(Ûγ ) ∩ E1 ) +
γ∈Γ\Γ̄ i=1 γ∈Γ\Γ̄
X

n̄+1
X
ŷγ µ(f inv(Ûγ ) ∩ E1 ) + k yi k µ(Ai ∩ E1 )
γ∈Γ̄ i=1
3µ(X)ǫ X
≤ + (M + 1)µ(f inv(Ûγ ) ∩ E1 )) +
6µ(X) + 1
γ∈Γ\Γ̄
X n̄+1
X
(M + 1)µ(f inv(Ûγ ) ∩ E1 )) + M µ(Ai ∩ E1 )
γ∈Γ̄ i=1
X n̄+1
X
< ǫ/2 + (M + 1)µ(f inv(Ûγ ) ∩ E1 )) + M µ(Ai ∩ E1 )
γ∈Γ i=1
= ǫ/2 + (2M + 1)µ(E1 ) < ǫ

where the seventh equality follows from the fact that ∀γ ∈ Γ̄, Aγ,i ⊆
f inv(Ûγ ) ∩ (X \ E1 ) = ∅; and the third inequality follows from the fact

that
∀γ
∈ Γ \ Γ̄, ŷ γ ∈ Û γ ⊆ V iγ ⊆ V̄iγ = B Y y iγ , ǭ and k ŷγ k ≤
yiγ + ŷγ − yiγ < M + ǭ < M + 1.
In summary, we have shown that ∀ǫ ∈ (0, 1) ⊂ IR, ∃n0 ∈ IN, ∀n ∈ IN
with n ≥ n0 , ∃R̄ ∈ I ( Y ) such that ∀R ∈ I ( Y ) with R̄ R, we have FR −
R

X φn dµ < ǫ. Then, the net ( FR )R∈I(Y) is a Cauchy net. By Proposi-
R
tion 4.44, the net admits
R a limit
R ∈ Y. By Propositions
X f dµ R 4.30, 3.66,
and 3.67, we have X f dµ− X φn dµ = limR∈I(Y) FR − X φn dµ ≤ ǫ,
R R
∀n ≥ n0 . Hence, we have X f dµ = limn∈IN X φn dµ. This completes the
proof of the lemma. 2
Theorem 11.75 (Bounded Convergence Theorem) Let (X, B, µ) =:
X be a finite measure space, Y be a separable Banach space, fn : X → Y
be B-measurable, ∀n ∈ IN, and f : X → Y be B-measurable. As-
sume that limn∈IN fn = f a.e. in X and ∃M ∈ [0, ∞) ⊂ IR such that
kR fn (x) k ≤ M , ∀x R ∈ X, ∀n ∈ IN. Then, f is integrable over X and
X
f dµ = lim n∈I
N f dµ ∈ Y.
X n
Proof Let U := BY ( ϑY , M ), which is a conic segment. Then,

∀n ∈ IN, fn : X → U ⊆ Y. By Proposition 11.65, there exists a se-
∞
quence of simple functions ( φn,i )i=1 , φn,i : X → U , ∀i ∈ IN, that converges
to fn a.e. in X Rand k φn,i (x) k ≤ kRfn (x) k ≤ M , ∀x ∈ X, ∀i ∈ IN. By
Lemma 11.74, X fn dµ = limi∈IN X φn,i dµ ∈ Y. By Proposition 11.57,
weR have limi∈I
R N φn,i = f n in measure in X . Then, ∃in ∈ IN such that
f n dµ − φn,i dµ < 2−n and µ(En ) := µ({ x ∈ X | k fn (x) −
X X n
φn,in (x) k ≥ 2−n }) < 2−n . Denote φ̄n := φn,in .
By Proposition 11.57, limn∈IN fn = f in measure in X . ∀ǫ ∈ (0, ∞) ⊂
IR, ∃n0 ∈ IN such that ∀n ∈ IN with n ≥ n0 , we have 2−n < ǫ/2 and
µ(Ēn ) := µ({ x ∈ X | k fn (x) − f (x) k ≥ ǫ/2 }) < ǫ/2. Note that,

by Lemma 11.43, B ∋ F n := x ∈ X φ̄n (x) − f (x) ≥ ǫ ⊆

x ∈ X φ̄n (x) − fn (x) + k fn (x) − f (x) k ≥ ǫ ⊆ En ∪ Ēn . Then,
we have µ(Fn ) ≤ µ(En ) + µ(Ēn ) < ǫ. This implies that limn∈IN φ̄n =
f in measure
∞ in X. By Proposition 11.56, there exists a subsequence
∞
φ̄nk k=1 of φ̄n n=1 that converges to f a.e. in X . By Lemma 11.74,
R R
f is integrable
R over X and R X f dµ
= lim k∈I
N X φ̄nk dµ ∈ Y. By the
f dµ − X φ̄ −nk
fact that R X nk R nk dµ < 2R , ∀k ∈ IN, then we have
limk∈IN X fnk dµ = limk∈IN X φ̄nk dµ = X f dµ ∈ Y. So far, we have
shown that for any uniformly bounded B-measurable sequence of functions
∞ ∞
( fn )n=1 that converges
R to f a.e.R in X , there exists a subsequence ( fnk )k=1
such that limk∈IN X fnk dµ = X f dµ ∈ Y. This then holds for R any sub-
∞
Rsequence of ( fn )n=1 . By Proposition 3.71, we have limn∈IN X fn dµ =
X
f dµ ∈ Y and f is integrable over X.

Proposition 11.76 Let X := (X, B, µ) be a measure space and f : X →
[0, ∞) ⊂ IR be B-measurable. Then,
Z Z
f dµ = sup φ dµ =: S ∈ IRe
X 0≤φ≤f X
where the supremum is over all simple functions φ : X → [0, ∞) ⊂ IR that

satisfy 0 ≤ φ(x) ≤ f (x), ∀x ∈ X.
cases: Case 1: µ(X) < +∞; Case 2: µ(X) = +∞.
Case 1: µ(X) < +∞. Let ( FR )R∈I(IR) be the net as defined in
R
Definition 11.68 for X f dµ. Clearly, S ≥ 0. Fix any simple function
φ : X → [0, ∞) ⊂ IR such that 0 ≤ φ(x) ≤ f (x), ∀x ∈ X. Without loss
of generality, we may assume that φ is in canonical representation. Then,
∃n ∈ Z+ , ∃y1 , . . . , yn ∈ [0, ∞) ⊂ IR, which are distinct and none equals
to 0, and ∃A1 , . . . , An ∈ B, which are P nonempty, pairwise disjoint, and
n
µ(Ai ) < ∞, i = 1, . . . , n, such that φ = i=1 yi χAi ,X . Let yn+1 := 0 and
Sn Sn+1
An+1 := X \ ( i=1 Ai ) ∈ B. Then, X = i=1 Ai and the sets in the union
are pairwise disjoint and of finite measure. Without loss of generality, as-
sume that 0 = yn+1 < yn < · · · < y1 < +∞. Let I1 := [y1 , ∞) ⊂ IR,
Ii := [yi , yi−1 ) ⊂ IR, i = 2, . . . , n + 1, In+2 := (−∞, 0) ⊂ IR, and
yn+2 = −1. Then, R0 := { (yi , Ii ) | i = 1, . . . , n + 2 } ∈ I ( IR ). ∀R ∈ I ( IR )
with R0 R, let R = (ȳα , Ūα ) α ∈ Λ . ∀α ∈ Λ, by R0 R, ∃! iα ∈
{1, . . . , n + 2} such that Ūα ⊆ Iiα . Define Λ̄ := { α ∈ Λ | iα = n + 2 }.
Note that ∀α ∈ Λ̄, Ūα ⊆ In+2 and f inv(Ūα ) = ∅. Then,
X X n+1
X
FR = ȳα µ(f inv(Ūα )) = ȳα µ(Ai ∩ f inv(Ūα ))
α∈Λ α∈Λ i=1
X n+1
X X n+1
X
=: ȳα µ(Ei,α ) = ȳα µ(Ei,α )
α∈Λ i=1 α∈Λ\Λ̄ i=1
∀α ∈ Λ \ Λ̄, ∀i ∈ {1, . . . , n + 1}, if Ei,α 6= ∅, then ∃x ∈ Ei,α , yi = φ(x) ≤

f (x) ∈ Ūα ⊆ Iiα , which further implies that yi ≤ yiα . Note that ȳα ∈
Ūα ⊆ Iiα and ȳα ≥ yiα . Then, ȳα µ(Ei,α ) ≥ yi µ(Ei,α ). If Ei,α = ∅, clearly
0 = ȳα µ(Ei,α ) = yi µ(Ei,α ) = 0. Therefore, we have ȳα µ(Ei,α ) ≥ yi µ(Ei,α ),
∀α ∈ Λ \ Λ̄, ∀i ∈ {1, . . . , n + 1}. This leads to
X n+1
X X n+1
X n+1
X X
FR = ȳα µ(Ei,α ) ≥ yi µ(Ei,α ) = yi µ(Ei,α )
α∈Λ\Λ̄ i=1 α∈Λ\Λ̄ i=1 i=1 α∈Λ\Λ̄
n+1
X X n+1
X Z
= yi µ(Ei,α ) = yi µ(Ai ) = φ dµ
i=1 α∈Λ i=1 X
where the last equality follows from Proposition 11.73. In summary,

R we
have shown that ∀R ∈ I (RIR ) with R0 R, we have FR ≥ X φ dµ.
Then, lim inf R∈I(IR) FR ≥ X φ dµ. By the arbitrariness of φ, we have
lim inf R∈I(IR) FR ≥ S.
We will show that lim supR∈I(IR) FR ≤ S by an argument of contra-
diction. Suppose S̄ := lim supR∈I(IR) FR > S. Then, ∃ǫ0 ∈ (0, ∞) ⊂ IR,
∀R0 ∈ I ( IR ), ∃R ∈ I ( IR ) with R0 R, such that FR > S + ǫ0 . Let
ǫ0
ǫ1 := min{1, 2+2µ(X) } > 0. By Proposition 11.5, ∃E1 ∈ B with µ(E1 ) < ǫ1
and ∃M ∈ IN such that 0 ≤ f (x) ≤ M − 1, ∀x ∈ X \ E1 . Then, ∃n ∈ IN
such that M/n < ǫ1 . Let Ui := [(i − 1)M/n, iM/n) ⊂ IR, yi := (i − 1)M/n,
i = 1, . . . , n, Un+1 := [M, ∞) ⊂ IR, yn+1 := M , Un+2 := (−∞, 0) ⊂ IR,
and yn+2 = −1. Then, R0 := { (yi , Ui ) | i = 1, . . . , n + 2 } ∈ I ( IR ).
Then,
∃R ∈ I ( IR ) with R0 R such that FR > S + ǫ0 . Let R =
(ȳα , Ūα ) α ∈ Λ . ∀α ∈ Λ, ∃! iα ∈ {1, . . . , n + 2} such that Ūα ⊆ Uiα .
Define Λ̄ := { α ∈ Λ | iα = n + 2 }, Λ1 := { α ∈ Λ | iα = 1, . . . , n }, and
Λ2 := { α ∈ Λ | iα = n + 1 }. Clearly, Λ = Λ1 ∪ Λ2 ∪ Λ̄ and the sets in the
union are pairwise disjoint. ∀α ∈ Λ̄, Ūα ⊆ Un+2 = (−∞, 0) ⊂ IR. Then,
f inv(Ūα ) = ∅. ∀α ∈ Λ1 , note that ȳα ∈ Ūα ⊆ Uiα , then yiα ≤ ȳα < yiα +1 .
Let ỹα := inf y∈Ūα y ∈ Ūα ⊆ Uiα . Then, yiα ≤ ỹα ≤ yiα +1 . Let
Aα := f inv(Ūα ). ∀α ∈ Λ2 , note that ȳα ∈ Ūα ⊆ Un+1 = [M, ∞) ⊂ IR
and ȳα = | ȳα | < inf y∈Ūα | y | + 1 = inf y∈Ūα y + 1. Let ỹα := inf y∈Ūα y.
Then, ỹα ≤ ȳα < ỹα + 1. Let Aα := f inv(Ūα ). Since Ūα ⊆ Un+1 , then
f inv(Ūα ) ⊆ E1 . X
Define a simple function φ : X → [0, ∞) ⊂ IR by φ := ỹα χAα ,X .
α∈Λ1 ∪Λ2
Clearly, 0 ≤ φ(x) ≤ f (x), ∀x ∈ X. Then, by Proposition 11.73,
Z X X
φ dµ = ỹα µ(Aα ) = ỹα µ(f inv(Ūα )) − FR + FR
X α∈Λ1 ∪Λ2 α∈Λ1 ∪Λ2
X
> S + ǫ0 + ỹα µ(f inv(Ūα )) − FR
α∈Λ1 ∪Λ2
X
= S + ǫ0 + (ỹα − ȳα )µ(f inv(Ūα ))
α∈Λ1 ∪Λ2
X X
≥ S + ǫ0 − | ỹα − ȳα | µ(f inv(Ūα )) − | ỹα − ȳα | µ(f inv(Ūα ))
α∈Λ1 α∈Λ2
X X
≥ S + ǫ0 − M/n µ(f inv(Ūα )) − µ(f inv(Ūα ))
α∈Λ1 α∈Λ2
≥ S + ǫ0 − ǫ1 µ(X) − µ(E1 ) > S
This contradicts with the definition of S. Therefore, lim supR∈I(IR) FR ≤ S.
Then, we have S ≤ lim inf R∈I(IR) FR ≤ lim supR∈I(IR) FR ≤ S. By
R
Proposition 3.83, S = limR∈I(IR) FR = X f dµ.
Case 2: µ(X) = +∞. Let ( FA )A∈M(X ) be the net as defined in Defi-

nition 11.69. ∀A ∈ M ( X ), A ∈ B and µ(A) < ∞. Let (A, BA , µA ) be the
measure subspace Rof the measure space X as Rdefined in Proposition 11.13.
By Case 1, FA = A f |A dµA = sup0≤φ≤ f |A A φ dµA ∈ IRe , where supre-
mum is over all simple functions φ : A → [0, ∞) ⊂ IR with 0 ≤ φ(x) ≤ f (x),
∀x ∈ A. Then, the net ( FA )A∈M(X ) ⊆ IRe is well-defined.
Fix any simple function φ : X → [0, ∞) ⊂ IR with 0 ≤ φ(x) ≤ f (x),
∀x ∈ X. Then, ∃n ∈ Z+ , ∃y1 , . . . , yn ∈ [0, ∞) P ⊂ IR, and ∃A1 , . . . , An ∈ B,
n
which
Sn are of finite measure, such
Pn that φ = i=1 yi χAi ,X . Take A0 =
i=1 Ai ∈ B. Then, µ(A 0 ) ≤ i=1 µ(A i ) < +∞. Then, AR0 ∈ M ( X ).
∀A ∈ M ( X ) with A0 ⊆ A, we have, FA = sup0≤ϕ≤ f |A A ϕ dµA ≥
R Pn R
A φ|A dµA = i=1 yi µ(Ai ) = X φ dµ, where the last two R equalities fol-
lows from Proposition 11.73. Then, lim inf A∈M(X ) FA ≥ X φ dµ. By the
arbitrariness of φ, we have lim inf A∈M(X ) FA ≥ S.
On the other hand, supA∈M(X ) FA =: S̄ ≥ lim inf A∈M(X ) FA ≥ S. Sup-
R
pose S̄ > S. R Then, ∃A ∈ M ( X ) such that S < FA = A f |A dµA =
sup0≤φ≤ f |A A φ dµA . This implies that ∃ a simple function φ : A →
R
[0, ∞) ⊂ IR with 0 ≤ φ(x) ≤ f (x), ∀x ∈ A, such that A φ dµA > S.
We may extend this simple function on A to a simple function on X that
is zero on X \ A. Let the extended simple function be φ̄ : X → [0, ∞) ⊂ IR.
Then,
R R 0 ≤ φ̄(x) ≤ f (x), ∀x ∈ X, and, by Proposition 11.73,
clearly
X φ̄ dµ = A φ dµA > S. This contradicts with definition of S. There-
fore, we have S̄ ≤ S.
In summary, we have S ≤ lim inf A∈M(X ) FA ≤ lim supA∈M(X ) FA ≤
R
supA∈M(X ) FA = S̄ ≤ S. Then, by Proposition 3.83, we have X f dµ =
limA∈M(X ) FA = S ∈ IRe .
Theorem 11.77 (Fatou’s Lemma) Let X := (X, B, µ) be a measure

space, fn : X → [0, ∞) ⊂ IR be B-measurable, ∀n ∈ IN, and f : X →
R[0, ∞) ⊂ IR be B-measurable.
R Assume that limn∈IN fn = f a.e. in X . Then,
X
f dµ ≤ lim inf n∈I
N X
f n dµ.
R R
Proof By Proposition 11.76, X f dµ = sup0≤φ≤f X φ dµ, where the
supremum is over all simple function φ : X → [0, ∞) ⊂ IR that sat-
isfy 0 ≤ φ(x) ≤ f (x), ∀x ∈ X. Fix any such simple function φ. Let
E := { x ∈ X | φ(x) > 0 }. We must have E ∈ B and µ(E) < +∞.
Let M ∈ [0, ∞) ⊂ IR be such that 0 ≤ φ(x) ≤ M , ∀x ∈ X. Define
gn := fn ∧ φ, ∀n ∈ IN. By Proposition 11.40, gn ’s are B-measurable.
Since limn∈IN fn = f a.e. in X and 0 ≤ φ(x) ≤ f (x), ∀x ∈ X, then
limn∈IN gn = φ a.e. in X . By R Bounded R Convergence Theorem R 11.75 and
Proposition 11.73, we have X φ dµ = E φ|E dµE = limn∈IN E gn |E dµE ,
where (E, BE , µE ) is the finite measure subspace of X as defined in Propo-
R R
Rsition 11.13. By RProposition 11.76, weR have E gn |E dµE ≤ X gn dµ ≤
X fn dµ.R Then, X φ dµ ≤ lim Rinf n∈IN X fn dµ. By the arbitrariness of φ,
we have X f dµ ≤ lim inf n∈IN X fn dµ. This completes the proof of the
theorem. 2
Theorem 11.78 (Monotone Convergence Theorem) Let X :=

(X, B, µ) be a measure space, fn : X → [0, ∞) ⊂ IR be B-measurable,
∀n ∈ IN, and f : X → [0, ∞) ⊂ IR be B-measurable. Assume that
R n∈IN fn = f a.e.R in X and fn (x) ≤ fn+1 (x), ∀x ∈ X, ∀n ∈ IN. Then,
lim
X
f dµ = limn∈IN X fn dµ.
Proof By the assumption, fn ≤ f a.e. in X , ∀n ∈ IN. By Propo-

sition 11.76 and the fact that any two simple functions that equal to
each
R other Ralmost everywhere have the same integral, we have IRe ∋
RX f dµ ≥ X fn dµ ∈R IRe , ∀n ∈ IN. By Fatou’sR LemmaR 11.77, we have
X f dµ ≤ lim inf n∈I
N X f n dµ
R ≤ lim sup n∈IN XRf n dµ ≤ X f dµ. Hence,
by Proposition 3.83, we have X f dµ = limn∈IN X fn dµ ∈ IRe . This com-
pletes the proof of the proposition. 2
Proposition 11.79 Let X := (X, B, µ) be a σ-finite measure space and

fn : X → [0, ∞) ⊂ IR be B-measurable, ∀n ∈ IRN. Assume that fn (x) ≤
fn+1 (x), ∀x ∈ X, ∀n ∈ IN and λ := limn∈IN X fn dµ < +∞. Define
supn∈IN fn (x) supn∈IN fn (x) < ∞
f : X → [0, ∞) ⊂ IR by f (x) = ,
0 R =∞
supn∈IN fn (x)
∀x ∈ X.R Then, f is B-measurable, limn∈IN fn = f a.e. in X and X f dµ =
limn∈IN X fn dµ ∈ IR.
Proof Define f˜ : X → [0, ∞] ⊂ IRe by f˜(x) = supn n∈IN fn(x), ∀x ∈ X.

o

˜
By Proposition 11.40, f is B-measurable. Let En := x ∈ X f˜(x) ≤ n ,
S∞
∀n ∈ IN. Then, En ∈ B. Let E := n=1 En ∈ B. We will show that
µ(X \ E) = 0 by an argument of contradiction. Suppose S∞ µ(X \ E) > 0.
Since X is σ-finite, ∃ ( Xn )∞n=1 ⊆ B such that X = n=1 Xn and µ(Xn ) <
+∞, ∀n ∈ IN. Without loss of generality, we may assume Xn ⊆ Xn+1 ,
∀n ∈ IN. Let Bn := Xn \ E ∈ B, ∀n ∈ IN. By Proposition 11.7, we
have limn∈IN µ(Bn ) = µ(X \ E) > 0. Then, ∃n ∈ IN such that µ(Bn ) ∈
λ+1
(0, +∞) ⊂ IR. Clearly λ ∈ [0, ∞) ⊂ IR. Let M := µ(B n)
∈ (0, ∞) ⊂
¯ ¯ ˜
IR. Let fi := fi ∧ M , ∀i ∈ IN, and f := f ∧ M . By Proposition 11.40,
f¯i and f¯ are B-measurable, ∀i ∈ IN. Then, f¯i (x) ≤ f¯i+1 (x), ∀x ∈ X,
∀i ∈ IN, limi∈IN f¯i (x)R = f¯(x) ∀x ∈ X , Rand f¯ : X R→ [0, M ] ⊂ IR. This
leads to λ = limi∈IN X fi dµ ≥ limi∈IN X f¯i dµ = X f¯ dµ ≥ M µ(Bn ) =
λ + 1 > λ, where the first inequality follows from Proposition 11.76; the
second equality follows from Monotone Convergence Theorem 11.78; and
the second inequality follows from Propositions 11.76 and 11.73. This is a
contradiction. Hence, µ(X \ E) = 0.

f˜(x) x ∈ E
Clearly, f : X → [0, ∞) ⊂ IR satisfies f (x) = .
0 x∈X \E
By Proposition 11.41, f is B-measurable. Clearly,
R limn∈IN fn = fR a.e. in X .
By Monotone Convergence Theorem 11.78, X f dµ = limn∈IN X fn dµ =
λ ∈ IR. This completes the proof of the proposition. 2
Proposition 11.80 Let X := (X, B, µ) be a measure space and fi : X →

[0, ∞) ⊂ IR be B-measurable, i = 1, 2. Then,
R R
(i) ∀c ∈ (0, ∞) ⊂ IR, X (cf ) dµ = c X f dµ;
R R R
(ii) X (f1 + f2 ) dµ = X f1 dµ + X f2 dµ;
R R
(iii) if f1 ≤ f2 a.e. in X , then X f1 dµ ≤ X f2 dµ.
Proof (i) and (iii) follows directly from Propositions 11.76 and 3.81.
By Propositions 7.23, 11.38,R and 11.39, f1 + f2 isR B-measurable. R By
PropositionR 11.76, we have R X
f 1 dµ = sup 0≤φ≤f 1 X
φ dµ,
R X
f 2 dµ =
sup0≤φ≤f2 X φ dµ, and X (f1 + f2 ) dµ = sup0≤φ≤f1 +f2 X φ dµ, where
the suprema are over all simple functions φ : X → [0, ∞) ⊂ IR satis-
fying the stated inequalities. Any simple function φ1 and φ2 satisfying
0 ≤ φ1 ≤ f1 and 0 ≤ φ2 ≤ f2 , we have R φ1 + φR2 is a simpleR function satisfy-
ing
R 0 ≤ φ 1 + φ2 ≤ f 1 + f 2 . Then, X
φ 1 dµ + X φ2 dµ = X (φ1 + φ2 ) dµ ≤
X
(f 1 + Rf 2 ) dµ, whereR the equality
R follows from Proposition 11.73. Hence,
we have X f1 dµ + X f2 dµ ≤ X (f1 + f2 ) dµ.
On the other hand, fix any simple function φ satisfying 0 ≤ φ ≤ f1 + f2 .
Let f¯1 := φ ∧ f1 and f¯2 := φ − f¯1 . By Propositions 11.40, 11.38, 11.39, and
7.23, f¯1 and f¯2 are B-measurable. Then, we have 0 ≤ f¯1 ≤ f1 , 0 ≤ f¯2 ≤ f2 ,
f¯1 (x) = f¯2 (x) = 0, ∀x ∈ X \ E, where E := { x ∈ X | φ(x) > 0 } ∈ B,
and 0 ≤ f¯1 (x) ≤ φ(x) ≤ M and 0 ≤ f¯2 (x) ≤ φ(x) ≤ M , ∀x ∈ X,
for some M ∈ [0, ∞) ⊂ IR. Note that µ(E) < +∞ since φ is a simple
function. Let E := (E, BE , µE ) be the finite measure subspace of X as
defined in Proposition 11.13. By Proposition 11.65, there exists sequences
∞ ∞
of simple functions ( φ1,n )n=1 and ( φ2,n )n=1 , φi,n : E → [0, M ] ⊂ IR,
∀i ∈ {1, 2}, ∀n ∈ IN, that converges to f¯1 E and f¯2 E a.e. in E, respec-
R
tively. By Bounded Convergence Theorem 11.75, we have E f¯1 E dµE =
R R R
limn∈IN E φ1,n dµE and E f¯2 E dµE = limn∈IN E φ2,n dµE . By Proposi-

tions 11.52, 7.23, 11.53, limn∈IN (φ1,n +φ2,n ) = f¯1 E + f¯2 E = φ|E a.e. in E.
Again,R by Bounded Convergence R Theorem 11.75 and Proposition R 11.73, we
have
R E φ| E dµ ER = lim
n∈I N E (φ
R 1,n + φ 2,n ) dµE = limn∈I N ( E φ 1,n dµE +
φ 2,n dµ E ) = f ¯1 dµE + f¯2 dµE . By Propositions 11.73 and
E RE E R E E R R
11.76, we have X φ dµ = E φ|E dµE = E f¯1 E dµE + E f¯2 E dµE ≤
R R R R
¯ ¯
X f1Rdµ + X f2 dµ ≤ R X f1 dµ + R X f2 dµ. By the arbitrariness of φ, we
have X (f1 + f2 ) dµ ≤ RX f1 dµ + X f2 dµ. R R
Therefore, we have X (f1 + f2 ) dµ = X f1 dµ + X f2 dµ. This proves
(ii). This completes the proof of the proposition. 2
11.5. GENERAL CONVERGENCE THEOREMS 377

R ∞) ⊂ IR be B-measurable. Assume that f is integrable over X , that is,
[0,
X
f dµ ∈ IR. Then, ∀ǫ ∈R(0, ∞) ⊂ IR, ∃δ ∈ (0, ∞) ⊂ IR such that ∀A ∈ B
with µ(A) < δ, we have A f |A dµA < ǫ, where A := (A, BA , µA ) is the
measure subspace of X as defined in Proposition 11.13.
Proof ∀n ∈ IN, let fn := f ∧ n : X → [0, n] ⊂ IR. Then,

fn (x) ≤ fn+1 (x), ∀x ∈ X and limn∈IN fn (x) = f (x), ∀x ∈ X. By
Proposition 11.40, fn is B-measurable. By Propositions 7.23, 11.38, and
R11.39, f − fn is B-measurable.
R By Monotone Convergence Theorem 11.78,
RX f dµ = lim n∈I
N X
f n dµ. ∀ǫ ∈ (0, ∞) ⊂ IR, then, ∃n0 ∈ IN such that
R
f dµ − f dµ < ǫ/2 Choose δ := 2nǫ 0 ∈ (0, ∞) ⊂ IR. ∀A ∈ B with
X X n0
µ(A) < δ, by Propositions 11.80 and 11.76, we have
Z Z Z
f |A dµA = (f − fn0 )|A dµA + fn0 |A dµA
A A
Z Z A Z
≤ (f − fn0 ) dµ + n0 µ(A) = f dµ − fn0 dµ + n0 µ(A)
X X X
< ǫ/2 + ǫ/2 = ǫ
11.5 General Convergence Theorems

Lemma 11.82 Let X := (X, B, µ) be a measure space, fn : X → [0, ∞) ⊂
IR be B-measurable, f : X → [0,R ∞) ⊂ IR be B-measurable.
R Assume that
limn∈IN fn = f a.e. in X and X f dµ = limn∈IN X fn dµ ∈ IR. Then,
∀ǫ ∈ (0, ∞) ⊂ IR, ∃δ ∈ (0, ∞) ⊂ IR and ∃n0 ∈ INR such that ∀A ∈ B
with Rµ(A) < δ, ∀n ∈ IN with n ≥ n0 , we have 0 ≤ A f |A dµA < ǫ and
0 ≤ A fn |A dµA < ǫ, where (A, BA , µA ) is the finite measure subspace of
X as defined in Proposition 11.13.
Proof Let f¯n := fn ∧ f , ∀n ∈ IN. By Proposition 11.40, f¯n is B-

measurable,
R ∀n ∈R IN. Then, 0 ≤ f¯n (x) ≤ f (x), ∀x ∈ X, ∀n ∈ IN,
and X f¯n dµ ≤ X f dµ, ∀n ∈ IN, by Proposition 11.76. ByR Proposi-
tion 11.50, Rlimn∈IN f¯n = f a.e. in XR . By Fatou’sR Lemma 11.77, X f dµ ≤
lim inf n∈IN X f¯n dµ ≤ lim supn∈IN X f¯n dµ ≤ X f dµ, where the last two
inequalities follows from R Proposition 3.83R and Definition 3.82, respectively.
By Proposition 3.83, X f dµ = limn∈IN X f¯n dµ ∈ IR.
∀ǫ ∈ (0, ∞) ⊂ IR, by Proposition 11.81, ∃δ ∈ (0, ∞) ⊂ IR and ∃n0 ∈ IN
such
R that ∀A ∈ B withR µ(A)R < δ, ∀n ∈ IN with nR ≥ n0 , we R have 0 ≤
f | dµA < ǫ/3, f dµ− f¯n dµ < ǫ/3, and f dµ− f dµ <
A A X X X X n
ǫ/3. Then,
Z Z Z

0 ≤ fn |A dµA = (fn − f¯n )A dµA + f¯n A dµA
A A A
Z Z Z

≤ ¯
(fn − fn ) A dµA + f |A dµA < (fn − f¯n ) dµ + ǫ/3
A A X
Z Z
= fn dµ − f¯n dµ + ǫ/3
X X
Z Z Z Z

≤ ǫ/3 + f dµ − f¯n dµ + f dµ − fn dµ < ǫ
X X X X
where the first inequality follows from Proposition 11.76; the first equal-
ity follows from Proposition 11.80; the second inequality follows from
Proposition 11.80; the third inequality follows from Proposition 11.76;
and
R the second equality follows from Proposition 11.80 and the fact that
X
f n dµ < +∞. This completes the proof of the lemma. 2
Lemma 11.83 Let X := (X, B, µ) be a finite measure space, Y be a Banach

space, W be a separable subspace of Y, φn : X → W be a simple function,
∀n ∈ IN, f : X → W be B-measurable, gn : X → [0, ∞) ⊂ IR be B-
measurable, ∀n ∈ IN, and g : X → [0, ∞) ⊂ IR be B-measurable. Assume
that
(i) limn∈IN φn = f a.e. in X and limn∈IN gn = g a.e. in X ;
(ii) k φn (x) k ≤ gn (x), ∀x ∈ X, ∀n ∈ IN;

R R
(iii) gn ’s and g are integrable over X and limn∈IN X gn dµ = X g dµ ∈ IR.
R R
Then, f is integrable over X and X f dµ = limn∈IN X φn dµ ∈ Y.
∞
Proof Let E := { x ∈ X | ( φn (x) )n=1 does not converge to f (x) or
∞
( gn (x) )n=1 does not converge to Rg(x) }. Then, by (i), E ∈ B and µ(E) =
0. Let ( FR )R∈I(Y) be the net for X f dµ as defined in Definition 11.68.
∀ǫ ∈ (0, ∞) ⊂ IR, by (i), (iii), and Lemma 11.82, ∃δ ∈ (0, ǫ/6] ⊂ IR and
∃n0 ∈R IN such that ∀A ∈ B with Rµ(A) < δ, ∀n ∈ IN with n ≥ n0 , we have
0 ≤ A g|A dµA < ǫ/6 and 0 ≤ A gn |A dµA < ǫ/6, where (A, BA , µA ) is
the finite measure subspace of X . By ∞Egoroff’s Theorem 11.54, ∃Ē1 ∈ B
with µ(Ē1 ) < δ such that φn |X\Ē1 converges uniformly to f |X\Ē1 .
n=1
Let E1 :=E ∪ Ē1 . Then, E1 ∈ B with µ(E1 ) = µ(Ē1 ) < δ such that
∞
φn |X\E1 converges uniformly to f |X\E1 . Then, ∃n1 ∈ IN with
n=1
n1 ≥ n0 , ∀n ∈ IN with n ≥ n1 , ∀x ∈ X \ E1 , k φn (x) − f (x) k <
ǫ
6µ(X)+1 =: ǭ. Fix any n ≥ n1 . Let φn admit the canonical representa-
P
tion φn = n̄i=1 wi χAi ,X , where n̄ ∈ Z+ , w1 , . . . , wn̄ ∈ W are distinct and
none equals to ϑY , and A1 , . . . , An̄ ∈ B are nonempty, pairwiseSn̄ disjoint,
and of finite measure. Let wn̄+1 := ϑY and An̄+1 := X \ ( i=1 Ai ) ∈ B.
Sn̄+1
Then, X = i=1 Ai and the sets in the union are pairwise disjoint and
of finite measure. Define V̄i := BY ( wi , ǭ ), i = 1, . . . , n̄ + 1. Define
Si
V1 := V̄1 ∈ BB ( Y ), Vi+1 := V̄i+1 \ ( j=1 V̄j ) ∈ BB ( Y ), i = 1, . . . , n̄.
Sn̄+1
Let Vn̄+2 := Y \ ( j=1 V̄j ) ∈ BB ( Y ). Clearly, we may form a represen-
tation R̄ := { (ȳi , Vi ) | i = 1, . . . , n̄ + 2, Vi 6= ∅ } ∈ I ( Y ), where ȳi ∈ Vi ,
i = 1, . . . , n̄ + 2, are any vectors that satisfy the assumption
n of
Proposi-
o

tion 11.67. ∀R ∈ I ( Y ) with R̄ R. Let R := (ŷγ , Ûγ ) γ ∈ Γ .
∀γ ∈ Γ, by R̄ R, ∃! iγ ∈ {1, . . . , n̄ + 2} such that Ûγ ⊆ Viγ . Define
Γ̄ := { γ ∈ Γ | iγ = n̄ + 2 }. Let Aγ,i := Ai ∩ f inv(Ûγ ) ∩ (X \ E1 ) ∈ B,
i = 1, . . . , n̄ + 1. Let Āγ := f inv(Ûγ ) ∩ (E1 \ E) ∈ B.

Claim 11.83.1 ∀γ ∈ Γ̄, f inv(Ûγ ) ⊆ E1 ; ∀γ ∈ Γs := γ ∈ Γ Āγ 6= ∅ ,
P
ŷγ µ(Āγ ) ≤ (1 + inf x∈Ā g(x))µ(Āγ ); and
γ∈Γ ŷγ µ(f inv(Ûγ ) ∩ E1 ) <
γ
ǫ/3.
Sn̄+1
Proof of claim: Fix any γ ∈ Γ̄. Ûγ ⊆ Vn̄+2 = Y \ ( j=1 V̄j ). Then,
B ∋ f inv(Ûγ ) ⊆ E1 .
∀γ ∈ Γs , Āγ = f inv(Ûγ ) ∩ (E1 \ E) 6= ∅. ∀x ∈ Āγ , we have
f (x) ∈ Ûγ , limm∈IN φm (x) = f (x), k φm (x) k ≤ gm (x), ∀m ∈ IN, and
limm∈IN gm (x) = g(x). Then, by Propositions 4.30, 3.66, and 3.67, we
have k f (x) k = limm∈IN k φm (x) k ≤ limm∈IN gm (x) = g(x). Then, by
R ∈ I ( Y ), k ŷγ k < inf y∈Ûγ k y k + 1 ≤ k f (x) k + 1 ≤ g(x) + 1. By
the arbitrariness of x, we have k ŷγ k ≤ inf x∈Āγ g(x) + 1. Therefore,

ŷγ µ(Āγ ) ≤ (1 + inf x∈Ā g(x))µ(Āγ ).
γ
Note that
X X

ŷγ µ(f inv(Ûγ ) ∩ E1 ) = ŷγ (µ(Āγ ) + µ(f inv(Ûγ ) ∩ E1 ∩ E))
γ∈Γ γ∈Γ
X X X
ŷγ µ(Āγ )
= ŷγ µ(Āγ ) = ŷγ µ(Āγ ) ≤
γ∈Γ γ∈Γs γ∈Γs
X X X
≤ (1 + inf g(x))µ(Āγ ) = µ(Āγ ) + ( inf g(x))µ(Āγ )
x∈Āγ x∈Āγ
γ∈Γs γ∈Γs γ∈Γs
The simple function ψ : X → [0, ∞) ⊂ IR, defined by ψ(x) =

P
γ∈Γs (inf x̄∈Āγ g(x̄))χĀγ ,X (x), ∀x P
∈ X, satisfies 0 ≤ ψ(x) ≤ g(x), ∀x ∈ X
R
and ψ(x) = 0, ∀x ∈ X \E1 . Then, γ∈Γs (inf x∈Āγ g(x))µ(Āγ ) = X ψ dµ =
R R
E1
ψ|E1 dµE1 ≤ E1 g|E1 dµE1 < ǫ/6, where the equalities follows from
Proposition
P 11.73; and the first inequality

Then, γ∈Γ ŷγ µ(f inv(Ûγ ) ∩ E1 ) < µ(E1 ) + ǫ/6 < δ + ǫ/6 ≤ ǫ/3.
P
n̄+1
Claim 11.83.2 i=1 wi µ(Ai ∩ E1 ) < ǫ/6.
Proof of claim: Since k φn (x) k ≤ gn (x), ∀x ∈ X, then

P k wi k ≤ gn (x),
n̄+1
∀x ∈ Ai , i = 1, . . . , n̄ + 1. Then, by Proposition 11.76, i=1 wi µ(Ai ∩
P R

E1 ) ≤ n̄+1
i=1 k wi k µ(Ai ∩ E1 ) ≤ E1 gn |E1 dµE1 < ǫ/6, where the second
inequality follows from Proposition 11.76. 2
Claim 11.83.3 ∀γ ∈ Γ\Γ̄, ∀i ∈ {1, . . . , n̄ + 1}, we have k ŷγ −wi k µ(Aγ,i ) ≤

3ǭµ(Aγ,i ).
Proof of claim: ∀γ ∈ Γ\ Γ̄, ∀i ∈ {1, . . . , n̄ + 1}, iγ ∈ {1, . . . , n̄ + 1} and

Ûγ ⊆ Viγ . The result is trivial if Aγ,i = ∅. If Aγ,i 6= ∅, then ∃x ∈ Aγ,i = Ai ∩
f inv(Ûγ ) ∩ (X \ E1 ). This implies that φn (x) = wi and f (x) ∈ BY ( wi , ǭ ) ∩

Ûγ ⊆ BY ( wi , ǭ ) ∩ Viγ ⊆ BY ( wi , ǭ ) ∩ V̄iγ = BY ( wi , ǭ ) ∩ BY wiγ , ǭ . Note

that ŷ γ ∈ Û γ ⊆ B Y wi , ǭ . Therefore, we have k ŷ γ − wi k ≤ ŷγ − wiγ +
γ
wiγ − f (x) + k f (x) − wi k < 3ǭ. Hence, the result holds. 2
P R Pn̄
Note that FR = γ∈Γ ŷγ µ(f inv(Ûγ )) and X φn dµ = i=1 wi µ(Ai ), by
Proposition 11.73. Then,
Z
X
n̄
X

FR − φn dµ = ŷγ µ(f inv(Ûγ )) − wi µ(Ai )
X γ∈Γ i=1
X

= ŷγ (µ(f inv(Ûγ ) ∩ (X \ E1 )) + µ(f inv(Ûγ ) ∩ E1 )) −
γ∈Γ
n̄+1
X

wi (µ(Ai ∩ E1 ) + µ(Ai ∩ (X \ E1 )))
i=1
X n̄+1
X n̄+1
X

= ŷγ ( µ(Aγ,i ) + µ(f inv(Ûγ ) ∩ E1 )) − wi (µ(Ai ∩ E1 ) +
γ∈Γ i=1 i=1
X

µ(Aγ,i ))
γ∈Γ
X n̄+1
X X n̄+1
X

= ŷγ µ(Aγ,i ) + ŷγ µ(f inv(Ûγ ) ∩ E1 ) − wi µ(Ai ∩ E1 ) −
γ∈Γ i=1 γ∈Γ i=1
X n̄+1
X

wi µ(Aγ,i )
γ∈Γ i=1
X n̄+1
X X

= (ŷγ − wi )µ(Aγ,i ) + ŷγ µ(f inv(Ûγ ) ∩ E1 ) −
γ∈Γ i=1 γ∈Γ
n̄+1
X

wi µ(Ai ∩ E1 )
i=1
X n̄+1
X ǫ ǫ

< (ŷγ − wi )µ(Aγ,i ) + +
i=1
3 6
γ∈Γ
ǫ
n̄+1 X n̄+1
X X X
= + (ŷγ − wi )µ(Aγ,i ) + (ŷγ − wi )µ(Aγ,i )
2 i=1 i=1
γ∈Γ\Γ̄ γ∈Γ̄
ǫ
n̄+1 X n̄+1
X X ǫ X
= + (ŷγ − wi )µ(Aγ,i ) ≤ + k ŷγ − wi k µ(Aγ,i )
2 i=1
2 i=1
γ∈Γ\Γ̄ γ∈Γ\Γ̄
ǫ X n̄+1
X ǫ 3µ(X)ǫ
≤ + 3ǭµ(Aγ,i ) ≤ + <ǫ
2 2 6µ(X) + 1
γ∈Γ\Γ̄ i=1
where the first inequality follows from Claims 11.83.1 and 11.83.2; and
the seventh equality follows from the fact that Aγ,i = ∅, ∀γ ∈ Γ̄, ∀i ∈
{1, . . . , n̄ + 1}; and the third inequality follows from Claim 11.83.3.
In summary, we have shown that ∀ǫ ∈ (0, ∞) ⊂ IR, ∃n1 ∈ IN, ∀n ∈ IN
with n ≥ n , ∃R̄ ∈ I ( Y ) such that ∀R ∈ I ( Y ) with R̄ R, we have FR −
R 1
φ dµ < ǫ. Then, the net ( F ) is a Cauchy net. By Proposi-
X n R
R R∈I(Y)
tion 4.44, the net admits R a limit
R ∈ Y. By Propositions
X f dµ R 4.30, 3.66,
and 3.67, we have X f dµ− X φn dµ = limR∈I(Y) FR − X φn dµ ≤ ǫ,

R R
∀n ≥ n1 . Hence, we have X f dµ = limn∈IN X φn dµ ∈ Y and f is inte-
grable over X. This completes the proof of the lemma. 2
Lemma 11.84 Let X := (X, B, µ) be a finite measure space, Y be a Banach

space, W be a separable subspace of Y, U ⊆ W be a conic segment, f : X →
U ⊆ W be B-measurable, and g : X → [0, ∞) ⊂ IR be B-measurable.
Assume that k f (x) k ≤ g(x), ∀x ∈ X, and g is integrable over X. Then,
∞
there exists a sequence of simple functions ( ϕk )k=1 , ϕk : X → U , ∀k ∈ IN,
such that limk∈IN ϕk = f a.e. in RX , k ϕk (x) k ≤ k fR(x) k, ∀x ∈ X, ∀k ∈ IN,
and f is integrable over X with X f dµ = limk∈IN X ϕk dµ ∈ Y.
R Furthermore, if Y admits a positive cone P and U ⊆ P ⊆ Y, then
X
f dµ ∈ P .
Proof By Proposition 11.65, there exists a sequence of simple func-

∞
tions ( ϕk )k=1 , ϕk : X → U , ∀k ∈ IN, such that k ϕk (x) k ≤ k f (x) k ≤ g(x),
∀x ∈ X, ∀k ∈ IN, andR limk∈IN ϕk = f a.e. R in X . By Lemma 11.83, f is
integrable over X and X f dµ = limk∈IN X ϕk dµ ∈ Y.
Furthermore, if Y admits a positive cone P and U ⊆ P ⊆ Y, then,
R Propositions 8.41 and 11.73, ϕk : X →R U ⊆ P ⊆ Y, ∀k ∈ IN, and
by
X ϕk dµ ∈ P . Then, by Proposition 4.13, X f dµ ∈ P = P , since P is
closed. This completes the proof of the lemma. 2
Theorem 11.85 (Lebesgue Dominated Convergence) Let X :=

(X, B, µ) be a finite measure space, Y be a Banach space, W be a sepa-
rable subspace of Y, fn : X → W be B-measurable, ∀n ∈ IN, f : X → W
be B-measurable, gn : X → [0, ∞) ⊂ IR be B-measurable, ∀n ∈ IN, and
g : X → [0, ∞) ⊂ IR be B-measurable. Assume that
(i) limn∈IN fn = f a.e. in X , limn∈IN gn = g a.e. in X ;

(ii) k fn (x) k ≤ gn (x), ∀x ∈ X, ∀n ∈ IN;
R R
(iii) gn ’s and g are integrable over X and X g dµ = limn∈IN X gn dµ ∈ IR.
R R
Then, f is integrable over X and X f dµ = limn∈IN X fn dµ ∈ Y.
Proof ∀n ∈ IN, by Lemma 11.84, there exists a sequence of simple
∞
functions ( ϕ̄n,k )k=1 , ϕ̄n,k : X → W, ∀k ∈ IN, such that limk∈IN ϕ̄n,k =
fn a.e. in X , kR ϕ̄n,k (x) k ≤ k fn (x)R k, ∀x ∈ X, ∀k ∈ IN, fn is integrable
over X, and X fn dµ = limk∈IN X ϕ̄n,k dµ ∈ Y. By Proposition 11.57,
limk∈IN ϕ̄n,k =
fn in measure in X . Then, ∃kn ∈ IN such R that µ(E )
nR := µ({ x ∈
X | k ϕ̄n,kn (x) − fn (x) k ≥ 2−n }) < 2−n and X fn dµ − X ϕ̄n,kn dµ <
2−n . Denote ψn := ϕ̄n,kn .
IR, ∃n0 ∈ IN such that ∀n ∈ IN with n ≥ n0 , we have 2−n < ǫ/2
and µ(Ēn ) := µ({ x ∈ X | k fn (x) − f (x) k ≥ ǫ/2 }) < ǫ/2. Note
that, by Lemma 11.43, B ∋ Fn := { x ∈ X | k ψn (x) − f (x) k ≥
ǫ } ⊆ { x ∈ X | k ψn (x) − fn (x) k + k fn (x) − f (x) k ≥ ǫ } ⊆ En ∪
Ēn . Then, we have µ(Fn ) ≤ µ(En ) + µ(Ēn ) < ǫ. This implies that
limn∈IN ψn = f in measure in X . By Proposition 11.56, there exists a
∞ ∞
subsequence ( ψni )i=1 of ( ψn )n=1 that Rconverges to f a.e. R in X . By
Lemma 11.83, f is integrable over X and X f dµ = limi∈IN X ψni dµ ∈ Y.
R R
By the Rfact that X fni dµ R − X ψni dµ
−ni
R < 2 , ∀i ∈ IN, then we have
limi∈IN X fni dµ = limi∈IN X ψni dµ = X f dµ ∈ Y. So far, we have shown
∞ ∞
that, for theR sequence ( fRn )n=1 , there exists a subsequence ( fni )i=1 such
that limi∈IN X fni dµ = X f dµ ∈ Y. This then holds R for any Rsubsequence
∞
of ( fn )n=1 . By Proposition 3.71, we have limn∈IN X fn dµ = X f dµ.
Proposition 11.86 Let X := (X, B, µ) be a finite measure space, Y be a
Banach space over IK, W be a separable subspace of Y, Z be a Banach space
over IK, fi : X → W be B-measurable, gi : X → [0, ∞) ⊂ IR be integrable
over X , i = 1, 2. Assume that k fi (x) k ≤ gi (x), ∀x ∈ X, i = 1, 2. Then,
R
(i) Rf1 , f2 , andR f1 + f2 are integrable over X and X (f1 + f2 ) dµ =
X f1 dµ + X f2 dµ ∈ Y.
R
(ii) ∀AR ∈ B ( Y, Z ), Af1 is integrable over X and X (Af1 ) dµ =
A X f1 dµ ∈ Z.
R R
(iii) ∀c ∈ IK, cf1 is integrable over X and X (cf1 ) dµ = c X f1 dµ ∈ Y.
R
(iv) R∀E ∈ B, f1 |E is integrable over E and X (f1 χE,X ) dµ =
E f1 |E dµE ∈ Y, where E := (E, BE , µE ) is the finite measure sub-
space
R of X as defined
R in Proposition 11.13. We will henceforth denote
f
E 1 E
| dµ E by f
E 1
dµ.
R R
(v) If f1 = f2 a.e. in X then X
f1 dµ = X f2 dµ ∈ Y.
P R R
(vi) ∀ pairwise disjoint ( Ei )∞
i=1 ⊆ B, ∞ i=1 Ei f1 dµ =
S∞
Ei
f1 dµ ∈ Y.
i=1
R R R
(vii) 0 ≤ X f1 dµ ≤ X P ◦ f1 dµ ≤ X g1 dµ < +∞, where P ◦ f1 :
X → [0, ∞) ⊂ IR is as defined on page 361.
⋖ R ⋖
(viii) RIf Y admits a positive cone P and f1 = f2 a.e. in X , then X
f1 dµ =
X 2
f dµ.
Proof By Lemma 11.84, there exist sequences of simple functions

∞
( φi,n )n=1 , φi,n : X → W, ∀n ∈ IN, i = 1, 2 such that i = 1, 2, limn∈IN φi,n =
fi a.e. inR X , k φi,n (x) k ≤ kRfi (x) k, ∀x ∈ X, ∀n ∈ IN, fi is integrable over
X , and X fi dµ = limn∈IN X φi,n dµ ∈ Y.
(i) By Propositions 7.23, 11.38, and 11.39, f1 + f2 , g1 + g2 , and
φ
R 1,n + φ2,n are B-measurable,
R R ∀n ∈ IN. By Proposition 11.80, 0 ≤
X
(g 1 + g 2 ) dµ = X
g 1 dµ + g dµ < +∞. Note that, by Proposi-
X 2
tions 7.23, 11.52, and 11.53, limn∈IN (φ1,n + φ2,n ) = f1 + f2 a.e. in X and
k φ1,n (x) + φ2,n (x) k ≤ k φ1,n (x) k + k φ2,n (x) k ≤ g1 (x) + g2 (x), ∀x ∈ X,
∀n ∈ IN. Clearly, φ1,n + φ2,n : X → W and f1 + f2 : X → W,
∀n ∈ IN. By Lebesgue Dominated R Convergence Theorem
R 11.85, f1 + f2
is integrable R over X and
R X (f 1 +
f 2 )Rdµ = limn∈I
N
R X (φ1,n + φ2,n ) dµ =
limn∈IN X φ1,n dµ + X φ2,n dµ = X f1 dµ + X f2 dµ ∈ Y, where the
second equality follows from Proposition 11.73; and the third equality fol-
lows from Propositions 3.66, 3.67, and 7.23. R
(ii) ∀AR ∈ B ( Y, Z ), by PropositionR 11.80 and the fact that X g1 dµ ∈ IR,
we have X (k A k g1 ) dµ = k A k X g1 dµ ∈ IR. By Propositions 7.62 and
11.38, Af1 and Aφ1,n are B-measurable, ∀n ∈ IN. By Propositions 11.52
and
R 7.62, limn∈IN AφR1,n = Af1 a.e. in X . By Proposition 11.73, we have
X (Aφ 1,n ) dµ = A X φ1,n dµ ∈ Z. Note that k Aφ1,n (x) k ≤ k A k ·
k φ1,n (x) k ≤ k A k g1 (x), ∀x ∈ X, ∀n ∈ IN. Clearly, Aφ1,n : X → Ŵ and
Af1 : X → Ŵ, ∀n ∈ IN, where Ŵ := { z ∈ Z | z = Aw, w ∈ W } is a sepa-
rable subspace of Z. By LebesgueRDominated ConvergenceR Theorem 11.85,
Af1 is integrable
R over X R and X (Af1 ) dµ = limn∈IN X (Aφ1,n ) dµ =
limn∈IN A X φ1,n dµ = A X f1 dµ ∈ Z, where the last equality follows from
(iii) This follows∞ immediately from (ii).
(iv) φ1,n |E n=1 is a sequence of simple functions that converges to

f1 |E a.e. in E. Note that φ1,nR|E (x) ≤ g1 |E R(x), ∀x ∈ E, ∀n ∈
IN. By Proposition 11.76, 0 ≤ E g1 |E dµE ≤ X g1 dµR < +∞. By
Lebesgue R Dominated Convergence Theorem 11.85,∞we have E f1 |E dµE =
limn∈IN E φ1,n |E dµE ∈ Y. Note that ( φ1,n χE,X )n=1 is a sequence of sim-
ple functions that converges to f1 χE,X a.e. in X , and k φ1,n (x)χE,X (x) k ≤
g1 (x), ∀x ∈ X, ∀n ∈ IN. By Propositions 7.23, 11.38, and 11.39, φ1,n χE,X
and f1 χE,X are B-measurable. Again by Lebesgue Dominated Convergence
R R
Theorem R 11.85, we haveR X (f1 χE,X ) dµ = limn∈IN X (φ1,n χE,X ) dµ =
limn∈IN E φ1,n |E dµE = E f1 |E dµE ∈ Y, where the second equality fol-
lows from Proposition 11.73.
(v) If f1 = f2 a.e. in X , then limn∈IN φ1,n = f2 a.e. in X . RBy Lebesgue
Dominated R Convergence
R Theorem 11.85, we have X f2 dµ =
limn∈IN X φ1,n dµ = X f1 dµ. S∞
∞
Sn (vi) ∀ pairwise disjoint ( Ei )i=1 ⊆ B, let E := i=1 Ei ∈ B and Ēn :=
i=1 Ei ∈ B, ∀n ∈ IN. PThen, limn∈IN f1 (x)χĒnP
,X (x) R= f1 (x)χE,X (x),
∞ R n
∀x ∈ X. Then, we have i=1 Ei f1 dµ = limn∈IN i=1 X (f1 χEi ,X ) dµ =
R R R
limn∈IN X (f1 χĒn ,X ) dµ = X (f1 χE,X ) dµ = E f1 dµ ∈ Y, where the first
equality follows from (iv); the second equality follows from (i); the third
equality follows from Lebesgue Dominated Convergence Theorem 11.85; the
last equality follows from (iv); and the last Rstep follows
from
R (iv).
(vii) Note that, by Proposition 11.73, X φ1,n dµ ≤ X P ◦ φ1,n dµ ∈
IR, ∀n ∈ IN. By Propositions 7.21 and 11.38, P ◦ φ1,n and P ◦ f1
are B-measurable, ∀n ∈ IN. By Propositions 7.21 and 11.52, we have
limn∈IN P ◦ φ1,n = P ◦ f1 a.e. in X . R Note that 0 ≤ P ◦ φ1,n R (x) ≤ g1 (x),
∀x ∈ X, ∀n ∈ I
N. Then, 0 ≤ f dµ = lim n∈IN X φ1,n dµ
=
R R X 1 R R

limn∈IN X φ1,n dµ ≤ limn∈IN X P ◦ φ1,n dµ = X P ◦ f1 dµ ≤ X g1 dµ <
+∞, where the second equality follows from Propositions 7.21 and 3.66;
the third equality follows from Lebesgue Dominated Convergence Theo-
rem 11.85; and the third inequality follows from Proposition 11.76.
⋗
(viii) Let f := f2 − f1 . Then, f = ϑY a.e. in X , f : X → W, and f
is B-measurable by Propositions 11.38, 11.39, and 7.23. Note that P is
a closedset, P ∈ BB ( Y ), and f inv(P ) ∈ B. Define f¯ : X → P ⊆ Y by
f (x) x ∈ f inv(P )
f¯(x) = . Then, f = f¯ a.e. in X , f¯ : X → W,
ϑY x ∈ X \ f inv(P )
and f¯(x) ≤ k f (x) k ≤ k f1 (x) k + k f2 (x) k ≤ g1 (x) + g2 (x), ∀x ∈ X.
By Proposition 11.41, f¯ is B-measurable. R By Proposition 11.80, g1 + g2 is
integrable over X . By Lemma 11.84, X f¯ dµ ∈ P . By (i) and (v), we have
R R R R ⋗ R ⋖ R
f dµ− X f1 dµ = X f dµ = X f¯ dµ = ϑY . Then, X f1 dµ = X f2 dµ.
X 2
Proposition 11.87 Let X := (X, B, µ) be a measure space, gn : X →

[0, ∞) ⊂ IR be B-measurable, ∀n ∈ IN, and g : X → [0, ∞) ⊂ IR be B-
measurable. Then, the following statements hold.
R R R R
(i) ∀E ∈ B, we have E g|E dµE = X (gχE,X ) dµ =: E g dµ ≤ X g dµ,
where E := (E, BE , µE ) is the measure subspace of X .
R R
(ii) ∀E1 , E2 ∈ B with E1 ∩ E2 = ∅, we have E1 ∪E2 g dµ = E1 g dµ +
R
E2 g dµ ∈ IRe .
∞ R
(iii) ∀ pairwise disjoint ( En )n=1 ⊆ B, we have S∞ En g dµ =
P∞ R n=1
n=1 En g dµ ∈ IRe .
(iv) If g andR gn ’s are integrable

R over X , limn∈IN gn = g a.e. in
R X , and
limn∈IN RX gn dµ = X g dµ ∈ IR. Then, ∀E ∈ B, we have E g dµ =
limn∈IN E gn dµ ∈ IR.
Proof (i) Note that g|E is BE -measurable. By Propositions 7.23,

11.38, and 11.39, gχE,X is B-measurable. Then, the result follows directly
from Propositions 11.76 and 11.73. R
(ii) By (i) and Proposition 11.80, we have E1 ∪E2 g dµ =
R R R
RX (gχE1 ∪E2 ,X ) dµR = X (gχ R E1 ,X + gχE2 ,X ) dµ = X (gχE1 ,X ) dµ +
X (gχ E 2 ,X ) dµ = E1 g dµ + E2 g dµ ∈ IRe . S∞
∞
(iii) Fix anySpairwise disjoint ( En )n=1 ⊆ B. Let E := n=1 En ∈
n
B and Ēn := i=1 Ei ∈ B, ∀n ∈ IN. By Propositions 7.23, 11.38,
and 11.39, gχĒn ,X and gχE,X are B-measurable, ∀n ∈ IN. Clearly,
limn∈IN g(x)χĒn ,X (x) = g(x)χE,X (x), ∀x ∈ X, and 0 ≤ g(x)χĒn ,X (x) ≤
g(x)χĒn+1 ,X (x), ∀x ∈ X, ∀n ∈ IN. By Monotone Convergence Theo-
R R R
rem 11.78,R E g dµ = P(gχ E,X ) dµ = P limn∈IN (gχĒn ,X ) dµ =
X n R ∞ R X
limn∈IN Ēn g dµ = limn∈IN i=1 Ei g dµ = n=1 En g dµ, where the
fourth equality follows from (ii). R R
(iv)
R By (i) and Proposition
R R 0 ≤ E gRdµ ≤ X g dµ < +∞,
11.76, we have
0 ≤ X\E g dµ ≤ X g dµ < +∞, 0 ≤ E gn dµ ≤ X gn dµ < +∞, and
R R
0 ≤ X\E gn dµ ≤ X gn dµ < +∞, ∀n ∈ IN. By Fatou’s Lemma 11.77,
R R R R
E
g dµ = E g|E dµE ≤R lim inf n∈IN E gn |E dµER = lim inf n∈IN E gn dµ.
By a similar argument, X\E g dµ ≤ lim inf n∈IN X\E gn dµ. By (ii) and
R R
Proposition 3.83, we have E
g dµ ≤ lim inf n∈IN E gn dµ ≤
R R R
lim supn∈IN E gn dµ = lim supn∈IN X gn dµ − X\E gn dµ =
R R R R R
limn∈IN X gn dµ − lim inf n∈IN X\E gn dµ ≤ X g dµ − X\E g dµ = E g dµ.
R R
By Proposition 3.83, we have E g dµ = limn∈IN E gn dµ ∈ IR.
Definition 11.88 Let X := (X, B, µ) be a measure space, Y be a normed

linear space, and f : X → Y be B-measurable. f isR said to be absolutely
integrable if P ◦ f is integrable over X , that is, 0 ≤ X P ◦ f dµ < +∞.
Note that P ◦ f is B-measurable by Propositions 7.21 and 11.38. We will

show that the desired properties of integration are valid if the integrand is
absolutely integrable.

(X, B, µ) be a measure space, Y be a Banach space, W be a separable
subspace of Y, fn : X → W be B-measurable, ∀n ∈ IN, f : X → W
be B-measurable, gn : X → [0, ∞) ⊂ IR be B-measurable, ∀n ∈ IN, and


R R
(iii) gn ’s and g are integrable over X and X g dµ = limn∈IN X gn dµ ∈ IR.
R R
Then, f is integrable over X and X f dµ = limn∈IN X fn dµ ∈ Y. Further-
more, f is absolutely integrable.
R
Proof R We will show that f is integrable over X and X f dµ =
limn∈IN X fn dµ ∈ Y by distinguishing two exhaustive and mutually ex-
clusive cases: Case 1: µ(X) < +∞; Case 2: µ(X) = +∞.
Case 1: µ(X) < +∞. The result follows immediately from Lebesgue
Dominated Convergence Theorem 11.85.
Case 2: µ(X) = +∞. Let ( FA )A∈M(X ) and ( Fn,A )A∈M(X ) be the
nets for the functions f and fn as defined in Definition 11.69, respec-
tively, ∀n ∈ IN. ∀A ∈ M ( X ), we have A ∈ B and µ(A) < ∞. Let
A := (A, BA , µA ) be the finite measure subspace of X as defined in Propo-
sition 11.13. By Proposition 11.87,R g|A and gn |A ’s are integrable
R over A,
limn∈IN gn |A = g|A a.e. in A, and A g|A dµA = limn∈IN A gn |A dµA . By
Lebesgue Dominated ConvergenceR Theorem 11.85,Rwe have f |A and fn |A ’s
are integrableR over A and A
f |A dµA = R limn∈IN A fn |A dµA ∈ Y. Note
that FA = A f |A dµA ∈ Y and Fn,A = A fn |A dµA ∈ Y, ∀n ∈ IN. Then,
the nets ( FA )A∈M(X ) and ( Fn,A )A∈M(X ) ’s are well defined.
∀ǫ ∈ (0, ∞) ⊂ IR, by Proposition 11.76, ∃ a simple function R φ:X →
[0,
R ∞) ⊂ I
R R such that 0 ≤ φ(x) ≤ g(x), ∀x ∈ X, and X g dµ − ǫ/5 <
X
φ dµ ≤ X
g dµ < +∞. Let A 0 := { x ∈ X | φ(x) > 0 }. Then,
A0 ∈ B, µ(A0 ) R< +∞, and A0 ∈ M ( X R). ∀A ∈ M ( XR ) with A0 ⊆ A,
we have 0 ≤ A\A0 g|A\A0 dµA\A0 = A g|A dµA − A0 g|A0 dµA0 ≤
R R R R
X g dµ − A0 φ|A0 dµA0 = X g dµ − X φ dµ < ǫ/5, where the first
equality follows from Proposition 11.87; the second inequality follows
from Proposition 11.76; and the second R equality follows from Proposi-

R
tion 11.73. Note that k FA − FA0 k = A f |A dµA − A0 f |A0 dµA0 =
R R

A\A0 f |A\A0 dµA\A0 = limn∈IN A\A0 fn |A\A0 dµA\A0 ≤
R R
limn∈IN A\A0 gn |A\A0 dµA\A0 = A\A0 g|A\A0 dµA\A0 < ǫ/5, where the
second equality follows form Proposition 11.86; the third equality follows
from the preceding paragraph; the first inequality follows from Proposi-
tion 11.86; and the fourth equality follows from the preceding paragraph.
Then, the net ( FA )A∈M(X ) is a Cauchy net, which admits a limit, by
R
Proposition 4.44, X f dµ = limA∈M(X ) FA ∈ Y. Hence, f is integrable over
X.
∀n ∈ IN, by Proposition 11.76, ∃ a simple function R φn : X → R[0, ∞) ⊂ IR
such
R that 0 ≤ φ n (x) ≤ g n (x), ∀x ∈ X, and X ng dµ − ǫ/5 < X φn dµ ≤
g
X n
dµ < +∞. Let A n := { x ∈ X | φ n (x) > 0 }. Then, An ∈
B, µ(An ) < R+∞, and An ∈ M ( X ).R ∀A ∈ M ( XR) with An ⊆ A,
we have 0 ≤ A\An gn |A\An dµA\An = A gn |A dµA − An gn |An dµAn ≤
R R R R
X
gn dµ − An φn |An dµAn = X gn dµ − X φn dµ < ǫ/5, where the first
equality follows from Proposition 11.87; the second inequality follows from
Proposition 11.76; and the second equality R follows from Proposition 11.73.
R
Note that k Fn,A − Fn,An k = A fn |A dµA − An fn |An dµAn =
R R

A\An fn |A\An dµA\An ≤ A\An gn |A\An dµA\An < ǫ/5, where the sec-
ond equality follows form Proposition 11.86; and the first inequality follows
from Proposition 11.86. Then, the net ( Fn,A )A∈M(X ) is a Cauchy net,
R
which admits a limit, by Proposition 4.44, X fn dµ = limA∈M(X ) Fn,A ∈ Y.
Let ḡn := gn ∧g, ∀n ∈ IN. Then, 0 ≤ ḡn (x) ≤ g(x), ∀x ∈ X, and ḡn is B-
measurable by Proposition 11.40, R ∀n ∈ IN. Then, lim R n∈IN ḡn = g a.e. in X .
By Fatou’s Lemma R 11.77, XRg dµ ≤ lim inf n∈IN X ḡn dµ. By Proposi-
tion
R 11.76, 0 ≤ X R
ḡ n dµ ≤ X
g dµ < +∞, R ∀n ∈ IN. RThen, we have
X
g dµ ≤ lim inf n∈IN ḡ
X R n dµ ≤ lim sup n∈I N RX ḡ n dµ ≤ X g dµ. There-
fore, by Proposition 3.83, X g dµ = limn∈IN X ḡn dµ ∈ IR. This coupled
with (iii) and the fact that FA0 = Rlimn∈IN Fn,A R 0 , implies that ∃n R 0 ∈ IN,
∀n ∈ ≥ ≤ −
R I
N with
n n 0 , we have 0 X g dµ X ḡ n dµ < ǫ/5, X g dµ −
g n dµ < ǫ/5, and k FA0 − Fn,A0 k < ǫ/5. ∀A ∈ M ( X ) with A0 ⊆ A,
X R R
we have 0 ≤ A\A0 gn |A\A0 dµA\A0 = A\A0 (gn − ḡn )|A\A0 dµA\A0 +
R R R
ḡn |A\A0 dµA\A0 ≤ X (gn − ḡn ) dµ + A\A0 g|A\A0 dµA\A0 <
RA\A0 R R R R R
g dµ− X ḡn dµ+ǫ/5 ≤ X gn dµ− X g dµ + X g dµ− X ḡn dµ+ǫ/5 <
X n
3ǫ/5, where the first equality follows from Proposition 11.80; the second in-
equality follows from Proposition 11.76; and the third inequality R follows

from Proposition 11.80. Furthermore, k Fn,A − Fn,A0 k = A fn |A dµA −
R R R

f | dµA0 = A\A0 fn |A\A0 dµA\A0 ≤ A\A0 gn |A\A0 dµA\A0 <
A0 n A0
3ǫ/5, where the second equality and
R the first
R inequality
follows
R from Propo-

sition 11.86. This implies that f dµ − f n dµ ≤ f dµ − FA0 +
R X X X
k FA0 − Fn,A0 k + Fn,A0 − X fn dµ < limA∈M(X ) k FA − FA0 k + ǫ/5 +
limA∈M(X ) k Fn,A0 − Fn,A k ≤ ǫ/5 + ǫ/5 + 3ǫ/5 = ǫ, where the second
R
R follows from Propositions 7.21 and 3.66. Hence, X f dµ =
inequality
limn∈IN X fn dµ ∈ Y.
R Then, in both Rcases, we have shown that f is integrable over X and
X
f dµ = limn∈IN X fn dµ ∈ Y.
Note that 0 ≤ P ◦ fn (x) ≤ gn (x), ∀x ∈ X, ∀n ∈ IN, limn∈IN P ◦ fn =
P ◦ f a.e. in X by Propositions 7.21 and 11.52, and P ◦ f and P ◦ fn ’s are B-
measurable
R by Propositions 7.21 R and 11.38. Then, by what we have proved
so far, X P ◦ f dµ = limn∈IN X P ◦ fn dµ ∈ IR. Hence, f is absolutely
integrable.
Proposition 11.90 Let X := (X, B, µ) be a measure space, Y be a Banach

space over IK, W be a separable subspace of Y, Z be a Banach space over IK,
fi : X → W be absolutely integrable over X , i = 1, 2. Then, the following

statements hold.
R
(i) fi is integrable over X and X fi dµ ∈ Y, i = 1, 2.
R R
(ii) fR1 +f2 is absolutely integrable over X and X (f1 +f2 ) dµ = X f1 dµ+
X 2
f dµ ∈ Y.
R
(iii) ∀AR ∈ B ( Y, Z ), Af1 is absolutely integrable over X and X (Af1 ) dµ =
A X f1 dµ ∈ Z.
R
(iv) ∀cR ∈ IK, cf1 is absolutely integrable over X and X (cf1 ) dµ =
c X f1 dµ ∈ Y.
R
(v) ∀H
R ∈ B, f1 |H is absolutely integrable over H and X (f1 χH,X ) dµ =
f | dµH ∈ Y, where H := (H, BH , µH ) is the measure subspace
H 1 H
of
R X as defined Rin Proposition 11.13. We will henceforth denote
f
H 1 H
| dµH by H f1 dµ.
R R
(vi) If f1 = f2 a.e. in X then X f1 dµ = X f2 dµ ∈ Y.
P∞ R R
(vii) ∀ pairwise disjoint ( Ei )∞
i=1 ⊆ B, i=1 Ei f1 dµ =
S∞ f1 dµ ∈ Y.
i=1 Ei
R R
(viii) 0 ≤ X f1 dµ ≤ X P ◦ f1 dµ < +∞.
⋖ R ⋖
(ix) RIf Y admits a positive cone P and f1 = f2 a.e. in X , then X f1 dµ =
X f2 dµ.

cases: Case 1: µ(X) < +∞; Case 2: µ(X) = +∞. Case 1: µ(X) < +∞.
The results follow immediately from Proposition 11.86.
Case 2: µ(X) = +∞. f1 , f2 , P ◦ f1 , and P ◦ f2 are B-measurable by
(i) By Lebesgue Dominated R Convergence Theorem 11.89, we have that
fi is integrable over X and X fi dµ ∈ Y, i = 1, 2. Let ( Fi,E )E∈M(X ) be
R
the net for X fi dµ as defined Rin Definition 11.69, i = 1, 2. ∀E ∈ M ( X ),
by Proposition 11.86, Fi,E = E fi |E dµE ∈ Y, i = 1, 2. Then, the net
( Fi,E )E∈M(X ) is well-defined, i = 1, 2. Then, by Definition 11.69, we have
R
limE∈M(X ) Fi,E = X fi dµ ∈ Y, i = 1, 2.
(ii) By Propositions 11.38, 11.39, 7.21, and 7.23, f1 +f2 and P ◦(f1 +f2 )
are B-measurable. Note that P◦(f1 +f2 )(x) = k f1 (x)+f2 (x) k ≤ k f1 (x) k+
k f2 (x)
R k = (P ◦ f1 + P ◦ Rf2 )(x), ∀x ∈ X. By Propositions
R 11.76
R and 11.80,
0 ≤ X P◦(f1 +f2 ) dµ ≤ X (P◦f1 +P◦f2) dµ = X P◦f1 dµ+ X P◦f2 dµ <
+∞. Hence, f1 + f2 is absolutely integrable over X . Let F̄E E∈M(X ) be
R
Rthe net for X (f1 +f2 ) dµ
R as defined in Definition
R 11.69. ∀E ∈ M ( X ), F̄E =
E
(f1 + f2 )|E dµE = E f1 |E dµE + E f2 |E dµE = F1,E R + F2,E , where
the second equality follows from Proposition 11.86. Then, X (f1 + f2 ) dµ =
R R
limE∈M(X ) F̄E = limE∈M(X ) (F1,E +F2,E ) = X f1 dµ+ X f2 dµ ∈ Y, where
the third equality follows from Propositions 3.66, 3.67, and 7.23. Hence,
f1 + f2 is integrable over X .
(iii) By Propositions 11.38, 7.21, and 7.62, Af1 and P ◦ (Af1 ) are
B-measurable. Note that P ◦ (Af1 )(x) = k Af1 (x) k ≤ k A k k f1 (x) k =
Rk A k P ◦ f1 (x), ∀x ∈ X. By PropositionsR 11.76 and 11.80R and the fact that
X R P ◦ f 1 dµ ∈ I
R, we have 0 ≤ X P ◦ (Af 1 ) dµ ≤ X (k A k P ◦ f1 ) dµ =
k A k X P ◦ f1 dµ < +∞. Hence, R Af 1 is absolutely integrable over X . Let
F̄E E∈M(X ) be the net for X (Af1 ) dµ as defined in Definition 11.69.
R R
∀E ∈ M ( X ), F̄E = E (Af1 )|E dµE = A E f1 |E dµE = AF1,E , where the
second equality follows R from Proposition 11.86. Then, by Propositions 3.66
and 7.62, we have X (Af1 ) dµ = limE∈M(X ) F̄E = limE∈M(X ) AF1,E =
R
A X f1 dµ ∈ Z. Hence, Af1 is integrable over X .
(iv) This follows immediately from (iii).
(v) Fix any H ∈ B. Clearly, f1 |H and P ◦ ( f1 |H ) = (P ◦ f1 )|H are
BH -measurable. By Proposition 11.87, f1 |H is absolutely integrable over
H. Then, by (i), f1 |H is integrable over H. Again, by (i), f1 χH,X is
integrable over X . ∀ǫ ∈ (0,R ∞) ⊂ IR, ∃A0 ∈ M (RX ) such that ∀A ∈ M (X )
with A0 ⊆ A, we have A (f1 χH,X )|A dµA − X (f1 χH,X ) dµ < ǫ/2. We
will distinguish two exhaustive and mutually exclusive subcases: Case 2a:
µ(H) = +∞; Case 2b: µ(H) < +∞.
Case 2a: µ(H) = +∞. R ∃E0 ∈ M ( H R ) such that ∀E ∈ M ( H )
with E0 ⊆ E, we have E f1 |E dµE − H f1 |H dµH < ǫ/2. Let
R 1 := A0 ∪E0 ∈ M ( X ) and
A R E1 := A1 ∩H ∈ M ( H ).RBy Proposition 11.86,
A1 (f1 χH,X )|A1 dµA1 = H∩A1 f1 |H∩A1 dµH∩A1 = E1 f1 |E1 dµE1 . Then,
R R R
we have X (f1 χH,X ) dµ − H f1 |H dµH ≤ X (f1 χH,X ) dµ −
R R R

A1
(f1 χH,X )|A1 dµA1 + E1 f1 |E1 dµE1 − H f1 |H dµH < ǫ/2+ǫ/2 = ǫ.
R R
By the arbitrariness of ǫ, we have X (f1 χH,X ) dµ = H f1 |H dµH ∈ Y.
Case 2b: Rµ(H) < +∞. Let A1 := RA0 ∪ H ∈ M ( X ). By Proposi-
tion 11.86, A1 (f1 χH,X )|A1 dµA1 = H f1 |H dµH . Then, we have
R R R
(f1 χH,X ) dµ −
X H f 1 |H dµ H = X (f1 χH,X ) dµ −
R

(f1 χH,X )|A1 dµA1 < ǫ/2. By the arbitrariness of ǫ, we have
RA1 R
X (f1 χH,X ) dµ = H f1 |H dµRH ∈ Y. R
Hence, in both subcases, X (f1 χH,X ) dµ = H f1 |H dµH ∈ Y.
(vi) This follows immediately from Lebesgue Dominated Convergence
Theorem 11.89.
∞ S∞
Sn (vii) ∀ pairwise disjoint ( Ei )i=1 ⊆ B, let E := i=1 Ei ∈ B and Ēn :=
i=1 Ei ∈ B, ∀n ∈ IN. PThen, R limn∈IN f1 (x)χĒnP ,X (x) R= f1 (x)χE,X (x),
∀x ∈ X. Then, we have ∞ f 1 dµ = lim n∈IN
n
i=1 X (f1 χEi ,X ) dµ =
R Ri=1 Ei R
limn∈IN X (f1 χĒn ,X ) dµ = X (f1 χE,X ) dµ = E f1 dµ ∈ Y, where the first
equality follows from (v); the second equality follows from (ii); the third
equality follows from Lebesgue Dominated Convergence Theorem 11.89; the

last equality follows from (v); and the last inclusion follows from (v).
(viii) By Propositions 7.21 and 11.38, P ◦ f1 is B-measurable. By (i),
P ◦
R f1 is integrable R over X . ∀E ∈ M ( X ), by Proposition 11.86, k F1,E k ≤
E P ◦ f 1 dµ ≤ X P ◦ f1 dµ < +∞, where
R the second inequality follows
from Proposition 11.76. Then, 0 ≤ X f1 dµ = limE∈M(X ) k F1,E k ≤
R
X P ◦ f1 dµ < +∞, where the first equality follows from Propositions 3.66
and 7.21. R
(ix) ∀ER ∈ M ( X ), by RProposition 11.86 and (v), we have E (f2 − f1 )|E ·
RdµE = E Rf2 |E dµE −R E f1 |E dµE ∈ P . Note that, R by (i) and (iv),
X 2f dµ − f
X 1 dµ = (f
X 2 − f 1 ) dµ = limE∈M(X ) E (f 2 − f1 )|E dµE ∈
P = P , where the second to last step follows from Proposition 3.68; and
the last step follows from the fact that P is closed. Therefore, we have
R ⋖ R
f dµ = X f2 dµ.
X 1
Proposition 11.91 Let X := (X, B, µ) be a σ-finite measure space, Y be

a Banach space, W be a separable subspace of Y, U ⊆ W be a conic seg-
ment, and f : X → U be absolutely integrable over X . Then, there exists
∞
a sequence of simple functions ( ϕn )n=1 , ϕn : X → U , ∀n ∈ IN, such
that k ϕRn (x) k ≤ P ◦Rf (x), ∀x ∈ X, ∀n ∈R IN, limn∈IN ϕn =
R f a.e. in X ,
limn∈IN X ϕn dµ = X fRdµ ∈ Y, limn∈IN X P ◦ ϕn dµ = X P ◦ f dµ ∈
[0, ∞) ⊂ IR, and limn∈IN X P ◦ (ϕn − f ) dµ = 0.

∞
tions ( ϕn )n=1 , ϕn : X → U , ∀n ∈ IN, such that k ϕn (x) k ≤ P ◦ f (x),
∀x ∈ X, ∀n ∈ IN, and limn∈IN ϕn = f a.e.Rin X . By Lebesgue R Dom-
inated Convergence Theorem 11.89, limn∈IN X ϕn dµ = X f dµ ∈ Y.
Note that limn∈IN P ◦ ϕn = P ◦ f a.e. in X , by Propositions 7.21 and
11.52. Again R by Lebesgue Dominated
R Convergence Theorem 11.89, we
have limn∈IN X (P ◦ϕn ) dµ = X (P ◦f ) dµ ∈ [0, ∞) ⊂ IR. By Lemma 11.43,
P ◦ (ϕn − f ) is B-measurable. By Propositions 7.21, 7.23, 11.53, and 11.52,
we have limn∈IN P ◦ (ϕn − f ) = 0 a.e. in X . Note that 0 ≤ P ◦ (ϕn − f )(x) =
k ϕn (x) − f (x) k ≤ k ϕn (x) k + k f (x) k ≤ 2P ◦ f (x), ∀x ∈ X, ∀n ∈ IN. By
Lebesgue Dominated R Convergence Theorem 11.89 and Proposition 11.73,
we have limn∈IN X P ◦ (ϕn − f ) dµ = 0. This completes the proof of the
proposition. 2
Proposition 11.92 Let X := (X, B, µ) be a measure space, Y be a Banach

space, W be a separable subspace of Y, U ⊆ W be a conic segment, and
f : X → U be absolutely integrable over X . Then, there exists a sequence
∞
R → U , ∀n R∈ IN, such that k φn (x)
of simple functions ( φn )n=1 , φn : X R k≤
P ◦ f (x),R∀x ∈ X, ∀n ∈ IN, limn∈IN X φn dµ = RX f dµ ∈ Y, limn∈IN X P ◦
φn dµ = X P ◦ f dµ ∈ [0, ∞) ⊂ IR, and limn∈IN X P ◦ (φn − f ) dµ = 0.

cases: Case 1: µ(X) < +∞; Case 2: µ(X) = +∞.
Case 1: µ(X) < +∞. Then, X is a finite measure space. The result
follows immediately from Proposition R 11.91.
Case 2: µ(X) = +∞. Since X P ◦ f dµ < +∞, then, by RDefini-
tion 11.69, ∀n ∈ RIN, ∃En ∈ B with R µ(En ) < +∞ such that X P ◦
f dµ − 2−n−1 < En P ◦ f dµ ≤ X P ◦ f dµ. By Case 1, ∃ a sim-

ple function φ̄n : E n → U such that φ̄n (x) ≤ P ◦ f (x), ∀x ∈ En ,
R R R R

En φ̄n dµEn − En f dµ < 2−n−1 , En P ◦ φ̄n dµEn − En P ◦ f dµ <
R
2−n−1 , and 0 ≤ En P ◦ (φ̄n − f |En ) dµEn < 2−n−1 , where (En , BEn , µEn ) is
the finite measure subspace of X . This simple function φ̄n may be extended
to a simple function φn : X → U such that φn |En = φ̄n and φn (x) = ϑY ,
R
∀x ∈ X \ En . Then, we have k φn (x) k ≤ P ◦ f (x), ∀x ∈ X, and
X φn dµ−
R R R R R

X f dµ = X (φn χEn ,X ) dµ− En f dµ− X\En f dµ = En φ̄n dµEn −
R R R R R

En f dµ − X\En f dµ ≤ En φ̄n dµ E n − En f dµ + X\En f dµ <
−n−1
R −n−1
R R −n
2 + X\En P ◦ f dµ = 2 + X P ◦ f dµ − En P ◦ f dµ < 2 , where
the first and the second equalities follows from Proposition 11.90; the sec-
ond inequality follows from Proposition 11.90; R and the third R equality fol-

P ◦ −
lows
R from Proposition 11.87. Next, we have
X φn dµ X P ◦ f dµ ≤
R R R
((P ◦ φn )χEn ,X ) dµ − En P ◦ f dµ + X P ◦ f dµ − En P ◦ f dµ <
RX R

En P◦ φ̄n dµEn − En P◦f dµ +2−n−1 < 2−n , where the second inequality
R
follows
R from Proposition 11.90. R Finally, we have 0 ≤ X P ◦ (φn − fR ) dµ =
En
P ◦ (φn − f )|En dµEn + X\En P ◦ (φn − f )|X\En dµX\En = En P ◦
R R
(φ̄n − f |En ) dµEn + X\En P ◦ f |X\En dµX\En < 2−n−1 + X\En P ◦ f dµ <
2−n , where the first equality follows from Propositions 11.87. Hence,
∞
( φn )n=1 is the sequence we seek.
Proposition 11.93 Let X := (X, B, µ) be a σ-finite measure Rspace, and
fR1 : X → IR and f2 : X R → IR be B-measurable. Assume that E f1 dµ ≤
E
f 2 dµ, ∀E ∈ B with E
P ◦ fi dµ < ∞, i = 1, 2. Then, f1 ≤ f2 a.e. in X .
Proof By Propositions 7.21, 7.23, 11.38, and 11.39, f1 − f2 , P ◦ fi
are B-measurable, i = 1, 2.SLet E := { xS∈ X | f2 (x) − f1 (x) < 0 } ∈ B.
∞ ∞
Suppose µ(E) > 0. E = n=1 En := n=1 { x ∈ X | f2 (x) − f1 (x) ≤
−1/n, | f1 (x) | ≤ n, | f2 (x) | ≤ n }. By Proposition 11.7, ∃n ∈ IN such
∞
S∞n ) > 0. Since X is σ-finite, then ∃ ( Xm )m=1 ⊆ B such that
that µ(E
X = m=1 Xm and µ(Xm ) < +∞, ∀m ∈ IN. Without loss of generality,
we may assume that Xm ⊆ Xm+1 , ∀m ∈ IN. Then, by Proposition 11.7,
µ(En ) = limm∈IN µ(En ∩ Xm ). Then, ∃m ∈ INR such that µ(Ē) := µ(En ∩
Xm ) ∈ (0, +∞) ⊂ IR. By Proposition 11.76, Ē P ◦ fRi dµ ≤ nµ( R Ē) < ∞,
i = 1, 2. Then, by Propositions 11.73 and 11.90, IR ∋ Ē f1 dµ − Ē f2 dµ −
R
µ(Ē)/n = Ē (f1 − f2 − 1/n) dµ ≥ 0. This contradicts with the assumption.
Hence, µ(E) = 0 and f1 ≤ f2 a.e. in X . 2
Proposition 11.94 Let X := (X, B, µ) be a σ-finite measure space, fi :

X → [0, ∞) ⊂ IR be B-measurable, i = 1, 2. Assume R that f1 ≤ f2 a.e. in X ,
µ({
R x ∈ X R | f 1 (x) < f 2 (x) }) > 0, and 0 ≤ X f1 dµ < +∞. Then,
X f 1 dµ < X f 2 dµ.
R R R
Proof
R By Proposition 11.80, X f1 dµ ≤ X f2 dµ. Suppose X f2 dµ =
X f1 dµ ∈ IR. Then, f1 and f2 are absolutely integrable over X . Let
g := f2 − f1 . Then, by Propositions 7.23, 11.38, and 11.39, we have
g : X → IR is B-measurable and g ≥ R0 a.e. in X . By Proposition 11.90,
g is absolutely integrableR over RX and X g dµR = 0. ∀E ∈ B, by Proposi-
tion 11.90, we have E g dµ + X\E g dµ = X g dµ = 0 and both of the
R
summand on the left-hand-side are nonnegative. Then, E g dµ = 0. By
Proposition 11.93, we have g = 0 a.e. in X . This contradicts with the fact
that µ({ x ∈ X | g(x) R > 0 }) = Rµ({ x ∈ X | f1 (x) < f2 (x) }) > 0. There-
fore, we must have X f1 dµ < X f2 dµ. This completes the proof of the
proposition. 2
Theorem 11.95 (Jensen’s Inequality) Let X := (X, B, µ) be a finite

measure space with µ(X) = 1, Y be a real Banach space, W be a separable
subspace of Y, Ω ⊆ Y be a nonempty closed convex set, f : X → Ω ∩ W
be absolutely integrable over X , and G : Ω → IR be a convex functional.
Assume that G ◦Rf is absolutely integrable
R over X
R and the epigraph [ G, Ω ]
is closed. Then, X f dµ ∈ Ω and G( X f dµ) ≤ X (G ◦ f ) dµ ∈ IR.
R
Proof By Proposition 11.90, y0 := X f dµ ∈ Y. We will first show
that y0 ∈ Ω by distinguishing two exhaustive and mutually exclusive cases:
Case 1: ϑY ∈ Ω; Case 2: ϑY 6∈ Ω.
Case 1: ϑY ∈ Ω. Then, Ω ∩ W is a conic segment. By Lemma 11.84,
∞
there exists a sequence of simple functions ( ϕn )n=1 , ϕn : X → Ω ∩ W,
∀n ∈ IN, such that lim R n∈IN ϕn = f a.e. Rin X , k ϕn (x) k ≤ P ◦ f (x), ∀x ∈ X,
∀n ∈ IN, and y0 = X f dµ = limn∈IN X ϕn dµ ∈ Y. Fix any n ∈ IN. Let
Pn̄
ϕn admit the canonical representation ϕn = i=1 yi χAi ,X . Let yn̄+1 :=
Sn̄
ϑY ∈ Ω ∩ W and An̄+1 := X \ ( i=1 Ai ) ∈ B. Then, by Proposition 11.73,
R Pn̄+1 Pn̄+1
X ϕn dµ = i=1 yi µ(Ai ). Note that 1 = µ(X) = R i=1 µ(Ai ) and the
summands are nonnegative. Since Ω is convex, thenR X ϕn dµ ∈ Ω. Since
Ω is closed, then, by Proposition 4.13, y0 = limn∈IN X ϕn dµ ∈ Ω.
Case 2: ϑY 6∈ Ω. Let ȳ ∈ Ω ∩ W 6= ∅ and Ω̄ := Ω − ȳ. Then, ϑY ∈ Ω̄
and, by Proposition 7.16, Ω̄ is a closed convex set. Let f¯ := f − ȳ. Then,
we have f¯ : X → Ω̄ ∩ W. By Propositions 11.38, 11.39, and 7.23, f¯
is B-measurable. Note that P ◦ f¯(x) = k f (x) − ȳ k ≤ P R◦ f (x) + k ȳ k,
∀x ¯
R ∈ X. Then, by Propositions
R R 11.80, and R11.73, 0 ≤ X (P ◦ f ) dµ ≤
11.76,
X
(P◦f +k ȳ k) dµ = X
(P◦f ) dµ+ X
k ȳ k dµ = X
(P◦f ) dµ+k ȳ k < +∞.
11.6. BANACH SPACE VALUED MEASURES 393
R
Hence, f¯ is absolutely integrable over X . By ¯
R Case 1, Rwe have X f dµ ∈ Ω̄.
By Propositions 11.90 and 11.73, we have X f dµ = X f dµ + ȳ ∈ Ω. ¯
Hence, in both cases, we have y0 ∈ Ω. By Proposition 8.32, we have
G(y0 ) = supy∗ ∈Ωconj (hh y∗ , y0 ii − Gconj(y∗ )), where Gconj : Ωconj → IR is
the conjugate functional to G. ∀ǫ ∈ (0, ∞) ⊂ IR, ∃y∗ǫ ∈ Ωconj, such that
G(y0 ) − ǫ ≤ hh y∗ǫ , y0 ii − Gconj(y∗ǫ ) ≤ hh y∗ǫ , y0 ii − hh y∗ǫ , y ii + G(y) =
G(y) − hh y∗ǫ , y − y0 ii, ∀y ∈ Ω. Then, ∀x ∈ X, we have G(y0 ) − ǫ ≤
G(f (x)) − hh y∗ǫ , f (x) − y0 ii. By Proposition 11.90, we have
Z Z
G(y0 ) − ǫ = (G(y0 ) − ǫ) dµ ≤ (G ◦ f − hh y∗ǫ , f − y0 ii) dµ
X X
Z Z Z
= (G ◦ f ) dµ − hh y∗ǫ , f ii dµ + hh y∗ǫ , y0 ii dµ
ZX X
Z X
Z

= (G ◦ f ) dµ − y∗ǫ , f dµ − hh y∗ǫ , y0 ii = (G ◦ f ) dµ ∈ IR
X X X
R R
By the arbitrariness of ǫ, we have G( X f dµ) ≤ X (G ◦ f ) dµ ∈ IR. This
completes the proof of the theorem. 2
11.6 Banach Space Valued Measures

Definition 11.96 Let (X, B) be a measurable space and Y be a normed
linear space. A Y-valued pre-measure µ on (X, B) is a function µ : B → Y
such that
(i) µ(∅) = ϑY ;
∞ P∞
(ii) ∀ ( Ei )i=1 ⊆SB, which isPpairwise disjoint, we have i=1 k µ(Ei ) k <
∞ ∞
+∞ and µ( i=1 Ei ) = i=1 µ(Ei ).
Then, the triple (X, B, µ) is said to be a Y-valued pre-measure space.
Define P ◦ µ : B → [0, ∞] ⊂ IRe by, P∀E ∈ B, P ◦ µ(E) :=
supn∈Z+ , (Ei)n ⊆B, Sn Ei =E, Ei ∩Ej =∅, ∀1≤i<j≤n ni=1 k µ(Ei ) k. P◦µ is said
i=1 i=1
to be the total variation of µ.
Proposition 11.97 Let X := (X, B, µ) be a Y-valued pre-measure space,

where Y is a normed linear space. Then, P ◦ µ defines a measure on the
measurable space (X, B).
∞
Proof S Clearly, P ◦µ(∅) = 0. ∀ ( Ei )i=1 ⊆ B, which is pairwise disjoint,
∞
let E := i=1 Ei . ∀i ∈ IN with PS ◦µ(Ei ) > 0, ∀0 ≤ ti < P ◦µ(Ei ), ∃ni ∈ Z+
and ∃ ( Ei,j )nj=1
i
⊆ B with Ei = nj=1i
Ei,j and the sequence being pairwise
Pni
disjoint such that ti < j=1 k µ(Ei,j ) k ≤ P◦µ(Ei ). ∀i ∈ IN with P◦µ(Ei ) =
0, let ti = 0, ni = 1, Ei,1 = Ei . Then, 0 = ti ≤ k µ(Ei,1 ) k ≤ P ◦ µ(Ei ) = 0.
P∞
Claim 11.97.1 0 ≤ t := i=1 ti ≤ P ◦ µ(E).
Proof of claim: Clearly, t ≥ 0 since ti ≥ 0, ∀i ∈ IN. We will distinguish

two exhaustive and mutually exclusive cases: Case 1: t < +∞; Case 2:
t = +∞. P∞ Pni
Case 1: t < +∞. Then, t ≤ i=1 j=1 k µ(Ei,j ) k ≥ 0. Therefore,
PN Pni
∀ǫ ∈ (0, ∞) ⊂ IR, ∃N ∈ IN such that t − ǫ < k µ(Ei,j ) k ≤
PN Pni SN Sni i=1 j=1

i=1 j=1 k µ(Ei,j ) k + µ(E \ i=1 j=1 Ei,j ) ≤ P ◦ µ(E). By the
arbitrariness of ǫ, we have t ≤ P P◦∞µ(E).
Pni
Case 2: t = +∞. Then t = i=1 j=1 k µ(Ei,j ) k = ∞. ∀M ∈ [0, ∞) ⊂
IR, ∃N ∈ IN such that
ni
N X
X
M ≤ k µ(Ei,j ) k
i=1 j=1
N X
X ni [
N [
ni

≤ k µ(Ei,j ) k + µ(E \ Ei,j ) ≤ P ◦ µ(E)
i=1 j=1 i=1 j=1
This implies that P ◦ µ(E) = +∞ = t. This completes the proof of the

claim. P P∞ 2
Hence, ∞ i=1 t i ≤ P◦µ(E). By the arbitrariness of t i ’s, we have i=1 P◦
µ(Ei ) ≤ P ◦ µ(E).
n
On the other hand, ∀n ∈ Z+ , ∀ ( Aj )j=1 ⊆ B, which is pairwise disjoint
Sn
and E = j=1 Aj , we have
n
X n
X ∞
[ n
X ∞
X
k µ(Aj ) k = kµ ( (Ei ∩ Aj ) ) k = k µ(Ei ∩ Aj ) k
j=1 j=1 i=1 j=1 i=1
X ∞
n X ∞ X
X n ∞
X
≤ k µ(Ei ∩ Aj ) k = k µ(Ei ∩ Aj ) k ≤ P ◦ µ(Ei )
j=1 i=1 i=1 j=1 i=1
n P∞
By the arbitrariness of n and ( Aj )j=1 , we have P ◦ µ(E) ≤ i=1 P ◦ µ(Ei ).
P∞
Hence, P ◦ µ(E) = i=1 P ◦ µ(Ei ). This implies that P ◦ µ is a measure
on (X, B). This completes the proof of the proposition. 2
Definition 11.98 Let X := (X, B, µ) be a Y-valued pre-measure space,
where Y is a normed linear space. We will say X is finite if P ◦µ(X) < +∞.
We will say a property holds almost everywhere in X if it holds almost
everywhere in X¯ := (X, B, P ◦ µ). We will say that X is complete if the
measure space X̄ is complete.
Fact 11.99 Let (X, B, µ) be a Y-valued pre-measure space, where Sn Y is a
normed
Pn linear space. Then, µ is finitely additive, i. e., µ ( i=1 Ei ) =
n
i=1 µ ( E i ), where n ∈ Z+ and ( Ei )i=1 ⊆ B is pairwise disjoint.
∞
Proof Let En+i = ∅, S∀i ∈ IN. Clearly, S∞ ( Ei )i=1P⊆ B is pair-
n ∞
wise
Pn disjoint. Therefore, µ ( i=1 Ei ) = µ ( i=1 Ei ) = i=1 µ ( Ei ) =
i=1 µ ( Ei ). This completes the proof of the fact. 2
Proposition 11.100 Let ( X, B, µ ) be a Y-valued pre-measure space, where

∞
Y is a normed linear space, and ( EnT)n=1 ⊆ B be such that En ⊇ En+1 ,
∞
∀n ∈ IN. Then, limn∈IN µ ( En ) = µ ( n=1 En ) ∈ Y.
T S∞
Proof Let E := ∞ n=1 En ∈ B. Note that E1 = E ∪ ( n=1 ( En \
En+1 ) ), and the sets in the unionPare pairwise disjoint and measur-
∞
able. Therefore, µ ( E1 ) = µ(E) + n=1 µ ( En \ En+1 ) and k µ(E) k +
P ∞
n=1 k µ(En \ En+1 ) k < +∞. Note that En = En+1 ∪ ( En \ En+1 ),
µ(En+1 ) + µ ( En \ En+1 ), by
n = 1, 2, . . ., which implies that µ ( En ) = P
Fact 11.99. This leads to µ ( E1 ) = µ(E) + ∞ n=1 ( µ ( En ) − µ ( En+1 ) ) =
µ(E) + µ ( E1 ) − limn∈IN µ ( En ) ∈ Y. Hence, we have limn∈IN µ ( En ) =
µ(E) ∈ Y. This completes the proof of the proposition. 2
Proposition 11.101 Let (X, B, µ) be a Y-valued pre-measure space, where
∞
S∞ linear space, and ( Ai )i=1 ⊆ B with Ai ⊆ Ai+1 , ∀i ∈ IN.
Y is a normed
Then, µ( i=1 Ai ) = limi∈IN µ(Ai ) ∈ Y.
S∞ S∞
Proof Let A := i=1 Ai ∈ B. Note that A = A1 ∪ ( i=1 (Ai+1 \ Ai )),
where the sets in the union are pairwise P∞ disjoint and measurable. Then, by
countable
Pn additivity, µ(A) = µ(A 1 ) + i=1 µ(Ai+1 \ Ai ) = limn∈IN (µ(A1 ) +
i=1 µ(A i+1 \ A i )) = lim n∈IN µ(A n+1 ) = limi∈IN µ(Ai ) ∈ Y, where the
third equality follows from Fact 11.99. This completes the proof of the
proposition. 2
Proposition 11.102 Let (X, B, µ) be a Y-valued pre-measure space, where
Y is a normed linear space. Then, ∀E1 , E2 ∈ B with P ◦ µ(E1 △ E2 ) = 0,
we have µ(E1 ) = µ(E2 ) ∈ Y.
Proof By Proposition 11.97, 0 = P ◦ µ(E1 △ E2 ) = P ◦ µ(E1 \ E2 ) +
P ◦ µ(E2 \ E1 ). Then, P ◦ µ(E1 \ E2 ) = P ◦ µ(E2 \ E1 ) = 0 and µ(E1 \ E2 ) =
ϑY = µ(E2 \ E1 ). Hence, we have µ(E1 ) = µ(E1 ∩ E2 ) + µ(E1 \ E2 ) =
µ(E1 ∩ E2 ) + µ(E2 \ E1 ) = µ(E2 ), where the first and last equality follows
from Fact 11.99. This completes the proof of the proposition. 2
Proposition 11.103 Let ( X, B, µ ) be a Y-valued pre-measure space, where
Y is a normed linear space. Then, there is a unique complete Y-valued pre-
measure space ( X, B0 , µ0 ) such that
(i) B ⊆ B0 ;
(ii) ∀E ∈ B, µ(E) = µ0 (E) and P ◦ µ(E) = P ◦ µ0 (E);
B ∈ B, and there exists a C ∈ B, such that A ⊆ C and P ◦ µ(C) = 0.
Then, ( X, B0 , µ0 ) is said to be the completion of ( X, B, µ ). Then, (X, B0 , P◦
µ0 ) is the completion of (X, B, P ◦ µ).
Furthermore, let ( X, B1 , µ1 ) be another complete Y-valued pre-measure
space that satisfies (i) and (ii), then, B0 ⊆ B1 , µ0 (E) = µ1 (E), and P ◦
µ0 (E) = P ◦ µ1 (E), ∀E ∈ B0 .
Proof By Proposition 11.97, (X, B, P ◦ µ) is a measure space. By

Proposition 11.12, it admits the completion (X, B0 , ν0 ), where B0 satisfies
(i) and (iii) and ν0 (E) = P ◦µ(E), ∀E ∈ B. Define µ0 : B0 → Y as following.
∀E ∈ B0 , there exists A, B, C ⊆ X such that E = A ∪ B, B, C ∈ B, A ⊆ C,
and P ◦ µ(C) = 0. µ0 (E) := µ(B) ∈ Y.
The mapping µ0 is well defined because of the following. ∀E ∈ B0 , let
A1 , A2 , B1 , B2 , C1 , C2 ⊆ X be such that
E = A1 ∪ B1 = A2 ∪ B2
B1 , C1 , B2 , C2 ∈ B
P ◦ µ(C1 ) = P ◦ µ(C2 ) = 0 A1 ⊆ C1 A2 ⊆ C2
Then, B ∋ B1 \ B2 ⊆ E \ B2 = A2 \ B2 ⊆ C2 and B ∋ B2 \ B1 ⊆
E \ B1 = A1 \ B1 ⊆ C1 . This implies, by Proposition 11.4, 0 ≤ P ◦ µ(B1 △
B2 ) = P ◦ µ(B1 \ B2 ) + P ◦ µ(B2 \ B1 ) ≤ P ◦ µ(C2 ) + P ◦ µ(C1 ) = 0. By
Proposition 11.102, we have µ(B1 ) = µ(B2 ). This shows that µ0 is well
defined.
∀E ∈ B ⊆ B0 , E = E ∪ ∅, then, µ0 (E) = µ(E). This proves that µ0
agrees with µ on B.
Next, we will show that µ0 is a Y-valued pre-measure on the measurable
space ( X, B0 ). Since ∅ ∈ B, then µ0 ( ∅ ) = µ ( ∅ ) = ϑY . Consider any
∞
sequence of subsets ( En )n=1 ⊆ B0 , which is pairwise disjoint. ∀n ∈ IN,
there exists An , Bn , Cn ⊆ X such that En = An ∪Bn , Bn , Cn ∈ B, An ⊆ Cn ,
∞
and P ◦ µ(Cn ) = 0. SinceS∞ Bn ⊆ EP n , ∀n ∈ IN, then, ( BPn∞)n=1 ⊆ B is pairwise
∞
disjoint.
S Hence, µ ( Sn=1 Bn ) = S n=1 µ ( Bn ) Sand n=1 k µ(B S∞n ) k < +∞.
Since S∞ n=1 En = ( P
∞ ∞
n=1 An ) ∪ ( n=1 Bn ),
∞
S∞
n=1 A n ⊆ Sn=1 Cn , 0 ≤
∞ ∞ ∞
P ◦ µ ( n=1 S∞ C n ) ≤ n=1 P
S∞ ◦ µ(C n ) = 0,
P∞ and n=1 B n P∞ Cn ∈ B
, n=1
then, P µ0 ( n=1 En ) = µ P ( n=1 Bn ) = n=1 µ ( Bn ) = n=1 µ0 ( En ).
∞ ∞
Also, n=1 k µ0 (En ) k = n=1 k µ(Bn ) k < +∞. This proves that µ0 is
countably additive. Hence, (X, B0 , µ0 ) is a Y-valued pre-measure space.
n
Next, we Snwill show that P ◦ µ0 = ν0 . ∀E ∈ B0 , ∀n ∈ Z+ , ∀ ( Ei )i=1 ⊆ B0
with E = i=1 Ei and E1 , . . . , En being pairwise disjoint, ∀i ∈ {1, . . . , n},
Ei = Ai ∪ Bi such that Ai ⊆ Ci , Bi , C Sin ∈ B, andSP ◦ µ(Ci ) = 0. Then,
n n
(SBi )i=1 ⊆ B is pairwise disjoint, E = ( i=1 Ai ) P ∪ ( i=1 Bi ) =: A ∪ B, A ⊆
n n
i=1 Ci =: C ∈ B, B ∈ B, and 0 ≤ P ◦ µ(C) ≤ i=1 P ◦ µ(Ci ) = 0, where
the last inequality follows from Proposition Pn 11.6. By Proposition
Pn 11.12
and
Pn its proof, ν0 (E) = P ◦ µ(B) = i=1 P ◦ µ(B i ) ≥ i=1 k µ(B i )k =
i=1 k µ0 (Ei ) k. Hence, ν0 (E) ≥ P ◦ µ0 (E).
On the other hand, ν0 (E) = P ◦ µ(B) ≤ P ◦ µ0 (B) ≤ P ◦ µ0 (E), where
the first inequality follows from Definition 11.96 and the fact that µ =
µ0 |B ; and the second inequality follows from Proposition 11.4. Therefore,
P ◦ µ0 = ν0 . ∀E ∈ B, P ◦ µ0 (E) = ν0 (E) = P ◦ µ(E). This shows that (ii) is
satisfied. This proves that ( X, B0 , µ0 ) is a complete Y-valued pre-measure
space satisfying (i), (ii), and (iii) and (X, B0 , P ◦ µ0 ) is the completion of
(X, B, P ◦ µ).
Let ( X, B1 , µ1 ) be any complete Y-valued pre-measure space that sat-

isfies the (i) and (ii). By Proposition 11.97, (X, B1 , P ◦ µ1 ) is a com-
plete measure space that extends (X, B, P ◦ µ). By Proposition 11.12
and the fact that (X, B0 , P ◦ µ0 ) is the completion of (X, B, P ◦ µ), then
B0 ⊆ B1 and (P ◦ µ1 )|B0 = P ◦ µ0 . ∀E ∈ B0 , there exists A, B, C ⊆ X
such that E = A ∪ B, A ⊆ C, B, C ∈ B, and P ◦ µ(C) = 0. Then,
P ◦ µ1 (C) = 0, E = B ∪ (E \ B), B0 ∋ E \ B = A \ B ⊆ C, and
0 ≤ P ◦ µ1 (E \ B) ≤ P ◦ µ1 (C) = 0. This leads to µ1 (E \ B) = ϑY
and µ1 (E) = µ1 (B) + µ1 (E \ B) = µ(B) = µ0 (E). Therefore, µ0 = µ1 |B0 .
Therefore, ( X, B0 , µ0 ) is a complete Y-valued pre-measure space that
satisfies (i), (ii), and (iii). It is the unique such space since B0 is unique
by (iii), and µ0 is also unique since any complete Y-valued pre-measure
space ( X, B0 , µ1 ) satisfying (i) and (ii) will be such that µ1 = µ0 and
P ◦ µ0 = P ◦ µ1 .
Proposition 11.104 Let X := (X, B, µ) be a Y-valued pre-measure space,

where Y is a normed linear space, A ∈ B, B̂ ⊆ B be a σ-algebra on X, and
BA := { C ⊆ A | C ∈ B }. Then, the following statements hold.
(i) (X, B̂, µ|B̂ ) and A := (A, BA , µA := µ|BA ) are Y-valued pre-measure
spaces, and (P ◦ µ)|BA = P ◦ ( µ|BA ) = P ◦ µA . The Y-valued pre-
measure space A is said to be the subspace of the Y-valued pre-measure
space X .
tion 11.103, and Ā := (A, B̄A , µ̄A ) be the Y-valued pre-measure sub-
space of X̄ . Then, Ā is the completion of A.
Proof (i) Since B̂ is a σ-algebra on X, then (X, B̂) is a measurable

space. ∀B ∈ B̂ ⊆ B, µ|B̂ (B) = µ(B) ∈ Y. Then, µ|B̂ : B̂ → Y. Clearly,
µ|B̂ (∅) = µ(∅) = ϑY . ∀ pairwise disjoint sequence ( Ei )∞ i=1 ⊆ B̂ ⊆ B, we
S∞ P∞ P∞
have E := i=1 Ei ∈ B̂, i=1 µ|B̂ (Ei ) = i=1 k µ(Ei ) k < +∞, and
P∞ P∞
µ|B̂ (E) = µ(E) = i=1 µ(Ei ) = i=1 µ|B̂ (Ei ). Hence, (X, B̂, µ|B̂ ) is a
Y-valued pre-measure space.
Clearly, BA is a σ-algebra on A as we have shown in Proposition 11.13.
∅ ∈ BA and µ|BA (∅) = µ(∅) = ϑY . ∀ pairwise disjoint sequence
∞ S∞ P∞
µ| (Ei ) =
( Ei )i=1 ⊆ BA ⊆ B, we have E := i=1 Ei ∈ BA , i=1 P BA
P∞ ∞
P∞ i=1 k µ(Ei ) k < +∞, and µ|BA (E) = µ(E) = i=1 µ(Ei ) =
i=1 µ|BA (Ei ). Hence A = (A, BA , µ|BA ) is a Y-valued pre-measure space.
By Definition 11.96, (P ◦ µ)|BA = P ◦ ( µ|BA ) = P ◦ µA .
(ii) If, in addition, X is complete, then (X, B, P ◦ µ) is a complete
measure space. ∀EA ⊆ A such that there exists B ∈ BA with EA ⊆ B
and P ◦ ( µ|BA )(B) = 0. Then, B ∈ B and P ◦ µ(B) = (P ◦ µ)|BA (B) =
P ◦ ( µ|BA )(B) = P ◦ µA (B) = 0. Then, EA ∈ B by the completeness of

(X, B, P ◦ µ). Thus, EA ∈ BA . By the arbitrariness of EA , (A, BA , P ◦ µA )
is complete. Hence, A is complete.

(iii) Note that B̄A = C ⊆ A C ∈ B̄ , µ̄A = µ̄|B̄A , and P ◦ µ̄A =
(P ◦ µ̄)|B̄A . By (ii), Ā is a complete Y-valued pre-measure space. Since
B ⊆ B̄, then BA ⊆ B̄A . ∀E ∈ BA , µA (E) = µ|BA (E) = µ(E) = µ̄(E) =
µ̄A (E) and, by (i), P ◦ µA (E) = (P ◦ µ)|BA (E) = P ◦ µ(E) = P ◦ µ̄(E) =
(P ◦ µ̄)|B̄A (E) = P ◦ µ̄A (E), where the third equality follows from Propo-
sition 11.103. ∀E ⊆ A, assume that E = EA ∪ EB with EB , EC ∈ BA ,
EA ⊆ EC , and P ◦ µA (EC ) = 0. Then, P ◦ µ̄A (EC ) = 0 and EA ∈ B̄A
since Ā is complete. Then, E ∈ B̄A . ∀E ⊆ A, assume that E ∈ B̄A .
Then, E ⊆ A and E ∈ B̄. By Proposition 11.103, E = EA ∪ EB with
EB , EC ∈ B, EA ⊆ EC , and P ◦ µ(EC ) = 0. Then, EB , EC ∩ A ∈ BA ,
EA ⊆ EC ∩ A, and 0 ≤ P ◦ µA (EC ∩ A) = P ◦ µ(EC ∩ A) ≤ P ◦ µ(EC ) = 0,
where the last inequality follows form Proposition 11.4. Hence, (i) — (iii)
of Proposition 11.103 are satisfied and Ā is the completion of A.
Definition 11.105 Let (X, B, ν) be a measure space and Y be a normed

linear space. A Y-valued measure µ on (X, B) is a function from B to Y
that satisfies
(i) µ(∅) = ϑY ;
(ii) ∀E ∈ B with ν(E) = +∞, µ(E) is undefined;
(iii) ∀E ∈ B with ν(E) <S+∞, µ(E) ∈ YPand ∀ pairwise disjoint

∞ ∞ ∞
⊆ B with E = i=1 Ei , we have i=1 k µ(Ei ) k < +∞ and
( Ei )i=1 P
∞
µ(E) = i=1 µ(Ei ); (countable additivity)
(iv) ∀E ∈ B with ν(E) < +∞, we have

n
X
ν(E) = sup k µ(Ei ) k
n Sn
n∈Z+ , (Ei) ⊆B, i=1 Ei =E, Ei ∩Ej =∅, ∀1≤i<j≤n i=1
i=1
Then, (X, B, µ) is said to be a Y-valued measure space; and ν is said to be

the total variation of µ, denoted by P ◦ µ.
Definition 11.106 Let X := (X, B, µ) be a Y-valued measure space, where

Y is a normed linear space. We will say X is finite if P ◦ µ(X) < +∞.
We will say X is σ-finite if X¯ := (X, B, P ◦ µ) is σ-finite. We will say a
property holds almost everywhere in X if it holds almost everywhere in X¯ .
We will say that X is complete if the measure space X̄ is complete. We
will say that a sequence of measurable functions on X converges in measure
in X if it converges in measure in X̄ .
Clearly, (X, B, µ) is a finite Y-valued measure space if, and only if, it is
a finite Y-valued pre-measure space. In this case, the definitions of total
variations of µ coincide considering µ as a Y-valued measure or as Y-valued
pre-measure. Hence, a Y-valued pre-measure space becomes a finite Y-
valued measure space when we show that its total variation is finite.
Fact 11.107 Let (X, B, µ) be a Y-valued measure space, where Y is a

normed linear space. Then, µ is S P i. e., ∀n ∈ Z+ and ∀
finitely additive,
pairwise disjoint ( Ei )ni=1 ⊆ B, µ ( ni=1 Ei ) = ni=1 µ ( Ei ), whenever the
right-hand-side or the left-hand-side makes sense.
Sn Pn
Proof Let E := i=1 Ei ∈ B. Clearly, P ◦ µ(E) = i=1 P ◦ µ(Ei ).
Then, E ∈ dom ( µ ) whenever ( Ei )ni=1 ⊆ dom ( µ ). Let En+i =S∅, ∀i ∈ IN.
∞ ∞
Clearly,
P∞ ( Ei )i=1P⊆ B is pairwise disjoint. Therefore, µ(E) = µ ( i=1 Ei ) =
n
i=1 µ ( Ei ) = i=1 µ ( Ei ) ∈ Y, when E ∈ dom ( µ ). This completes the
proof of the fact. 2
Proposition 11.108 Let ( X, B, µ ) be a Y-valued measure space, where Y

is a normed linear space, and ( En )∞
n=1 ⊆ B be such that
T∞P ◦ µ(E1 ) < +∞
and En ⊇ En+1 , ∀n ∈ IN. Then, limn∈IN µ ( En ) = µ ( n=1 En ) ∈ Y.
ProofT Clearly, E1 ∈ dom ( µ ) and then

S∞ En ∈ dom ( µ ), ∀n ∈ IN. Let
∞
E := n=1 En ∈ B. Note that E1 = E ∪ ( n=1 ( En \ En+1 ) ), and the sets
in the union
P∞ are pairwise disjoint and measurable.
P∞ Therefore, µ ( E1 ) =
µ(E) + n=1 µ ( En \ En+1 ) and k µ(E) k + n=1 k µ(En \ En+1 ) k < +∞.
Note that En = En+1 ∪ ( En \ En+1 ), n = 1, 2, . . ., which implies that
= µ(En+1 ) + µ ( En \ En+1 ), by Fact 11.107. This leads to µ ( E1 ) =
µ ( En ) P
∞
µ(E) + n=1 ( µ ( En ) − µ ( En+1 ) ) = µ(E) + µ ( E1 ) − limn∈IN µ ( En ) ∈ Y.
Hence, we have limn∈IN µ ( En ) = µ(E) ∈ Y. This completes the proof of
the proposition. 2
Proposition 11.109 Let (X, B, µ) be a Y-valued measure space, where Y

∞
is a normed
S∞ linear space, and ( Ai )i=1 ⊆ B be such that Ai ⊆ Ai+1 , ∀i ∈ IN,
and A := i=1 Ai ∈ dom ( µ ). Then, µ(A) = limi∈IN µ(Ai ) ∈ Y.
Proof A ∈ dom ( µ ) implies that P ◦ µ(A) < +∞. Then, P ◦ µ(Ai ) ≤

PS◦ µ(A) < +∞ and Ai ∈ dom ( µ ), ∀i ∈ IN. Note that A = A1 ∪
∞
( i=1 (Ai+1 \Ai )), where the sets in the union are pairwise
P∞ disjoint and mea-
surable. Then, byPn countable additivity, µ(A) = µ(A 1 )+ i=1 µ(Ai+1 \Ai ) =
limn∈IN (µ(A1 )+ i=1 µ(Ai+1 \Ai )) = limn∈IN µ(An+1 ) = limi∈IN µ(Ai ) ∈ Y,
where the third equality follows from Fact 11.107. This completes the proof
Proposition 11.110 Let (X, B, µ) be a Y-valued measure space, where Y

is a normed linear space. Then, ∀E1 , E2 ∈ B with P ◦ µ(E1 △ E2 ) = 0, we
have µ(E1 ) = µ(E2 ) whenever one of them makes sense.
Proof By Fact 11.3, 0 = P◦µ(E1 △E2 ) = P◦µ(E1 \E2 )+P◦µ(E2 \E1 ).

Then, P ◦µ(E1 \E2 ) = P ◦µ(E2 \E1 ) = 0 and µ(E1 \E2 ) = ϑY = µ(E2 \E1 ).
Without loss of generality, assume E1 ∈ dom ( µ ). Then, P ◦ µ(E1 ) < +∞.
This implies that P ◦ µ(E2 ) = P ◦ µ(E1 ∩ E2 ) + P ◦ µ(E2 \ E1 ) = P ◦ µ(E1 ∩
E2 )+ P ◦ µ(E1 \ E2 ) = P ◦ µ(E1 ) < +∞ and E2 ∈ dom ( µ ). By Fact 11.107,
we have µ(E1 ) = µ(E1 ∩E2 )+µ(E1 \E2 ) = µ(E1 ∩E2 )+µ(E2 \E1 ) = µ(E2 ).
Proposition 11.111 Let ( X, B, µ ) be a Y-valued measure space, where Y

is a normed linear space. Then, there is a unique complete Y-valued measure
space ( X, B0 , µ0 ) such that
(i) B ⊆ B0 ;
(ii) (P ◦ µ0 )|B = P ◦ µ and µ0 |B = µ;
B ∈ B, and there exists a C ∈ B, such that A ⊆ C and P ◦ µ(C) = 0.
Then, ( X, B0 , µ0 ) is said to be the completion of ( X, B, µ ). Then, (X, B0 , P◦
µ0 ) is the completion of (X, B, P ◦ µ).
Furthermore, let ( X, B1 , µ1 ) be another complete Y-valued measure
space that satisfies (i) and (ii), then, B0 ⊆ B1 , P ◦ µ0 = (P ◦ µ1 )|B0 ,
and µ0 = µ1 |B0 .
Proof By Definition 11.105, (X, B, P ◦ µ) is a measure space. By

Proposition 11.12, it admits the completion (X, B0 , ν0 ), where B0 satisfies
(i) and (iii) and ν0 (E) = P ◦ µ(E), ∀E ∈ B. Define a function µ0 from
B0 to Y as following. ∀E ∈ B0 with ν0 (E) = +∞, µ0 (E) is undefined.
∀E ∈ B0 with ν0 (E) < +∞, there exists A, B, C ⊆ X such that E = A ∪ B,
B, C ∈ B, A ⊆ C, and P ◦ µ(C) = 0. By Proposition 11.12 and its proof,
ν0 (E) = P ◦µ(B) < +∞ and B ∈ dom ( µ ). We will set µ0 (E) := µ(B) ∈ Y.
The mapping µ0 is well defined because of the following. ∀E ∈ B0 with
ν0 (E) < +∞, let A1 , A2 , B1 , B2 , C1 , C2 ⊆ X be such that
E = A1 ∪ B1 = A2 ∪ B2
B1 , C1 , B2 , C2 ∈ B
P ◦ µ(C1 ) = P ◦ µ(C2 ) = 0 A1 ⊆ C1 A2 ⊆ C2
Then, B ∋ B1 \ B2 ⊆ E \ B2 = A2 \ B2 ⊆ C2 and B ∋ B2 \ B1 ⊆
E \ B1 = A1 \ B1 ⊆ C1 . This implies, by Proposition 11.4, 0 ≤ P ◦ µ(B1 △
B2 ) = P ◦ µ(B1 \ B2 ) + P ◦ µ(B2 \ B1 ) ≤ P ◦ µ(C2 ) + P ◦ µ(C1 ) = 0. By
Proposition 11.110, we have µ(B1 ) = µ(B2 ) ∈ Y. This shows that µ0 is well
defined.
∀E ∈ B ⊆ B0 , E = E ∪ ∅, then, ν0 (E) = P ◦ µ(E). If P ◦ µ(E) = +∞,
then µ(E) is undefined and µ0 (E) is also undefined. If P ◦ µ(E) < +∞,
then µ0 (E) = µ(E) ∈ Y. This proves that µ0 |B = µ.
Next, we will show that (X, B0 , µ0 ) is a Y-valued measure space with

P ◦ µ0 = ν0 . Since ∅ ∈ B, then µ0 (∅) = µ(∅) = ϑY . Hence, (i) of Defini-
tion 11.105 is satisfied. (ii) of Definition 11.105 is satisfied by the definition
of µ0 . Consider any E ∈ B0 with ν0 (E) < S∞+∞, then µ0 (E) ∈ Y. ∀ pair-
∞
wise disjoint ( En )n=1 ⊆ B0 with E = n=1 En , ∀n ∈ IN, there exists
An , Bn , Cn ⊆ X such that En = An ∪ Bn , Bn , Cn ∈ B, An ⊆ Cn , and
∞
P ◦ µ(Cn ) = 0. Since S∞Bn ⊆ En , ∀nS∞ ∈ IN, then, ( Bn )n=1 ⊆SB is pairwise
disjoint. Let A := n=1 An , B := n=1 Bn ∈ B, and C := ∞ n=1 Cn ∈ B.
Then, E = A ∪ B, A ⊆ C, and P∞ P ◦ µ(C) = 0. This
P∞ implies that
P ◦ µ(B) = ν0 (E) < +∞, µ(B) =P n=1 µ(Bn ) ∈P Y, and n=1 k µ(Bn ) k <
+∞. Hence, µ0 (E)P= µ(B) = ∞
P n=1 µ(Bn ) =
∞
n=1 µ0 (En ) ∈ Y. Also,
∞ ∞
n=1 k µ 0 (E n ) k = n=1 k µ(B n ) k < +∞. This proves that (iii) of Defini-
tion 11.105 is satisfied and µ0 is countably additive.
n
∀E ∈ B0Swith ν0 (E) < +∞, ∀n ∈ Z+ , ∀ pairwise disjoint ( Ei )i=1 ⊆ B0
n
with E = i=1 Ei , ∀i ∈ {1, . . . , n}, we have Ei = Ai ∪ Bi , Bi , Ci ∈ B,
Ai ⊆ Ci , S and P ◦ µ(Ci ) S = 0. Then, ( Bi )ni=1 ⊆ S B is pairwise disjoint.
n n n
Let A := i=1 Ai , B := i=1 Bi ∈ B, and C := i=1 Ci ∈ B, we have
E = A ∪ B, A ⊆ C, and P ◦ µ(C) P = 0. By Proposition Pn 11.12 and its
n
proof,
Pn +∞ > ν 0 (E) = P ◦ µ(B) = i=1 P ◦ µ(B i ) ≥ i=1 k µ(Bi ) k =
i=1 k µ0 (E i ) k. Hence,
n
X
ν0 (E) ≥ sup k µ0 (Ei ) k =: sE
n Sn
n∈Z+ , (Ei) ⊆B0 , i=1 Ei =E, Ei ∩Ej =∅, ∀1≤i<j≤n i=1
i=1
On the other hand,
+∞ > ν0 (E) = P ◦ µ(B)

n
X
= sup k µ(Bi ) k
n Sn
n∈Z+ , (Bi) ⊆B, i=1 Bi =B, Bi ∩Bj =∅, ∀1≤i<j≤n i=1
i=1
n
X
≤ sup k µ0 (Ei ) k ≤ sE
n Sn
n∈Z+ , (Ei) ⊆B0 , i=1 Ei =B, Ei ∩Ej =∅, ∀1≤i<j≤n i=1
i=1
Hence, we have ν0 (E) = sE and (iv) of Definition 11.105 is satisfied. Hence,

(X, B0 , µ0 ) is a Y-valued measure space with total variation P ◦ µ0 = ν0 .
Since ν0 is complete, then (X, B0 , µ0 ) is a complete Y-valued measure space.
Since ν0 |B = P ◦ µ, then (P ◦ µ0 )|B = P ◦ µ. Hence, (i) – (iii) are satisfied
by (X, B0 , µ0 ). Clearly, (X, B0 , P ◦ µ0 ) is the completion of (X, B, P ◦ µ).
Let ( X, B1 , µ1 ) be any complete Y-valued measure space that satisfies (i)
and (ii). (X, B1 , P ◦ µ1 ) is a complete measure space that extends (X, B, P ◦
µ). By Proposition 11.12 and the fact that (X, B0 , P ◦ µ0 ) is the completion
of (X, B, P ◦ µ), then B0 ⊆ B1 and (P ◦ µ1 )|B0 = P ◦ µ0 . ∀E ∈ B0 with
P ◦ µ0 (E) = +∞, we have P ◦ µ1 (E) = +∞ and µ0 (E) and µ1 (E) are
both undefined. ∀E ∈ B0 with P ◦ µ0 (E) < +∞, by (iii), there exists
A, B, C ⊆ X such that E = A ∪ B, A ⊆ C, B, C ∈ B, and P ◦ µ(C) = 0.
Then, µ0 (E) = µ(B) = µ1 (B) ∈ Y and P ◦ µ1 (E) = P ◦ µ0 (E) < +∞. Note
that P ◦ µ1 (C) = P ◦ µ(C) = 0, E = B ∪ (E \ B), B0 ∋ E \ B = A \ B ⊆ C,
and 0 ≤ P ◦ µ1 (E \ B) ≤ P ◦ µ1 (C) = 0. This leads to µ1 (E \ B) = ϑY
and, by Fact 11.107, µ1 (E) = µ1 (B) + µ1 (E \ B) = µ(B) = µ0 (E) ∈ Y.
Therefore, µ0 = µ1 |B0 .
Therefore, ( X, B0 , µ0 ) is a complete Y-valued measure space that satis-
fies (i), (ii), and (iii). It is the unique such space since B0 is unique by (iii),
and µ0 is also unique since any complete Y-valued measure space ( X, B0 , µ1 )
satisfying (i) and (ii) will be such that µ1 = µ0 and P ◦ µ0 = P ◦ µ1 .
Proposition 11.112 Let X := (X, B, µ) be a Y-valued measure space,

where Y is a normed linear space, A ∈ B, and BA := { C ⊆ A | C ∈ B }.
(i) A := (A, BA , µA := µ|BA ) is a Y-valued measure space, which is said

to be the subspace of X , and (P ◦ µ)|BA = P ◦ µA .

tion 11.111, and Ā := (A, B̄A , µ̄A ) be the Y-valued measure subspace
of X¯ . Then, Ā is the completion of A.
Proof (i) Clearly, BA is a σ-algebra on A as we have shown in

Proposition 11.13. By Proposition 11.13, νA := (P ◦ µ)|BA : BA →
[0, +∞] ⊂ IRe is a measure on (A, BA ). Clearly, ∅ ∈ BA and µA (∅) =
µ|BA (∅) = µ(∅) = ϑY . ∀E ∈ BA with νA (E) = +∞, we have P ◦
µ(E) = +∞ and µ(E) is undefined. Then, µA (E) is also undefined.
∀E ∈ BA with νA (E) < +∞, we have P ◦ µ(E) = νA (E) < +∞.
∞
Then, µA (E) S∞= µ(E) ∈ Y. P ∀ pairwise disjointP( Ei )i=1 ⊆ BA ⊆ B
∞ ∞
with E = i=1 Ei , wePhave i=1 k µP
A (Ei ) k = i=1 k µ(Ei ) k < +∞,
and µA (E) = µ(E) = ∞ i=1 µ(E i ) = ∞
i=1 Aµ (Ei ) ∈ Y. ∀E ∈ BA with
νA (E) < +∞, we have P ◦ µ(E) = νA (E) < +∞. Then, Pn νA (E) = P ◦
µ(E) = supn∈Z+ , (Ei)n ⊆B, Sn Ei =E, Ei ∩Ej =∅, ∀1≤i<j≤n i=1 k µ(Ei ) k =
i=1 i=1
Pn
supn∈Z+ , (Ei)n ⊆BA , Sn Ei =E, Ei ∩Ej =∅, ∀1≤i<j≤n i=1 k µA (Ei ) k. Hence,
i=1 i=1
A = (A, BA , µA ) is a Y-valued measure space with P ◦ µA = νA =
(P ◦ µ)|BA .
(ii) If, in addition, X is complete, then (X, B, P ◦ µ) is a complete
measure space. Since (A, BA , P ◦ µA ) is a subspace of (X, B, P ◦ µ), then it
is complete by Proposition 11.13.
Hence,A is complete.

(iii) Note that B̄A = C ⊆ A C ∈ B̄ , µ̄A = µ̄|B̄A , and
P ◦ µ̄A = (P ◦ µ̄)|B̄A . By (ii), Ā is a complete Y-valued measure space.
Since B ⊆ B̄, then BA ⊆ B̄A . ∀E ∈ BA . Note that P ◦ µA = (P ◦ µ)|BA =
( (P ◦ µ̄)|B )|BA = (P ◦ µ̄)|BA = ( (P ◦ µ̄)|B̄A )B = (P ◦ µ̄A )|BA , where the
A
first equality follows from (i); the second equality follows from Proposi-
tion 11.111; the third and fourth equalities follow from the fact that BA ⊆ B
and BA ⊆ B̄A ; and the last equality follows from (i). Note also that
µA = µ|BA = ( µ̄|B )|BA = ( µ̄|B̄A )B = µ̄A |BA , where the first equality fol-
A
lows from (i), the second equality follows from Proposition 11.111; the third
equality follows from the fact that BA ⊆ B and BA ⊆ B̄A ; and the last equal-
ity follows from (i). ∀E ⊆ A, assume that E = EA ∪EB with EB , EC ∈ BA ,
EA ⊆ EC , and P ◦ µA (EC ) = 0. Then, P ◦ µ̄A (EC ) = 0 and EA ∈ B̄A since
Ā is complete. Then, E ∈ B̄A . On the other hand, ∀E ⊆ A, assume that
E ∈ B̄A . Then, E ⊆ A and E ∈ B̄. By Proposition 11.111, E = EA ∪ EB
with EB , EC ∈ B, EA ⊆ EC , and P ◦ µ(EC ) = 0. Then, EB , EC ∩ A ∈ BA ,
EA ⊆ EC ∩ A, and 0 ≤ P ◦ µA (EC ∩ A) = P ◦ µ(EC ∩ A) ≤ P ◦ µ(EC ) = 0,
where the last inequality follows form Proposition 11.4. Hence, (i) — (iii)
of Proposition 11.111 are satisfied and Ā is the completion of A.
Proposition 11.113 Let X := (X, B, µ) be a measure space, Y be a Ba-

nach space, W be a separable subspace of Y, and fR : X → W be B-
measurable. Define ν̄ : B → [0, +∞] ⊂ IRe by ν̄(E) = E P ◦ f dµ, ∀E ∈ B.
Then, ν̄ is a measure on (X, B). Define a function ν Rfrom B to Y by ν(E)
is undefined, ∀E ∈ B with ν̄(E) = +∞, and ν(E) = E f dµ, ∀E ∈ B with
ν̄(E) < +∞. Then, (X, B, ν) is a Y-valued measure space with P ◦ ν = ν̄.
Furthermore, the following statements hold.
(i) If X is σ-finite, then ν is also σ-finite.
(ii) f is absolutely integrable over X if, and only if, ν is finite.
(iii) If P ◦ f > 0 a.e. in X and X is σ-finite and complete, then (X, B, ν)
is a σ-finite complete Y-valued measure space.
Proof Since f is B-measurable, by Propositions 7.21 and 11.38, P ◦ f

is B-measurable. Then, ν̄ : B → [0, +∞] ⊂ IRRe is well defined by Propo-
sition 11.76. By Proposition 11.73, ν̄(∅) = ∅ (P ◦ f ) dµ = S 0. ∀ pair-
∞ ∞
wise
R disjoint ( E )
i i=1P ⊆ B,
R by Proposition 11.87,
P∞ we have ν̄( i=1 Ei ) =
∞
S∞ (P ◦ f ) dµ = i=1 Ei (P ◦ f ) dµ = i=1 ν̄(Ei ). Hence, ν̄ is a mea-
i=1 Ei R
sure on (X, B). By Proposition 11.73, ν(∅) = ∅ f dµ = ϑY . ∀E ∈ B with
ν̄(E) = +∞, ν(E) isR undefined.R ∀E ∈ B with ν̄(E) < +∞, by Proposi-
tion 11.90, ν(E) = E f dµ = E f |E dµE ∈ Y, where E := (E, BE , µE )
is the measure subspace of X asS defined in PropositionP11.13. ∀ pair-
∞ ∞ ∞
wise disjoint ( E i )i=1 ⊆ B with i=1 Ei = E, we have i=1 k ν(Ei ) k =
P∞ R P∞ R R
i=1 Ei f dµ ≤ i=1 Ei (P ◦ f ) dµ = E (P ◦ f ) dµ = ν̄(E) < +∞,
where the first equality follows from the fact that Ei ⊆ E and 0 ≤ ν̄(Ei ) ≤
ν̄(E) < +∞; the first inequality follows from Proposition P∞ 11.90; and
the
P∞ second
R equality P∞ follows
R from Proposition
R 11.87. Then,R i=1 ν(Ei ) =
i=1 Ei f dµ = i=1 Ei f |E dµE = E f |E dµE = E f dµ = ν(E),
where the second, the third, and the fourth equalities follow from Proposi-
tion 11.90.
n
∀E ∈ BSwith ν̄(E) < +∞, ∀n ∈ Z+ , ∀ pairwise disjoint Pn ( Ei )i=1 ⊆ B
n
with E = i=1 Ei , f |E is absolutely integrable over E. i=1 k ν(Ei ) k =
Pn R Pn R R
i=1 Ei f dµ ≤ i=1 Ei P ◦ f dµ = E P ◦ f dµ = ν̄(E) < +∞,
where the first equality follows from the fact that Ei ⊆ E and 0 ≤
ν̄(Ei ) ≤ ν̄(E) < +∞; the first inequality follows from Proposition 11.90;
and the second equality follows from Proposition P 11.87. Hence, sE :=
supn∈Z+ , (Ei)n ⊆B, E=Sn Ei , Ei ∩Ej =∅, ∀1≤i<j≤n ni=1 k ν(Ei ) k ≤ ν̄(E).
i=1 i=1
On the other hand, let E := (E, BE , µE ) be the measure subspace of X
as defined in Proposition 11.13. ∀ǫ ∈ (0, ∞) ⊂ RIR, by Proposition 11.92, R ∃
a simple function φ : E → W such that 0 ≤ (P ◦ f )| dµ E − (P ◦
R E E E

φ) dµE < ǫ/2 and 0 P ≤ E P ◦ (φ − f |E ) dµE < ǫ/2. Let φ admit canonical
n
representation φ = i=1 wi χEi ,E , where n ∈ Z+ , w1 , . . . , wn ∈ W are
distinct and none equals to ϑY , E1 , . . . , En ∈ BE are nonempty, pairwise
disjoint, and µE (Ei ) < +∞, ∀i ∈ {1, . . . , n}. Then, we have
Z Z Z
ν̄(E) = (P ◦ f ) dµ = (P ◦ f )|E dµE < (P ◦ φ) dµE + ǫ/2
E E E
n
X n
X n
X
= k ν(Ei ) k + k wi k µE (Ei ) + ǫ/2 − k ν(Ei ) k
i=1 i=1 i=1
Xn n Z
X Xn Z

= k ν(Ei ) k + ǫ/2 + φ dµE − f |E dµE
i=1 i=1 Ei i=1 Ei
n Z
X Z

≤ sE + ǫ/2 + φ dµE − f |E dµE
i=1 Ei Ei
Xn Z

= sE + ǫ/2 + (φ − f |E ) dµE
i=1 Ei
Xn Z
≤ sE + ǫ/2 + P ◦ (φ − f |E ) dµE
i=1 Ei
Z
= sE + ǫ/2 + Sn
P ◦ (φ − f |E ) dµE < sE + ǫ
i=1 Ei
where the second equality follows from Proposition 11.90; the third equality
follows from Proposition 11.73; the fourth equality follows from Proposi-
tion 11.73 and the fact that 0 ≤ ν̄(Ei ) ≤ ν̄(E) < +∞; and the fifth equality
and the third inequality, and the last equality follow from Proposition 11.90.
Hence, by the arbitrariness of ǫ, we have ν̄(E) ≤ sE . Therefore, ν̄(E) = sE .
The above shows that (X, B, ν) is a Y-valued measure space with P ◦ν =
ν̄. S∞
(i) Let X be σ-finite. Then, ∃ ( Xi )∞ i=1 ⊆ B such that X = i=1 Xi
and µ(Xi ) < +∞, ∀i ∈ IN. ∀i ∈ IN, ∀m ∈ IN, let Xi,m := Xi ∩ { x ∈
S∞ S∞ S∞
X | k f (x) k ≤ m } ∈ B. Clearly, X = i=1 Xi = i=1R m=1 Xi,m . By
Bounded Convergence Theorem 11.75, we have ν̄(Xi,m ) = Xi,m (P◦f ) dµ ≤
mµ(Xi,m ) ≤ mµ(Xi ) < +∞. Then, ν̄ is σ-finite. Hence, (X, B, ν) is a σ-
finite Y-valued measure space. R
(ii) Let f be absolutely integrable over X . Then, ν̄(X) = X (P ◦f ) dµ <
+∞. Hence, (X, B, ν) is a finite Y-valued R (pre-)measure space. On the
other hand, let ν be finite. Then, ν̄(X) = X (P ◦ f ) dµ < +∞. Hence, f is
absolutely integrable over X .
R (iii) By (i), (X, B, ν) is σ-finite. ∀E ∈ B with P ◦ ν(E) = 0, then
E (P ◦ f ) dµ = 0. By Proposition 11.93, P ◦ f = 0 a.e. in E. Since P ◦ f >
0 a.e. in X . Then, µ(E) = 0. ∀A ⊆ E, by the completeness of X , A ∈ B.
Hence, (X, B, ν) is a σ-finite complete Y-valued measure space.
Proposition 11.114 Let Xn := (Xn , Bn , µn ) be a finite Y-valued mea-

sure space, where Y is a Banach space, ∀n ∈ IN. ∀n, m ∈ IN, let
(Xn ∩ Xm , Bn,m , µn,m ) be the finite Y-valued measure subspace ofSXn . As-
∞
sume that Bn,m = Bm,n and µn,m = µm,n , ∀n, m ∈ IN. Let X := n=1 Xn ,
B := { B ⊆ X | B ∩ P Xn ∈ Bn , ∀n ∈ IN }, ν : B → [0, ∞] ⊂ IRe
be defined by ν(E) := S ∞ n=1 P ◦ µn (En ), where E1 := E ∩ X1 and
n
En+1 := E ∩ (Xn+1 \ i=1 Xi ), ∀n ∈ IN, and µ be a function from
B to Y defined
P∞ by µ(E) is undefined, ∀E ∈ B with ν(E) = +∞, and ∞
µ(E) := n=1 µn (En ) ∈ Y, ∀E ∈ B with ν(E) < +∞, where ( En )n=1
is defined as above. Then, X := (X, B, µ) is a σ-finite Y-valued measure
space with P ◦ µ = ν and Xn is the finite Y-valued measure subspace of X ,
∞
∀n ∈ IN. The above process is said to be the generation process on ( Xn )n=1
for σ-finite Y-valued measure space X .
Proof We will first show that B is a S σ-algebra on X. Clearly, ∅ ∈ B

∞ ∞
and
S∞ X ∈ B. ∀ ( Ei )i=1 ⊆ B, let E := i=1 Ei . ∀n ∈ IN, E ∩ Xn =
i=1 (E i ∩ X n ). Note that ∀i ∈ IN, Ei ∈ B implies Ei ∩ Xn ∈ Bn . Since
Bn is a σ-algebra, then E ∩ Xn ∈ Bn . By the arbitrariness of n, we have
E ∈ B. ∀E ∈ B, E ∩ Xn ∈ Bn , ∀n ∈ IN. Then, (X \ E) ∩ Xn = Xn \ E =
Xn \ (Xn ∩ E) ∈ Bn . By the arbitrariness of n, we have X \ E ∈ B. Hence,
B is a σ-algebra on X. ∀n ∈ IN, ∀m ∈ IN, Xn ∩ Xm ∈ Bn,m = Bm,n ⊆ Bm .
By the arbitrariness of m, we have Xn ∈ B.
Next, we will show that ν is a σ-finite measureSon (X, B). Clearly,
ν(∅) = 0. ∀ pairwise disjoint ( Ei )∞ ∞
i=1 ⊆ B, let E :=S i=1 Ei ∈ B. ∀i ∈ IN,
n
let Ei,1 := Ei ∩ X1 ∈ B1 and Ei,n+1 := Ei ∩ (Xn+1 \ j=1 Xj ) ∈ Bn+1 , ∀n ∈
S∞ Sn
IN. Let B1 := E∩X1 = i=1 Ei,1 ∈ B1 and Bn+1 := E∩(Xn+1 \ j=1 Xj ) =
S∞ P∞
Pi=1 Ei,n+1 ∈ Bn+1 , ∀n ∈ IN. PThen, ν(E) = P∞P ◦ µn (Bn ) =
∞ P∞ P∞ n=1
∞
n=1 i=1 P ◦ µn (Ei,n ) = i=1 n=1 P ◦ µn (Ei,n ) = i=1 ν(Ei ), where
the first equality follows from the definition of ν; the second equality follows
from the fact that P ◦µn is a measure on (Xn , Bn ); the third equality follows
from the fact that all summands are nonnegative; and the fourth equality
follows from the definition of ν. Hence, ν is a measure on (X, B). ∀n ∈ IN,

S
let Xn,1 := Xn ∩ X1 and Xn,i+1 := Xn ∩ (Xi+1 \ ij=1 Xj ), ∀i ∈ IN. Then,
P∞ P∞ Si
ν(Xn ) = i=1 P ◦ µi (Xn,i ) = i=1 P ◦ µi+1 ((Xn ∩ Xi+1 ) \ j=1 Xj ) + P ◦
P∞ Si
µ1 (Xn ∩X1 ) = i=1 P◦µi+1,n ((Xn ∩Xi+1 )\ j=1 Xj )+P◦µ1,n (Xn ∩X1 ) =
P∞ Si P∞
i=1 P ◦ µn,i+1 ((Xn ∩ Xi+1 ) \ j=1 Xj ) + P ◦ µn,1 (Xn ∩ X1 ) = i=1 P ◦
Si
µn ((Xn ∩ Xi+1 ) \ j=1 Xj ) + P ◦ µn (Xn ∩ X1 ) = P ◦ µn (Xn ) < +∞, where
the first equality follows from the definition of ν; the third equality follows
from Proposition 11.112; the fourth equality follows from and the fact that
µi,n = µn,i , ∀i ∈ IN; the fifth equality follows from Proposition 11.112; and
the last equality follows from the fact that P ◦ µn is a measure on (Xn , Bn ).
Hence, ν is σ-finite.
Next, we will show that (X, B, µ) is a σ-finite Y-valued measure space
with P ◦ µ = ν. Clearly, µ(∅) = ϑY . ∀E ∈ B with ν(E) = +∞, µ(E)
∞
is undefined. ∀E ∈ B with ν(E) < +∞, let ( BnP)n=1 be as defined
∞
in the previous paragraph. Then, +∞ > ν(E)
P P∞ = n=1 P ◦ µn (Bn ) ≥
∞
n=1 k µ n (B n ) k. This implies that µ(E) = µ
n=1 n (B S)∞∈ Y by Propo-
n
∞
sition 7.27. ∀ pairwise disjoint ( Ei )i=1 ⊆ B with E = i=1 Ei , ∀i ∈ IN,
∞
let
P∞( Ei,n )n=1 be asPdefined P∞in the previous paragraph. P∞ P∞ Then, we have
∞
P∞ k
i=1 P µ(E i ) k = i=1 k Pn=1 n µ (E i,n ) k ≤ i=1 n=1 kP µn (Ei,n ) k ≤
∞ ∞ ∞
P∞ i=1 Pn=1 P ◦ µ n (E )
i,n P= ν(E i ) = ν(E) < +∞ and i=1 µ(Ei ) =
∞ P∞ P∞ S∞
i=1
∞
Pi=1 n=1 n µ (E i,n ) = n=1 i=1 nµ (E i,n ) = µ
n=1 n ( i=1 Ei,n ) =
∞
µ
n=1 n (B n ) = µ(E). Hence, (i) – (iii) of Definition 11.105 are satisfied.
∞
∀E ∈ B with ν(E) < +∞, let ( Bn )n=1 be as defined in the pre-
m
vious paragraph.
Sm ∀m ∈ Z+ , ∀ pairwise disjoint ( Ei )i=1 ⊆ B with
∞
E = i=1 Ei , ∀i ∈ {1, . . P . , m}, let ( Ei,n )n=1 Pm be P as defined in the
m ∞
previous
Pm P∞ paragraph. Then,P∞ Pm i=1 k µ(E i ) k = i=1 kP∞n=1 µn (Ei,n ) k ≤
i=1 n=1 k µn (Ei,n ) k ≤ n=1 i=1 P ◦ µn (Ei,n ) = n=1 P ◦ µn (Bn ) =
ν(E). Hence,
m
X
sE := sup k µ(Ei ) k ≤ ν(E)
m Sm
m∈Z+ , (Ei) ⊆B, E= i=1 Ei , Ei ∩Ej =∅, ∀1≤i<j≤m i=1
i=1
P∞
On the other hand, ν(E) = n=1 P ◦ µn (Bn ) < +∞, where B1 , B2 , . . . are
pairwise disjoint. Since (Xn , Bn , µn ) is a finite Y-valued measure space,
then, ∀ǫ ∈ (0, +∞) ⊂ IR, ∀n
mn Smn∈ IN, ∃mn ∈ Z+ , ∃ pairwise disjoint
(PBn,i )i=1 ⊆ Bn with Bn = i=1 Bn,i such that P ◦ µn (Bn ) − 2−n ǫ <
mn
i=1 k µn (Bn,i ) k ≤ P ◦ µn (Bn ). It is easy P to see that µn (Bn,i ) = µ(Bn,i ),
∞ −n
∀i ∈
P∞ Pmn {1, . . . , m n }. Then, ν(E)
P∞ Pmn− ǫ = n=1 (P ◦ µn (Bn ) − 2 ǫ) <
n=1 i=1 k µn (B n,i ) k = n=1 Pi=1 k µ(B n,i ) k ≤ ν(E) < +∞. Then,
P N mn
∃N ∈ IN such that ν(E) ≤ n=1 i=1 k µ(Bn,i ) k + ǫ ≤ sE + ǫ. By the
arbitrariness of ǫ, we have ν(E) ≤ sE . Therefore, ν(E) = sE and (iv) of
Definition 11.105 is satisfied. This shows that (X, B, µ) is a σ-finite Y-valued
measure space with P ◦ µ = ν.
Finally, we will show that Xn is the finite Y-valued measure subspace

of X , ∀n ∈ IN. Fix any n ∈ IN. ∀E ∈ B with E ⊆ Xn , we have E =
E ∩ Xn ∈ Bn . On the other hand, ∀E ∈ Bn , we have E ⊆ Xn and ∀i ∈ IN,
E ∩ Xi = E ∩ Xi ∩ Xn ∈ Bn,i = Bi,n ⊆ Bi . Then, E ∈ B. Hence,
Bn = { E ∈ B | E ⊆ Xn }. ∀E ∈ Bn , let B1 := E ∩ X1 ∈ B1 and Bi+1 :=
Si P∞
E ∩ (Xi+1 \ j=1 Xj ) ∈ Bi+1 , ∀i ∈ IN. Then, ν(E) = i=1 P ◦ µi (Bi ). Note
that Bi ∈ Bi and Bi ⊆ X Pn∞, ∀i ∈ IN, this implies
P∞ that Bi ∈ Bi,n = BPn,i ⊆ Bn .
∞
Then, we have ν(E) = i=1 P ◦ µi,n (Bi ) = i=1 P ◦ µn,i (Bi ) = i=1 P ◦
µn (Bi ) = P ◦ µn (E) ≤ P ◦ µn (Xn ) < +∞, where the first equality follows
from the fact that µi,n = µi |Bi,n ; the second equality follows from the
fact that µi,n = µn,i ; the third equality follows from the fact that µn,i =
µn |Bn,i ; the fourth equality follows from countable additivity of P ◦ µn ;
and
P∞ the first inequality
P∞ follows from
P∞Proposition 11.4.P∞ Then, Y ∋ µ(E) =
µ
i=1 i (B i ) = µ
i=1 i,n (B i ) = µ
i=1 n,i (Bi ) = i=1 µn (Bi ) = µn (E).
Hence, µn = µ|Bn . This shows that Xn is the subspace of X .
Proposition 11.115 Let X := (X, B, µ) be a σ-finite Y-valued measure

∞
S∞ where Y is a normed linear space, ( Xn )n=1 ⊆ B be such that X =
space,
n=1 Xn and P ◦ µ(Xn ) < +∞, ∀n ∈ IN, and Xn := (Xn , Bn , µn ) be the
finite Y-valued measure subspace of X . Then, any Y-valued measure space
X̄ := (X, B̄, µ̄) with Xn as its finite Y-valued measure subspace, ∀n ∈ IN,
must be identical to X .
S∞
Proof ∀E ∈ B, E ∩ Xn ∈ Bn ⊆ B̄, ∀n ∈ IN. Then, E = n=1 (E ∩
Xn ) ∈ B̄. Then, B ⊆SB̄. On the other hand, ∀E ∈ B̄, E ∩ Xn ∈ Bn ⊆ B,
∀n ∈ IN. Then, E = ∞ n=1 (E ∩ Xn ) ∈ B. Then, B̄ ⊆ B. Hence, B̄ = B.
∀E ∈ B with E ∈ dom ( µ ), we have P ◦ µ(E) < ∞ and µ(E) ∈ Y.
Sn−1
Let En := E ∩ (Xn \ i=1 Xi ) ∈ Bn , ∀n ∈P IN. Then, µ(En ) = P µn (En ) =
∞ ∞
µ̄(En ), ∀n P
∈ IN. Note that P ◦ µ(E) = n=1 P ◦ µ(E n ) = n=1 P ◦
∞
µn (En ) = n=1 P ◦ µ̄(E n ) = P ◦ µ̄(E) < +∞, where the second and
third equalities
P follow from
P∞ Proposition 11.112. Then, E ∈ dom ( µ̄ ) and
µ(E) = ∞ n=1 µ(E n ) = n=1 µ̄(E n ) = µ̄(E) ∈ Y.
On the other hand, ∀E ∈ B̄ = B with E ∈ dom ( µ̄ ), we have P ◦ µ̄(E) <
Sn−1
∞ and µ̄(E) ∈ Y. Let En := E ∩ (Xn \ i=1 Xi ) ∈ Bn , ∀n ∈ IP N. Then,
∞
µ(En ) = P µn (En ) = µ̄(En ), ∀n P∞ ∈ IN. Note that P ◦ µ(E) = n=1 P ◦
∞
µ(En ) = n=1 P ◦ µn (En ) = n=1 P ◦ µ̄(En ) = P ◦ µ̄(E) < +∞, where
the second and third equalities
P∞ followP from Proposition 11.112. Then, E ∈
∞
dom ( µ ) and µ(E) = n=1 µ(En ) = n=1 µ̄(En ) = µ̄(E) ∈ Y.
Therefore, dom ( µ ) = dom ( µ̄ ) and µ = µ̄. Hence, X = X̄ . This
Definition 11.116 Let X := (X, B, µ) be a finite Y-valued measure space,

where Y is a normed linear space over IK, Z be a normed linear space over
IK, f : X → W := B ( Y, Z ) be B-measurable, and I ( W ) := (R ( W ) , )
P system on W. ∀R = { (wα , Uα ) | α ∈ Λ } ∈ R ( W ),
be the integration
define FR := α∈Λ wα µ(f inv(Uα )) ∈ Z. This defines a net ( FR )R∈I(W) .
f is said to be integrable over X if the net admits a limit in Z. In this
case, limR∈I(W) FR ∈ Z is said to be the integral of f over X and denoted
R R R
R X f dµ or X f (x) dµ(x). When Z = IR, we will denote X f dµ :=
by
X
f (x) dµ(x) := limR∈I(W) FR ∈ IRe , whenever the limit exists.
Definition 11.117 Let X := (X, B, µ) be a Y-valued measure space with

P ◦ µ(X) = +∞, where Y is a normed linear space over IK, Z be a normed
linear space over IK, X̄ := (X, B, P ◦ µ) be the total variation, and f : X →
W := B ( Y, Z ) be B-measurable. Define M ( X ) to be the directed system,
M X̄ , of subsets of X as defined in Definition 11.69. ∀A ∈ M ( X ), let
R BA , µA ) be the finite Y-valued measure subspace of X and define FA :=
(A,
A
f |A dµA ∈ Z, if the integral exists. This defines a net ( FA )A∈M(X )
when all of the integrals involved exist. f is said to be integrable over X
if the net is well-defined (i. e., all integrals involved exist) and admits a
limit in Z. In this case, limA∈M(X ) FA ∈ Z is said to be the integral of f
R R
over X and denoted by X f dµ or X f (x) dµ(x). R WhenRZ = IR, we will
allow the net ( FA )A∈M(X ) ⊆ IRe and denote X f dµ := X f (x) dµ(x) :=
limA∈M(X ) FA ∈ IRe , whenever the limit exists.
Proposition 11.118 Let X := (X, B, µ) be a finite Y-valued measure

space, where Y is a normed linear space over IK, Z be a normed linear
space over IK, f : X → W := B ( Y, Z ) be B-measurable, and X̄ := (X, B̄, µ̄)
Rbe a finite Y-valued
R measure space that satisfies B ⊆ B̄ and µ = µ̄|B . Then,
X
f dµ = X
f dµ̄, whenever one of the integrals exists.
Proof Let I ( W ) be the integration Rsystem on W as defined in Propo-
sition 11.67, ( FR )R∈I(W) be the net for X f dµ, and F̄R R∈I(W) be the
R
net for X f dµ̄, as defined in Definition 11.116. ∀R := { (wα , Uα ) | α ∈
Λ } ∈ I ( W ), ∀α ∈ Λ, we have f inv(Uα ) ∈ B ⊆ B̄ since f is B-measurable,
and
P µ(f inv(Uα )) = µ̄(fP inv(Uα )) ∈ Y since µ = µ̄|B . Then,
R FR =
w
α∈Λ α µ(f inv (U α )) = w
α∈Λ αR µ̄(f inv (U α )) = F̄R ∈ Z. Hence, X f dµ =
limR∈I(W) FR = limR∈I(W) F̄R = X f dµ̄, whenever one of the integrals ex-
ists. This completes the proof of the proposition. 2
Lemma 11.119 Let X := (X, B, µ) be a finite Y-valued measure space,
where Y is a normed linear space over IK, Z be a normed linear space over
IK, f : X → W := B ( Y, Z ) be B-measurable, X̂ ∈ B, and X̂ := (X̂, B̂, µ̂) be
the finite Y-valued measure subspace ofRX as defined
R in Proposition 11.112.
Assume that P ◦ µ(X \ X̂) = 0. Then, X f dµ = X̂ f |X̂ dµ̂, whenever one
Proof Let I ( W ) be the integration system on W as defined
in Propo-
R
sition 11.67, ( FR )R∈I(W) be the net for X f dµ, and F̂R be the
R∈I(W)
R
net for X̂ f |X̂ dµ̂, as defined in Definition 11.116. ∀R := { (wα , Uα ) | α ∈
Λ } ∈ I ( W ), ∀α ∈ Λ, we have f inv(Uα ) ∩ X̂ = f |X̂ inv(Uα ) ∈ B̂ ⊆ B since f
is B-measurable, and 0 ≤ P ◦ µ(f inv(Uα ) ∩ (X \ X̂)) ≤ P ◦ µ(X \ X̂) = 0.
This implies that µ(f inv(Uα )) = µ(f inv(Uα ) ∩ X̂) + µ(f inv(Uα ) ∩ (X \
X̂)) = µ( f |X̂ inv(Uα )) = µ̂( f |X̂ inv(Uα )) by Fact 11.107. Then, FR =
P P
R α∈Λ wα µ(f inv(Uα )) = α∈Λ wα µ̂( f |X̂ inv(U
Rα
)) = F̂R ∈ Z. Hence,
X f dµ = limR∈I(W) FR = limR∈I(W) F̂R = X̂ f |X̂ dµ̂, whenever one of
the integrals exists. This completes the proof of the proposition. 2
Proposition 11.120 Let X := (X, B, µ) be a Y-valued measure space with

P ◦ µ(X) = +∞, where Y is a normed linear space over IK, Z be a normed
linear space over IK, f : X → W := B ( Y, R Z ) be B-measurable,
R and X̄ :=
(X, B̄, µ̄) be the completion of X . Then, X f dµ = X f dµ̄, whenever one
Proof Let X̂ := (X, B, P ◦ µ =: ν) and Xˆ¯ := (X, B̄, P ◦ µ̄ =: ν̄). Then,

X̂ and X̄ ˆ are measure spaces and X̄ ˆ is the completion of Xˆ by Proposi-
R
tion 11.111. Let ( FA )A∈M(X ) be the net for X f dµ and F̄Ā Ā∈M“X̄ ”
R
be the net for X f dµ̄ as defined in Definition 11.117. Clearly, M ( X ) ⊆
ˆ is the completion of X̂ . We will distinguish two exhaustive
M X̄ , since X̄ R R
cases: Case 1: X f dµ̄ exists; Case 2: X f dµ exists.
R
Case 1: X f dµ̄ exists. Then, the net F̄Ā Ā∈M“X̄ ” is well defined.

∀A ∈ M ( X ), we have A ∈ B and ν(A) < R +∞. Then, RA ∈ M X̄ .
By Propositions 11.118 and 11.111, FA = A f |A dµA = A f |A dµ̄A =
F̄A , where (A, BA , µA ) is the finite Y-valued measure subspace of X and
(A, B̄A , µ̄A ) is the finite complete Y-valuedmeasure subspace of X̄ . Then,
( FA )A∈M(X ) is well defined. ∀Ā ∈ M X¯ , we have Ā ∈ B̄ with ν̄(Ā) <
+∞. By Proposition 11.111 and its proof, ∃Ã, B̃, C̃ ⊆ X with Ā = Ã ∪ B̃,
B̃, C̃ ∈ B, Ã ⊆ C̃, ν(C̃) = 0, and ν̄(Ā) = ν(B̃). Then, Ā ⊆ B̃ ∪ C̃ =: A ∈ B
and ν(A) ≤ ν(B̃) + ν(C̃) = ν(B̃) = ν̄(Ā) < +∞. This shows that A ∈
M ( X ) and Ā ⊆ A. Hence, ( FA )A∈M(X ) is a subnet of F̄Ā Ā∈M“X̄ ” . By
R R
Proposition 3.70, X f dµ = limA∈M(X ) FA = limĀ∈M“X̄ ” F̄Ā = X f dµ̄.
R
Case 2: X f dµ exists. Then, the net ( FA )A∈M(X ) is well defined.

∀Ā ∈ M X̄ , we have Ā ∈ B̄ with ν̄(Ā) < +∞. By Proposition 11.111
and its proof, ∃Ã, B̃, C̃ ⊆ X with Ā = Ã ∪ B̃, B̃, C̃ ∈ B, Ã ⊆ C̃,
ν(C̃) = 0, and ν̄(Ā) = ν(B̃). Let B̃ =: A ∈ B. Then, 0 ≤ ν̄(Ā \ A) =
ν̄(Ã \ B̃) ≤ ν̄(C̃) = ν(C̃) = 0 and ν(A) = ν̄(Ā) < +∞. This shows that
A ∈ M ( X ) and A ⊆ Ā. Let A := (A, BA , µA ) be the finite Y-valued
measure subspace of X , Ā := (Ā, B̄Ā , µ̄Ā ) be the finite complete Y-valued
measure subspace of X¯ , and Â := (A, B̄A , µ̄A ) be the finite complete Y-
valued measure subspace of Ā. Since X̄ is the completion of X , then,
by Proposition
R 11.112, ÂR is the completion of A. By Proposition 11.118,
we have R A A dµ̄A R= A f |A dµA = FA . By Lemma 11.119, we have
f |
F̄Ā = Ā f |Ā dµ̄Ā = A f |A dµ̄A = FA . Hence, F̄Ā = FA . Then, the net
F̄Ā Ā∈M“X̄ ” is well defined.
R Fix any open set U (U ⊆ IRe if Z R= IR or U ⊆ Z if Z 6= IR) with

X
f dµ ∈ U . Since limA∈M(X ) FA = X f dµ ∈ U , then ∃A0 ∈ M ( X )
such that ∀A ∈ M ( X ) with A0 ⊆ A, we have FA ∈ U . Note that A0 ∈
B ⊆ B̄ and ν(A0 ) = ν̄(A0 ) < +∞. Then, A0 ∈ M X̄ . ∀Ā ∈ M X¯
with A0 ⊆ Ā, then Ā ∈ B̄ and ν̄(Ā) < +∞. By Proposition 11.111 and
its proof, ∃Ã, B̃, C̃ ⊆ X with Ā = Ã ∪ B̃, B̃, C̃ ∈ B, Ã ⊆ C̃, ν(C̃) =
0, and ν̄(Ā) = ν(B̃). Let A := A0 ∪ B̃ ∈ B. Then, A0 ⊆ A ⊆ Ā,
0 ≤ ν̄(Ā \ A) = ν̄((Ã ∪ B̃) \ (A0 ∪ B̃)) ≤ ν̄((Ã ∪ B̃) \ B̃) ≤ ν̄(Ã \ B̃) ≤
ν̄(C̃) = ν(C̃) = 0, and ν(A) ≤ ν(B̃) + ν(A0 ) = ν̄(Ā) + ν(A0 ) < +∞.
This shows that A ∈ M ( X ). Let A := (A, BA , µA ) be the finite Y-valued
measure subspace of X , Ā := (Ā, B̄Ā , µ̄Ā ) be the finite complete Y-valued
measure subspace of X¯ , and Â := (A, B̄A , µ̄A ) be the finite complete Y-
valued measure subspace of Ā. Since X̄ is the completion of X , then,
by Proposition
R 11.112, ÂR is the completion of A. By Proposition 11.118,
we haveR A A dµ̄AR = A f |A dµA = FA . By Lemma 11.119,R we have
f |
F̄Ā = Ā f |Ā dµ̄Ā R= A f |A dµ̄A = FA ∈ U . Therefore, we have X f dµ̄ =
limĀ∈M“X̄ ” F̄Ā = X f dµ.
R R
Hence, in both cases, we have X f dµ = X f dµ̄. This completes the

Y is a normed linear space over IK, and Z be a normed linear space over
IK. φ : X → Z is said to be a simple function if ∃n ∈ Z+ , ∃z1 , . . . , zn ∈
Z, and P∃A1 , . . . , An ∈ B with P ◦ µ(Ai ) < +∞, i = 1, . . . , n, such that
n
φ(x) = i=1 zi χAi ,X (x), ∀x ∈ X. We will say that a simple function φ is
in canonical representation if z1 , . . . , zn are distinct and none equals to ϑZ ,
and A1 , . . . , An are nonempty and pairwise disjoint.
Clearly, every simple function admits a unique canonical representation.

where Y is a normed linear space over IK, Z be a normed linear space
over IK, φ : X → B ( Y, Z ) =: W be a simple function in canonical rep-
resentation, i. e., ∃n ∈ Z+ , ∃w1 , . . . , wn ∈ W, which are distinct and none
equals to ϑW , ∃A1 , . . . , An ∈ B, which are nonempty, P pairwise disjoint,
and P ◦ µ(Ai ) <R +∞, i =P 1, . . . , n, such that φ(x) = ni=1 w R i χAi ,X
(x),
n
∀x
R ∈ X. Then, X
φ dµ = i=1 i w µ(A i ) =: I ∈ Z and 0 ≤ X
φ dµ ≤
X P ◦ φ dP ◦ µ < +∞.

cases: Case 1: P ◦ µ(X) < +∞; Case 2: P ◦ µ(X) = +∞.
Sn
Case 1: P ◦ µ(X) < +∞. Let wn+1 := ϑW and An+1 := X \ ( i=1 Ai ) ∈
B. Let ǫ0 := min{1, min1≤i<j≤n+1 k wi − wj k} > 0, by the assumption.
R Let
( ΦR )R∈I(W) be the net as defined in Definition 11.116 for X φ dµ.
∀ǫ ∈ (0, ǫ0 /2) ⊂ IR, let Ui := BW ( wi , ǫ ) ∈ BB ( W ), i = 1, . . . , n + 1,
which are clearly pairwise disjoint and nonempty. We will distinguish Sn+1 two
exhaustive and mutually exclusive subcases: Case 1a: W = i=1 Ui ; Case
Sn+1
1b: W ⊃ i=1 Ui .
S
Case 1a: W = n+1 i=1 Ui . Then, ∃δ ∈ (0, ∞) ⊂ IR such that W =
BW ( ϑW , δ ). Then, W must be the trivial normed linear space, i. e., W is a
singleton set containing ϑW . There is a single representation of W, which
is R0 := {(ϑW , W)}. Then, ΦR0 = ϑZ . Clearly, we must have n = 0, since
w1 , . . . , wn ∈ Y are distinct and none equals to ϑW . Then, I = ϑZ . Hence,
∀R ∈ I ( W ) with R0 R, k ΦR − I k = k ΦR0 − I k = 0.
Sn+1 Sn+1
Case 1b: W ⊃ i=1 Ui . Let Un+2 = W \ ( i=1 Ui ) ∈ BB ( W ), which is
nonempty. Let wn+2 ∈ Un+2 be such that k wn+2 k < inf w∈Un+2 k w k + 1.
Let R0 := { (wi , Ui ) | i = 1, . . . , n + 2 }. n o R0 ∈ I ( W ).
It is easy to check that

∀R̃ ∈ I ( W ) with R0 R̃, then R̃ = (w̃α , Ũα ) α ∈ Λ , where Λ is

a finite index set, Ũα ⊆ BB ( W ) are nonempty and pairwise dis-
S α∈Λ
joint, α∈Λ Ũα = W, w̃α ∈ Ũα , and k w̃α k < inf w∈Ũα k w k + 1, ∀α ∈ Λ.
∀i ∈ {1, . . . , n + 2}, by R0 R̃, ∃! αi ∈ Λ such that wi = w̃αi and, by
R̃ ∈ I ( W ), ∃! ᾱi ∈ Λ such that wi ∈ Ũᾱi . Since Ũα ⊆ BB ( W )
α∈Λ
are nonempty and pairwise disjoint and w̃α ∈ Ũα , ∀α ∈ Λ, then αi = ᾱi .
Again by R0 R̃, we have Ũαi ⊆ Ui . Hence, α1 , . . . , αn+2 are distinct.
Let Λ̄ := {α1 , . . . , αn+2 }. ∀α ∈ Λ \ Λ̄, φinv(Ũα ) = ∅. Then, ΦR̃ =
P Pn+2 Pn+2
α∈Λ w̃α µ(φinv(Ũα )) = i=1 w̃αi µ(φinv(Ũαi )) = i=1 wi µ(φinv(Ũαi )).
Note that ∀i ∈ {1, . . . , n + 1}, φinv(ŨαPi ) = A i and µ(A i ) ∈ Y. Further-
n
more, φinv(Ũαn+2 ) = ∅. Hence, ΦR̃ = i=1 wi µ(Ai ) = I ∈ Z. Then, we
have k ΦR̃ − I k = 0.
In both subcases, we have ∃R0R ∈ I ( W ), ∀R ∈ I ( W ) with R0 R, we
have k ΦR − I k = 0 < ǫ. Hence, X φ dµ = limR∈I(W) ΦR = I. Note that
R P P R
0 ≤ X φ dµ ≤ ni=1 k wi k k µ(Ai ) k ≤ ni=1 k wi k P ◦ µ(Ai ) = X P ◦
φ dP ◦ µ < +∞, where the second inequality follows from Proposition 7.64;
the third inequality follows from Definition 11.105; the equality follows from
what we have proved in this proposition; and the last inequality follows from
Definition 11.121.
Case 2: P ◦ µ(X) = +∞. ∀A ∈ M ( X ), PR ◦ µ(A) < +∞. φ|A :
A → W is a simple function. By Case 1, ΦA = A φ|A dµA ∈ Z is well-
defined, where (A, BA , µA ) is the finite Y-valued measure subspace
Sn of X .
Hence, the net ( ΦA )A∈M(X ) is well-defined. Take A0 := i=1 Ai ∈ B.
Pn
Then, P ◦ µ(A0 ) = i=1 P ◦ µ(Ai ) < +∞. Therefore,
Pn A0 ∈ M ( X ).
∀A ∈ M ( X ) with A0 ⊆ A, by Case 1, ΦA = w
i=1 i µ(A i ) = I ∈ Z.
R R
Then, X
φ dµ = limA∈M(X ) ΦA = I ∈ Z. Note that 0 ≤ X φ dµ ≤
Pn Pn R
i=1 k wi k k µ(Ai ) k ≤ i=1 k wi k P ◦ µ(Ai ) = X P ◦ φ dP ◦ µ < +∞,
where the second inequality follows from Proposition 7.64; the third in-
equality follows from Definition 11.105; the equality follows from what we
have proved in this proposition; and the last inequality follows from Defi-
nition 11.121.
Clearly, the above result holds for simple functions given in any form,
not necessarily in the canonical representation. It also shows that the inte-
grals of simple functions are linear.

where Y is a normed linear space over IK, Z be a Banach space over IK,
W be a separable subspace of B ( Y, Z ), φn : X → W be a simple function,
∀n ∈ IN, f : X → W be B-measurable, gn : X → [0, ∞) ⊂ IR be B-
measurable, ∀n ∈ IN, and g : X → [0, ∞) ⊂ IR be B-measurable. Assume
that
(i) limn∈IN φn = f a.e. in X and limn∈IN gn = g a.e. in X ;
(ii) k φn (x) k ≤ gn (x), ∀x ∈ X, ∀n ∈ IN;

R R R
(iii) X gn dP◦µ ∈ IR, ∀n ∈ IN, and limn∈IN X gn dP◦µ = X g dP◦µ ∈ IR.
R R
Then,
R f is
integrable
R over X , X f dµ = limn∈IN X φn dµ ∈ Z, and 0 ≤
f dµ ≤ X g dP ◦ µ < +∞.
X
Proof Let X¯ := (X, B, P ◦ µ) be the finite measure space as defined

∞
in Definition 11.105. Let E := { x ∈ X | ( φn (x) )n=1 does not converge to
∞
f (x) or ( gn (x) )n=1 does not converge to g(x)R}. Then, by (i), E ∈ B and
P ◦ µ(E) = 0. Let ( FR )R∈I(W) be the net for X f dµ as defined in Defini-
tion 11.116.
∀ǫ ∈ (0, ∞) ⊂ IR, by (i), (iii), and Lemma 11.82, ∃δ ∈ (0, ǫ/6] ⊂ IR
and ∃n0 ∈ INRsuch that ∀A ∈ B with P ◦Rµ(A) < δ, ∀n ∈ IN with n ≥ n0 ,
we have 0 ≤ A g dP ◦ µ < ǫ/6 and 0 ≤ A gn dP ◦ µ < ǫ/6. By Egoroff’s
∞
Theorem 11.54, ∃Ē1 ∈ B with P ◦ µ(Ē1 ) < δ such that φn |X\Ē1
n=1
converges uniformly to f |X\Ē1 . Let E1 := E ∪ Ē1 . Then, E1 ∈ B with
∞
P ◦ µ(E1 ) = P ◦ µ(Ē1 ) < δ such that φn |X\E1 converges uniformly
n=1
to f |X\E1 . Then, ∃n1 ∈ IN with n1 ≥ n0 , ∀n ∈ IN with n ≥ n1 , ∀x ∈ X \E1 ,
ǫ
k φn (x) − f (x) k < 6P◦µ(X)+1 =: ǭ ∈ (0, ∞) ⊂ IR. Fix any n ≥ n1 . Let
P
φn admit the canonical representation φn = n̄i=1 wi χAi ,X , where n̄ ∈ Z+ ,
w1 , . . . , wn̄ ∈ W are distinct and none equals to ϑW , and A1 , . . . , An̄ ∈ B
are nonempty, pairwise disjoint, and P ◦ µ(Ai ) < +∞, i = 1, . . . , n̄. Let
Sn̄ Sn̄+1
wn̄+1 := ϑW and An̄+1 := X \ ( i=1 Ai ) ∈ B. Then, X = i=1 Ai and the
sets in the union are pairwise disjoint and of finite total variation. Define
V̄i := BW ( wi , ǭ ), i = 1, . . . , n̄ + 1. Define V1 := V̄1 ∈ BB ( W ), Vi+1 :=
Si Sn̄+1
V̄i+1 \ ( j=1 V̄j ) ∈ BB ( W ), i = 1, . . . , n̄. Let Vn̄+2 := W \ ( j=1 V̄j ) ∈
BB ( W ). Clearly, we may form a representation R̄ := { (w̄i , Vi ) | i =
1, . . . , n̄ + 2, Vi 6= ∅ } ∈ I ( W ), where w̄i ∈ Vi are any vectors that satisfy
the assumption
n of Proposition
o 11.67. ∀R ∈ I ( W ) with R̄ R. Let R :=

(ŵγ , Ûγ ) γ ∈ Γ . ∀γ ∈ Γ, by R̄ R, ∃! iγ ∈ {1, . . . , n̄ + 2} such that
Ûγ ⊆ Viγ . Define Γ̄ := { γ ∈ Γ | iγ = n̄ + 2 }. Let Aγ,i := Ai ∩ f inv(Ûγ ) ∩
(X \ E1 ) ∈ B, i = 1, . . . , n̄ + 1. Let Āγ := f inv(Ûγ ) ∩ E1 \ E.

Claim 11.123.1 ∀γ ∈ Γ̄, f inv(Ûγ ) ⊆ E1 ; ∀γ ∈ Γs := γ ∈ Γ Āγ 6= ∅ ,
P
ŵγ µ(Āγ ) ≤ (1 + inf x∈Ā g(x))P ◦ µ(Āγ ); and
γ∈Γ ŵγ µ(f inv(Ûγ ) ∩
γ

E1 ) < ǫ/3.
Sn̄+1
Proof of claim: Fix any γ ∈ Γ̄. Ûγ ⊆ Vn̄+2 = W \ ( j=1 V̄j ). Then,
B ∋ f inv(Ûγ ) ⊆ E1 .
∀γ ∈ Γs , Āγ = f inv(Ûγ ) ∩ (E1 \ E) 6= ∅. ∀x ∈ Āγ , we have
f (x) ∈ Ûγ , limm∈IN φm (x) = f (x), k φm (x) k ≤ gm (x), ∀m ∈ IN, and
limm∈IN gm (x) = g(x). Then, by Propositions 7.21 and 3.66, we have
k f (x) k = limm∈IN k φm (x) k ≤ limm∈IN gm (x) = g(x). Then, by R ∈ I ( W ),
k ŵγ k < inf w∈Ûγ k w k + 1 ≤ k f (x) k + 1 ≤ g(x) + 1. By the arbitrari-

ness of x, we have k ŵγ k ≤ inf x∈Āγ g(x) + 1. Therefore, ŵγ µ(Āγ ) ≤

(1 + inf x∈Āγ g(x)) µ(Āγ ) ≤ (1 + inf x∈Āγ g(x))P ◦ µ(Āγ ).
Note that
X X

ŵγ µ(f inv(Ûγ ) ∩ E1 ) = ŵγ (µ(Āγ ) + µ(f inv(Ûγ ) ∩ E1 ∩ E))
γ∈Γ γ∈Γ
X X

≤ ŵγ µ(Āγ ) + k ŵγ k µ(f inv(Ûγ ) ∩ E1 ∩ E)
γ∈Γ γ∈Γ
X X

≤ ŵγ µ(Āγ ) + k ŵγ k P ◦ µ(f inv(Ûγ ) ∩ E1 ∩ E)
γ∈Γs γ∈Γ
X
≤ (1 + inf g(x))P ◦ µ(Āγ )
x∈Āγ
γ∈Γs
X X
= P ◦ µ(Āγ ) + ( inf g(x))P ◦ µ(Āγ )
x∈Āγ
γ∈Γs γ∈Γs
The simple function ψ : X → [0, ∞) ⊂ IR, defined by ψ(x) =

P
γ∈Γs (inf x̄∈Āγ g(x̄))χĀγ ,X (x), ∀x ∈ X, P
satisfies 0 ≤ ψ(x) ≤ g(x), ∀x ∈ X
and ψ(x) = 0, ∀x ∈ X \ E1 . Then, γ∈Γs (inf x∈Āγ g(x))P ◦ µ(Āγ ) =
R R R
X
ψ dP ◦ µ = E1 ψ dP ◦ µ ≤ E1 g dP ◦ µ < ǫ/6, where the equalities
follow from Proposition

P11.73; and the first inequality
follows from Propo-

sition 11.76. Then, γ∈Γ ŵγ µ(f inv(Ûγ ) ∩ E1 ) < P ◦ µ(E1 ) + ǫ/6 <
δ + ǫ/6 ≤ ǫ/3.
P
n̄+1
Claim 11.123.2 i=1 wi µ(Ai ∩ E1 ) < ǫ/6.
Proof of claim: Since k φn (x) k ≤ gn (x), ∀x ∈ X, then

P k wi k ≤ gn (x),
n̄+1
∀x ∈ Ai , i = 1, . . . , n̄ + 1. Then, by Proposition 11.76, i=1 wi µ(Ai ∩
P Pn̄+1 R
n̄+1
E1 ) ≤ i=1 k wi k k µ(Ai ∩E1 ) k ≤ i=1 k wi k P◦µ(Ai ∩E1 ) ≤ E1 gn dP◦
µ < ǫ/6. 2
Claim 11.123.3 ∀γ ∈ Γ \ Γ̄, ∀i ∈ {1, . . . , n̄ + 1}, we have k ŵγ − wi k ·

3ǫ
k µ(Aγ,i ) k ≤ 6P◦µ(X)+1 P ◦ µ(Aγ,i ).
Proof of claim: ∀γ ∈ Γ \ Γ̄, ∀i ∈ {1, . . . , n̄ + 1}, Ûγ ⊆ Viγ where

iγ ∈ {1, . . . , n̄ + 1}. The result is trivial if Aγ,i = ∅. If Aγ,i 6= ∅, then
∃x ∈ Aγ,i = Ai ∩ f inv(Ûγ ) ∩ (X \ E1 ). This implies that φn (x) = wi
and f (x) ∈ BW ( wi , ǭ ) ∩ Ûγ ⊆ BW ( wi , ǭ ) ∩ Viγ ⊆ BW ( wi , ǭ ) ∩ V̄iγ =

ŵγ ∈ Ûγ ⊆
BW ( wi , ǭ ) ∩ BW wiγ , ǭ . Note that BW wiγ , ǭ . Therefore,
we have k ŵγ − wi k ≤ ŵγ − wiγ + wiγ − f (x) + k f (x) − wi k < 3ǭ =
3ǫ
6P◦µ(X)+1 . Hence, the result holds. 2
P R Pn̄
Note that FR = γ∈Γ ŵγ µ(f inv(Ûγ )) and X φn dµ = i=1 wi µ(Ai ) =
Pn̄+1
i=1 wi µ(Ai ), by Proposition 11.122. Then,
Z
X
n̄
X

FR −
φn dµ = ŵγ µ(f inv(Ûγ )) − wi µ(Ai )
X γ∈Γ i=1
X

= ŵγ (µ(f inv(Ûγ ) ∩ (X \ E1 )) + µ(f inv(Ûγ ) ∩ E1 )) −
γ∈Γ
n̄+1
X

wi (µ(Ai ∩ E1 ) + µ(Ai ∩ (X \ E1 )))
i=1
X n̄+1
X n̄+1
X

= ŵγ ( µ(Aγ,i ) + µ(f inv(Ûγ ) ∩ E1 )) − wi (µ(Ai ∩ E1 ) +
γ∈Γ i=1 i=1
X

µ(Aγ,i ))
γ∈Γ
X n̄+1
X X

= ŵγ µ(Aγ,i ) + ŵγ µ(f inv(Ûγ ) ∩ E1 ) −
γ∈Γ i=1 γ∈Γ
n̄+1
X X n̄+1
X

wi µ(Ai ∩ E1 ) − wi µ(Aγ,i )
i=1 γ∈Γ i=1
X n̄+1
X X

= (ŵγ − wi )µ(Aγ,i ) + ŵγ µ(f inv(Ûγ ) ∩ E1 ) −
γ∈Γ i=1 γ∈Γ
n̄+1
X

wi µ(Ai ∩ E1 )
i=1
X n̄+1
X ǫ ǫ

< (ŵγ − wi )µ(Aγ,i ) + +
i=1
3 6
γ∈Γ
ǫ
n̄+1 X n̄+1
X X X
= + (ŵγ − wi )µ(Aγ,i ) + (ŵγ − wi )µ(Aγ,i )
2 i=1 i=1
γ∈Γ\Γ̄ γ∈Γ̄
ǫ
n̄+1
X X
= + (ŵγ − wi )µ(Aγ,i )
2 i=1
γ∈Γ\Γ̄
ǫ X n̄+1
X
≤ + k ŵγ − wi k k µ(Aγ,i ) k
2 i=1
γ∈Γ\Γ̄
ǫ X n̄+1
X 3ǫ ǫ 3P ◦ µ(X)ǫ
≤ + P ◦ µ(Aγ,i ) ≤ + <ǫ
2 i=1
6P ◦ µ(X) + 1 2 6P ◦ µ(X) + 1
γ∈Γ\Γ̄
where the first inequality follows from Claims 11.123.1 and 11.123.2; the
seventh equality follows from Claim 11.123.1 and the fact that Aγ,i = ∅,
∀γ ∈ Γ̄, ∀i ∈ {1, . . . , n̄ + 1}; and the third inequality follows from
Claim 11.123.3.
In summary, we have shown that ∀ǫ ∈ (0, ∞) ⊂ IR, ∃n1 ∈ IN, ∀n ∈ IN
with
n R≥ n1 , ∃R̄
∈ I ( W ) such that ∀R ∈ I ( W ) with R̄ R, we have
FR − φn dµ < ǫ. Then, the net ( FR ) ⊆ Z is a Cauchy net. By
X
R R∈I(W)
Proposition 4.44, the net admits Ra limit X fR dµ ∈ Z. By Propositions
7.21,
7.23, 3.67, and 3.66, we have X f dµ − X φn dµ = limR∈I(W) FR −
R R R

X φn dµ ≤ ǫ, ∀n ≥ n1 . Hence, we have X f dµ = limn∈IN X φn dµ and
f is integrable over XR . R R
Note that 0 ≤ R X f dµ = lim
R n∈IN X φn dµ ≤ lim supn∈IN X P ◦
φn dP ◦ µ ≤ limn∈IN X gn dP ◦ µ = X g dP ◦ µ < +∞, where the first equal-
ity follows from Propositions 7.21 and 3.66; the second inequality follows
from Proposition 11.122; and the third inequality follows from Proposi-
tion 11.76. This completes the proof of the lemma. 2

W be a separable subspace of B ( Y, Z ), f : X → W be B-measurable, and
g : X → [0, ∞) ⊂ IR be B-measurable. Assume that k f (x) k ≤ g(x),

∀x ∈ X, and g is integrable over X̄ := (X, B, P ◦ µ). Then, there exists
a sequence of simple functions ( ϕk )∞ k=1 , ϕk : X → W, ∀k ∈ IN, such that
limk∈IN ϕk = fR a.e. in X , k ϕk (x)R k ≤ g(x), ∀x ∈ X, ∀k R∈ IN, f is integrable
over
R X with X f dµ = limk∈IN X ϕk dµ ∈R Z, limk∈IN X P ◦ ϕk dP ◦ µ =
X
P ◦ f dP ◦ µ ∈ [0, ∞) ⊂ IR, and limk∈IN X P ◦ (ϕk − f ) dP ◦ µ = 0.

∞
tions ( ϕk )k=1 , ϕk : X → W, ∀k ∈ IN, such that k ϕk (x) k ≤ k f (x) k ≤ g(x),
∀x ∈ X, ∀k ∈ IN, andRlimk∈IN ϕk = f a.e. R in X . By Lemma 11.123, f is
integrable over X and X f dµ = limk∈IN X ϕk dµ ∈ Z.
Note that 0 ≤ P ◦ ϕk (x) ≤ g(x), ∀x ∈ X, ∀k ∈ IN, P ◦ f is B-
measurable, and limk∈IN P ◦ ϕk = P ◦ f a.e. in X , by Propositions 7.21 and
11.52. Then,R by Lebesgue Dominated
R ConvergenceR Theorem 11.89, we have
0 ≤ limk∈IN X P ◦ ϕk dP ◦ µ = X P ◦ f dP ◦ µ ≤ X g dP ◦ µ < +∞, where
the second inequality follows from Proposition 11.76. By Lemma 11.43,
P ◦ (ϕk − f ) is B-measurable. By Propositions 7.21, 7.23, 11.52, and 11.53.
limk∈IN P ◦ (ϕk − f ) = 0 a.e. in X . Note that 0 ≤ P ◦ (ϕk − f )(x) ≤ 2g(x),
∀x ∈ X, ∀k ∈ IN. By Lebesgue Dominated R Convergence Theorem 11.89
and Proposition 11.73, we have limk∈IN X P ◦ (ϕk − f ) dP ◦ µ = 0. This

(X, B, µ) be a finite Y-valued measure space, where Y is a normed linear
space over IK, Z be a Banach space over IK, W be a separable subspace
of B ( Y, Z ), fn : X → W be B-measurable, ∀n ∈ IN, f : X → W be
B-measurable, gn : X → [0, ∞) ⊂ IR be B-measurable, ∀n ∈ IN, and

R R R
(iii) X gn dP◦µ ∈ IR, ∀n ∈ IN, and X g dP◦µ = limn∈IN X gn dP◦µ ∈ IR.
R R
Then,
R f is
integrable
R over X , X f dµ = limn∈IN X fn dµ ∈ Z, and 0 ≤

X f dµ ≤ X g dP ◦ µ < +∞.
Proof ∀n ∈ IN, by Lemma 11.124, there exists a sequence of simple

functions ( ϕ̄n,k )∞k=1 , ϕ̄n,k : X → W, ∀k ∈ IN, such that limk∈IN ϕ̄n,k =
fn a.e. in X , Rk ϕ̄n,k (x) k ≤ gn (x),R ∀x ∈ X, ∀k ∈ IN, fn is integrable
over X , and X fn dµ = limk∈IN X ϕ̄n,k dµ ∈ Z. By Proposition 11.57,
limk∈IN ϕ̄n,k = fn in measure in X . Then, ∃kn ∈ IN such that P ◦
R n ) := P R◦ µ({ x ∈ X
µ(E
| −nk ϕ̄n,kn (x) − fn (x) k ≥ 2−n }) < 2−n and
f dµ − ϕ̄ dµ < 2 . Denote ψn := ϕ̄n,kn .
X n X n,kn
IR, ∃n0 ∈ IN such that ∀n ∈ IN with n ≥ n0 , we have 2−n < ǫ/2 and
P ◦ µ(Ēn ) := P ◦ µ({ x ∈ X | k fn (x) − f (x) k ≥ ǫ/2 }) < ǫ/2. Note that,

by Lemma 11.43, B ∋ Fn := { x ∈ X | k ψn (x) − f (x) k ≥ ǫ } ⊆ { x ∈
X | k ψn (x) − fn (x) k + k fn (x) − f (x) k ≥ ǫ } ⊆ En ∪ Ēn . Then, we have
P ◦ µ(Fn ) ≤ P ◦ µ(En ) + P ◦ µ(Ēn ) < ǫ. This implies that limn∈IN ψn =
f in measure in X̄ . By Proposition 11.56, there exists a subsequence
∞ ∞
( ψni )i=1 of ( ψn )n=1 R f a.e. in X . By Lemma
R that converges to R11.123, f is
X ∈ ≤
integrable
R over , X f dµ = limi∈I
N ψn
X Ri dµ Z, andR 0 f dµ−n≤
X
X
g dP ◦ µ < +∞. By the Rfact that X fni dµ R − X ψni dµ R
< 2 i,
∀i ∈ IN, then we have limi∈IN X fni dµ = limi∈IN X ψni dµ = X f dµ ∈ Z.
So far, we have shown that, for the sequenceR ( fn )R∞
n=1 , there exists a
∞
subsequence ( fni )i=1 such that limi∈IN X fni dµ = X f dµ ∈ Z. This
∞
then holds
R for any Rsubsequence of ( fn )n=1 . By Proposition 3.71, we have
limn∈IN X fn dµ = X f dµ.

Y is a normed linear space over IK, Z be a normed linear space over IK,
W := B ( Y, Z ), and f : X → W be B-measurable. f is said to be absolutely
R
integrable if P ◦ f is integrable over X̄ := (X, B, P ◦ µ), that is, 0 ≤ X P ◦
f dP ◦ µ < +∞.
Proposition 11.127 Let X := (X, B, µ) be a finite Y-valued measure

space, where Y is a normed linear space over IK, Z be a Banach space over
IK, W be a separable subspace of B ( Y, Z ), U be a Banach space over IK,
fi : X → W be absolutely integrable over X , i = 1, 2. Then, the following
statements hold.
R
(i) fi is integrable over X and X fi dµ ∈ Z, i = 1, 2.
R R
f dµ ∈ Z.
X 2
R
(iii) ∀AR ∈ B ( Z, U ), Af1 is absolutely integrable over X and X (Af1 ) dµ =
A X f1 dµ ∈ U.
R
c X f1 dµ ∈ Z.
(v) ∀H ∈ B, let H := (H, BH , µH ) be the finite Y-valued measure sub-
space of X as defined inR Proposition 11.112. R Then, f1 |H is absolutely
integrable over H and
R X
(f 1 χ H,X ) dµ
R = f | dµH ∈ Z. We will
H 1 H
henceforth denote H f1 |H dµH by H f1 dµ.
R R
(vi) If f1 = f2 a.e. in X then X f1 dµ = X f2 dµ ∈ Z.
P∞ R R
(vii) ∀ pairwise disjoint ( Ei )∞
i=1 ⊆ B, i=1 Ei f1 dµ =
S∞ f1 dµ ∈ Z.
i=1 Ei
R R
(viii) 0 ≤ X f1 dµ ≤ X P ◦ f1 dP ◦ µ < +∞.
Proof (i) ∀i ∈ {1, 2}, by Lemma 11.124, there exists a sequence of

∞
simple functions ( φi,n )n=1 , φi,n : X → W, ∀n ∈ IN, such that limn∈IN φi,n =
fi a.e. inR X , k φi,n (x) k ≤ PR ◦ fi (x), ∀x ∈ X, ∀n ∈ IN, fi is integrable over
X , and X fi dµ = limn∈IN X φi,n dµ ∈ Z.
(ii) By Propositions 11.38, 11.39, 7.21, and 7.23, f1 +f2 and P ◦(f1 +f2 )
are B-measurable. Note that P◦(f1 +f2 )(x) = k f1 (x)+f2 (x) k ≤ k f1 (x) k+
k f2 (x) k = (P ◦R f1 + P ◦ f2 )(x), ∀x ∈ X. ByR Propositions 11.76 and 11.80,
R have 0 ≤ X PR◦ (f1 + f2 ) dP ◦ µ ≤ X (P ◦ f1 + P ◦ f2 ) dP ◦ µ =
we
X P ◦ f1 dP ◦ µ + X P ◦ f2 dP ◦ µ < +∞. Hence, f1 + f2 is absolutely
integrable over X .
Note that φ1,n + φ2,n : X → W, f1 + f2 : X → W, and k φ1,n (x) +
φ2,n (x) k ≤ k φ1,n (x) k + k φ2,n (x) k ≤ (P ◦ f1 + P ◦ f2 )(x), ∀x ∈ X, ∀n ∈
IN. By Propositions 7.23, 11.52, and 11.53, limn∈IN (φ1,n + φ2,n ) = f1 +
f2 a.e. in X . By Lebesgue RDominated Convergence Theorem R 11.125, f1 +f2
is integrable
R over X and
R X (f 1 +
Rf 2 ) dµ = limRn∈IN X (φ1,n + φ2,n ) dµ =
limn∈IN X φ1,n dµ + X φ2,n dµ = X f1 dµ + X f2 dµ, where the second
equality follows from Proposition 11.122; and the third equality follows
from Propositions 3.66, 3.67, and 7.23.
(iii) Fix any A ∈ B ( Z, U ). By Propositions 11.38, 7.21, and 7.62, Aφ1,n ,
Af1 , and P ◦ (Af1 ) are B-measurable, ∀n ∈ IN. Note that P ◦ (Af1 )(x) =
k Af1 (x) k ≤ k A k k f1 (x) k = k A k PR◦ f1 (x), ∀x ∈ X. By Propositions 11.76
and
R 11.80 and the fact R that 0 ≤ X P ◦ f1 dP ◦ µR < +∞, we have 0 ≤
X
P ◦ (Af 1 ) dP ◦ µ ≤ X
(k A k P ◦ f1 ) dP ◦ µ = k A k X P ◦ f1 dP ◦ µ < +∞.
Hence, Af1 is absolutely integrable over X .
By Propositions 11.52 and R 7.62, limn∈IN Aφ1,n R = Af1 a.e. in X . By
Proposition 11.122, we have X (Aφ1,n ) dµ = A X φ1,n dµ ∈ U, ∀n ∈ IN.
Note that k Aφ1,n (x) k ≤ k A k k φ1,n (x) k ≤ k A k P ◦f1 (x), ∀x ∈ X, ∀n ∈ IN.
Note also that Af1 : X → Ŵ and Aφ1,n : X → Ŵ, ∀n ∈ IN, where Ŵ :=
{ F ∈ B ( Y, U ) | F = AF1 , F1 ∈ W } is a separable subspace of B ( Y, U ).
By LebesgueR Dominated Convergence R Theorem 11.125, Af1 Ris integrable
over
R X and X (Af 1 ) dµ = lim n∈I N X (Aφ1,n ) dµ = limn∈IN A X φ1,n dµ =
A X f1 dµ ∈ U, where the last equality follows from Propositions 3.66 and
7.62.
(v) Fix any H ∈ B. Note that R (P ◦ f1 )|H = P ◦ ( f1 |HR). Then, by
Proposition 11.112, R we have 0 ≤ R H P ◦ ( f1 |H ) dP ◦ µH = H (P ◦ f1 )|H
d (P ◦ µ)|BH = H P ◦ f1 dP ◦ µ ≤ X P ◦ f1 dP ◦ µ < +∞, where the second
equality follows from Proposition 11.86; and the second inequality follows
from Proposition 11.76. Hence, f1 |H is absolutely integrable over H.
∞
φ1,n |H n=1 is a sequence of simple functions that converges to

f1 |H a.e. in H. Note that φ1,n |H (x) ≤ (P ◦ f1 )|H (x) = P ◦ ( f1 |H )(x),
∀x ∈ H, ∀n R ∈ IN. By Lebesgue Dominated R Convergence Theorem 11.125,
we have H f1 |H dµH = limn∈IN H φ1,n |H dµH ∈ Z. Note that
∞
( φ1,n χH,X )n=1 is a sequence of simple functions that converges to
f1 χH,X a.e. in X , and k φ1,n (x)χH,X (x) k ≤ P ◦ f1 (x), ∀x ∈ X, ∀n ∈ IN.

Again
R by Lebesgue Dominated
R Convergence TheoremR 11.125, we have
RX (f 1 χ H,X ) dµ = lim n∈IN X
(φ1,n χH,X ) dµ = limn∈IN H φ1,n |H dµH =
H f 1 |H dµH ∈ Z, where the second equality follows from
Proposition 11.122.
(vi) If f1 = f2 a.e. in X , then, by Proposition 11.50, limn∈IN φ1,n =
f2 a.e.R in X . By Lebesgue R Dominated R Convergence Theorem 11.125, we
have X f2 dµ = limn∈IN X φ1,n dµ = X f1 dµ. S∞
∞
i=1 Ei ∈ B, ∀n ∈ IN. PThen, limn∈IN f1 (x)χĒnP
,X (x) R= f1 (x)χE,X (x),
∞ R n
∀x ∈ X. Then, we have i=1 Ei f1 dµ = limn∈IN i=1 X (f1 χEi ,X ) dµ =
R R R
limn∈IN X (f1 χĒn ,X ) dµ = X (f1 χE,X ) dµ = E f1 dµ ∈ Z, where the first
equality follows from Lebesgue Dominated Convergence Theorem 11.125;
the last equality follows from (v); and the last inclusion follows from (v).
(viii) The result follows immediately from Lebesgue Dominated Con-
vergence Theorem 11.125.

(X, B, µ) be a Y-valued measure space, where Y is normed linear space over
IK, Z be a Banach space over IK, W be a separable subspace of B ( Y, Z ),
fn : X → W be B-measurable, ∀n ∈ IN, f : X → W be B-measurable,
gn : X → [0, ∞) ⊂ IR be B-measurable, ∀n ∈ IN, and g : X → [0, ∞) ⊂ IR
be B-measurable. Assume that

R R R
(iii) X gn dP ◦µ ∈ IR, ∀n ∈ IN and X g dP ◦µ = limn∈IN X gn dP ◦µ ∈ IR.
R R
Then,
R f is
integrable over X , f dµ = lim n∈I
N f dµ ∈ Z, and 0 ≤
X n
R X
≤ X g dP ◦ µ < +∞. Furthermore, f is absolutely integrable
X f dµ
over X .
R
Proof We will show that f is integrable over X , X f dµ =
R R R
limn∈IN X fn dµ ∈ Z, and 0 ≤ X f dµ ≤ X g dP ◦ µ < +∞ by distin-
guishing two exhaustive and mutually exclusive cases: Case 1: P ◦ µ(X) <
+∞; Case 2: P ◦ µ(X) = +∞.
Case 1: P◦µ(X) < +∞. Then, X is a finite Y-valued measure space. By
Lebesgue
R DominatedR Convergence Theorem R 11.125, f isR integrable over X ,
X
f dµ = limn∈IN X fn dµ ∈ Z, and 0 ≤ X f dµ ≤ X g dP ◦ µ < +∞.
Case 2: P ◦ µ(X) = +∞. Let ( FA )A∈M(X ) and ( Fn,A )A∈M(X ) be the
R R
nets for the integrals X f dµ and X fn dµ as defined in Definition 11.117,
respectively, ∀n ∈ IN. ∀A ∈ M ( X ), we have A ∈ B and P ◦ µ(A) < ∞.
Let A := (A, BA , µA ) be the finite Y-valued measure subspace of X as

defined in Proposition 11.112. By Proposition 11.87, g|A and gn |A ’s are
integrable over Ā := (A, BA , P ◦ µA ), which is the finite measure subspace
of X̄ := (X, B, P ◦ µ) as shown in Proposition
R 11.112. By Proposition
R 11.87,
limn∈IN gn |A = g|A a.e. in A, and A g|A dP ◦ µA = limn∈IN A gn |A dP ◦
µA ∈ IR. By Lebesgue Dominated ConvergenceR Theorem 11.125,
R we have
f |A and fn |A ’sRare integrable
over
R A, A f |A dµ A = limn∈IN A f n |A dµA ∈
Z, and 0 ≤ f | dµ A
≤ g| dP ◦ µ A < +∞. Note that FA =
R A A R A A
A f |A dµA ∈ Z and Fn,A = f
A n A| dµA ∈ Z, ∀n ∈ IN. Then, the nets
( FA )A∈M(X ) and ( Fn,A )A∈M(X ) ’s are well defined.
∀ǫ ∈ (0, ∞) ⊂ IR, by Proposition 11.76, ∃ a simpleR function φ : X →
[0,
R ∞) ⊂ IR suchR that 0 ≤ φ(x) ≤ g(x), ∀x ∈ X, and X g dP ◦ µ − ǫ/5 <
X φ dP ◦ µ ≤ X g dP ◦ µ < +∞. Let A0 := { x ∈ X | φ(x) > 0 }. Then,
A0 ∈ B, PR◦ µ(A0 ) < +∞, and A0 ∈ M R ( X ). ∀A ∈ M ( X
R ) with A0 ⊆ A, we
have 0 ≤ A\A0 g|A\A0 dP ◦ µA\A0 = A g|A dP ◦ µA − A0 g|A0 dP ◦ µA0 ≤
R R R R
X
g dP ◦ µ − A0 φ|A0 dP ◦ µA0 = X g dP ◦ µ − X φ dP ◦ µ < ǫ/5, where
the first equality follows from Proposition 11.87; the second inequality fol-
lows from Proposition 11.76; and the second R equality follows from Proposi-

R
tion 11.73. Note that k FA − FA0 k = A f |A dµA − A0 f |A0 dµA0 =
R R

A\A0 f |A\A0 dµA\A0 ≤ A\A0 g|A\A0 dP ◦ µA\A0 < ǫ/5, where the
second equality follows form Proposition 11.127; and the first inequal-
ity follows from the preceding paragraph. Then, the net ( FA )A∈M(X )
R
is a Cauchy net, which admits a limit, by Proposition 4.44, X f dµ =
limA∈M(X ) FA ∈ Z. Hence, f is integrable over X . By Propositions 7.21 and
R R
3.66, 0 ≤ X f dµ = limA∈M(X ) k FA k ≤ limA∈M(X ) A g|A dP ◦ µA =
R
X g dP ◦ µ < +∞.
∀n ∈ IN, by Proposition 11.76, ∃ a simpleR function φn : X → [0, R ∞) ⊂ IR
suchRthat 0 ≤ φn (x) ≤ gn (x), ∀x ∈ X, and X gn dP ◦ µ − ǫ/5 < X φn dP ◦
µ ≤ X gn dP ◦ µ < +∞. Let An := { x ∈ X | φn (x) > 0 }. Then, An ∈ B,
P ◦ µ(A
R n ) < +∞, and An ∈ M ( XR ). ∀A ∈ M ( X ) with R An ⊆ A, we have
0 ≤ A\An gn |A\An dP ◦ µA\An = A gn |A dP ◦ µA − An gn |An dP ◦ µAn ≤
R R R R
g dP ◦ µ − An φn |An dP ◦ µAn = X gn dP ◦ µ − X φn dP ◦ µ < ǫ/5,
X n
where the first equality follows from Proposition 11.87; the second in-
equality follows from Proposition 11.76; and the second equality follows
R
from Proposition 11.73. Note that k Fn,A − Fn,An k = A fn |A dµA −
R R R

An
f n |An dµ A n = A\An
f n | A\An dµ A\An ≤ g |
A\An n A\An
dP ◦
µA\An < ǫ/5, where the second equality and the first inequality follow form
Proposition 11.127. Then, the net ( Fn,A )A∈M(X ) is a Cauchy net, which
R
admits a limit, by Proposition 4.44, X fn dµ = limA∈M(X ) Fn,A ∈ Z.
Let ḡn := gn ∧ g, ∀n ∈ IN. Then, 0 ≤ ḡn (x) ≤ g(x), ∀x ∈ X, and
ḡn is B-measurable by Proposition 11.40, ∀n ∈ IN. Then, limn∈IN ḡn =
R
g a.e. in X Rby Proposition 11.50. By Fatou’s Lemma R 11.77, X g RdP ◦ µ ≤
lim inf n∈IN X ḡn dP ◦µ. By Proposition R 11.76, 0 ≤ X ḡn dP R◦µ ≤ X g dP ◦
µ < +∞, ∀n R ∈ IN. Then, we Rhave X
g dP ◦ µ ≤ lim inf n∈IN X ḡn dP ◦ µ ≤
lim supn∈INR X ḡn dP ◦ µ ≤ X gRdP ◦ µ < +∞. Therefore, by Proposi-
tion 3.83, X g dP ◦ µ = limn∈IN X ḡn dP ◦ µ ∈ IR. This coupled with (iii)
and the fact that FA0 =R limn∈IN Fn,A0 ,R implies that ∃n0 ∈ IN, R ∀n ∈ IN with
≤ ≤ ◦ − ◦
n
R 0 n, we have 0 X g dP µ X ḡ n dP µ < ǫ/5, X g dP ◦ µ −
g dP ◦ µ < ǫ/5, and k F − F k < ǫ/5. ∀A ∈ M ( X ) with A0 ⊆ A,
X n R A0 n,A0 R
we have 0 ≤ A\A0 gn |A\A0 dP◦µA\A0 = A\A0 (gn − ḡn )|A\A0 dP◦µA\A0 +
R R R
ḡn |A\A0 dP ◦µA\A0 ≤ X (gn −ḡn ) dP ◦µ+ A\A0 g|A\A0 dP ◦µA\A0 <
RA\A0 R R R

RX gn dP ◦ µ −R X ḡn dP ◦ µ + ǫ/5 ≤ X gn dP ◦ µ − X g dP ◦ µ +
X g dP ◦ µ − ḡ
X n dP ◦ µ + ǫ/5 < 3ǫ/5, where the first equality fol-
lows from Proposition 11.80; the second inequality follows from Propo-
sition 11.76; and the third inequality R follows fromR Proposition 11.80.

Furthermore, k Fn,A − Fn,A0 k = A fn |A dµA − A0 fn |A0 dµA0 =
R R

A\A0 fn |A\A0 dµA\A0 ≤ A\A0 gn |A\A0 dP ◦ µA\A0 < 3ǫ/5, where the
second equality R and the first
R inequality follow
R from Proposition
11.127. This
implies that f dµ − f dµ ≤ f dµ − F + k F A0 − Fn,A0 k +
R X X n X A0
Fn,A0 −
f dµ < limA∈M(X ) k FA − FA0 k + ǫ/5 + limA∈M(X ) k Fn,A0 −
X n
Fn,A k ≤ ǫ/5 + ǫ/5 + 3ǫ/5 = ǫ, where R the second inequality
R follows from
Propositions 7.21 and 3.66. Hence, X f dµ = limn∈IN X fn dµ ∈ Z.
R Then, in bothR cases, we have shown R that f is Rintegrable over X ,
f dµ = lim f
n∈IN X n dµ ∈ Z, and 0 ≤ f dµ ≤ X g dP ◦ µ < +∞.
X X
Note that 0 ≤ P ◦ fn (x) ≤ gn (x), ∀x ∈ X, ∀n ∈ IN, limn∈IN P ◦ fn =
P ◦ f a.e. in X by Propositions 7.21 and 11.52, and P ◦ f and P ◦ fn ’s are B-
measurable by Propositions 7.21
R and 11.38. Then, by Lebesgue
R Dominated
Convergence Theorem 11.89, X P ◦f dP ◦µ = limn∈IN X P ◦fn dP ◦µ ∈ IR.
Hence, f is absolutely integrable over X .
where Y is a normed linear space over IK, Z be a Banach space over IK, W be
a separable subspace of B ( Y, Z ), U be a Banach space over IK, fi : X → W
be absolutely integrable over X , i = 1, 2. Then, the following statements
hold.
R
(i) fi is integrable over X and X fi dµ ∈ Z, i = 1, 2.
R R
X f2 dµ ∈ Z.
R
(iii) ∀AR ∈ B ( Z, U ), Af1 is absolutely integrable over X and X (Af1 ) dµ =
A X f1 dµ ∈ U.
R
c X f1 dµ ∈ Z.
(v) ∀H ∈ B, let H := (H, BH , µH ) be the Y-valued measure subspace of X

as defined inRProposition 11.112.R Then, f1 |H is absolutely integrable
over H Rand X (f1 χH,X )Rdµ = H f1 |H dµH ∈ Z. We will henceforth
denote H f1 |H dµH by H f1 dµ.
R R
(vi) If f1 = f2 a.e. in X then X f1 dµ = X f2 dµ ∈ Z.
∞ P∞ R R
(vii) ∀ pairwise disjoint ( Ei )i=1 ⊆ B, i=1 Ei f1 dµ = S∞ Ei f1 dµ ∈ Z.
i=1
R R
(viii) 0 ≤ X f1 dµ ≤ X P ◦ f1 dP ◦ µ < +∞.

cases: Case 1: P ◦ µ(X) < +∞; Case 2: P ◦ µ(X) = +∞. Case 1:
P ◦ µ(X) < +∞. The results follow immediately from Proposition 11.127.
Case 2: P ◦ µ(X) = +∞. f1 , f2 , P ◦ f1 , and P ◦ f2 are B-measurable
R
by Propositions 7.21 and 11.38. Let ( Fi,E )E∈M(X ) be the net for X fi dµ
as defined in Definition 11.117, i = 1, 2. R
(i) ∀E ∈ M ( X ), by Proposition 11.127, Fi,E = E fi |E dµE ∈ Z,
i = 1, 2. Then, the net ( Fi,E )E∈M(X ) is well-defined, i = 1, 2. By
LebesgueR Dominated Convergence Theorem 11.128, fi is integrable over
X and X fi dµ ∈R Z, i = 1, 2. Then, by Definition 11.117, we have
limE∈M(X ) Fi,E = X fi dµ ∈ Z, i = 1, 2.
(ii) By Propositions 11.38, 11.39, 7.21, and 7.23, f1 + f2 and P ◦ (f1 +
f2 ) are B-measurable. Note that P ◦ (f1 + f2 )(x) = k f1 (x) + f2 (x) k ≤
k f1 (x) k + k f2 (x)R k = (P ◦ f1 + P ◦ f2 )(x), ∀x R ∈ X. By Propositions 11.76
and
R 11.80, 0 ≤ XR
P ◦ (f 1 + f 2 ) dP ◦ µ ≤ X
(P ◦ f1 + P ◦ f2 ) dP ◦ µ =
P ◦ f 1 dP ◦ µ + P ◦ f 2 dP
◦ µ < +∞. Hence, f1 + f2 is absolutely
X X R
integrable over X . Let F̄E E∈M(X ) be the net for X (f1 + f2 ) dµ as
R
Rdefined in DefinitionR 11.117. ∀E ∈ M ( X ), F̄E = E (f1 + f2 )|E dµE =
E f1 |E dµE + E f2 |E dµE = F1,E + F2,E R ∈ Z, where the second equality
follows from Proposition 11.127. Then, X (f1 + f2 ) dµ = limE∈M(X ) F̄E =
R R
limE∈M(X ) (F1,E +F2,E ) = X f1 dµ+ X f2 dµ ∈ Z, where the third equality
follows from Propositions 3.66, 3.67, and 7.23. Hence, f1 + f2 is integrable
over X .
(iii) By Propositions 11.38, 7.21, and 7.62, Af1 and P ◦ (Af1 ) are
B-measurable. Note that P ◦ (Af1 )(x) = k Af1 (x) k ≤ k A k k f1 (x) k =
k A k P ◦ fR1 (x), ∀x ∈ X. By Propositions 11.76 R and 11.80 and the
fact
R that X P ◦ f 1 dP ◦ µ ∈ I
R, R we have 0 ≤ X P ◦ (Af1 ) dP ◦ µ ≤
X
(k A k P ◦ f 1 ) dP ◦ µ = k A k X
P ◦ f 1 dP ◦ µ < +∞. Hence, Af1
is absolutely integrable over X . Note also that Af1 : X → Ŵ, where
Ŵ := { F ∈ B ( Y, U ) R | F = AF1 , F1 ∈ W } is a separable subspace
of B ( Y, U ). By (i), X (Af1 ) dµ ∈ U. Let F̄E E∈M(X ) be the net
R
Rfor X (Af1 ) dµ as defined R in Definition 11.117. ∀E ∈ M ( X ), F̄E =
E
(Af )|
1 E dµ E = A f
E 1 E
| dµE = AF1,E ∈ U, where the second equality
follows
R from Proposition 11.127. Then, by Propositions 3.66Rand 7.62, we
have X (Af1 ) dµ = limE∈M(X ) F̄E = limE∈M(X ) AF1,E = A X f1 dµ ∈ U.
Hence, Af1 is integrable over X .
(v) Fix any H ∈ B. Clearly, f1 |H andR P ◦ ( f1 |H ) = (P ◦ f1 )|RH are
BH -measurable. By Proposition 11.87, 0 ≤ H P ◦ ( f1 |H ) dP ◦ µH ≤ X (P ◦
f1 ) dP ◦ µ < +∞. Hence, f1 |H is absolutely integrable over H. By (i),
f1 |H is integrable over H. Again, by (i), f1 χH,X is integrable over X .
∀ǫ ∈ (0,
R ∞) ⊂ IR, ∃A0 ∈ M ( X R ) such that ∀A ∈ M ( X ) with A0 ⊆ A, we
have A (f1 χH,X )|A dµA − X (f1 χH,X ) dµ < ǫ/2. We will distinguish
two exhaustive and mutually exclusive subcases: Case 2a: P ◦ µ(H) = +∞;
Case 2b: P ◦ µ(H) < +∞.
Case 2a: P ◦ µ(H) = +∞. R ∃E0 ∈ M (RH ) such that ∀E ∈ M ( H )
with E0 ⊆ E, we have E f1 |E dµE − H f1 |H dµH < ǫ/2. Let
RA1 := A0 ∪E0 ∈ M ( X ) and R E1 := A1 ∩H ∈ M ( H ). RBy Proposition 11.127,
A1 (f 1 χ H,X )|A dµ A 1 = H∩A1 f1 |H∩A1 dµH∩A1 = E1 f1 |E1 dµE1 . Then,
R 1 R R
we have (f χ ) dµ − H f1 |H dµH ≤ X (f1 χH,X ) dµ −
X 1 H,X
R R R

A1 (f 1 χ H,X )|A1 dµ A 1 + E1 f 1 |E1 dµE 1 − H f 1 |H dµ H < ǫ/2+ǫ/2 = ǫ.
R R
By the arbitrariness of ǫ, we have X (f1 χH,X ) dµ = H f1 |H dµH ∈ Z.
Case 2b: P ◦ µ(H) R < +∞. Let A1 := R A0 ∪ H ∈ M ( X ). By
Proposition 11.127, A1 (f1 χH,X )|A1 dµA1 = H f1 |H dµH . Then, we have
R R R
(f1 χH,X ) dµ −
X H f 1 |H dµ H = X (f1 χH,X ) dµ −
R

(f1 χH,X )|A1 dµA1 < ǫ/2. By the arbitrariness of ǫ, we have
RA1 R
X (f1 χH,X ) dµ = H f1 |H dµRH ∈ Z. R
Hence, in both subcases, X (f1 χH,X ) dµ = H f1 |H dµH ∈ Z.
(vi) This follows immediately from Lebesgue Dominated Convergence
Theorem 11.128.
∞ S∞
i=1 Ei ∈ B, ∀n ∈ IN. PThen, R limn∈IN f1 (x)χĒnP ,X (x) R= f1 (x)χE,X (x),
∀x ∈ X. Then, we have ∞ f 1 dµ = lim n∈I N
n
i=1 X (f1 χEi ,X ) dµ =
R Ri=1 Ei R
limn∈IN X (f1 χĒn ,X ) dµ = X (f1 χE,X ) dµ = E f1 dµ ∈ Z, where the first
equality follows from Lebesgue Dominated Convergence Theorem 11.128;
the last equality follows from (v); and the last inclusion follows from (v).
(viii) This follows immediatedly from Lebesgue Dominated Convergence
Theorem 11.128.

space, where Y is a normed linear space over IK, Z be a Banach space
over IK, W be a separable subspace of B ( Y, Z ), and f : X → W be ab-
solutely integrable over X . Then, there exists a sequence of simple func-
∞
tions ( ϕn )n=1 , ϕn : X → W, ∀n ∈ IN, such that Rk ϕn (x) k ≤ RP ◦ f (x),
R in X , limn∈IN X ϕn dµ = X f dµ ∈
∀x ∈ X, ∀nR ∈ IN, limn∈IN ϕn = f a.e.
Z, limn∈I
R N X
P ◦ ϕn dP ◦ µ = X
P ◦ f dP ◦ µ ∈ [0, ∞) ⊂ IR, and
limn∈IN X P ◦ (ϕn − f ) dP ◦ µ = 0.

∞
tions ( ϕn )n=1 , ϕn : X → W, ∀n ∈ IN, such that k ϕn (x) k ≤ P ◦ f (x),
∀x ∈ X, ∀n ∈ IN, and limn∈IN ϕn = f a.e. Rin X . By Lebesgue R Dom-
inated Convergence Theorem 11.128, limn∈IN X ϕn dµ = X f dµ ∈ Z.
Note that limn∈IN P ◦ ϕn = P ◦ f a.e. in X , by Propositions 7.21 and
11.52. RBy Lebesgue Dominated R Convergence Theorem 11.89, we have
limn∈IN X (P ◦ ϕn ) dP ◦ µ = X (P ◦ f ) dP ◦ µ ∈ [0, ∞) ⊂ IR. By
Lemma 11.43, P ◦ (ϕn − f ) is B-measurable. By Propositions 7.21, 7.23,
11.53, and 11.52, we have limn∈IN P ◦ (ϕn − f ) = 0 a.e. in X . Note that
0 ≤ P ◦ (ϕn − f )(x) = k ϕn (x) − f (x) k ≤ k ϕn (x) k + k f (x) k ≤ 2P ◦ f (x),
∀x ∈ X, ∀n ∈ IN. By Lebesgue Dominated R Convergence Theorem 11.89
and Proposition 11.73, we have limn∈IN X P ◦ (ϕn − f ) dP ◦ µ = 0. This

W be a separable subspace of B ( Y, Z ), and f : X → W be absolutely inte-
∞
grable over X . Then, there exists a sequence of simple functions ( φn )n=1 ,
φn : X R→ W, ∀n ∈RIN, such that k φn (x)R k ≤ P ◦ f (x), ∀xR ∈ X, ∀n ∈ IN,
limn∈IN X φn dµ = X f dµ R ∈ Z, limn∈IN X P ◦φn dP ◦µ = X P ◦f dP ◦µ ∈
[0, ∞) ⊂ IR, and limn∈IN X P ◦ (φn − f ) dP ◦ µ = 0.
Proof Let X̄ := (X, B, P ◦ µ), which is a measure space. By the

assumption, f is absolutely integrable over X̄ . By Proposition 11.92, there
exists a sequence of simple functions ( φn )∞ n=1 , φn : X → R W, ∀n ∈ IN, such
that
R k φn (x) k ≤ P ◦ f (x), ∀x ∈ X, ∀n ∈ IN,R lim n∈IN X P ◦ φn dP ◦ µ =
X P ◦ f dP ◦ µ ∈ [0, ∞) ⊂ IR, and limn∈IN R X P ◦ (φn − f ) dP

R ◦ µ = 0.
By Propositions 11.129 and 11.76, we have X f dµ ∈ Z and X φn dµ ∈
R R
Z, ∀n ∈
R IN. By Proposition
R limn∈IN X φn dµ − X f dµ =
11.129,

limn∈IN R X (φn − fR) dµ ≤ limn∈IN X P ◦ (φn − f ) dP ◦ µ = 0. Then,
limn∈IN X φn dµ = X f dµ ∈ Z. This completes the proof of the proposi-
tion. 2
11.7 Calculation With Measures

It is easy to see that a σ-finite measure space (X, B, µ) may be identified
with a σ-finite IR-valued measure space (X, B, µ̄) as follows: µ̄(E) = µ(E) ∈
[0, +∞) ⊂ IR, ∀E ∈ B with µ(E) < +∞; and µ̄(E) is undefined, ∀E ∈ B
with µ(E) = +∞. Then, P ◦ µ̄ = µ. The converse of this identification is
proved in the following proposition. Thus, a σ-finite measure on (X, B) is
11.7. CALCULATION WITH MEASURES 425
a special kind of σ-finite IR-valued measure on (X, B). We will make use
of this identification to imply definitions and results for σ-finite measures
from definitions and results for σ-finite IR-valued measures.
Proposition 11.132 Let X := (X, B, µ) be a σ-finite IR-valued measure

space with ν := P ◦ µ and µ(E) P∞≥ 0, ∀E ∈ dom ( µ ). Then, any ∞ function
ν̄ : B → IRe satisfying ν̄(E) = i=1 ν̄(Ei ), ∀ pairwise disjoint ( Ei )i=1 ⊆ B;
and ν̄(E) = µ(E), ∀E ∈ dom ( µ ), must be such that ν̄ = ν.
Proof ∀E ∈ B, we will show that ν̄(E) = ν(E) by distinguishing two

exhaustive and mutually exclusive cases: Case 1: E ∈ dom ( µ ); Case 2:
E ∈ B \ dom ( µ ).
Case 1: E ∈ dom ( µ ). Then, ν̄(E) = µ(E) ∈ [0, ∞) ⊂ IR. By Defini-
tion 11.105, µ(E) ≤ ν(E) < ∞ and
n
X
ν(E) = „ «n
sup | µ(Ei ) | = µ(E) = ν̄(E)
S
n∈Z+ , Ei ⊆B, n E =E i=1
i=1 i
i=1
Ei ∩Ej =∅, ∀1≤i<j≤n
Case 2: E ∈ B \ dom ( µ ). Then, ν(E) = ∞. Since

S∞ X is σ-finite, then
∞
∃ ( Xn )n=1 ⊆ B with ν(Xn ) < ∞, ∀n ∈ IN and X = n=1 Xn . Without loss
of generality,
S∞ , we may assume that ( Xn )∞
n=1 is pairwise disjoint. Then,
E = n=1 (E ∩ Xn ), 0 ≤P ν(E ∩ Xn ) ≤ ν(Xn )P< ∞, and E ∩ Xn ∈ dom ( µ ),
∞ ∞
∀n ∈ IN. Then, ν̄(E) = n=1 ν̄(E ∩ Xn ) = n=1 ν(E ∩ Xn ) = ν(E) = ∞,
where the second equality follows from Case 1.
Hence, ν̄(E) = ν(E) in both cases. This completes the proof of the
proposition. 2
Proposition 11.133 Let (X, B) be a measurable space and Y be a normed

linear space over IK. Then, the following statements hold.
(i) Let µ1 and µ2 be measures on (X, B), a ∈ (0, ∞) ⊂ IR. Define µ :=

µ1 + µ2 : B → [0, ∞] ⊂ IRe by µ(E) = µ1 (E) + µ2 (E), ∀E ∈ B, then µ
is a measure on (X, B). µ is σ-finite if µ1 and µ2 are σ-finite. Define
µ̄ := aµ1 : B → [0, ∞] ⊂ IRe by µ̄(E) = aµ1 (E), ∀E ∈ B, then µ̄ is a
measure on (X, B). µ̄ is σ-finite if µ1 is σ-finite.
(ii) Let µ be a finite measure on (X, B) and a ∈ [0, ∞) ⊂ IR. Define

µ̄ := aµ : B → [0, ∞) ⊂ IR by µ̄(E) = aµ(E), ∀E ∈ B. Then, µ̄ is a
finite measure on (X, B).
(iii) Let ν1 and ν2 be finite Y-valued measures on (X, B) and α ∈ IK.

Define ν := ν1 + ν2 : B → Y by ν(E) = ν1 (E)+ ν2 (E), ∀E ∈ B. Then,
ν is a finite Y-valued measure on (X, B) with P ◦ ν ≤ P ◦ ν1 + P ◦ ν2 .
Define ν̄ := αν1 : B → Y by ν̄(E) = αν1 (E), ∀E ∈ B. Then, ν̄ is a
finite Y-valued measure on (X, B) with P ◦ ν̄ = | α | P ◦ ν1 .
(iv) Let µ be a finite IK-valued measure on (X, B) and y ∈ Y. Define

ν := µy : B → Y by ν(E) = µ(E)y, ∀E ∈ B. Then, ν is a finite Y
valued measure on (X, B) with P ◦ ν = k y k P ◦ µ.
Proof (i) Clearly, µ(∅) = µ1 (∅) + µ2S (∅) = 0 and µ̄(∅) = P aµ(∅) = 0.
∞ ∞ ∞
∀ pairwise P disjoint ( Ei )i=1 ⊆ B, let P E := i=1 Ei P ∈ B. Then, i=1 (µ1 +
∞ ∞ ∞
µ2 )(Ei ) = i=1 (µ1 (Ei )+µ2 (Ei )) =P i=1 µ1 (Ei )+ i=1 P µ2 (Ei ) = µ1 (E)+
∞ ∞
µ2P(E) = (µ1 + µ2 )(E) and i=1 (aµ1 )(Ei ) = i=1 aµ1 (Ei ) =
∞
a i=1 µ1 (Ei ) = aµ1 (E). Hence, µ1 + µ2 and aµ1 are measures on (X, B).
∞ S∞
When µ1 is σ-finite, there exists ( Xn )n=1 ⊆ B such that X = n=1 Xn
and µ1 (Xn ) < ∞, ∀n ∈ IN. Then, (aµ1 )(Xn ) = aµ1 (Xn ) < ∞. Hence, aµ1
is σ-finite.
∞
When µ2 is also σ-finite, there exists X̄n n=1 ⊆ B such that X =
S∞ S∞ S∞
n=1 X̄n and µ2 (X̄n ) < ∞, ∀n ∈ IN. Then, X = n=1 m=1 (Xn ∩ X̄m ),
Xn ∩ X̄m ∈ B, and µ(Xn ∩ X̄m ) = µ1 (Xn ∩ X̄m ) + µ2 (Xn ∩ X̄m ) ≤ µ1 (Xn ) +
µ2 (X̄m ) < ∞. Hence, µ is also σ-finite.
(ii)SClearly, µ̄(∅) = aµ(∅) P∞ = 0. ∀ pairwise P∞ disjoint ( Ei P )∞i=1 ⊆ B, let
∞ ∞
E := i=1 Ei ∈ B. Then, i=1 (aµ)(Ei ) = i=1 aµ(Ei ) = a i=1 µ(Ei ) =
aµ(E)
P∞ = (aµ)(E), where the second equality follows from the fact that
i=1 µ(Ei ) = µ(E) ≤ µ(X) < +∞. Hence, aµ is a finite measure on
(X, B).
(iii) Clearly, (ν1 + ν2 )(∅) = ν1 (∅) + ν2 (∅) = ϑY and S∞ (αν1 )(∅) = αν1 (∅) =
∞
ϑ
PY∞ . ∀ pairwise disjoint ( E )
Pi∞i=1 ⊆ B, let E := i=1P Ei ∈ B. Then,
∞
i=1 k (ν 1 + ν
P2 )(E i ) k = k
i=1P 1 ν (E i ) + ν 2 (E i ) k ≤ i=1 (k ν1 (Ei ) k +
∞ ∞
k ν2 (Ei ) k) = i=1 k ν1 (Ei ) k + i=1 k ν2 (Ei ) k < +∞, where the last in-
equality
P∞follows from the fact P∞that ν1 and ν2 are finite P∞Y-valued measures,
and i=1 kP (αν1 )(Ei ) k = i=1 | αP| k ν1 (Ei ) k = | α | i=1 k νP 1 (Ei ) k < +∞.
∞ ∞ ∞
Note
P∞ that i=1 (ν 1 + ν2 )(E i ) = i=1 (ν 1 (E i ) + ν 2 (E i )) = i=1 ν1 (Ei ) +
i=1 ν2 (E i ) = ν 1 (E) + ν2 (E) = (ν1 + ν 2 )(E) ∈ Y, where the
P∞ second equal-
ity
P∞ follows from Propositions 7.23, 3.66, and 3.67, and i=1 (αν 1 )(E i) =
i=1 αν 1 (E i ) = αν 1 (E) = (αν 1 )(E) ∈ Y, where the second equality follows
from Propositions 7.23, 3.66, and 3.67. Hence, ν1 + ν2 and αν1 are Y-valued
pre-measures on (X, B).
n Sn
∀E ∈ P B, ∀n ∈ Z+ , ∀ pairwise disjoint Pn ( Ei )i=1 ⊆P B with E = i=1 Ei ,
n n
we have i=1 k (ν1 + ν2 )(Ei ) k ≤ i=1 k ν1 (Ei ) k + i=1 k ν2 (Ei ) k ≤ P ◦
ν1 (E) + P ◦ ν2 (E). Hence, P ◦ (ν1 + ν2 )(E) ≤ P ◦ ν1 (E) + P ◦ ν2 (E).
Then, P ◦ ν ≤ P ◦ ν1 + P ◦ ν2 . Since ν1 and ν2 are finite, then P ◦ ν(X) ≤
P ◦ ν1 (X)+ P ◦ ν2(X) < +∞. Therefore, ν1 + ν2 is a finite Y-valued measure
on (X, B).
∀E ∈ B, we have
n
X
P ◦ (αν1 )(E) = „ «n
sup k (αν1 )(Ei ) k
S
n∈Z+ , Ei ⊆B, n E =E i=1
i=1 i
i=1
Ei ∩Ej =∅, ∀1≤i<j≤n
n
X
= „ «n
sup |α| k ν1 (Ei ) k = | α | P ◦ ν1 (E)
S
n∈Z+ , Ei ⊆B, n E =E i=1
i=1 i
i=1
Ei ∩Ej =∅, ∀1≤i<j≤n
where the last equality follows from Proposition 3.81 and the fact that
0 ≤ P ◦ ν1 (E) ≤ P ◦ ν1 (X) < +∞. Hence, P ◦ (αν1 ) = | α | P ◦ ν1 . Therefore,
αν1 is a finite Y-valued measure on (X, B).
∞
(iv) Clearly,
S∞ (µy)(∅) = µ(∅)yP = ϑY . ∀ pairwise disjoint
P∞ ( Ei )i=1 ⊆ B,
∞
let EP:= i=1 Ei ∈ B. Then, i=1 k (µy)(E
P∞ i ) k = i=1P k y k | µ(Ei ) | =
∞ ∞
k y k i=1 | µ(Ei ) | < +∞. Note that i=1 (µy)(Ei ) = i=1 µ(Ei )y =
µ(E)y = (µy)(E) ∈ Y, where the second equality follows from Proposi-
tions 7.23, 3.66, and 3.67. Hence, µy is a Y-valued pre-measure on (X, B).
∀E ∈ B,
n
X
P ◦ (µy)(E) = „ «n
sup k (µy)(Ei ) k
S
n∈Z+ , Ei ⊆B, n E =E i=1
i=1 i
i=1
Ei ∩Ej =∅, ∀1≤i<j≤n
n
X
= „ «n
sup kyk | µ(Ei ) | = k y k P ◦ µ(E)
S
n∈Z+ , Ei ⊆B, n E =E i=1
i=1 i
i=1
Ei ∩Ej =∅, ∀1≤i<j≤n
where the last equality follows from Proposition 3.81 and the fact that
0 ≤ P ◦ µ(E) ≤ P ◦ µ(X) < +∞. Hence, P ◦ (µy) = k y k P ◦ µ. Therefore,
µy is a finite Y-valued measure on (X, B).
Proposition 11.134 Let X := (X, B, µ) be a σ-finite measure on (X, B),

Y be a normed linear space over IK, and ν1 and ν2 be Y-valued measures on
(X, B). Assume that, ∀E ∈ B with µ(E) < ∞, we have ν1 (E) = ν2 (E) ∈ Y.
Then, ν1 = ν2 is σ-finite.
Proof
S Since µ is σ-finite, then ∃ ( Xn )∞ n=1 ⊆ B such that X =
∞
n=1 X n and µ(X n ) < ∞, ∀n ∈ IN. Fix any n ∈ IN. By the assumption,
µ(Xn ) < ∞ implies that Xn ∈ dom ( ν1 ) ∩ dom ( ν2 ) and P ◦ νi (Xn ) < ∞,
i = 1, 2. Hence, ν1 and ν2 are σ-finite. Let Xn := (Xn , Bn , µn ) be the
finite measure subspace of X , (Xn , Bn , νn,i ) be the finite Y-valued measure
subspace of (X, B, νi ), i = 1, 2. ∀E ∈ Bn , we have µ(E) ≤ µ(Xn ) < ∞.
Then, νn,1 (E) = ν1 (E) = ν2 (E) = νn,2 (E). Thus, νn,1 = νn,2 . By Propo-
sition 11.115, we have ν1 = ν2 . 2
Proposition 11.135 Let (X, B) be a measurable space and Y and Z be

normed linear spaces over IK. Then, the following statements hold.
(i) Let µ1 and µ2 be σ-finite Y-valued measures on (X, B). Then, there
exists a unique Y-valued measure µ on (X, B) such that µ(E) =
µ1 (E) + µ2 (E) ∈ Y, ∀E ∈ dom ( µ1 ) ∩ dom ( µ2 ). Furthermore, µ is σ-

finite. We will denote this σ-finite Y-valued measure by µ := µ1 + µ2 .
Then, P ◦ µ ≤ P ◦ µ1 + P ◦ µ2 .
(ii) Let µ be a σ-finite measure on (X, B) and α ∈ [0, ∞) ⊂ IR. Then,
there exists a unique measure µ̄ on (X, B) such that µ̄(E) = αµ(E),
∀E ∈ B with µ(E) < ∞. Furthermore, µ̄ is σ-finite. We will denote
this σ-finite measure by µ̄ := αµ. The σ-finite measure µ̄ satisfies:
if α > 0, then µ̄(E) = αµ(E), ∀E ∈ B; if α = 0, then µ̄(E) = 0,
∀E ∈ B.
(iii) Let µ be a σ-finite Y-valued measure on (X, B) and α ∈ IK. Then,
there exists a unique Y-valued measure µ̄ on (X, B) such that µ̄(E) =
αµ(E), ∀E ∈ dom ( µ ). Furthermore, µ̄ is σ-finite. We will denote
this σ-finite Y-valued measure by µ̄ := αµ. The σ-finite Y-valued
measure µ̄ satisfies: if α 6= 0, then µ̄(E) = αµ(E), ∀E ∈ dom ( µ ),
and µ̄(E) is undefined, ∀E ∈ B \ dom ( µ ); if α = 0, then µ̄(E) = ϑY ,
∀E ∈ B; and P ◦ (αµ) = | α | P ◦ µ.
(iv) Let µ be a σ-finite IK-valued measure on (X, B) and y ∈ Y. Then,
there exists a unique Y-valued measure µ̄ on (X, B) such that µ̄(E) =
µ(E)y, ∀E ∈ dom ( µ ). Furthermore, µ̄ is σ-finite. We will denote
this σ-finite Y-valued measure by µ̄ := µy. The σ-finite Y-valued
measure µ̄ satisfies: if y 6= ϑY , then µ̄(E) = µ(E)y, ∀E ∈ dom ( µ ),
and µ̄(E) is undefined, ∀E ∈ B \ dom ( µ ); if y = ϑY , then µ̄(E) = ϑY ,
∀E ∈ B; and P ◦ (µy) = k y k P ◦ µ.
(v) Let µ be a σ-finite Y-valued measure on (X, B) and A ∈ B ( Y, Z ).
Then, there is a unique Z-valued measure µ̄ on (X, B) such that
µ̄(E) = Aµ(E), ∀E ∈ dom ( µ ). Furthermore, µ̄ is σ-finite and
P ◦ µ̄ ≤ k A k P ◦ µ. We will denote this σ-finite Z-valued measure
by µ̄ := Aµ.
∞
Proof (i) Since
S µ1 and µ2 are σ-finite, then there exists ( Xn )n=1 ⊆ B
such that X = ∞ n=1 Xn and P ◦ µi (Xn ) < ∞, ∀n ∈ IN, i = 1, 2. Without
∞
loss of generality, we may assume that ( Xn )n=1 is pairwise disjoint. Let
(Xn , Bn , µi,n ) be the finite Y-valued measure subspace of (X, B, µi ), ∀n ∈ IN,
i = 1, 2. By Proposition 11.133, Xn := (Xn , Bn , µ1,n + µ2,n ) is a finite
Y-valued measure space, ∀n ∈ IN. By Proposition 11.114, the generation
∞
process on ( Xn )n=1 yields a σ-finite Y-valued measure space X := (X, B, µ).
Next, we will show that P ◦ µ ≤ P ◦ µ1 + P ◦ µ2 . ∀E ∈ B, P ◦ µ(E) ∈
[0, ∞] ⊂ IRe . We will show that P ◦ µ(E) ≤ P ◦ µ1 (E) + P ◦ µ2 (E) by
distinguishing two exhaustive and mutually exclusive cases: Case 1: P ◦
µ1 (E) + P ◦ µ2 (E) = ∞; Case 2: P ◦ µ1 (E) + P ◦ µ2 (E) < ∞. Case 1:
P ◦ µ1 (E) + P ◦ µ2 (E) = ∞. Then, it is trivially true that P ◦ µ(E) ≤
P ◦ µ1 (E) + P ◦ µ2 (E) = ∞. Case 2: P ◦ µ1 (E) + P ◦ µ2 (E) < ∞. Then,
P ◦ µi (E) ∈ [0, ∞) ⊂ IR, i = 1, 2. Hence, E ∈ dom ( µ1 ) ∩ dom ( µ2 ). Let
P∞ P∞
En := E∩Xn ∈ Bn , P ∀n ∈ IN. Then, P◦µ(E) = n=1 P◦µ(E P n) = n=1 P◦
∞ ∞
(µ
P∞ 1,n +µ 2,n )(E n ) ≤ n=1 (P◦µ 1,n (E n )+P◦µ 2,n (E n )) = n=1 P◦µ 1 (En )+
n=1 P ◦ µ 2 (E n ) = P ◦ µ 1 (E) + P ◦ µ 2 (E) < ∞, where the second equality
follows from Propositions 11.114 and 11.112; the first inequality follows
Proposition 11.133; and the third equality follows from Proposition 11.112.
Hence, P ◦ µ ≤ P ◦ µ1 + P ◦ µ2 .
∀E ∈ dom ( µ1 ) ∩ dom ( µ2 ). Then, P ◦ µi (E) < ∞ and µi (E) ∈ Y,
i = 1, 2. This implies that P ◦ µ(E) ≤ P ◦ µ1 (E) + P ◦ µ2 (E) < ∞,
E ∈ dom ( µ ),Pand µ(E) ∈ Y. P∞Let En := E ∩ Xn ∈PB∞n , ∀n ∈ IN.
∞
Then, µ(E) P = n=1 µ(En ) = P∞ n=1 (µ1,n + µ2,n )(En ) = n=1 (µ1 (En ) +
∞
µ2 (En )) = n=1 µ1 (E n ) + n=1 µ2 (En ) = µ1 (E) + µ2 (E) ∈ Y, where
the first equality follows from Definition 11.105; the second equality follows
from Proposition 11.114; the third equality follows from Proposition 11.112;
the fourth equality follows from Propositions 7.23, 3.66, and 3.67; and the
last equality follows from Definition 11.105. Hence, µ is the σ-finite Y-
valued measure we seek.
Finally, we will show that µ is unique. Let µ̄ be any Y-valued measure
on (X, B) such that µ̄(E) = µ1 (E)+µ2 (E) ∈ Y, ∀E ∈ dom ( µ1 )∩dom ( µ2 ).
Then, µ̄(E) = µ(E), ∀E ∈ Bn , ∀n ∈ IN. This implies that Xn is a finite
Y-valued measure subspace of (X, B, µ̄), ∀n ∈ IN. By Proposition 11.115,
µ̄ = µ. Hence, µ is unique.
(ii) Define µ̄ : B → [0, ∞] ⊂ IRe by µ̄(E) = αµ(E), ∀E ∈ B, if α > 0;
and µ̄(E) = 0, ∀E ∈ B, if α = 0. When α ∈ (0, ∞) ⊂ IR, µ̄ is a σ-finite
measure on (X, B) by Proposition 11.133. When α = 0, clearly µ̄ is a finite
measure on (X, B). Hence, µ̄ is the σ-finite measure we seek. Let µ̂ be
any measure on (X, B) such that µ̂(E) = αµ(E), ∀E ∈ B with µ(E) S∞< ∞.
∞
Since µ is σ-finite, then there exists ( Xn )n=1 ⊆ B such that X = n=1 Xn
and µ(Xn ) < ∞, ∀n ∈ IN. Without loss of generality, we may assume
that ( Xn )∞ n=1 is pairwise disjoint. ∀E ∈ B, let En := E ∩ PX n , ∀n ∈ IN.
∞
Then,
P∞ µ(E n ) < ∞,
P∞ ∀n ∈ I
N. This implies that µ̂(E) = n=1 µ̂(En ) =
n=1 αµ(E n ) = n=1 µ̄(E n ) = µ̄(E) ∈ [0, ∞] ⊂ IR e . Hence, µ̄ is unique.
(iii) Define ν := | α | P◦µ as prescribed in (ii), which is a σ-finite measure
on (X, B). Define µ̄ to be a function from B to Y by, if α 6= 0, then µ̄(E) =
αµ(E) ∈ Y, ∀E ∈ dom ( µ ), and µ̄(E) is undefined, ∀E ∈ B \ dom ( µ );
if α = 0, then µ̄(E) = ϑY , ∀E ∈ B. We will show that µ̄ is a σ-finite
Y-valued measure on (X, B) satisfying: µ̄(E) = αµ(E), ∀E ∈ dom ( µ ), and
P ◦ µ̄ = ν by distinguishing two exhaustive and mutually exclusive cases:
Case 1: α = 0; Case 2: α 6= 0.
Case 1: α = 0. Then, µ̄(E) = ϑY and ν(E) = 0, ∀E ∈ B. It is easy to
show that µ̄ is a finite Y-valued measure on (X, B) with P ◦ µ̄ = ν. It is
straightforward to check that µ̄(E) = 0µ(E) = ϑY , ∀E ∈ dom ( µ ). Hence,
this case is proved.
Case 2: α 6= 0. ∀E ∈ B with ν(E) = ∞, then P ◦ µ(E) = ∞. This
leads to that µ(E) is undefined and µ̄(E) is also undefined. ∀E ∈ B with
ν(E) < ∞, then P ◦ µ(E) = ν(E)/ | α | < ∞ and E ∈ dom ( µ ). Then,
∞ S∞
µ̄(E) = αµ(E) ∈ Y. ∀ pairwise
P∞ disjoint ( E )i=1 ⊆ B withPE = i=1 Ei ,
Pi ∞ ∞
we have
P∞µ̄(E) = αµ(E)P = α i=1 µ(Ei ) = P i=1 αµ(Ei ) = i=1 µ̄(Ei ) ∈ Y
∞ ∞
and i=1 k µ̄(Ei ) k = i=1 | α | k µ(Ei ) k ≤ i=1 | α | P ◦ µ(Ei ) = | α | P ◦
µ(E) = ν(E) < ∞. ∀E ∈ B with ν(E) < ∞,
ν(E) = | α | P ◦ µ(E)
n
X
= |α| sup k µ(Ei ) k
n Sn
n∈Z+ , (Ei) ⊆B, E= i=1 Ei , Ei ∩Ej =∅, ∀1≤i<j≤n i=1
i=1
n
X
= sup | α | k µ(Ei ) k
n Sn
i=1
n
X
= sup k µ̄(Ei ) k
n Sn
i=1
where the third equality follows from Proposition 3.81. Hence, µ̄ is a σ-

finite Y-valued measure on (X, B) with P ◦ µ̄ = ν = | α | P ◦ µ. This case is
proved.
Hence, µ̄ is the σ-finite Y-valued measure on (X, B) we seek. Let µ̂ be
any Y-valued measure on (X, B) such that µ̂(E) = αµ(E), ∀E ∈ dom ( µ ).
∀E ∈ B with P ◦ µ(E) < ∞, then E ∈ dom ( µ ) and µ̂(E) = µ̄(E) ∈ Y. By
Proposition 11.134, µ̄ = µ̂. Hence, µ̄ is unique.
(iv) Define ν := k y k P◦µ as prescribed in (ii), which is a σ-finite measure
on (X, B). Define µ̄ to be a function from B to Y by, if y 6= ϑY , then µ̄(E) =
µ(E)y ∈ Y, ∀E ∈ dom ( µ ), and µ̄(E) is undefined, ∀E ∈ B \ dom ( µ ); if
y = ϑY , then µ̄(E) = ϑY , ∀E ∈ B. We will show that µ̄ is a σ-finite Y-
valued measure on (X, B) satisfying: µ̄(E) = µ(E)y, ∀E ∈ dom ( µ ), and
P ◦ µ̄ = ν by distinguishing two exhaustive and mutually exclusive cases:
Case 1: y = ϑY ; Case 2: y 6= ϑY .
Case 1: y = ϑY . Then, µ̄(E) = ϑY and ν(E) = 0, ∀E ∈ B. It is easy
to show that µ̄ is a finite Y-valued measure on (X, B) with P ◦ µ̄ = ν. It is
straightforward to check that µ̄(E) = µ(E)y = ϑY , ∀E ∈ dom ( µ ). Hence,
this case is proved.
Case 2: y 6= ϑY . ∀E ∈ B with ν(E) = ∞, then P ◦ µ(E) = ∞. This
leads to that µ(E) is undefined and µ̄(E) is also undefined. ∀E ∈ B with
ν(E) < ∞, then P ◦ µ(E) = ν(E)/ k y k < ∞ and E ∈ dom S ( µ ). Then,
∞ ∞
µ̄(E) = µ(E)y ∈ Y. ∀ pairwise
P∞ disjoint ( Ei
P∞)i=1 ⊆ B with E
P∞ i=1 Ei , we
=
haveP µ̄(E) = µ(E)y =P( i=1 µ(Ei ))y = P i=1 µ(Ei )y = i=1 µ̄(Ei ) ∈ Y
∞ ∞ ∞
and i=1 k µ̄(Ei ) k = i=1 k y k | µ(Ei ) | ≤ i=1 k y k P ◦ µ(Ei ) = k y k P ◦
µ(E) = ν(E) < ∞. ∀E ∈ B with ν(E) < ∞,
ν(E) = k y k P ◦ µ(E)
n
X
= kyk sup | µ(Ei ) |
n Sn
i=1
n
X
= sup k y k | µ(Ei ) |
n Sn
i=1
n
X
= sup k µ̄(Ei ) k
n Sn
i=1
where the third equality follows from Proposition 3.81. Hence, µ̄ is a σ-

finite Y-valued measure on (X, B) with P ◦ µ̄ = ν = k y k P ◦ µ. This case is
proved.
Hence, µ̄ is the σ-finite Y-valued measure on (X, B) we seek. Let µ̂ be
any Y-valued measure on (X, B) such that µ̂(E) = µ(E)y, ∀E ∈ dom ( µ ).
∀E ∈ B with P ◦ µ(E) < ∞, then E ∈ dom ( µ ) and µ̂(E) = µ̄(E) ∈ Y. By
Proposition 11.134, µ̄ = µ̂. Hence, µ̄ is unique. S∞
∞
(v) Since µ is σ-finite, then ∃ ( Xn )n=1 ⊆ B such that X = n=1 Xn and
P ◦ µ(Xn ) < ∞, ∀n ∈ IN. Without loss of generality, we may assume that
∞
( Xn )n=1 is pairwise disjoint. Fix any n ∈ IN. Let Xn := (Xn , Bn , µn ) be the
finite Y-valued measure subspace of X := (X, B, µ). Define µ̄n : Bn → Z
by µ̄n (E) = Aµn (E) ∈ Z, ∀E ∈ Bn . Clearly, S µ̄n (∅) = Aµn (∅) = ϑZ .
∞ ∞
∀ pairwise disjoint ( Ei )i=1 ⊆ BnP , let E := P∞
i=1 Ei ∈ Bn . Then,
∞
E
P∞ ∈ dom ( µ ), µ(E) = µ
P∞ n (E) = µ
i=1 n (E i ) = i=1 µ(Ei ) ∈ Y, and
i=1 k µn (E i ) k
P∞ = i=1 k µ(E
P∞i ) k < ∞. This implies
P∞ that µ̄n (E) =
Aµn (E) = A i=1 µn (Ei ) = i=1 Aµ n (Ei ) = i=1 µ̄n (E i ) ∈ Z, where
the third equality follows from Proposition 3.66. Hence, µ̄n is a Z-valued
pre-measure on (Xn , Bn ). ∀E ∈ Bn ,
n
X
P ◦ µ̄n (E) = sup k µ̄n (Ei ) k
n Sn
i=1
n
X
≤ sup k A k k µn (Ei ) k
n Sn
i=1
n
X
= kAk sup k µn (Ei ) k
n Sn
i=1
= k A k P ◦ µn (E) ≤ k A k P ◦ µn (Xn ) < ∞
where the second equality follows from Proposition 3.81. Hence, P ◦ µ̄n ≤
k A k P ◦ µn and µ̄n is a finite Z-valued pre-measure on (X, B). Then,
µ̄n is a finite Z-valued measure on (X, B). By Proposition 11.114, the
∞
generation process on ( (Xn , Bn , µ̄n ) )n=1 yields a σ-finite Z-valued measure
space (X, B, µ̄). P∞ P∞
P∞∀E ∈ B, P ◦ µ̄(E) = n=1 P ◦ µ̄(E ∩ Xn ) = n=1 P ◦ P µ̄n (E ∩ Xn ) ≤
∞
n=1 k A k P ◦ µn (E ∩ Xn ). If k A k = 0, then P∞P ◦ µ̄(E) ≤ n=1 0 = 0 =
(k A kPP ◦ µ)(E). If k A k > 0, then P ◦ µ̄(E) ≤ n=1 k A k P ◦ µn (E ∩ Xn ) =
kAk ∞ n=1 P ◦ µn (E ∩ Xn ) = k A k P ◦ µ(E) = (k A k P ◦ µ)(E). Hence, we
have P ◦ µ̄ ≤ k A k P ◦ µ.
∀E ∈ dom ( µ ), P ◦ µ(E) < ∞. Then,P P ◦ µ̄(E) ≤ (k A k PP◦ µ)(E) < ∞

∞ ∞
and E ∈Pdom ( µ̄ ). This leads to
P∞ µ̄(E) = n=1 µ̄(E ∩ X n
P∞ ) = n=1 µ̄n (E ∩
∞
Xn ) = n=1 Aµn (E ∩ Xn ) = n=1 Aµ(E ∩ Xn ) = A n=1 µ(E ∩ Xn ) =
Aµ(E), where the first equality follows from Definition 11.105; the second
and the fourth equalities follow from Proposition 11.112; the fifth equality
follows from Proposition 3.66; and the last equality follows from Defini-
tion 11.105. Hence, µ̄ is the σ-finite Z-valued measure we seek.
Let µ̂ be any Z-valued measure on (X, B) such that µ̂(E) = Aµ(E),
∀E ∈ dom ( µ ). ∀E ∈ B with P ◦ µ(E) < ∞, then E ∈ dom ( µ ) and
µ̂(E) = µ̄(E) ∈ Z. By Proposition 11.134, µ̄ = µ̂. Hence, µ̄ is unique.
Note that, for σ-finite measures µ1 and µ2 , by Proposition 11.132, they
are identified with σ-finite IR-valued measures µ̄1 and µ̄2 , respectively.
Then, the σ-finite measure µ1 +µ2 defined in Proposition 11.133 is identified
with the σ-finite IR-valued measure µ̄1 + µ̄2 defined in Proposition 11.135.
Similar statement can be made for αµ1 and αµ̄1 , where α ∈ [0, ∞) ⊂ IR.
Hence, the definitions for µ1 +µ2 and αµ1 in Propositions 11.133 and 11.135
are unambiguous.
Proposition 11.136 Let (X, B) be a measurable space, Y be a normed
linear space over IK, and Z1 be the set of σ-finite Y-valued measures on
(X, B). Define vector addition and scalar multiplication on Z1 accord-
ing to Proposition 11.135 and ϑ ∈ Z1 by ϑ(E) = ϑY , ∀E ∈ B. Then,
(Z1 , +, ·, ϑ) =: Mσ (X, B, Y) is a vector space over IK.
Let Z2 ⊆ Z1 be the set of finite Y-valued measures on (X, B). Then,
Z := (Z2 , +, ·, ϑ) is a vector subspace of Mσ (X, B, Y). Define k · k : Z2 →
[0, ∞) ⊂ IR by k µ k = P ◦µ(X), ∀µ ∈ Z2 . Then, (Z, IK, k·k) =: Mf (X, B, Y)
is a normed linear space.
If Y is a Banach space, then, Mf (X, B, Y) is a Banach space.
Proof We will first show that Mσ (X, B, Y) is a vector space over IK.
Fix any µ1 , µ2 , µ3 ∈ Z1 and fix any α, β ∈ IK.
(i) ∀E ∈ B with (P◦µ1 +P◦µ2 )(E) < ∞, then E ∈ dom ( µ1 )∩dom ( µ2 ).
Then, we have (µ1 + µ2 )(E) = µ1 (E) + µ2 (E) = (µ2 + µ1 )(E) ∈ Y. By
Proposition 11.134, µ1 + µ2 = µ2 + µ1 .
(ii) ∀E ∈ B with (P ◦µ1 +P ◦µ2 +P ◦µ3 )(E) < ∞, then E ∈ dom ( µ1 )∩
dom ( µ2 ) ∩ dom ( µ3 ) and, by Proposition 11.135, E ∈ dom ( µ1 + µ2 ) ∩
dom ( µ2 +µ3 ). Then, we have ((µ1 +µ2 )+µ3 )(E) = (µ1 +µ2 )(E)+µ3 (E) =
(µ1 (E) + µ2 (E)) + µ3 (E) = µ1 (E) + (µ2 (E) + µ3 (E)) = µ1 (E) + (µ2 +
µ3 )(E) = (µ1 + (µ2 + µ3 ))(E) ∈ Y. By Proposition 11.134, (µ1 + µ2 ) + µ3 =
µ1 + (µ2 + µ3 ).
(iii) ∀E ∈ B with P ◦µ1 (E) < ∞, we have (µ1 +ϑ)(E) = µ1 (E)+ϑ(E) =
µ1 (E) ∈ Y. By Proposition 11.134, µ1 + ϑ = µ1 .
(iv) ∀E ∈ B with (P ◦ µ1 + P ◦ µ2 )(E) < ∞, we have E ∈ dom ( µ1 ) ∩
dom ( µ2 ) and E ∈ dom ( µ1 +µ2 )∩dom ( αµ1 )∩dom ( αµ2 ). Then, (α (µ1 +
µ2 ))(E) = α (µ1 + µ2 )(E) = α (µ1 (E) + µ2 (E)) = αµ1 (E) + αµ2 (E) =
(αµ1 )(E) + (αµ2 )(E) = (αµ1 + αµ2 )(E) ∈ Y. By Proposition 11.134,

α (µ1 + µ2 ) = αµ1 + αµ2 .
(v) ∀E ∈ B with P ◦ µ1 (E) < ∞, we have ((α + β)µ1 )(E) = (α +
β)µ1 (E) = αµ1 (E)+βµ1 (E) = (αµ1 )(E)+(βµ1 )(E) = (αµ1 +βµ1 )(E) ∈ Y.
By Proposition 11.134, (α + β)µ1 = αµ1 + βµ1 .
(vi) ∀E ∈ B with P ◦ µ1 (E) < ∞, we have ((αβ)µ1 )(E) = (αβ)µ1 (E) =
α (βµ1 (E)) = α (βµ1 )(E) = (α (βµ1 ))(E) ∈ Y. By Proposition 11.134,
(αβ)µ1 = α (βµ1 ).
(vii) ∀E ∈ B with P ◦ µ1 (E) < ∞, we have (0µ1 )(E) = 0µ1 (E) = ϑY =
ϑ(E) ∈ Y and (1µ1 )(E) = 1µ1 (E) = µ1 (E) ∈ Y. By Proposition 11.134,
0µ1 = ϑ and 1µ1 = µ1 .
Therefore, Mσ (X, B, Y) = (Z1 , +, ·, ϑ) is a vector space over IK.
Next, we show that Z2 is a subspace of Mσ (X, B, Y). Clearly ϑ ∈ Z2 6= ∅.
∀µ1 , µ2 ∈ Z2 , ∀α, β ∈ IK, by Proposition 11.133, αµ1 + βµ2 is a finite Y-
valued measure on (X, B) with P ◦ (αµ1 + βµ2 ) ≤ | α | P ◦ µ1 + | β | P ◦ µ2 .
Hence, αµ1 + βµ2 ∈ Z2 . This implies that Z2 is a subspace of Mσ (X, B, Y).
In the following, we show that k · k defines a norm on Z2 . Fix any
µ1 , µ2 ∈ Z2 and fix any α ∈ IK.
(i) k µ1 k = P ◦ µ1 (X) ∈ [0, ∞) ⊂ IR since µ1 is a finite Y-valued measure
on (X, B). Clearly, k ϑ k = P ◦ ϑ(X) = 0. If k µ1 k = 0, we have, ∀E ∈ B,
0 ≤ k µ1 (E) k ≤ P ◦ µ1 (E) ≤ P ◦ µ1 (X) = k µ1 k = 0, which implies that
µ1 (E) = ϑY , ∀E ∈ B. Then, µ1 = ϑ. This shows that k µ1 k = 0 ⇔ µ1 = ϑ.
(ii) k µ1 + µ2 k = P ◦ (µ1 + µ2 )(X) ≤ (P ◦ µ1 + P ◦ µ2 )(X) = P ◦
µ1 (X) + P ◦ µ2 (X) = k µ1 k + k µ2 k, where the inequality follows from
Proposition 11.133.
(iii) k αµ1 k = P ◦ (αµ1 )(X) = (| α | P ◦ µ1 )(X) = | α | P ◦ µ1 (X) =
| α | k µ1 k.
Hence, Mf (X, B, Y) = (Z, IK, k · k)) is a normed linear space.
Finally, we show Mf (X, B, Y) is a Banach space when Y is a Banach
∞
space. Let ( µn )n=1 ⊆ Mf (X, B, Y) be a Cauchy sequence. ∀ǫ ∈ (0, +∞) ⊂
IR, ∃N ∈ IN, ∀m, n ∈ IN with N ≤ m and N ≤ n, we have k µn − µm k =
P ◦ (µn − µm )(X) < ǫ. ∀E ∈ B, k µn (E) − µm (E) k = k (µn − µm )(E) k ≤
P ◦ (µn − µm )(E) ≤ P ◦ (µn − µm )(X) < ǫ. Hence, ( µn (E) )∞ n=1 is
a uniform Cauchy sequence uniform in E ∈ B. By Y being complete,
∀E ∈ B, there exists a unique µ(E) ∈ Y such that limn∈IN µn (E) = µ(E).
This defines a function µ : B → Y. Clearly, µ(∅) S∞= limn∈IN µn (∅) =
∞
ϑ
P∞Y . ∀ pairwise disjoint
P∞ ( Ei )i=1 ⊆ B, let E := i=1PE∞i ∈ B. Then,
i=1 k µ(EP i) k = i=1 limn∈IN k µn (Ei ) k ≤ lim inf n∈IN i=1 k µn (Ei ) k ≤
∞
lim inf n∈IN i=1 P ◦ µn (Ei ) = lim inf n∈IN P ◦ µn (E) ≤ lim inf n∈IN P ◦
µn (X) = limn∈IN k µn k ∈ IR, where the first equality follows from Proposi-
tions 7.21 and 3.66; the first inequality follows from Fatou’s Lemma 11.77;
the second inequality follows from Definition 11.105; and the last step
∞
follows from Propositions 4.23 and P 7.21 and the factP∞that ( µn )n=1 is a
∞
Cauchy sequence. PmThis implies that i=1 µ(Ei ) = i=1 lim Sn∈I N µn (Ei ) =
m
limm∈IN limn∈IN i=1 µn (Ei ) = limm∈IN limn∈IN µn ( i=1 Ei ) =
Sm
limn∈IN limm∈IN µn ( i=1 Ei ) = limn∈IN µn (E) = µ(E) ∈ Y, where fourth
equality follows from Iterated Limit Theorem 4.56. Hence, µ is a Y-valued
pre-measure on (X, B).
Note that
n
X
P ◦ µ(X) = sup k µ(Ei ) k
n Sn
n∈Z+ , (Ei) ⊆B, X= i=1 Ei , Ei ∩Ej =∅, ∀1≤i<j≤n i=1
i=1
n
X
= sup lim k µm (Ei ) k
n Sn m∈IN
i=1
n
X
≤ sup lim P ◦ µm (Ei )
n Sn m∈IN
i=1
= lim P ◦ µm (X) = lim k µm k ∈ IR

m∈IN m∈IN
where the second equality follows from Propositions 7.21 and 3.66; and the
∞
last step follows from Propositions 4.23 and 7.21 and the fact that ( µn )n=1
is a Cauchy sequence. Hence, µ is a finite Y-valued measure on (X, B) and
µ ∈ Mf (X, B, Y).
Note that, ∀n ∈ IN with N ≤ n,
k µn − µ k = P ◦ (µn − µ)(X)
m
X
= sup k (µn − µ)(Ei ) k
m Sm
m∈Z+ , (Ei) ⊆B, X= i=1 Ei , Ei ∩Ej =∅, ∀1≤i<j≤m i=1
i=1
m
X
= sup k µn (Ei ) − µ(Ei ) k
m Sm
m∈Z+ , (Ei) ⊆B, X= i=1 Ei , Ei ∩Ej =∅, ∀1≤i<j≤m i=1
i=1
m
X
= „ «m
sup lim k µn (Ei ) − µk (Ei ) k
S k∈IN
m∈Z+ , Ei ⊆B, X= m Ei i=1
i=1
i=1
Ei ∩Ej =∅, ∀1≤i<j≤m
m
X
= „ «m
sup lim k (µn − µk )(Ei ) k
S k∈IN
i=1
i=1
Ei ∩Ej =∅, ∀1≤i<j≤m
m
X
≤ „ «m
sup lim inf P ◦ (µn − µk )(Ei )
S k∈IN
i=1
i=1
Ei ∩Ej =∅, ∀1≤i<j≤m
= lim inf P ◦ (µn − µk )(X) = lim inf k µn − µk k ≤ ǫ

k∈IN k∈IN
where the fourth equality follows from Propositions 7.21, 7.23, 3.66, and
3.67. Hence, limn∈IN k µn − µ k = 0 and limn∈IN µn = µ ∈ Mf (X, B, Y).
Thus, we have shown that every Cauchy sequence in Mf (X, B, Y) converges
in Mf (X, B, Y). Hence, Mf (X, B, Y) is a Banach space.

In the above proposition, Mf (X, B, Y) admits a topology O1 that is
induced by the norm. We may define a topology on the vector space
Mσ (X, B, Y), whose subset topology on Mf (X, B, Y) is exactly O1 . Let
OB be a collection of subsets of Mσ (X, B, Y) such that, ∀B ∈ OB , ∃E ∈ B,
let BE := { A ∈ B | A ⊆ E }, ∃ǫ ∈ (0, ∞) ⊂ IR, ∃νE ∈ Mf (E, BE , Y) such
that B = { µ ∈ Mσ (X, B, Y) | (E, BE , µE ) is the finite Y-valued measure
subspace of (X, B, µ) and k µE − νE kMf (E,BE ,Y) < ǫ }. It is easy to show
that OB is a basis for a topology O on Mσ (X, B, Y) by Proposition 3.18. We
will abuse the notation and denote the topological space (Mσ (X, B, Y), O)
by Mσ (X, B, Y). With this topology in place, we may define convergence
for nets in Mσ (X, B, Y) according to Section 3.9. For clarity, we summarize
the concept of convergence for sequences in Mσ (X, B, Y) in the following
definition.
Definition 11.137 Let (X, B) be a measurable space, Y be a normed linear

∞
space over IK, ( µn )n=1 ⊆ Mσ (X, B, Y), and ν ∈ Mσ (X, B, Y). We will
∞
say the sequence ( µn )n=1 converges to ν and write limn→IN µn = ν if,
∀E ∈ dom ( ν ), limn∈IN P ◦ (µn − ν)(E) = 0.
∞
This definition means that if ( µn )n=1 converges to ν, ∀E ∈ dom ( ν ), the
subspace (E, BE , µn,E ) of (X, B, µn ) is finite for sufficiently large n ∈ IN and
limn∈IN µn,E = νE in Mf (E, BE , Y), where (E, BE , νE ) is the finite Y-valued
measure subspace of (X, B, ν). Furthermore, by Proposition 11.136 and its
proof, we have limn∈IN µn (E) = ν(E) and limn∈IN P ◦ µn (E) = P ◦ ν(E),
∀E ∈ dom ( ν ).
Proposition 11.138 Let (X, B) be a measurable space, µ1 and µ2 be σ-

finite measures on (X, B), a ∈ [0, ∞) ⊂ IR, f : X → [0, ∞) ⊂ IR be B-
measurable, and Xi := (X, B, µi ), i = 1, 2. Then, the following statements
hold.
R
(i) RIf µ1 ≤ µ2 (that is µ1 (E) ≤ µ2 (E), ∀E ∈ B), then 0 ≤ X f dµ1 ≤
X f dµ2 ≤ ∞.
(ii) RLet µ := Rµ1 + µ2 (as R defined in Proposition 11.133), then 0 ≤

X f dµ = X f dµ1 + X f dµ2 ≤ ∞.
R
(iii) RLet ν := aµ1 (as defined in Proposition 11.135), then 0 ≤ X f dν =
X
(af ) dµ1 ≤ ∞.
Proof (i) We will

R distinguish two exhaustiveR and mutually exclu-
sives
R cases: Case 1: X
f dµ2 = ∞; Case 2: X
f dµ2 < ∞. R Case 1:
X
f dµ2 = ∞. The result holds trivially
R in this case. Case
R 2: X
f dµ2 <
∞. By Proposition 11.76, 0 ≤ X f dµ1 = sup0≤φ≤f X φ dµ1 ≤ ∞,
where the supremum is over all simple functions φ : X1 → [0, ∞) ⊂ IR
such that 0 ≤ φ(x) ≤ f (x), ∀x ∈ X. Fix any such simple function
Pn
φ. Let φ admit the canonical representation φ = i=1 ai χAi ,X , where
n ∈ Z+ , a1 , . . . , an ∈ (0, ∞) ⊂ IR are distinct, and A1 , . . . , An ∈ B are
nonempty, pairwiseR disjoint, and Pn µ1 (Ai ) < ∞, i = 1, . . . , n. Then, by
PropositionR11.73, X φRdµ1 = i=1 ai µ1 (Ai ) ∈ [0, +∞) ⊂ IR. By Proposi-
tion 11.80, X φ dµ2 ≤ X f dµ2 < ∞.
Claim 11.138.1 µ2 (Ai ) < ∞, i = 1, . . . , n.
Proof of claim: Suppose ∃i0 ∈ {1, . . . , n} such that µ2 (Ai0 ) = ∞.

Since X2 is σ-finite,
R then, by Proposition 11.7, ∃E ∈ B with E ⊆ Ai0
such that a1i X f dµ2 < µ2 (E) < ∞. Choose ϕ : X2 → [0, ∞) ⊂ IR by
0
ϕ = ai0 χE,X . Clearly, ϕ is a simple R function of X2 and 0 R≤ ϕ(x) ≤ f (x),
∀x ∈ X. By Proposition 11.73, X ϕ dµ2 = ai0 µ2 (E) > X f dµ2 , which
contradicts Proposition 11.76. Hence, the claim is true. 2
R By the claim,
Pn φ is a simplePnfunction of X .
2 R By Proposition 11.73,
X
φ dµ
R 2 = R ai µ2 (Ai ) ≥
i=1 R i=1 ai µ1 (Ai ) = X φ dµ1 . This implies
that
R X f dµ2R ≥ X φ dµ2 ≥ X φ dµ1 . By the arbitrariness of Rφ, we have
RX f dµ 2 ≥ X f dµ1 . Hence, in both cases, we have 0 ≤ X f dµ1 ≤
X
f dµ 2 ≤ ∞.
(ii) By Proposition 11.133, µ is a σ-finite measure on (X, B). By Propo-
∞
sition 11.65, there exists a sequence of simple functions ( φn )n=1 , φn : X →
[0, ∞) ⊂ IR, ∀n ∈ IN, such that 0 ≤ φn (x) ≤ f (x) < ∞, ∀x ∈ X, ∀n ∈ IN,
and limn∈IN φn = f a.e. in X , where X := (X, B, µ). Since µ = µ1 +µ2 , then
∞
µi ≤ µ, i = 1, 2. This implies that ( φn )n=1 is sequence of simple functions
of Xi and limn∈IN φn = f a.e. in Xi , i = 1,R2. By Fatou’s LemmaR 11.77 and
PropositionsR 3.83 and 11.76, weRhave 0 ≤ X R f dµ ≤ lim inf n∈IN XR φn dµ ≤
lim supn∈I RN X n φ dµ ≤ sup n∈IN X nφ dµ ≤ X f dµ ≤ ∞. Then, X f dµ =
limn∈IN X φn dµR ∈ [0, ∞] ⊂ IRe . RBy an argument that is similar to the
above, we have X f dµi = limn∈IN X φn dµi ∈ [0, ∞] ⊂ IRe , i = 1, 2.
PmFix any n ∈ IN. Let φn admit the Rcanonical representation Pmn φn =
n
Pi=1 a χ
i,n Ai,n ,X . By
Pmn Proposition 11.73, R X n φ dµ = a
R i=1 i,n µ(A i,n ) =
mn
a
i=1 i,n R1µ (A i,n ) + a
i=1 i,n µ (A
R 2 i,n ) = φ
X n R1dµ + φ dµ
X n R2 ∈ [0, ∞) ⊂
IRR. Then, RX f dµ = limn∈IN X φn dµ = limn∈IN ( X φn dµ1 + X φn dµ2 ) =
X f dµ1 + X f dµ2 ∈ [0, ∞] ⊂ IRe .
(iii) We will distinguish two exhaustive and mutually exclusives cases:
Case 1: a = 0; Case 2: a > 0. Case 1: a = 0. Then, by Proposi-
tion 11.135, ν(E) = 0, ∀E R ∈ B. This R implies that, by Definition 11.68
Proposition 11.73, 0 = X f dν = X (af R ) dµ1 . Hence, the result R holds.
Case 2: a > 0. By Proposition 11.76, X (af ) dµ1 = sup0≤φ≤af X φ dµ1 ,
where the supremum is over all simple functions φ : X1 → [0, ∞) ⊂ IR
such that 0 ≤ φ(x) ≤ af (x) < ∞, ∀x ∈ X. Clearly, φ is such a simple
function if, and only if, φ/a : X¯ → [0, ∞) ⊂ IR is a simple R function of
X̄ := (X, B, R ν) with 0 ≤ φ(x)/a ≤ Rf (x), ∀x ∈ X. Then, R X (af ) dµ1 =
sup0≤φ≤af X φ dµ1 = sup0≤φ/a≤f X φ dµ1 = sup0≤φ≤f X (aφ) dµ1 =
R R
sup0≤φ≤f X φ dν = X f dν ∈ [0, ∞] ⊂ IRe , where the fourth equality
follows from Proposition 11.73; and the fifth equality follows from Propo-
sition 11.76.
Proposition 11.139 Let (X, B) be a measurable space, Y be a normed

linear space over IK, µ1 , µ2 ∈ Mσ (X, B, Y), Z be a Banach space over IK,
W be a separable subspace of B ( Y, Z ), f : X → W be B-measurable, and
µ := µ1 + µ2 ∈ Mσ (X, B, Y). Assume that f is absolutely integrable over
Xi := (X, B, µRi ), i = 1,R 2. Then, Rf is absolutely integrable over X :=
(X, B, µ) and X f dµ = X f dµ1 + X f dµ2 ∈ Z.
Proof By Proposition 11.135, P ◦ Rµ ≤ P ◦ µ1 + P ◦ µR2 =: ν and ν

is
R σ-finite. By Proposition
R 11.138, 0 ≤ X P ◦ f dP ◦ µ ≤ X P ◦ f dν =
X P ◦ f dP ◦ µ1 + X P ◦ f dP ◦ µ2 < ∞. Hence, f is absolutely integrable
over X .
By Proposition 11.65, there exists a sequence of simple functions
∞
( ϕn )n=1 , ϕn : Xˆ → W, ∀n ∈ IN, such that k ϕn (x) k ≤ k f (x) k, ∀x ∈ X,
∀n ∈ IN, and limn∈IN ϕn = f a.e. in X̂ , where Xˆ := (X, B, ν). Since
P ◦ µ ≤ ν and P ◦ µi ≤ ν, i = 1, 2, then limn∈IN ϕn = f a.e. in X ,
limn∈IN ϕn = f a.e. in Xi , i = 1, 2, and ϕn is a simple function of X , X1 ,
or X2R, ∀n ∈ IN. By Lebesgue R Dominated Convergence
R TheoremR 11.128, we
have X f dµ = limn∈IN X ϕn dµ ∈ Z and X f dµi = limn∈IN X ϕn dµi ∈
Z, i = 1, 2. P n
∀n ∈ IN, let ϕn admit canonical representationR ϕnP = m i=1 wi,n χAi,n ,X .
mn
By
P mn Proposition 11.122, we have
P mn X ϕ n dµ = Pi=1 wi,n µ(Ai,n ) =
mn
R i=1 w i,n (µ1 (A
R i,n )+µ 2 (A i,n )) = i=1 wi,n µ1 (A i,n )+ i=1 wi,n µ2 (Ai,n ) =
X
ϕ n dµ
R 1 + X
ϕ n dµ2 ∈R Z. Then, by Propositions
R 7.23,
R 3.66, and
3.67, XR f dµ = limn∈IN X Rϕn dµ = limRn∈IN ( X ϕn dµ R 1 + X ϕn dµ2 ) =
limn∈IN X ϕn dµ1 + limn∈IN X ϕn dµ2 = X f dµ1 + X f dµ2 ∈ Z. This
Proposition 11.140 Let (X, B) be a measurable space, Y1 and Y2 be

normed linear spaces over IK, µ ∈ Mσ (X, B, Y1 ), A ∈ B ( Y1 , Y2 ), ν :=
Aµ ∈ Mσ (X, B, Y2 ) as defined in Proposition 11.135, Z be a Banach space
over IK, W2 be a separable subspace of B ( Y2 , Z ), and f : X → W2 be B-
measurable. Assume that k A k P ◦ f is integrable over (X, B, P ◦ µ). Then,
f is absolutely integrable Rover X¯ :=R (X, B, ν), f A is absolutely integrable
over X := (X, B, µ), and X f dν = X (f A) dµ ∈ Z.
R R
Proof By Proposition 11.80, 0 ≤ X P ◦ (f A) dP ◦ µ ≤ X (k A k P ◦
f ) dP ◦ µ < ∞. Thus, f A is absolutely integrable over X R . By Proposi-
tion
R 11.135, P ◦ν ≤ k A k P
R ◦µ. By Proposition 11.138, 0 ≤ X
P ◦f dP ◦ν ≤
X
P ◦ f d(k A k P ◦ µ) = X (k A k P ◦ f ) dP ◦ µ < ∞. Hence, f is absolutely
integrable over X¯ .
By Proposition 11.65, there exists a sequence of simple functions
∞
( ϕn )n=1 , ϕn : X → W2 , ∀n ∈ IN, such that k ϕn (x) k ≤ k f (x) k, ∀x ∈ X,
∀n ∈ IN, and limn∈IN ϕn = f a.e. in X . Since P ◦ ν ≤ k A k P ◦ µ, then

limn∈IN ϕn = f a.e. in X̄ and ϕn is a simple function of X̄ , ∀nR∈ IN. By
Lebesgue R Dominated Convergence Theorem 11.128, we have X f dν =
limn∈IN X ϕn dν ∈ Z. Clearly, k ϕn (x)A k ≤ k A k k f (x) k, ∀x ∈ X,
∀n ∈ IN. By Proposition 11.52, we have limn∈IN ϕn A = f A a.e. in X .
Note that f A : X → W1 and ϕn A : X → W1 , ∀n ∈ IN, where
W1 := { F ∈ B ( Y1 , Z ) | F = F1 A, F1 ∈ W2 } is a separable sub-
Rspace of B ( Y1 , Z ). ByRLebesgue Dominated Convergence Theorem 11.128,
RX (f A) dµ = lim R n∈IN X (ϕn A) dµ ∈ Z. By Proposition
R 11.122,
R we have
X (ϕn A) dµ = X ϕn dν ∈ Z, ∀n ∈ I
N. Then, X (f A) dµ = X dν ∈ Z.
f
Theorem 11.141 (Fatou’s Lemma) Let (X, B) be a measurable space,
( µn )∞
n=1 be a sequence of measures on (X, B), µ be a measure on (X, B),
fn : X → [0, ∞) ⊂ IR be B-measurable, ∀n ∈ IN, f : X → [0, ∞) ⊂ IR be B-
measurable. Assume that limn∈IN fn = f a.e. in X , where X := R(X, B, µ),
and limn∈INR µn (E) = µ(E), ∀E ∈ B with µ(E) < ∞. Then, 0 ≤ X f dµ ≤
lim inf n∈IN X fn dµn ≤ ∞.
R R
Proof By Proposition 11.76, X f dµ = sup0≤φ≤f X φ dµ, where the
supremum is over all simple functions φ : X → [0, ∞) ⊂ IR that satisfies
0 ≤ φ(x) ≤ f (x), ∀x ∈ X. Fix any such simple function φ. Then, ∃M ∈
[0, ∞) ⊂ IR such that φ(x) ≤ M , ∀x ∈ X and µ(Ē) := µ({ x ∈ X | φ(x) >
0 }) < ∞. By limn∈IN µn (Ē) = µ(Ē) < ∞, ∃n0 ∈ IN such that µn (Ē) < ∞,
∀n ∈ IN with n0 ≤ n. Thus, ∀n ∈ IN with n0 ≤ R n, φ is a simple function
of Xn := (X, B, µn ). By Proposition 11.73, X φ dµ =: c1 ∈ [0, ∞) ⊂
∞
IR. Let Ê := { x ∈ X | ( fn (x) )n=1 does not converge to f (x) }. By the
assumption Ê ∈ B and µ(Ê) = 0. n

Fix any ǫ ∈ (0, 1) ⊂ IR. Define En := x ∈ X \ Ê fk (x) ≥ (1 −
o
ǫ
2+2c1 )φ(x), ∀k ≥ n, k ∈ IN , ∀n ∈ IN. By Propositions 7.23, 11.38, and
11.39, En ∈ B, ∀n ∈ IN. Clearly, ∀x ∈ X \ (Ê ∪ Ē), x ∈ En , ∀n ∈ IN.
Then, X \ En ⊆ Ê ∪ Ē, ∀n ∈ IN. µ(X \ En ) ≤ µ(Ê ∪ Ē) ≤ µ(Ē) <
∞, ∀n ∈ IN. ∀x ∈ Ē \ Ê, then limn∈IN fn (x) = f (x) ≥ φ(x) > 0 and
there exists nx ∈ IN such that x ∈ Ek , ∀k ∈ IN with nx ≤ k. Then,
S ∞
n=1 En = X T \ Ê. Clearly, En ⊆ En+1 , ∀n ∈ IN. Then, X \En ⊇ X \En+1 ,
∞ S∞
∀n ∈ IN, and n=1 (X \ En ) = X \ ( n=1 En ) = Ê. By Proposition 11.5,
we have limn∈IN µ(X \ En ) = µ(Ê) = 0. Then, ∃n1 ∈ IN with n0 ≤ n1
ǫ
such that µ(X \ En1 ) < 4+4M . By the assumption that limi∈IN µi (X \
ǫ
En1 ) = µ(X \ En1 ) < 4+4M . Then, there exists n2 ∈ IN with n1 ≤ n2 ,
ǫ
∀n ∈ IN with n2 ≤ n, we have µn (X \ En1 ) < 2+2M . Fix any n ∈ IN
with n2 ≤ n, X \ En1 ⊇ X \ En , which implies that 0 ≤ µnR(X \ En ) ≤
ǫ
µ (X \ En1 ) < 2+2M . Thus, by Propositions 11.80 and 11.87, X fn dµn ≥
Rn R ǫ ǫ
R R
En f n dµn ≥ En (1− 2+2c1 )φ dµn = (1− 2+2c1 )( X φ dµ n − X\En φ dµn ) ≥
ǫ
R ǫ
R
(1 − 2+2c 1
)( X φ dµn − M µn (X \ En )) > (1 − 2+2c 1
) X φ dµn − ǫ/2. By
the assumption that limn∈IN µn (E) = µ(E), R ∀E ∈ RB with µ(E) < ∞,

and Proposition
R 11.73, we have lim n∈I N X φ dµ n = X φRdµ = c1 . Then,
ǫ
lim inf n∈IN X fn dµn ≥ (1 − 2+2c )c 1 − ǫ/2 > c 1 − ǫ = X φ dµ − ǫ. By
1 R R
the arbitrariness of ǫ, we have lim infRn∈IN X fn dµRn ≥ X φ dµ. By the
arbitrariness of φ, we have lim inf n∈IN X fn dµn ≥ X f dµ.
Theorem 11.142 (Lebesgue Dominated Convergence) Let (X, B) be

a measurable space, ( µn )∞
n=1 be a sequence of measures on (X, B), µ be a
measure on (X, B), fn : X → IR be B-measurable, ∀n ∈ IN, f : X → IR
be B-measurable, gn : X → [0, ∞) ⊂ IR be B-measurable, ∀n ∈ IN,
(i) limn∈IN fn = f a.e. in X and limn∈IN gn = g a.e. in X , where X :=

(X, B, µ);
(ii) | fn (x) | ≤ gn (x), ∀x ∈ X, ∀n ∈ IN;

R R R
(iii) X gn dµn ∈ IR, ∀n ∈ IN, and X g dµ = limn∈IN X gn dµn ∈ IR;
(iv) limn∈IN µn (E) = µ(E), ∀E ∈ B with µ(E) < ∞.

R R
Then, f is absolutely
integrable over X , X f dµ = limn∈IN X fn dµn ∈ IR,
R R
and 0 ≤ X f dµ ≤ X g dµ < ∞.
Proof By RProposition 11.90, fn is absolutely integrable over Xn :=

(X, B, µn ) and X fn dµn ∈ IR. Clearly, | f (x) | ≤ g(x) a.e. in X . By
Proposition
R 11.80, f is Rabsolutely integrable
R over RX . By Proposition 11.90,
f dµ ∈ IR and 0 ≤ f dµ ≤ P ◦ f dµ ≤ X g dµ < ∞.
X X X
By Propositions 7.23, 11.52, and 11.53, limn∈IN (gn −fn ) = g−f a.e. in X
and limn∈IN (gn + fn ) = g + f a.e. in X . Clearly, (gn − fn )(x) ≥ 0
and (gn + fn )(x) ≥ 0, ∀x ∈ X, ∀n ∈ IN. By Propositions 7.23,
11.52, and 11.53, limn∈IN (gn − fn ) = limn∈IN (gn − fn ) ∨ 0 = (g − f ) ∨
0 = g − f a.e. in X and limn∈IN (gn + fn ) = limn∈IN (gn + fn ) ∨ 0 =
(g + f ) ∨ 0 = g + f a.e. in X . ByR Fatou’s Lemma 11.141 R and Proposi-
tions
R 11.90R and 3.83, we have 0
R ≤ X
((g − f ) ∨ 0) dµ = (g − f ) dµ =
X R
RX g dµ − f
X R dµ ≤ lim inf (g
n∈IN X R n − f n ) dµ n = limR n∈IN ( X gn dµn −
inf
f
RX n n dµ ) = X
g dµ
R − lim sup f
Rn∈IN X n n dµ and 0 ≤ R X ((g + f ) ∨ 0) dµ =
X (g + f ) dµ
R = X R g dµ + X f dµR ≤ lim inf n∈IN X (gR n + fn ) dµn =
lim inf n∈IN ( X gn dµn + X fn dµn ) =R X g dµ+lim inf n∈IN X fRn dµn . Then,
by Proposition R 3.83, Rwe have X f dµ ≤ lim inf n∈IN X fRn dµn ≤
lim supn∈IR N X n n ≤ X f dµ ∈ IR. This further implies that X f dµ =
f dµ
limn∈IN X fn dµn ∈ IR. This completes the proof of the theorem. 2
In the preceding two results, we work with measure spaces which may
not be σ-finite, and we assume a mode of convergence for the measures
to be set-wise convergence rather than the stronger “norm” convergence
alluded to in Definition 11.137. The next result shows that Lebesgue Dom-
inated convergence Theorem holds in general under the “norm” convergence
assumption on the Banach space valued measures.
Theorem 11.143 (Lebesgue Dominated Convergence) Let (X, B) be

∞
a measurable space, Y be a normed linear space over IK, ( µn )n=1 ⊆
Mσ (X, B, Y), µ ∈ Mσ (X, B, Y), Z be a Banach space over IK, W be a
separable subspace of B ( Y, Z ), fn : X → W be B-measurable, ∀n ∈ IN,
f : X → W be B-measurable, gn : X → [0, ∞) ⊂ IR be B-measurable,
∀n ∈ IN, g : X → [0, ∞) ⊂ IR be B-measurable. Assume that
(i) limn∈IN fn = f a.e. in X and limn∈IN gn = g a.e. in X , where X :=

(X, B, µ);

R R R
(iii) X gn dP ◦µn ∈ IR, ∀n ∈ IN, and X g dP ◦µ = limn∈IN X gn dP ◦µn ∈
IR;
(iv) limn∈IN µn = µ as defined in Definition 11.137.

R R
Then, f isR absolutely
integrable
R over X , X f dµ = limn∈IN X fn dµn ∈ Z,
and 0 ≤ X f dµ ≤ X g dP ◦ µ < ∞.
Proof By RProposition 11.129, fn is absolutely integrable over Xn :=

(X, B, µn ) and X fn dµn ∈ Z. Clearly, k f (x) k ≤ g(x) a.e. in X . By
Proposition
R 11.80, f is absolutely
R integrable
R over X . By
R Proposition 11.129,
∈ ≤ ≤ P ◦ ◦ ≤
X f dµ Z and 0 X f dµ X f dP µ X g dP ◦ µ < ∞.
We will distinguish two exhaustive and mutually exclusives cases: Case
1: P ◦ µ(X) < ∞; Case 2: P ◦ µ(X) = ∞.
Case 1: P ◦ µ(X) < ∞. By limn∈IN µn = µ, we have limn∈IN P ◦ µn (X) =
P ◦µ(X) < ∞. Without loss of generality, we may assume that P ◦µn (X) <
∞, ∀n ∈ IN. Fix any ǫ ∈ (0, ∞) ⊂ IR. By Proposition 11.81, R ∃δ ∈ (0, ǫ/6] ⊂
IR such that ∀A ∈ B with P ◦ µ(A) < δ, we have A g dP ◦ µ < ǫ/6.
By Theorem 11.54, ∃Ē ∈ B with P ◦ µ(Ē) < δ/2 such that
Egoroff’s ∞
fn |X\Ē converges uniformly to f |X\Ē . Then, ∃n0 ∈ IN, ∀n ∈ IN with
n=1
ǫ
n0 ≤ n, k fn (x) − f (x) k < 4P◦µ(X)+1 , ∀x ∈ X \ Ē. By Proposition 11.5,
there exists M ∈ IN such that E1 := { x ∈ X | g(x) ≥ M } ∈ R B and
P◦µ(E1 ) < δ/2. Let E := Ē∪E1 ∈ B. Then, P◦µ(E) < δ. Hence, E g dP◦
µ < ǫ/6.R By Lebesgue Dominated R Convergence Theorem R 11.142, we have
lim
R n∈IN E
g n dP ◦ µn = limn∈I N X
(g n χ E,X ) dP ◦ µn = X
(gχE,X ) dP ◦ µ =
E
g dP ◦ µ
R < ǫ/6. Then, ∃n 1 ∈ IN with n 0 ≤ n 1 , ∀n ∈ I
N with n1 ≤ n, we
have 0 ≤ E gn dP ◦ µn < ǫ/3. By the assumption (iv), limn∈IN P ◦ (µn −
µ)(X) = 0. This implies that ∃n2 ∈ IN with n1 ≤ n2 , ∀n ∈ IN with n2 ≤ n,
ǫ
we have P ◦ (µn − µ)(X) < 4M and P ◦ µn (X) < P ◦ µ(X) + 1/4.
Fix any n ∈ IN with n2 ≤ n. We have

Z Z

fn dµn − f dµ
X X
Z Z Z Z

= fn dµn + fn dµn − f dµn + f dµn −
E X\E X\E X\E
Z Z

f dµ − f dµ
X\E E
Z Z Z

≤ fn dµn +
f dµ + (fn − f ) dµn +
E E X\E
Z

f d(µn − µ)
X\E
Z Z Z
≤ gn dP ◦ µn + g dP ◦ µ + P ◦ (fn − f ) dP ◦ µn
E E X\E
Z
+ P ◦ f dP ◦ (µn − µ)
X\E
P ◦ µn (X \ E)ǫ
< ǫ/3 + ǫ/6 + + M P ◦ (µn − µ)(X \ E) < ǫ
4P ◦ µ(X) + 1
where the first equality follows from Proposition 11.129; the first inequality
follows from Propositions 11.129, 11.139, and 11.140; the second inequal-
ity follows from Proposition 11.129; and the R third inequality
R follows from
Proposition 11.76. Hence, we have limn∈IN X fn dµn = X f dµ ∈ Z. This
case is proved.
Case 2: P ◦ µ(X) = ∞. Fix any ǫ ∈ (0, ∞) ⊂ IR. By Proposition 11.76,
∃ a simple
R function φ : X R→ [0, ∞) ⊂ IR such
R that 0 ≤ φ(x) ≤ g(x), ∀x ∈ X
and X g dP ◦ µ − ǫ/4 < X φ dP ◦ µ ≤ X g dP ◦ µ < ∞. Let A0 := { x ∈
X | φ(x) > 0 }. Then, A0 ∈RB and P ◦ µ(A0 ) R< ∞. Note that, R by Propo-
sitions 11.80 and 11.73, 0 ≤ X\A0 g dP ◦ µ = X g dP ◦ µ − A0 g dP ◦ µ ≤
R R R R
g dP ◦ µ − A0 φ dP ◦ µ = X g dP ◦ µ − X φ dP ◦ µ < ǫ/4. This implies
X R R
R R
that 0 ≤ X f dµ − A0 f dµ = X\A0 f dµ ≤ X\A0 P ◦ f dP ◦ µ ≤
R
X\A0 g dP ◦ µ < ǫ/4, where the first equality and the second inequal-
ity follow from Proposition 11.129; and the third inequality follows from
Proposition
R 11.80. By Lebesgue Dominated
R Convergence Theorem 11.142,
we have X\A0 g dP ◦ µ = limn∈IN X\A0 gn dP ◦ µn . By Case 1, we have
R R
f dµ = limn∈IN A0 fn dµn ∈ Z. Then, ∃n0 ∈ IN, ∀n ∈ IN with n0 ≤ n,
A0 R R R

we have A0 f dµ − A0 fn dµn < ǫ/4 and X\A0 gn dP ◦ µn < ǫ/2. This
R R R R R

leads to X f dµ − X fn dµn ≤ X f dµ − A0 f dµ + A0 f dµ −
R R R R

f dµn + A0 fn dµn − X fn dµn < ǫ/4 + ǫ/4 + X\A0 fn dµn ≤
A0 n
R
ǫ/2 + X\A0 gn dP ◦ µn < ǫ, where the second and the third inequalities
R R
follow from Proposition 11.129. Hence, X f dµ = limn∈IN X fn dµn ∈ Z.

where Y is a normed linear space over IK, Z be a Banach space over IK, W
be a separable subspace of B ( Y, Z ),Rf : X → W be absolutely integrable over
X . Define ν : B → Z by ν(E) = E f dµ, ∀E ∈ B. Then, R X̄ := (X, B, ν)
is
R a finite Z-valued measure space and 0 ≤ P ◦ ν(E) ≤ E
P ◦ f dP ◦ µ ≤
X P ◦ f dP ◦ µ < ∞, ∀E ∈ B.
R
Proof Clearly, R ν(∅) = ∅ f dµ = ϑZ . ∀E ∈R B, by Proposi-
Rtion 11.129, ν(E) = E f dµ ∈ Z and 0 ≤ k∞ ν(E) k ≤ E P ◦ fSdP ◦ µ ≤
X
P ◦ f dP ◦
P∞µ < ∞. ∀ pairwise disjoint
P∞ R ( En n=1 ⊆ B, let E R
) := ∞ n=1 En ∈
B. Then, n=1 k ν(E n ) k ≤ n=1 En P ◦ f dP ◦ µ = E
P ◦ f dP ◦
µ < ∞, where the equality follows R from PProposition
R 11.87.
P∞ Proposi-
By
tion 11.129, we have ν(E) = E f dµ = ∞ n=1 En f dµ = n=1 ν(En ) ∈
Z. Hence, ν is a Z-valued pre-measure on (X, B). P∀E ∈ B, P ◦
ν(E) = supn∈Z+ , (Ei)n ⊆B, E=Sn Ei , Ei ∩Ej =∅, ∀1≤i<j≤n ni=1 k ν(Ei ) k ≤
i=1 i=1
Pn R
supn∈Z+ , (Ei)n ⊆B, E=Sn Ei , Ei ∩Ej =∅, ∀1≤i<j≤n i=1 Ei P ◦ f dP ◦ µ =
R i=1 R i=1
E
P ◦ f dP ◦ µ ≤ X P ◦ f dP ◦ µ < ∞. Thus, ν is a finite Z-valued pre-
measure, and hence a finite Z-valued measure on (X, B). This completes

space, where Y is a normed linear space over IK, Z be a Banach space
over IK, W be a separable subspace of B ( Y, Z ), and f : X → W be B-
measurable. Then,
R there exists a uniqueRZ-valued measure ν on (X, B) such
that ν(E) = E f dµ ∈ Z, ∀E ∈ BRwith E P ◦ f dP ◦ µ < ∞. Furthermore,
ν is σ-finite and 0 ≤ P ◦ ν(E) ≤ E P ◦ f dP ◦ µ, ∀E ∈ B.
∞
Proof
S∞ Since X is σ-finite, then ∃ ( Xn )n=1 ⊆ B such that X =
X
n=1 n and P ◦ µ(Xn ) < ∞, ∀n ∈ IN. Without loss of generality, we
∞
may assume that ( Xn )n=1 is pairwise disjoint. ∀m ∞ ∈ IN, let X̄m := { x ∈
X | m − 1 ≤ k f (x) k < m } ∈ B. Clearly, X̄m m=1 ⊆ B is pairwise dis-
S∞
joint and X = m=1 X̄m . ∀m, n ∈ IN, let Xm,n := (X̄m ∩ Xn , Bm,n , µm,n )
be the finite Y-valued measure subspace of X . Then, f |X̄m ∩Xn is abso-
lutely integrable over Xm,n . By Propositions 11.144 and 11.129, we may
ˆ
R Z-valued measure space Xm,n := (X̄m ∩ Xn , Bm,n , νm,n ) by
define a finite
νm,n (E) = E f dµ ∈ Z, ∀E ∈ Bm,n . Clearly, the sets X̄m ∩ Xn , m ∈ IN,
n ∈ IN, arepairwise
disjoint. Then, by Proposition 11.114, the generation
ˆ
process on Xm,n yields a σ-finite Z-valued measure ν on (X, B)
m∈IN, n∈IN
such that Xˆm,n is a finite Z-valued measure subspace of Xˆ := (X, B, ν),
∀m, n ∈ IN.
R
Fix any E ∈ B with E P ◦ f dP ◦ µ < P∞. ∀m, n ∈ IN, let Em,n :=
P
∞ ∞
E ∩ X̄
P∞ P∞ R m ∩ X n ∈ B. Then, P ◦ ν(E)
R = m=1 n=1 P ◦ νm,n (Em,n ) ≤
m=1 n=1 Em,n P ◦ f dP ◦ µ = E
P ◦ f dP ◦ µ < ∞, where the first
equality follows from Proposition 11.114; the first inequality follows from
Proposition 11.144; and the second equality follows
P∞from P∞Proposition 11.87.
This implies
P∞ P∞ R that E ∈ domR ( ν ) and ν(E) = m=1 n=1 νm,n (Em,n ) =
m=1 n=1 Em,n f dµ = E
f dµ ∈ Z, where the first equality follows from
Proposition 11.114; the second equality follows from Proposition 11.144;
and the third equality follows from Proposition 11.129. Hence, ν is the
σ-finite Z-valued measure we seek.
R Let ν̂ be any other RZ-valued measure on (X, B) that satisfies ν̂(E) =
E
f dµ, ∀ER ∈ B with E P ◦ f dP ◦ µ < ∞. Define λ : B → [0, ∞] ⊂ IR
by λ(E) = E P ◦ f dP ◦ µ, ∀E ∈ B. By Proposition 11.113, λ is a σ-finite
measure on (X, B). ∀E ∈ B with λ(E) < ∞, then ν̂(E) = ν(E) ∈ Z. By
Proposition 11.134, ν̄ = ν. Hence, ν is unique.
Proposition 11.146 Let X := (X, B, µ) be a σ-finite IK-valued mea-
sure space, Z be a Banach space over IK, W be a separable subspace of
B ( IK, Z ) = Z, and f : X → W be B-measurable. Then, R there exists a
unique Z-valued measure ν on (X, B)
R such that P ◦ ν(E) = E P ◦ f dP ◦ µ ∈
[0, ∞] ⊂ IRe , ∀E ∈ B, and ν(E) = E f dµ ∈ Z, ∀E ∈ B with P ◦ν(E) < ∞.
Furthermore, ν is σ-finite.
Proof By Proposition 11.145,
R there exists a uniqueR Z-valued measure
ν on (X, B) such that ν(E) = E f dµ ∈ Z, ∀E ∈R B with E P◦f dP◦µ < ∞.
Furthermore, ν is σ-finite and 0 ≤ PR◦ ν(E) ≤ E P ◦ f dP ◦ µ, ∀E ∈ B. All
we need to show is that P ◦ ν(E) ≥ E P ◦ f RdP ◦ µ, ∀E ∈ B.
Define ν̄ : B → [0, ∞] ⊂ IRe by ν̄(E) = E P ◦ f dP ◦ µ, ∀E ∈ B. By
Proposition 11.113, ν̄ is a σ-finite measure on (X, B). Fix any E ∈ B.
We will distinguish two exhaustive and mutually exclusives cases: Case 1:
E ∈ B \ dom ( ν ); Case 2: E ∈ dom ( ν ). Case 1: E ∈ B \ dom ( ν ). Clearly,
we have P ◦ ν(E) = ∞ ≥ ν̄(E). This case is proved. Case 2: S E ∈ dom ( ν ).
∞ ∞
Since ν̄ is σ-finite, then ∃ ( Xn )n=1 ⊆ B such that X = n=1 Xn and
ν̄(Xn ) < ∞, ∀n ∈ IN. Without loss of generality, we may assume that
∞
( Xn )n=1 is pairwiseR disjoint. Let En := E ∩ Xn ∈ B, ∀n ∈ IN. Then,
∀n ∈ IN, we have En P ◦ f dP ◦ µ = ν̄(En ) ≤ ν̄(Xn ) < ∞. ∀n ∈ IN,
R
∀F ∈ B withRF ⊆ En , we have F P ◦ f dP ◦ µ = ν̄(F ) ≤ ν̄(En ) < ∞
and ν(F ) = F f dµ ∈ Z. Fix any ǫ ∈ (0, ∞) ⊂ IR. Fix any n ∈ IN.
Let En := (En , BEn , µEn ) be the σ-finite IK-valued measure subspace of
X . By Proposition 11.91, ∃ simple function ϕn : En → W such that
R R
k ϕn (x) k ≤ P◦f (x), ∀x ∈ En , En P◦ϕn dP◦µ− En P◦f dP◦µ < 2−n−2 ǫ,
R
and En P ◦ ( f |En − ϕn ) dP ◦ µ < 2−n−1 ǫ. Let ϕn admit the canonical rep-
P n
resentation ϕn = m i=1 wi,n χEi,n ,En , where mn ∈ Z+ , w1,n , . . . , wmn ,n ∈ W
are distinct and none equals to ϑZ , and E1,n , . . . , Emn ,n ∈ B are subsets of
En , nonempty, pairwise disjoint, and P ◦ µ(Ei,n ) < ∞, i = 1, . . . , mn . ∀i ∈

mi,n
{1, . . . , mn }, ∃mi,n ∈ Z+ , ∃ pairwise disjoint ( Ej,i,n )j=1 ⊆ B with Ei,n =
Smi,n Pmi,n 2−n−2 ǫ
j=1 Ej,i,n such that P ◦ µ(Ei,n ) < j=1 | µ(Ej,i,n ) | + (1+mn )kwi,nk . This
leads to
Z Z
ν̄(En ) = P ◦ f dP ◦ µ < P ◦ ϕn dP ◦ µ + 2−n−2 ǫ
En En
m mi,n mn
XXn X
= k ν(Ej,i,n ) k + k wi,n k P ◦ µ(Ei,n ) + 2−n−2 ǫ −
i=1 j=1 i=1
mn m
X X i,n
k ν(Ej,i,n ) k
i=1 j=1
mn
X m
X i,n
2−n−2 ǫ
≤ P ◦ ν(En ) + k wi,n k | µ(Ej,i,n ) | + +
i=1 j=1
(1 + mn ) k wi,n k
mn mi,n
XX
2−n−2 ǫ − k ν(Ej,i,n ) k
i=1 j=1
mn mi,n
XX mn m
X X i,n
−n−1
< P ◦ ν(En ) + k wi,n µ(Ej,i,n ) k + 2 ǫ− k ν(Ej,i,n ) k
i=1 j=1 i=1 j=1
mn m i,n Z Z
X X
= P ◦ ν(En ) + 2−n−1 ǫ + ϕn dµ − f dµ
i=1 j=1 Ej,i,n Ej,i,n
XX Z mn mi,n

≤ P ◦ ν(En ) + 2−n−1 ǫ + (ϕn − f |En ) dµ
i=1 j=1 Ej,i,n
XXZ
mn mi,n
≤ P ◦ ν(En ) + 2−n−1 ǫ + P ◦ (ϕn − f |En ) dP ◦ µ
i=1 j=1 Ej,i,n
Z
= P ◦ ν(En ) + 2−n−1 ǫ + Smn Smi,n
P ◦ (ϕn − f |En ) dP ◦ µ
i=1 j=1 Ej,i,n
Z
−n−1
≤ P ◦ ν(En ) + 2 ǫ+ P ◦ (ϕn − f |En ) dP ◦ µ
En
< P ◦ ν(En ) + 2−n ǫ
where the second equality follows from Proposition 11.73; the third equality
follows from Proposition 11.122; the fourth and the fifth inequalities follow
from Proposition 11.129; and the fourth equalityPand the sixth P inequality
follow from Proposition 11.87. Then, ν̄(E) = ∞ n=1 ν̄(En ) <
∞
n=1 (P ◦
ν(En ) + 2−n ǫ) = P ◦ ν(E) + ǫ. By the arbitrariness of ǫ, we have ν̄(E) ≤
P ◦ ν(E). This case is proved. R
Hence, P ◦ ν(E) = ν̄(E) = E P ◦ f dP ◦ µ, ∀E ∈ B. This completes the
Definition 11.147 Let (X, B) be a measurable space, µ1 and µ2 be mea-

sures on (X, B). We will say that µ1 is absolutely continuous with respect
to µ2 if ∀A ∈ B with µ2 (A) = 0, we have µ1 (A) = 0. In this case, we will
denote µ1 ≪ µ2 . µ1 and µ2 are said to be mutually singular if ∃A, B ∈ B
with A ∩ B = ∅ and X = A ∪ B, such that µ1 (A) = µ2 (B) = 0. In this
case, we will denote µ1 ⊥ µ2 .
Proposition 11.148 Let µ, λ1 , and λ2 be measures on a measurable space

(X, B), Y be a normed linear space over IK, ν1 and ν2 be σ-finite Y-valued
measures on (X, B), a, b ∈ (0, ∞) ⊂ IR, and α, β ∈ IK. Then, the following
statements hold.
(i) λ1 ≪ µ and λ2 ≪ µ if, and only if, aλ1 + bλ2 ≪ µ.
(ii) λ1 ⊥ µ and λ2 ⊥ µ if, and only if, aλ1 + bλ2 ⊥ µ.
(iii) If λ1 ≪ µ and λ2 ⊥ µ, then λ1 ⊥ λ2 .
(iv) If λ1 ⊥ λ1 , then λ1 (E) = 0, ∀E ∈ B.
(v) If P ◦ ν1 ⊥ P ◦ ν2 , then P ◦ (ν1 + ν2 ) = P ◦ ν1 + P ◦ ν2 .
(vi) If P ◦ ν1 ⊥ P ◦ ν2 , then P ◦ (αν1 ) ⊥ P ◦ (βν2 ).
(vii) If P ◦ ν1 ⊥ P ◦ ν2 , then P ◦ (αν1 + βν2 ) = | α | P ◦ ν1 + | β | P ◦ ν2 .
(viii) If P ◦ ν1 ≪ µ and P ◦ ν2 ≪ µ, then P ◦ (αν1 + βν2 ) ≪ µ.
(ix) If P ◦ ν1 ⊥ µ and P ◦ ν2 ⊥ µ, then P ◦ (αν1 + βν2 ) ⊥ µ.
(x) If P ◦ ν1 ⊥ P ◦ ν1 , then ν1 (E) = ϑY , ∀E ∈ B, that is ν1 = ϑ ∈

Mσ (X, B, Y).
Proof (i) By Proposition 11.133, aλ1 + bλ2 is a measure on (X, B).

“Sufficiency” ∀E ∈ B with µ(E) = 0, by aλ1 + bλ2 ≪ µ, we have aλ1 (E) +
bλ2 (E) = 0. Then, λ1 (E) = λ2 (E) = 0. Hence, λ1 ≪ µ and λ2 ≪ µ.
“Necessity” ∀E ∈ B with µ(E) = 0, by λ1 ≪ µ and λ2 ≪ µ, we have
λ1 (E) = λ2 (E) = 0. Then, aλ1 (E) + bλ2 (E) = 0. Hence, aλ1 + bλ2 ≪ µ.
(ii) By Proposition 11.133, aλ1 + bλ2 is a measure on (X, B). “Suf-
ficiency” Let aλ1 + bλ2 ⊥ µ. Then, ∃A, B ∈ B with A = X \ B such
that (aλ1 + bλ2 )(A) = 0 = µ(B). Then, λ1 (A) = λ2 (A) = µ(B) = 0.
Hence, λ1 ⊥ µ and λ2 ⊥ µ. “Necessity” Let λ1 ⊥ µ and λ2 ⊥ µ. Then,
∃Ai , Bi ∈ B with Ai = X \ Bi such that λi (Ai ) = µ(Bi ) = 0, i = 1, 2.
Let A := A1 ∩ A2 ∈ B and B := B1 ∪ B2 ∈ B. Then, A = X \ B and
0 ≤ aλ1 (A) + bλ2 (A) = (aλ1 + bλ2 )(A) ≤ aλ1 (A1 ) + bλ2 (A2 ) = 0 ≤ µ(B) ≤
µ(B1 ) + µ(B2 ) = 0. Hence, aλ1 + bλ2 ⊥ µ.
(iii) By λ2 ⊥ µ, ∃A, B ∈ B with A = X \B such that λ2 (A) = 0 = µ(B).
By λ1 ≪ µ, we have λ1 (B) = 0. Hence, λ1 ⊥ λ2 .
(iv) By λ1 ⊥ λ1 , ∃A, B ∈ B with A = X \ B such that λ1 (A) = λ1 (B) =

0. Then, λ1 (X) = λ1 (A) + λ1 (B) = 0. Hence, the result holds.
(v) By Proposition 11.135, ν1 + ν2 ∈ Mσ (X, B, Y) and P ◦ (ν1 + ν2 ) ≤
P ◦ ν1 + P ◦ ν2 . By P ◦ ν1 ⊥ P ◦ ν2 , ∃A, B ∈ B with A = X \ B such
that P ◦ ν1 (A) = 0 = P ◦ ν2 (B). Fix any E ∈ B. We will show that
P ◦ (ν1 + ν2 )(E) ≥ P ◦ ν1 (E) + P ◦ ν2 (E) by distinguishing two exhaustive
and mutually exclusive cases: Case 1: P ◦ ν1 (E) + P ◦ ν2 (E) < ∞; Case 2:
P ◦ ν1 (E) + P ◦ ν2 (E) = ∞.
Case 1: P ◦ ν1 (E) + P ◦ ν2 (E) < ∞. Then, P ◦ νi (E) < ∞ and E ∈
dom ( νi ), i = 1, 2. ∀ǫ S∈ (0, ∞) ⊂ IR, ∃n1 ∈ Z+ , ∃ P pairwise disjoint
( Ei )ni=1
1
⊆ B with E = ni=1 1
Ei such that P ◦ ν1 (E) < ni=1 1
k ν1 (E
Sni )2 k +
n2
ǫ/2 < +∞. ∃n2 ∈ Z+ ,P ∃ pairwise disjoint ( Fi )i=1 ⊆ B with E = i=1 Fi
n2
such that P ◦ ν2 (E) < i=1 k ν2 (Fi ) k + ǫ/2 < +∞. Then,
n1
X n2
X
P ◦ ν1 (E) + P ◦ ν2 (E) < k ν1 (Ei ) k + k ν2 (Fi ) k + ǫ
i=1 i=1
n1
X n2
X
= k ν1 (Ei ∩ A) + ν1 (Ei ∩ B) k + k ν2 (Fi ∩ A) + ν2 (Fi ∩ B) k + ǫ
i=1 i=1
Xn1 Xn2
= k ν2 (Ei ∩ B) + ν1 (Ei ∩ B) k + k ν2 (Fi ∩ A) + ν1 (Fi ∩ A) k + ǫ
i=1 i=1
Xn1 n2
X
= k (ν1 + ν2 )(Ei ∩ B) k + k (ν1 + ν2 )(Fi ∩ A) k + ǫ
i=1 i=1
Xn1 Xn2
≤ P ◦ (ν1 + ν2 )(Ei ∩ B) + P ◦ (ν1 + ν2 )(Fi ∩ A) + ǫ
i=1 i=1
= P ◦ (ν1 + ν2 )(E ∩ B) + P ◦ (ν1 + ν2 )(E ∩ A) + ǫ
= P ◦ (ν1 + ν2 )(E) + ǫ
where the second equality follows from the fact that ∀Ā ∈ B with Ā ⊆ A,
we have P ◦ ν1 (Ā) = 0 and ν1 (Ā) = ϑY , and the fact that ∀B̄ ∈ B with
B̄ ⊆ B, we have P ◦ ν2 (B̄) = 0 and ν2 (B̄) = ϑY . By the arbitrariness of ǫ,
we have P ◦ ν1 (E) + P ◦ ν2 (E) ≤ P ◦ (ν1 + ν2 )(E). This case is proved.
Case 2: P ◦ ν1 (E) + P ◦ ν2 (E) = ∞. Without loss of generality, assume
∞
P ◦ ν1 (E) =S∞∞. Since ν1 and ν2 are σ-finite, then ∃ ( Xn )n=1 ⊆ B such
that X = n=1 Xn and P ◦ νi (Xn ) < ∞, ∀n ∈ IN, i = 1, 2. Without
loss of generality, we may assume S∞ that Xn ⊆ Xn+1 , ∀n ∈ IN. Let En :=
E ∩ Xn , ∀n ∈ IN. Then, E = n=1 En and En ⊆ En+1 , ∀n ∈ IN. By
Proposition 11.7, we have limn∈IN P ◦ ν1 (En ) = P ◦ ν1 (E) = ∞. ∀M ∈
(0, ∞) ⊂ IR, ∃n0 ∈ IN such that P ◦ν1 (En0 ) > M +1. Clearly, P ◦νi (En0 ) ≤
n1
P◦νi (Xn0 ) < ∞, i = 1, 2. Then, ∃n1 ∈ Z+ , ∃ pairwise disjoint Ēi i=1 ⊆ B
Sn1 Pn1

with En0 = i=1 Ēi such that P ◦ ν1 (En0 ) < i=1 ν1 (Ēi ) + 1. Then,
n1
X n1
X
M < ν1 (Ēi ) = ν1 (Ēi ∩ A) + ν1 (Ēi ∩ B)
i=1 i=1
n1
X
= ν2 (Ēi ∩ B) + ν1 (Ēi ∩ B)
i=1
n1
X n1
X
= (ν1 + ν2 )(Ēi ∩ B) ≤ P ◦ (ν1 + ν2 )(Ēi ∩ B)
i=1 i=1
= P ◦ (ν1 + ν2 )(En0 ∩ B) ≤ P ◦ (ν1 + ν2 )(E)
where the first equality follows from Definition 11.105; the second equality
follows from the fact that ∀Ā ∈ B with Ā ⊆ A, we have P ◦ ν1 (Ā) = 0 and
ν1 (Ā) = ϑY , and the fact that ∀B̄ ∈ B with B̄ ⊆ B, we have P ◦ ν2 (B̄) = 0
and ν2 (B̄) = ϑY ; the third equality follows from Proposition 11.135; and
the second inequality follows from Definition 11.105. By the arbitrariness
of M , we have P ◦ (ν1 + ν2 )(E) = ∞. Then, P ◦ ν1 (E) + P ◦ ν2 (E) =
P ◦ (ν1 + ν2 )(E) = ∞. This case is proved.
In both cases, we have P ◦ ν1 (E) + P ◦ ν2 (E) ≤ P ◦ (ν1 + ν2 )(E). By
the arbitrariness of E, we have P ◦ ν1 + P ◦ ν2 ≤ P ◦ (ν1 + ν2 ). Hence,
P ◦ (ν1 + ν2 ) = P ◦ ν1 + P ◦ ν2 .
(vi) By Proposition 11.135, αν1 , βν2 ∈ Mσ (X, B, Y) with P ◦ (αν1 ) =
| α | P ◦ ν1 and P ◦ (βν2 ) = | β | P ◦ ν2 . By P ◦ ν1 ⊥ P ◦ ν2 , ∃A, B ∈ B with
A = X\B such that P◦ν1 (A) = 0 = P◦ν2 (B). Then, by Proposition 11.135,
P ◦ (αν1 )(A) = | α | P ◦ ν1 (A) = 0 = | β | P ◦ ν2 (B) = P ◦ (βν2 )(B). Hence,
P ◦ (αν1 ) ⊥ P ◦ (βν2 ).
(vii) By Proposition 11.135, αν1 , βν2 , αν1 +βν2 ∈ Mσ (X, B, Y). By (vi),
we have P ◦ (αν1 ) ⊥ P ◦ (βν2 ). By (v) and Proposition 11.135, we have
P ◦ (αν1 + βν2 ) = P ◦ (αν1 ) + P ◦ (βν2 ) = | α | P ◦ ν1 + | β | P ◦ ν2 .
(viii) By Proposition 11.135, αν1 + βν2 ∈ Mσ (X, B, Y). ∀E ∈ B with
µ(E) = 0, by P ◦ νi ≪ µ, we have P ◦ νi (E) = 0, i = 1, 2. Then, 0 ≤
P ◦ (αν1 + βν2 )(E) ≤ | α | P ◦ ν1 (E) + | β | P ◦ ν2 (E) = 0, where the second
inequality follows from Proposition 11.135. Hence, P ◦ (αν1 + βν2 ) ≪ µ.
(ix) By Proposition 11.135, αν1 + βν2 ∈ Mσ (X, B, Y). By P ◦ νi ⊥ µ,
∃Ai , Bi ∈ B with Ai = X \ Bi such that P ◦ νi (Ai ) = µ(Bi ) = 0, i = 1, 2.
Let A := A1 ∩ A2 ∈ B and B := B1 ∪ B2 ∈ B. Then, A = X \ B
and 0 ≤ P ◦ (αν1 + βν2 )(A) ≤ (| α | P ◦ ν1 + | β | P ◦ ν2 )(A) ≤ | α | P ◦
ν1 (A1 ) + | β | P ◦ ν2 (A2 ) = 0 ≤ µ(B) ≤ µ(B1 ) + µ(B2 ) = 0, where the second
inequality follows from Proposition 11.135. Hence, P ◦ (αν1 + βν2 ) ⊥ µ.
(x) By (iv), P ◦ ν1 (E) = 0, ∀E ∈ B. Then, ν1 (E) = ϑY , ∀E ∈ B.
Proposition 11.149 Let (X, B, µ) be a Y-valued measure space, where Y is

a normed linear space, A ∈ B, and B := X \ A. Define µA to be a function
from B to Y by: ∀E ∈ B with E ∩ A ∈ dom ( µ ), µA (E) := µ(E ∩ A) ∈ Y;

∀E ∈ B with E ∩ A ∈ B \ dom ( µ ), µA (E) is undefined. Define µB to be
a function from B to Y similarly as µA with A replaced with B. Then, the
(i) µA and µB are Y-valued measures on (X, B) with P ◦ µA (E) = P ◦

µ(E ∩ A) and P ◦ µB (E) = P ◦ µ(E ∩ B), ∀E ∈ B.
(ii) P ◦ µA ⊥ P ◦ µB and P ◦ µ = P ◦ µA + P ◦ µB .
(iii) if µ is σ-finite, then µA and µB are σ-finite and µ = µA + µB .
Proof (i) Define νA : B → [0, ∞] ⊂ IRe by νA (E) = P ◦ µ(E ∩ A),

∀E ∈ B. It is straightforward to check that νA is a measure on (X, B).
∀E ∈ B with νA (E) = ∞, then P ◦ µ(E ∩ A) = ∞, E ∩ A ∈ B \ dom ( µ ),
and µA (E) is undefined. ∀E ∈ B with νA (E) < ∞, then P ◦ µ(E ∩ A) <
∞, E ∩ A ∈ dom ( µ ), S and µA (E) = µ(E ∩ A) ∈ Y. ∀ pairwise disjoint
∞ ∞
( En )n=1 ⊆ B with E = n=1 En , clearly, 0 ≤ P◦µ(En ∩A) ≤ P◦µ(E∩A) <
∞, En ∩ A ∈ dom ( µ ), and µA (En ) =Pµ(En ∩ A) ∈ Y, ∀n P∞∈ IN. By
∞
Definition
P∞ 11.105, µ A (E) =
P∞ µ(E ∩ A) = n=1 µ(En ∩ A) = n=1 µA (En )
and n=1 k µA (En ) k = n=1 k µ(En ∩ A) k < ∞. ∀E ∈ B with νA (E) <
∞,
νA (E) = P ◦ µ(E ∩ A)
n
X
= sup k µ(Ei ) k
n Sn
n∈Z+ , (Ei) ⊆B, E∩A= i=1 Ei , Ei ∩Ej =∅, ∀1≤i<j≤n i=1
i=1
n
X
= sup k µA (Ei ) k
n Sn
n∈Z+ , (Ei) ⊆B, E∩A= i=1 Ei , Ei ∩Ej =∅, ∀1≤i<j≤n i=1
i=1
n
X
= sup k µA (Ei ) k
n Sn
i=1
Hence, µA is a Y-valued measure on (X, B) with P ◦µA = νA . By symmetry,

µB is a Y-valued measure on (X, B) with P ◦µB (E) = P ◦µ(E ∩B), ∀E ∈ B.
(ii) Clearly, P ◦ µA (B) = 0 = P ◦ µB (A). Then, P ◦ µA ⊥ P ◦ µB .
∀E ∈ B, P ◦ µA (E) + P ◦ µB (E) = P ◦ µ(E ∩ A) + P ◦ µ(E ∩ B) = P ◦ µ(E).
Hence, P ◦ µ = P ◦ µA + P ◦ µB .
(iii) If µ is σ-finite, the P ◦ µ is σ-finite and P ◦ µA and P ◦ µB are σ-
finite. Therefore, µA and µB are σ-finite. Then, µA +µB is well-defined as in
Proposition 11.135. ∀E ∈ dom ( µA ) ∩ dom ( µB ), we have E ∩ A ∈ dom ( µ )
and E ∩ B ∈ dom ( µ ). Then, P ◦ µ(E) = P ◦ µ(E ∩ A) + P ◦ µ(E ∩ B) < ∞
and E ∈ dom ( µ ). Hence, µ(E) = µ(E ∩ A) + µ(E ∩ B) = µA (E) + µB (E).
By Proposition 11.135, µ = µA + µB .
11.8. THE RADON-NIKODYM THEOREM 449
11.8 The Radon-Nikodym Theorem

Definition 11.150 Let (X, B, µ) be an IR-valued pre-measure space (or a
σ-finite IR-valued measure space). A ∈ B is said to be a positive set with
respect to µ if ∀E ∈ dom ( µ ) with E ⊆ A, we have µ(E) ∈ [0, ∞) ⊂ IR.
B ∈ B is said to be a negative set with respect to µ if ∀E ∈ dom ( µ ) with
E ⊆ B, we have µ(E) ∈ (−∞, 0] ⊂ IR.
Lemma 11.151 Let (X, B, µ) be an IR-valued pre-measure space (or a σ-

finite IR-valued measure space). Then, every measurable subset of a positive
set is a positive set; the union of countably many positive sets is a positive
set. Similar statements hold for negative sets.
Proof The first statement follows directly from Definition 11.150.

For the second statement,
S∞ let ( An )∞
n=1 ⊆ B be a sequence of positive
sets and A := n=1 An . ∀E ∈ dom ( µ ) with E ⊆ A, let En :=
Sn−1 S∞ ∞
E ∩ An \ ( i=1 Ai ) ∈ B, ∀n ∈ IN. Then, E = n=1 En , ( En )n=1 is
P∞ En ∈ dom ( µ ), µ(En ) ∈ [0, ∞) ⊂ IR, ∀n ∈ IN. This leads
pairwise disjoint,
to µ(E) = i=1 µ(En ) ∈ [0, ∞) ⊂ IR. Hence, A is a positive set. For
the case of finitely many positive sets, we may form a sequence of positive
sets by appending ∅, which is clearly a positive set, to the collection. This
Lemma 11.152 Let (X, B, µ) be an IR-valued pre-measure space (or a σ-

finite IR-valued measure space) and E ∈ B. Assume that E ∈ dom ( µ )
and µ(E) ∈ (0, +∞) ⊂ IR. Then, there exists a positive set A ⊆ E with
µ(A) ∈ (0, +∞) ⊂ IR. Similar statement holds for negative sets.
Proof Note that, ∀Ē ∈ B with Ē ⊆ E, we have Ē ∈ dom ( µ ) and

µ(Ē) ∈ IR. Either E is a positive set, in which case the result holds, or E
contains a subset of negative measure. In the latter case, let n1 ∈ IN be
the smallest natural number such that there is a measurable set E1 ⊆ E
with µ(E1 ) < −1/n1 . Then, µ(E \ E1 ) = µ(E) − µ(E1 ) ∈ (0, +∞) ⊂
IR. Inductively, assume that we have obtained nj ∈ IN, Ej ∈ B, ∀j ∈
S
{1, . . . , k} ⊆ IN, such that Ej ⊆ E \ ( j−1 E ), µ(Ej ) < −1/nj , and µ(E \
Sj Sk l
l=1
( l=1 El )) ∈ (0, +∞) ⊂ IR. Either E \ ( j=1 Ej ) is a positive set, in which
case the result holds, or it contains a subset of negative measure. In the
latter case, let nk+1 ∈ IN be the smallest natural number such that there is
Sk
a measurable set Ek+1 ⊆ E \ ( j=1 Ej ) with µ(Ek+1 ) < −1/nk+1 . Then,
Sk+1 Sk
µ(E \ ( j=1 Ej )) = µ(E \ ( j=1 Ej )) − µ(Ek+1 ) ∈ (0, +∞) ⊂ IR. Thus,
∞
S∞ holds or we have ( nk )k=1 ⊆SI∞
either the result N and ( Ek )∞
k=1 ⊆ B. Let
A := E \ ( k=1 Ek ) ∈ B. Then, E = A ∪ ( k=1 Ek ), where P∞ the sets in
the unionP are pairwise disjoint. Then,
P∞ µ(E) = µ(A) + k=1 µ(Ek ) and
| µ(A) | − ∞ k=1 µ(Ek ) < +∞. Then, k=1 1/nk < +∞, limk∈IN nk = ∞,
and µ(A) ∈ (0, +∞) ⊂ IR. ∀ǫ ∈ (0, ∞) ⊂ IR, ∃k0 ∈ IN such that (nk0 −
Sk0 −1
1)−1 < ǫ. Since A ⊆ E \( j=1 Ej ), then A can not contain any measurable
subset with measure less than −1/(nk0 − 1) > −ǫ. Thus, A contains no
measurable subset with measure less than −ǫ. By the arbitrariness of ǫ, A
is a positive set. This completes the proof of the lemma. 2
Theorem 11.153 (Hahn Decomposition Theorem) Let (X, B, µ) =:

X be an IR-valued pre-measure space (or a σ-finite IR-valued measure space).
Then, there is a positive set A ∈ B and a negative set B ∈ B such that
X = A ∪ B and A ∩ B = ∅.
Proof We will distinguish two exhaustive and mutually exclusives

cases: Case 1: X is an IR-valued pre-measure space; Case 2: X is a σ-finite
IR-valued measure space.
Case 1: X is an IR-valued pre-measure space. Let λ := sup { µ(A) ∈
IR | A is a positive set } ∈ IRe . Since ∅ is a positive set, then λ ≥ 0. Let
∞
S∞⊆ B be a sequence of positive sets such that limi∈IN µ(Ai ) = λ. Let
( Ai )i=1
A := i=1 Ai ∈ B. By Lemma 11.151, A is a positive set. This implies that
µ(A) ≤ λ. Note that µ(A) = µ(Ai ) + µ(A \ Ai ) ≥ µ(Ai ), ∀i ∈ IN. Then,
λ = µ(A) ∈ IR. Let B := X \ A. Suppose that there exists E ⊆ B such
that E is a positive set with µ(E) > 0. Then A ∪ E is a positive set by
Lemma 11.151 and µ(A ∪ E) = µ(A) + µ(E) > λ. This contradicts with
the definition of λ. Hence, B does not contain any subset that is a positive
set with positive measure. Then, by Lemma 11.152, B does not contain
any subset with positive measure. Hence, B is a negative set. This case is
proved.
Case 2: X is Sa σ-finite IR-valued measure space. Then, ∃ ( Xn )∞n=1 ⊆ B
∞
such that X = n=1 Xn and P ◦ µ(Xn ) < ∞, ∀n ∈ IN. Without loss of
∞
generality, we may assume that ( Xn )n=1 is pairwise disjoint. Let Xn :=
(Xn , Bn , µn ) be the finite IR-valued measure subspace of X , ∀n ∈ IN. Fix
any n ∈ IN. Xn is a finite IR-valued pre-measure space. By Case 1, there
exists An , Bn ∈ Bn ⊆ B such that An = Xn \ Bn and An is a positive
set with respect to µn and Bn is a negative set with respect to µn . It is
straightforward to see that An is a positive
S set with respect to µ and
S∞ Bn is a
negative set with respect to µ. Let A := ∞ A
n=1 n ∈ B and B := n=1 Bn ∈
B. Then, by Lemma 11.151, A is a positive setSwith respect Sto µ and B
∞ ∞
is
S∞ S∞ respect to µ. A ∪ B = ( Sn=1
a negative set with
∞
An ) ∪ ( Sn=1 Bn ) =
∞
S∞ n=1 (A
S∞ n ∪ Bn ) = n=1 Xn = X and A ∩ B = ( n=1 An ) ∩ ( n=1 Bn ) =
n=1 m=1 (An ∩ Bm ) = ∅. This case is proved.
Theorem 11.154 (Jordan Decomposition Theorem) Let (X, B, µ) be

an IR-valued pre-measure space. Then, there exists a unique pair of mutu-
ally singular finite measures µ+ and µ− on (X, B) such that µ = µ+ − µ− .
Furthermore, P ◦ µ = µ+ + µ− and (X, B, µ) is a finite IR-valued measure
space.
Proof By Hahn Decomposition Theorem 11.153, ∃A, B ∈ B with

A ∩ B = ∅ and X = A ∪ B such that A is a positive set with respect to
µ and B is a negative set with respect to µ. Define µ+ : B → [0, ∞) ⊂ IR
by µ+ (E) = µ(A ∩ E), ∀E ∈ B and µ− : B → [0, ∞) ⊂ IR by µ− (E) =
−µ(B ∩ E), ∀E ∈ B. It is straightforward to show that µ+ and µ− are
finite measures on (X, B). Clearly, µ+ (B) = µ− (A) = 0. Then, µ+ ⊥ µ− .
It is straightforward to show that µ = µ+ − µ− by Proposition 11.133.
Then, by Proposition 11.135, µ is a finite IR-valued measure space. By
Proposition 11.148, P ◦ µ = P ◦ µ+ + P ◦ µ− = µ+ + µ− .
Let µ̂+ and µ̂− be any pair of mutually singular finite measures on (X, B)
such that µ = µ̂+ − µ̂− . Then, ∃Â, B̂ ∈ B with Â ∩ B̂ = ∅ and Â ∪ B̂ = X
such that µ̂+ (B̂) = µ̂− (Â) = 0. Note that µ+ (A∩Â) = µ+ (A)−µ+ (A\Â) ≤
µ+ (A) = µ(A) = µ̂+ (A) − µ̂− (A) = µ̂+ (A ∩ Â) + µ̂+ (A \ Â) − µ̂− (A ∩ Â) −
µ̂− (A \ Â) = µ̂+ (A ∩ Â) − µ̂− (A \ Â) ≤ µ̂+ (A ∩ Â) = µ̂+ (Â) − µ̂+ (Â \ A) ≤
µ̂+ (Â) = µ(Â) = µ+ (Â) − µ− (Â) = µ+ (A ∩ Â) + µ+ (Â \ A) − µ− (A ∩ Â) −
µ− (Â \ A) = µ+ (A ∩ Â) − µ− (Â \ A) ≤ µ+ (A ∩ Â) ∈ IR. This implies
that µ+ (A ∩ Â) = µ+ (A) = µ(A) = µ̂+ (A ∩ Â) = µ̂+ (Â) = µ(Â) and
µ+ (A \ Â) = µ̂− (A \ Â) = µ̂+ (Â \ A) = µ− (Â \ A) = 0. ∀E ∈ B, we have
µ+ (E) = µ+ (E ∩ A) = µ+ (E ∩ A \ Â) + µ+ (E ∩ A ∩ Â) = µ+ (E ∩ A ∩ Â) =
µ(E ∩ A ∩ Â) = µ̂+ (E ∩ A ∩ Â) = µ̂+ (E ∩ Â) − µ̂+ (E ∩ Â \ A) = µ̂+ (E ∩
Â) = µ̂+ (E) − µ̂+ (E \ Â) = µ̂+ (E) ∈ IR and µ− (E) = µ+ (E) − µ(E) =
µ̂+ (E) − µ(E) = µ̂− (E) ∈ IR. Hence, µ+ = µ̂+ and µ− = µ̂− . This shows
that the pair µ+ and µ− is unique.
Theorem 11.155 (Jordan Decomposition Theorem) Let (X, B, µ) =:

X be an σ-finite IR-valued measure space. Then, there exists a unique
pair of mutually singular σ-finite measures µ+ and µ− on (X, B) such that
µ = µ+ − µ− . Furthermore, P ◦ µ = µ+ + µ− .
Proof By Hahn Decomposition Theorem 11.153, there exists A, B ∈ B

such that A = X\B, A is a positive set with respect to µ, and B is a negative
set with respect to µ. Define µA to be a function from B to IR by: µA (E)
is undefined if E ∈ B and E ∩ A ∈ B \ dom ( µ ); µA (E) = µ(E ∩ A) ∈
[0, ∞) ⊂ IR if E ∈ B and E ∩ A ∈ dom ( µ ). Define µB to be a function
from B to IR by: µB (E) is undefined if E ∈ B and E ∩ B ∈ B \ dom ( µ );
µB (E) = µ(E ∩ B) ∈ (−∞, 0] ⊂ IR if E ∈ B and E ∩ B ∈ dom ( µ ).
Then, by Proposition 11.149, µA and µB are σ-finite IR-valued measures
on (X, B) such that µ = µA + µB , P ◦ µ = P ◦ µA + P ◦ µB , and P ◦ µA ⊥
P ◦ µB . Since µA (E) ∈ [0, ∞) ⊂ IR, ∀E ∈ dom ( µA ), then µA is identifined
with a σ-finite measure µ+ on (X, B) according to Proposition 11.132. By
Proposition 11.135, −µB is a σ-finite IR-valued measure on (X, B). Since
−µB (E) ∈ [0, ∞) ⊂ IR, ∀E ∈ dom ( µB ), then −µB is identified with
a σ-finite measure µ− on (X, B) according to Proposition 11.132. Then,
P ◦ µ = P ◦ µA + P ◦ (−µB ) = µ+ + µ− . Since P ◦ µA ⊥ P ◦ µB , then, by
Proposition 11.148, µ+ ⊥ µ− . ∀E ∈ B with P ◦ µ(E) = µ+ (E) + µ− (E) <
∞, we have µ(E) = (µA + µB )(E) = µA (E) + µB (E) = µ+ (E) − µ− (E) =

(µ+ − µ− )(E) ∈ IR. By Proposition 11.134, we have µ = µ+ − µ− . Hence,
the pair µ+ and µ− is the pair of mutually singular σ-finite measures on
(X, B) that we seek.
Next, we will show that the pair is unique. Let µ̂+ and µ̂− be another
pair of mutually singular σ-finite measures on (X, B) such that µ = µ̂+ − µ̂−
and P ◦ µ = µ̂+ + µ̂− . Since the four measures S∞µ+ , µ− , µ̂+ , and µ̂− are
σ-finite, then ∃ ( Xn )∞n=1 ⊆ B such that X = n=1 Xn and µ+ (Xn ) ∈ IR,
µ− (Xn ) ∈ IR, µ̂+ (Xn ) ∈ IR, and µ̂− (Xn ) ∈ IR, ∀n ∈ IN. Then, P ◦
µ(Xn ) < ∞, ∀n ∈ IN. Fix any n ∈ IN. Let Xn := (Xn , Bn , µn ) be the
finite IR-valued measure subspace of X , (Xn , Bn , µn,+ ) be the finite measure
subspace of (X, B, µ+ ), (Xn , Bn , µn,− ) be the finite measure subspace of
(X, B, µ− ), (Xn , Bn , µ̂n,+ ) be the finite measure subspace of (X, B, µ̂+ ),
and (Xn , Bn , µ̂n,− ) be the finite measure subspace of (X, B, µ̂− ). Then,
it is easy to see that µn = µn,+ − µn,− = µ̂n,+ − µ̂n,− , µn,+ ⊥ µn,− ,
µ̂n,+ ⊥ µ̂n,− , and P ◦ µn = µn,+ + µn,− = µ̂n,+ + µ̂n,− . By Jordan
Decomposition Theorem 11.154, we have µn,+ = µ̂n,+ and µn,− = µ̂n,− .
By Proposition 11.115, we have µ+ = µ̂+ and µ− = µ̂− . Hence, the pair is
unique.
Proposition 11.156 Let X := (X, B, µ) be a C-valued pre-measure space.

Then, µ = µr + iµi , where µr : B → IR and µi : B → IR are finite IR-
valued measures on (X, B), and max{P ◦ µr (E), P ◦ µi (E)} ≤ P ◦ µ(E) ≤
P ◦ µr (E) + P ◦ µi (E), ∀E ∈ B. Then, X is a finite C-valued measure space.
Proof Define µr : B → IR and µi : B → IR by µr (E) = Re ( µ(E) )

and µi (E) = Im ( µ(E) ), ∀E ∈ B. Clearly, µ = µr + iµP i , µr (∅) = 0, and
∞ ∞
µ
P∞i (∅) = 0. ∀ pairwise disjoint sequence ( E n )n=1 ⊆ B, n=1 | µr (En ) | ≤
n=1 | µ(E n ) | < +∞, where the last inequality follows from
P∞ the fact that µ
is
P∞ a C-value pre-measure.
P∞ We also have
S∞ n=1 µr (E Sn∞) =
n=1 Re ( µ(E n ) ) = Re ( n=1 µ(E n ) ) = Re ( µ( n=1 E n ) )
P∞= µr ( n=1 n ).
E
Hence,
P∞ µr is an I
R-valued pre-measure
P∞ on (X, B). Note P∞that n=1 | µi (En ) | ≤
P∞
n=1 | µ(E n ) | < +∞ and
S∞ n=1 µi (E n )
S∞ = n=1 Im ( µ(E n )) =
Im ( n=1 µ(En ) ) = Im ( µ( n=1 En ) ) = µi ( n=1 En ). Hence, µi is an IR-
valued pre-measure on (X, B). By Jordan Decomposition Theorem 11.154,
µr and µi are finite IR-valued measures on (X, B).S
∀E ∈ B, ∀n ∈ P Z+ , ∀ ( Ek )nk=1 ⊆ BPwith E = nk=1 Ek and Ek ’s being
n n
pairwise disjoint, k=1 | µr (Ek ) | ≤ k=1 | µ(Ek ) | ≤ P ◦ µ(E). Hence,
P ◦ µr (E) ≤ P ◦ µ(E). S
∀E ∈ B, ∀n ∈ P Z+ , ∀ ( Ek )nk=1 ⊆ BPwith E = nk=1 Ek and Ek ’s being
n n
pairwise disjoint, k=1 | µi (Ek ) | ≤ k=1 | µ(Ek ) | ≤ P ◦ µ(E). Hence,
P ◦ µi (E) ≤ P ◦ µ(E). Sn
n
∀E ∈ B, ∀n ∈ Z+ , ∀ ( Ek )k=1 ⊆ B with Ep= k=1 Ek and Ek ’s be-
Pn Pn
ing pairwise disjoint, k=1 | µ(Ek ) | = k=1 (µr (Ek ))2 + (µi (Ek ))2 ≤
Pn
k=1 (| µr (Ek ) | + | µi (Ek ) |) ≤ P ◦ µr (E) + P ◦ µi (E). Hence, P ◦ µ(E) ≤
P ◦ µr (E) + P ◦ µi (E). Then, P ◦ µ(X) < +∞. Hence, X is a finite C-valued
measure space.
Proposition 11.157 Let X := (X, B, µ) be a σ-finite C-valued measure

space. Then, there exists a pair of σ-finite IR-valued measures µr and µi
on (X, B) such that µ = µr + iµi and 0 ≤ max{P ◦ µr (E), P ◦ µi (E)} ≤
P ◦ µ(E) ≤ P ◦ µr (E) + P ◦ µi (E), ∀E ∈ B.
∞
Proof
S∞ Since X is σ-finite, then ∃ ( Xn )n=1 ⊆ B such that X =
n=1 Xn and P ◦ µ(Xn ) < ∞, ∀n ∈ IN. Without loss of generality,
we may assume that ( Xn )∞ n=1 is pairwise disjoint. Fix any n ∈ IN.
Let Xn := (Xn , Bn , µn ) be te finite C-valued measure subspace of X .
Then, Xn is a finite C-valued pre-measure space. By Proposition 11.156,
there exists finite IR-valued measures µn,r and µn,i on (Xn , Bn ) such that
µn = µn,r + iµn,i and 0 ≤ max{P ◦ µn,r (E), P ◦ µn,i (E)} ≤ P ◦ µn (E) ≤
P ◦ µn,r (E) + P ◦ µn,i (E) < ∞, ∀E ∈ Bn . By Proposition 11.114, the gen-
∞
eration process on ( (Xn , Bn , µn,r ) )n=1 yields a σ-finite IR-valued measure
∞
space (X, B, µr ) and the generation process on ( (Xn , Bn , µn,i ) )n=1 yields a
σ-finite IR-valued measure space (X, B, µi ).
P∞∀E ∈ B, let EP n := E ∩ Xn ∈ Bn , ∀n ∈ IN. Then, P ◦ µ(E) =
∞
n=1 P ◦ µ(E n ) = n=1 P ◦ µn (En ), where the first equality follows from
the fact that P ◦µ is a measure; and the second equality follows from Propo-
sitions 11.114
P∞and 11.112. By Propositions
P∞ 11.114 and 11.112, we have
P ◦ µ(E) ≥ n=1 P ◦ µn,r (En ) = n=1 P ◦ µr (En ) = P ◦ µr (E). Similarly,
we have P ◦Pµ(E) ≥ P ◦ µi (E). Again, by Propositions 11.114 and 11.112,
∞
P◦µ(E) ≤ n=1 (P◦µn,r (En )+P◦µn,i (En )) = P◦µr (E)+P◦µi (E). Hence,
we have 0 ≤ max{P◦µr (E), P◦µi (E)} ≤ P◦µ(E) ≤ P◦µr (E)+P◦µi (E) ≤
∞, ∀E ∈ B.
By Proposition 11.135, µr +iµi is a σ-finite C-valued measure on (X, B).
∀n ∈ IN, ∀E ∈ Bn , P ◦ µ(E) ≤ P ◦ µ(Xn ) < ∞ and E ∈ dom ( µ ). This
implies that max{P◦µr (E), P◦µi (E)} ≤ P◦µ(E) < ∞ and E ∈ dom ( µr )∩
dom ( µi ). Then, (µr + iµi )(E) = µr (E) + iµi (E) = µn,r (E) + iµn,i (E) =
(µn,r + iµn,i )(E) = µn (E) = µ(E), where the first equality follows from
Proposition 11.135; the second equality follows from Proposition 11.112;
the third equality follows from Proposition 11.135; and the last equality
follows from Proposition 11.112. Hence, Xn is the finite C-valued measure
subspace of (X, B, µr + iµi ), ∀n ∈ IN. By Proposition 11.115, we have
µ = µr + iµi .
Definition 11.158 Let (X, B) be a measurable space, λ1 and λ2 be mea-

sures on (X, B), and f : X → [0, ∞) ⊂ IR be B-measurable. We will
say that fR is a Radon-Nikodym derivative of λ1 with respect to λ2 if
λ1 (E) = E f dλ2 , ∀E ∈ B. Let µ be a IK-valued measure space, Y be
a normed linear space over IK, ν be a Y-valued measure on (X, B), and
f¯ : X → Y be B-measurable. We will say that f¯ is a Radon-Nikodym
derivative of ν with respect to µ if P ◦ f¯ is a RRadon-Nikodym derivative of
P ◦ ν with respect to PR◦ µ (that is, P ◦ ν(E) = E P ◦ f¯ dP ◦ µ ∈ [0, ∞] ⊂ IRe ,
∀E ∈ B) and ν(E) = E f¯ dµ ∈ Y, ∀E ∈ dom ( ν ).
It is easy to see that the definition above is compatible with the iden-
tification of σ-finite IR-valued measures and σ-finite measures eluded to in
Section 11.7. It is straightforward to show that if f¯ : X → Y is a Radon-
Nikodym derivative of ν with respect to µ, then P ◦ ν ≪ P ◦ µ. When µ
is σ-finite, Y is a Banach space, and W is a separable subspace of Y, then
Proposition 11.146 guarantees that any measurable function f¯ : X → W
is a Radon-Nikodym derivative of some σ-finite Y-valued measure ν with
respect to µ. The next result gives the sufficient condition under which
the Radon-Nikodym derivative is unique. The Radon-Nikodym Theorems
then give sufficient conditions on ν and µ under which the Radon-Nikodym
derivative exists.
Proposition 11.159 Let X := (X, B, µ) be a σ-finite IK-valued measure

space, Y be a separable Banach space over IK, ν be a σ-finite Y-valued
measure on (X, B), and f : X → Y be a Radon-Nikodym derivative of the
ν with respect to µ, and g : X → Y be B-measurable. Then, g is a Radon-
Nikodym derivative of ν with respect to µ if, and only if, g = f a.e. in X .
dν
In this case, we will write dµ = f a.e. in X
Proof “Sufficiency” Let g = f a.e. in X . Then, by Propositions 7.21,

7.23,
R 11.38, and 11.39,
R P ◦ g = P ◦ f a.e. in X . ∀E ∈ B, P ◦ ν(E) =
E P ◦ f dP ◦ µ = E P ◦ g dP ◦ µ, where the second equalityR follows from
Proposition
R 11.80. ∀E ∈ dom ( ν ), ∞ > P ◦ ν(E) = E
P ◦ f dP ◦ µ =
E P ◦ g dP ◦ µ. Then, f |E and g| E are absolutely integrable over E :=
(E, BE , µE ), which is the IK-valued measure R subspace
R of X . This implies
that, by Proposition 11.129, ν(E) = E f dµ = E g dµ ∈ Y. Hence, g is a
Radon-Nikodym derivative of ν with respect to µ.
“Necessity” Let g : X → Y be another Radon-Nikodym derivative of ν
with respect to µ. Define λ := ν − ν, which is a σ-finite Y-valued measure
on (X, B). By Proposition 11.135, λ(E) = ϑY and P ◦ λ(E) = 0, ∀E ∈ B.
By Proposition 11.146, we may R define a σ-finite Y-valued measure λ̄ on
(X,
R B) such that P ◦ λ̄(E) = R E P ◦ (f − g) dP ◦ µ, ∀E ∈ B, and λ̄(E) =
E (f − g) dµ, ∀E ∈ B with E P ◦ (f − g) dP ◦ µ < ∞. ∀E ∈ B with
P ◦ ν(E) < ∞, then f |E and g|E are absolutely integrable over E. By
Proposition 11.129, (f − g)|E isRabsolutelyRintegrableRover E. Then, we have
ϑY = λ(E) = ν(E) − ν(E) = E f dµ − E g dµ = E (f − g) dµ = λ̄(E).
By Proposition 11.134, we have R λ = λ̄. Then, ∀E ∈ B, E ∈ dom ( λ ),
0 = P ◦ λ(E) = P ◦ λ̄(E) = E P ◦ (f − g) dP ◦ µ. By Proposition 11.93,
P ◦ (f − g) = 0 a.e. in X and f = g a.e. in X .
Proposition 11.160 Let (X, B) be a measurable space, λ and λ1 be σ-

finite measures on (X, B), Xˆ := (X, B, λ), Xˆ1 := (X, B, λ1 ), µ, µ1 ∈
Mσ (X, B, IK), X := (X, B, µ), X1 := (X, B, µ1 ), Y be a separable Banach
space over IK, Z be a Banach space over IK, W be a separable subspace
of B ( Y, Z ), ν1 , ν2 ∈ Mσ (X, B, Y), X̄1 := (X, B, ν1 ), dν
dµ =: fi : X →
i
Y a.e. in X , i = 1, 2, dλ =: f : X → [0, ∞) ⊂ IR a.e. in X̂1 , dµ =: f¯ :

dλ1 dµ1
X → IK a.e. in X1 , g : X → W be B-measurable, fˆ : X → [0, ∞) ⊂ IR be
B-measurable, fˆ¯ : X → IK be B-measurable, α0 ∈ IK, A ∈ B ( Y, Z ), and
y0 ∈ Y, . Then, the following statements hold.
R R
(i) X fˆ dλ = X (fˆf ) dλ1 ∈ [0, ∞] ⊂ IRe .
(ii) g is absolutely integrable over X̄1 if, and only

R if, (P ◦ Rg)(P ◦ f1 ) is
integrable over (X, B, P ◦ µ). In which case, X g dν1 = X (gf1 ) dµ ∈
Z.
d(ν1 +ν2 ) dν1 dν2
(iii) dµ = f1 + f2 = dµ + dµ a.e. in X .
(iv) Af1 is a Radon-Nikodym derivative of Aν1 with respect to µ.

d(α0 ν1 )
(v) dµ = α0 f1 = α0 dν
dµ a.e. in X .
1

d(µy0 )
(vi) dµ1 = f¯y0 = dµdµ
1
y0 a.e. in X1 .

(vii) dν1
dµ1 = f1 f¯ = dν1
dµ
dµ
dµ1 a.e. in X1 .
(viii) dµ1
dµ = fˆ¯ a.e. in X if, and only if, fˆ¯f¯ = 1 a.e. in X1 .
Proof (i) By Definition 11.158, f is B-measurable and λ(E) =

R
f dλ1 ∈ IR e , ∀E ∈ B. By Propositions 7.23, 11.38, and 11.39, f f
ˆ
E
is B-measurable. By Proposition 11.65, there exists a sequence of sim-
∞
ple functions φ̄n n=1 , φ̄n : X̃ → [0, ∞) ⊂ IR, ∀n ∈ IN, such that
0 ≤ φ̄n (x) ≤ fˆ(x), ∀x ∈ X, ∀n ∈ IN, and limn∈IN φ̄n = fˆ a.e. in X̃ , where
X̃ := (X, B, λ + λ1 ) is W a σ-finite measure space by Proposition 11.133.
n
∀n ∈ IN, define φn := i=1 φ̄i . Then, φn is a simple function of X̃ to
[0, ∞) ⊂ IR, 0 ≤ φn (x) ≤ φn+1 (x) ≤ fˆ(x), ∀x ∈ X, ∀n ∈ IN. By Propo-
sition 11.50, limn∈IN φn = fˆ a.e. in X̃ . Since λ ≤ λ + λ1 , then φn is a
simple function of Xˆ , ∀n ∈ IN, Rand limn∈IN φn = fˆR a.e. in X̂ . By Monotone
Convergence Theorem 11.78, X fˆ dλ = limn∈IN X φn dλ ∈ IRe . Fix any
Pn̄
n ∈ IN. Let φn admit the canonical representation R φn = i=1 ai χAi ,X .
Pn̄
Then, by Propositions 11.73, 11.80, and 11.87, X φn dλ = i=1 ai λ(Ai ) =
Pn̄ R Pn̄ R R Pn̄
i=1 ai Ai f dλ1 = i=1 X (ai χAi ,X f ) dλ1 = X ( i=1 ai χAi ,X )f dλ1 =
R
X (φn f ) dλ1 . Note that 0 ≤ φn (x)f (x) ≤ φn+1 (x)f (x) ≤ fˆ(x)f (x),
∀x ∈ X, ∀n ∈ IN. By Proposition 11.50, limn∈IN φn f = fˆf a.e. in X̃ .
Since λ1 ≤ λ + λ1 , then limn∈IN φn fR = fˆf a.e. in X̂1 . By Monotone

R Con-
vergence Theorem 11.78, we have X (fˆf ) dλ1 = limn∈IN X (φn f ) dλ1 =
R R
limn∈IN X φn dλ = X fˆ dλ ∈ IRe .
(ii) Since dνdµ = f1 a.e.
1
in X , then dP◦ν
dP◦µ = P ◦ f1 a.e. in X .
1
By
R R
(i), X P ◦ g dP ◦ ν1 = X (P ◦ g)(P ◦ f1 ) dP ◦ µ ∈ IRe . Hence, g is
absolutely integrable over X̄1 if, and only if, (P ◦ g)(P ◦ f1 ) is inte-
grable
R over (X, B,RP ◦ µ). Let g be absolutely integrable over X̄1 , then
X
P ◦ g dP ◦ ν1 = X (P ◦ g)(P ◦ f1) dP ◦ µ < ∞. By Proposition 11.65, there
∞
exists a sequence of simple functions ( φn )n=1 , φn : X˜1 → W, ∀n ∈ IN, such
that k φn (x) k ≤ k g(x) k, ∀x ∈ X, ∀n ∈ IN, and limn∈IN φn = g a.e. in X˜1 ,
where X˜1 := (X, B, P ◦ µ + P ◦ ν1 ) is a σ-finite measure space by Proposi-
tion 11.133. Since P ◦ ν1 ≤ P ◦ µ+ P ◦ ν1 , then φn is a simple function of X¯1 ,
∀n ∈ IN, and limn∈IN φnR= g a.e. in X̄1 . ByR Lebesgue Dominated Conver-
gence Theorem 11.128, X g dν1 = limn∈IN X φn dν1 ∈ Z. Fix any n ∈ IN.
Pn̄
Let φn admit the canonical representation Rφn = i=1 wi χAi ,X . Then, by
Pn̄
Propositions 11.122 and 11.129, we have X φn dν1 = i=1 wi ν1 (Ai ) =
Pn̄ R Pn̄ R R Pn̄
w f dµ = i=1 X (χAi ,X wi f1 ) dµ = X ( i=1 χAi ,X wi f1 ) dµ =
R i=1 i Ai 1
X (φ f
n 1 ) dµ. Note that P ◦ (φn f1 )(x) = k φn (x)f1 (x) k ≤ k φn (x) k ·
k f1 (x) k ≤ (P ◦ g(x)) (P ◦ f1 (x)), ∀x ∈ X, ∀n ∈ IN. Note also that
φn f1 : X → Ŵ ⊆ Z and gf1 : X → Ŵ, ∀n ∈ IN, where Ŵ := span ( { z ∈
Z | z = wy, w ∈ W, y ∈ Y } ) is a separable subspace of Z. By Proposi-
tions 7.65, 11.38, and 11.39, φn f1 and gf1 are B-measurable, ∀n ∈ IN. By
Proposition 11.50, limn∈IN φn f1 = gf1 a.e. in X̃1 . Since P◦µ ≤ P◦µ+P◦ν1,
then limn∈IN φn f1R= gf1 a.e. in X . By RLebesgue Dominated Convergence
R
RTheorem 11.128, X (gf1 ) dµ = limn∈IN X (φn f1 ) dµ = limn∈IN X φn dν1 =
X g dν1 ∈ Z.
(iii) By Proposition 11.146, f1 + f2 is a Radon-Nikodym derivative of
a σ-finite Y-valued measure ν̄ on (X, B) with respectR to µ. ∀E ∈ B with
(P ◦ ν1 + P ◦ ν2 + P ◦ ν̄)(E) < ∞, then P ◦ νi (E) = E P ◦ fi dP ◦ µ < ∞,
i = 1, 2. This implies that fi |E , i = 1, 2, are absolutely integrable over
E := (E,RBE , µE ), which isRthe IK-valued
R measure subspace of X . Then,
ν̄(E) = E (f1 + f2 ) dµ = E f1 dµ + E f2 dµ = ν1 (E) + ν2 (E) = (ν1 +
ν2 )(E) ∈ Y, where the second equality follows from Proposition 11.129;
and the last equality follows from Proposition 11.135. Note that P ◦ ν1 +
P ◦ ν2 + P ◦ ν̄ is a σ-finite measure on (X, B) by Proposition 11.133. By
Proposition 11.134, we have ν̄ = ν1 + ν2 . Hence, by Proposition 11.159,
d(ν1 +ν2 )
dµ = f1 + f2 a.e. in X .
(iv) Note that Af1 : X → R ( A ) ⊆ Z, where R ( A ) is a separable
subspace of Z since Y is separable. By Proposition 11.146, Af1 is a Radon-
Nikodym derivative of a σ-finite Z-valued measure ν̄ on (X, B) with respect
R
to µ. ∀E ∈ B with (P ◦ ν1 + P ◦ ν̄)(E) < ∞, then P ◦ ν1 (E) = E P ◦
f1 dP ◦ µ < ∞. This implies that f1 |E is absolutely integrable over E :=
(E, BE , µE ), which is the IK-valued measure subspace of X . Then, ν̄(E) =
R R
E
(Af1 ) dµ = A E f1 dµ = Aν1 (E) = (Aν1 )(E) ∈ Z, where the second
equality follows from Proposition 11.129; and the last equality follows from
Proposition 11.135. Note that P ◦ ν1 + P ◦ ν̄ is a σ-finite measure on (X, B)
by Proposition 11.133. By Proposition 11.134, we have ν̄ = Aν1 . Hence,
Af1 is a Radon-Nikodym derivative of Aν1 with respect to µ.
(v) and (vi) follows immediately from (iv) and Proposition 11.159.
(vii) By Proposition 11.146, f1 f¯ is a Radon-Nikodym derivative of a
σ-finite Y-valued measure ν̄ on (X, B) with respect toR µ1 . ∀E ∈ B with
(P◦µ+P◦µ1R+P◦ν1 +P◦ ν̄)(E) < ∞, Rthen P◦ν1 (E) = E P◦f1 dP◦µ < ∞,
P ◦ ν̄(E)R = E P ◦ (f1 f¯R) dP ◦ µ1 = E (P ◦ f1 ) (P ◦ f¯) dP ◦ µ1 < ∞, and
ν̄(E) = E (f1 f¯) dµ1 = E f1 dµ = ν1 (E) ∈ Y, where the second equality
follows from (ii). Note that P ◦ µ + P ◦ µ1 + P ◦ ν1 + P ◦ ν̄ is a σ-finite
measure on (X, B) by Proposition 11.133. By Proposition 11.134, we have
ν̄ = ν1 . Hence, by Proposition 11.159, dµdν1
1
= f1 f¯ a.e. in X1 .
(viii) “Necessity” Let dµ ˆ¯ dµ1 ˆ¯ ¯
dµ = f a.e. in X . By (vii), dµ1 = f f a.e. in X1 .
1
Clearly, the constant function 1 of X is a Radon-Nikodym derivative of µ1

with respect to µ1 . By Proposition 11.159, we have fˆ¯f¯ = 1 a.e. in X1 .
“Sufficiency” Let fˆ¯ be such that fˆ¯f¯ = 1 a.e. in X1 . By Proposi-
tion 11.146, fˆ¯ is a Radon-Nikodym derivative of a σ-finite IK-valued mea-
sure µ̄ on (X, B) with respect to µ. ∀E ∈ B with (P ◦ µ1 + P ◦ µ̄)(E) < ∞,
R R R
µ̄(E) = E fˆ¯ dµ = E (fˆ¯f¯) dµ1 = E 1 dµ1 = µ1 (E) ∈ IK, where the second
equality follows from (ii); the third equality follows from Proposition 11.80;
and the last equality follows from Proposition 11.73. By Proposition 11.134,
we have µ̄ = µ1 . Then, by Proposition 11.159, dµ ˆ¯
dµ = f a.e. in X .
1

Theorem 11.161 (Radon-Nikodym) Let X := (X, B, µ) be a σ-finite
measure space, ν be a σ-finite IR-valued measure on (X, B). Assume that
P ◦ ν ≪ µ. Then, there exists f : X → IR such that f is the Radon-
Nikodym derivative of ν with respect to µ. The function f is unique in
the sense that g : X → IR is another function with this property if, and
dν
only if, g is B-measurable and f = g a.e. in X . Hence, dµ = f a.e. in X .
Furthermore, when ν is a σ-finite measure on (X, B), then we may take
f : X → [0, ∞) ⊂ IR.
Proof We will show the existence of f in three steps. First, consider
the special case that X
is a finite measure space
and ν is a finite measure on
(X,R B). Define F := f : X → [0, ∞) ⊂ I
R f is B-measurable, and ∀A ∈

B, A f dµ ≤ ν(A)R . Clearly, the identically 0 function belongs to F = 6 ∅.
Let λ := supf ∈F X f dµ ∈ IRe . Then, λ ≥ 0. Clearly, λ ≤ ν(X) < +∞,
by the definition of F . ∀f1 , f2 ∈ F, by Propositions 11.38, 11.39, 7.23,
f1 − f2 is B-measurable. Then, B := { x ∈ X | f1 (x) − f2 (x) > 0 } ∈ B
and C := { x ∈ X | f1 (x) − f2 (x) ≤ 0 } ∈ B. Clearly, B = X \ C.
By Proposition R 11.40, f1 ∨ f2 Ris B-measurable. ∀A R ∈ B, by Propo-
sition 11.87, A (f1 ∨ f2 ) dµ = A∩B (f1 ∨ f2 ) dµ + A∩C (f1 ∨ f2 ) dµ =
R R
f1 dµ + A∩C f2 dµ ≤ ν(A ∩ B) + ν(A ∩ C) = ν(A). Therefore,
A∩B ∞
f1 ∨f2 ∈ F. By the definition of λ, there exists f¯n n=1 ⊆ F such that λ =
R Wn
limn∈IN X f¯n dµ. ∀n ∈ IN, let fñ := i=1 f¯i ∈ F. Then, fñ (x) ≤ fñ+1 (x),
R∀x ∈ X, ∀nR ∈ IN. By Proposition 11.76 andR the definition of λ, we have
f¯ dµ ≤ X fñ dµ ≤ λ. Then, λ = limn∈IN X fñ dµ ∈ [0, ν(X)] ⊂ IR. By
X n
Proposition 11.79, ∃f : X → [0,R ∞) ⊂ IR, which Ris B-measurable, such that
limn∈IN fñ = f a.e. in X and X f dµ = limn∈INR X fñ dµ = R λ. ∀A ∈ B, by
Monotone Convergence Theorem 11.78, we have A f dµ = X (f χA,X ) dµ =
R R
limn∈IN X (fñ χA,X ) dµ = limn∈IN A fñ dµ ≤ ν(A). Then, f ∈ F. Clearly,
f is integrable over X .
R
Claim 11.161.1 ν(E) = E
f dµ, ∀E ∈ B.
R
Proof of claim: Suppose that ∃E0 ∈ B such that ν(E0 ) > E0 f dµ ≥ 0.
R
Then, ∃ǫ0 > 0 such that ν(E0 ) > ǫ0 µ(E0 ) + E0 f dµ. Define ν̄ : B → IR
R
by ν̄(E) = ν(E) − ǫ0 µ(E) − E f dµ. By Propositions 11.113 and 11.133, ν̄
is a finite IR-valued measure with ν̄(E0 ) ∈ (0, ∞) ⊂ IR. By Lemma 11.152,
∃A0 ∈ B with A0 ⊆ E0 such that A0 is a positive set for ν̄ with ν̄(A0 ) ∈
(0, ∞) ⊂ IR. Clearly, 0 < ν̄(A0 ) ≤ ν(A0 ). By ν ≪ µ and µ is finite,
we have µ(A0 ) ∈ (0, ∞) ⊂R IR. ∀E ∈ B,R ν(E) = ν(E ∩ A0 ) + ν(E R\ A0 ) ≥
ν̄(E ∩A0 )+ ǫ0 µ(E ∩A0 )+ E∩A0 f dµ+ E\A0 f dµ ≥ ǫ0 µ(E ∩A0 )+ E f dµ,
where the last inequality follows from Proposition 11.87. Let f1 := ǫ0 χA0 ,X .
R Propositions R11.38, 11.39,
By R and 7.23, R f + f1 is B-measurable. ∀E ∈ B,
E
(f + f1 ) dµ = E f dµ + E f1 dµ = E f dµ + ǫ0 µ(E ∩ A0 ) ≤ ν(E), where
the first equality follows from Proposition 11.87; and the Rsecond equality
follows
R R Proposition 11.73. Hence, f + f1 ∈ F. Then, X (f + f1 ) dµ =
from
X f dµ + X f1 dµ = λ + ǫ0 µ(A0 ) > λ. This contradicts with the definition
of λ. Therefore, the claim holds. 2
Hence, f is a Radon-Nikodym derivative of ν with respect to µ. This
special case is proved.
Next step, we consider the case when X isSa σ-finite measure space and ν
∞ ∞
is a σ-finite measure on (X, B). Then, X = n=1 Xn where ( Xn )n=1 ⊆ B,
ν(Xn ) < +∞, and µ(Xn ) < +∞, ∀n ∈ IN. Without loss of generality,
we may assume that Xn ’s are pairwise disjoint. ∀n ∈ IN, let (Xn , Bn , µn )
be the finite measure subspace of X and (Xn , Bn , νn ) be the finite mea-
sure subspace of (X, B, ν) as defined in Proposition 11.13. By ν ≪ µ, we
have νn ≪ µn . Then, by the first step, R∃f¯n : Xn → [0, ∞) ⊂ IR such
that f¯n is Bn -measurable and νn (En ) = En f¯n dµn , ∀En ∈ Bn . Define
f : X → [0, ∞) ⊂ IR by f (x) = f¯n (x), ∀x ∈ Xn , ∀n P∞∈ IN. By Propo-
sition
P∞ 11.41, f is B-measurable.
P∞ R ∀E ∈ B, ν(E) = R n=1 ν(E ∩ Xn ) =
∩ ¯n dµn = P∞
P∞
ν
n=1 R n (E X n ) =
R n=1 E∩Xn
f n=1 E∩Xn f |Xn dµn =
n=1 E∩Xn f dµ = E f dµ, where the fifth and sixth equalities follow
from Proposition 11.87. Hence, f is a Radon-Nikodym derivative of ν with
respect to µ.
The third step, we consider the case when X is a σ-finite measure space
and ν is an σ-finite IR-valued measure on (X, B). By Jordan Decompo-
sition Theorem 11.155, there exists a pair of mutually singular σ-finite
measures ν+ and ν− on (X, B) such that ν = ν+ − ν− and P ◦ ν = ν+ + ν− .
By P ◦ ν ≪ µ, we have ν+ ≪ µ and ν− ≪ µ. By the second step,
∃f+ : X → [0, ∞) ⊂ IR and ∃f− : X → [0, ∞) ⊂ IR such that f+
and f− are Radon-Nikodym derivatives of ν+ and ν− with respect to µ,
respectively. Let fR := f+ − Rf− . ∀E ∈ dom ( ν ), we haveR P ◦ ν(E) =
R + ν− (E) = E f+ dµ + E f− dµ < ∞. This leads to E f+ dµ < ∞
ν+ (E)
and E f− dµ < ∞. Then, f+ |E and f− |E are (absolutely) integrable over
E := (E, BE , µE ), which is R measure Rsubspace of X . Then,
R the σ-finite
ν(E) = ν+ (E) − ν− (E) = E f+ dµ − E f− dµ = E f dµ ∈ IR, where the
third equality follows from Proposition 11.90. By Proposition 11.113, f is
the Radon-Nikodym derivative of a σ-finite IR-valued measure ν̄ on (X, B)
with respect to µ. The above shows that ν̄(E) = ν(E) ∈ IR, ∀E ∈ dom ( ν ).
By Proposition 11.134, we have ν̄ = ν. Hence, f is a Radon-Nikodym
derivative of ν with respect to µ.
This completes the three steps to show the existence of f . The unique-
ness of f follows directly from Proposition 11.159. This completes the proof
of the theorem. 2
Proposition 11.162 Let X := (X, B) be a measurable space, Y be a sep-
arable normed linear space over IK, and f : X → Y. Assume that Y∗ is
separable, D∗ ⊆ Y∗ is a countable dense set, and, ∀y∗ ∈ D∗ , fy∗ : X → IK
defined by fy∗ (x) = hh y∗ , f (x) ii, ∀x ∈ X, is B-measurable. Then, f is
B-measurable.
Proof Let D ⊆ Y be a countable dense set. By Proposition 4.4, Y is
second countable with a countable basis E := { BY ( y0 , r ) | y0 ∈ D, r ∈
Q, r > 0 }. By Proposition 11.34, all we need to show is that ∀BY ( y0 , r ) ∈
E, V := f inv(BY ( y0S , r )) ∈TB. ∃N ∈ IN such that r > 1/N . We will
∞
show that V = U := n=N y∗ ∈D∗ , y∗ 6=ϑY∗ fy∗ inv(BIK ( hh y∗ , y0 ii , k y∗ k (r−
1/n ))) ∈ B. ∀n ∈ IN with n ≥ N , ∀y∗ ∈ D∗ with y∗ 6= ϑY∗ , fy∗
is B-measurable implies that fy∗ inv(BIK ( hh y∗ , y0 ii , k y∗ k (r − 1/n) )) ∈ B.
Hence, U ∈ B.
∀x ∈ V , we have k f (x) − y0 k < r. Then, ∃n ∈ IN with n ≥ N such
that k f (x) − y0 k < r − 1/n. ∀y∗ ∈ D∗ with y∗ 6= ϑY∗ , we have | fy∗ (x) −
hh y∗ , y0 ii | = | hh y∗ , f (x) − y0 ii | ≤ k y∗ k k f (x) − y0 k < k y∗ k (r − 1/n).
Hence, x ∈ fy∗ inv(BIK ( hh y∗ , y0 ii , k y∗ k (r − 1/n) )). Then, x ∈ U . By the
arbitrariness of x, we have V ⊆ U .
On the other hand, ∀x ∈ U , ∃n ∈ IN with n ≥ N , ∀y∗ ∈ D∗ with y∗ 6=
ϑY∗ , we have | fy∗ (x) − hh y∗ , y0 ii | < k y∗ k (r − 1/n). Then, | hh y∗ , f (x) −
y0 ii | < k y∗ k (r − 1/n). If f (x) = y0 , then x ∈ V . If f (x) 6= y0 , by
Proposition 7.85, ∃y∗0 ∈ Y∗ with k y∗0 k = 1 such that k f (x) − y0 k =
hh y∗0 , f (x) − y0 ii. Since D∗ is dense in Y∗ , then, by Proposition 4.13,
∞
∃ ( y∗i )i=1 ⊆ D∗ that converges to y∗0 . Without loss of generality, assume
y∗i 6= ϑY∗ , ∀i ∈ IN. By Propositions 3.66, 3.67, 7.21, and 7.72, we have
k f (x) − y0 k = limi∈IN | hh y∗i , f (x) − y0 ii | ≤ limi∈IN k y∗i k (r − 1/n) = r −
1/n < r. Hence, x ∈ V . This implies that U ⊆ V .
Hence, V = U ∈ B. This completes the proof of the proposition. 2
Theorem 11.163 (Radon-Nikodym) Let X := (X, B, µ) be a σ-finite

IK-valued measure space, Y be a separable reflexive Banach space over IK, ν
be a σ-finite Y-valued measure on (X, B). Assume that P ◦ ν ≪ P ◦ µ and
Y∗ is separable. Then, there exists f : X → Y such that f is the Radon-
Nikodym derivative of ν with respect to µ. The function f is unique in the
sense that g : X → Y is another function with this property if, and only if,
dν
g is B-measurable and f = g a.e. in X . Hence, dµ = f a.e. in X .
Proof First, we consider the special case when X is a σ-finite measure

space and Y = C. By Proposition 11.157, ν = νr + iνi , where νr and νi
are σ-finite IR-valued measures on (X, B), and max{P ◦ νr (E), P ◦ νi (E)} ≤
P ◦ ν(E) ≤ P ◦ νr (E) + P ◦ νi (E), ∀E ∈ B. Then, P ◦ ν ≪ µ implies
that P ◦ νr ≪ µ and P ◦ νi ≪ µ. By Radon-Nikodym Theorem 11.161,
there exist fr : X → IR and fi : X → IR such that dν dµ = fr a.e. in X
r
and dνi
dµ = fi a.e. in X .
dν
By Proposition 11.160, we have dµ = d(νrdµ
+iνi )
=
dνr dνi
dµ + i dµ = fr + ifi =: f : X → C a.e. in X . This completes the proof of
the special case.
Next, we consider the special case when X is a σ-finite measure space.
∀y∗ ∈ Y∗ , define νy∗ to be the σ-finite IK-valued measure on (X, B) such
that νy∗ (E) = hh y∗ , ν(E) ii, ∀E ∈ dom ( ν ), as shown in Proposition 11.135.
Then, by Proposition 11.135, P ◦ νy∗ ≤ k y∗ k P ◦ ν. Then, P ◦ νy∗ ≪ µ since
P ◦ ν ≪ µ. By Radon-Nikodym Theorem 11.161 and the special case,
dν
∃! fy∗ : X → IK such that dµy∗ = fy∗ a.e. in X . ∀y∗1 , y∗2 ∈ Y∗ , ∀α, β ∈ IK,
∀E ∈ dom ( ν ), we have E ∈ dom R ( νy∗1 ) ∩ dom ( νy∗2 ) ∩ dom ( ναy∗1 +βy∗2 ).
Then, IK ∋ ναy∗1 +βy∗2 (E) = E fαy∗1 +βy∗2 dµ = hh αy∗1 + βy∗2 R , ν(E) ii =
α Rhh y∗1 , ν(E) ii
R + β hh y ∗2 , ν(E) ii = ανy (E)
∗1 R + βνy ∗2 (E) = α f R dµ +
E y∗1
β E fy∗2 dµ, E P ◦ fαy∗1 +βy∗2 dµ < ∞, E P ◦ fy∗1 dµ < ∞, and E P ◦
fy∗2 dµ < ∞. Then, fy∗1 |E and fy∗2 |E are absolutely integrable over
E := (E, BE , µE ), which is the σ-finite measure R subspace of X .RBy Propo-
sition 11.90, we have ναy∗1 +βy∗2 (E) = E fαy∗1 +βy∗2 dµ = E (αfy∗1 +
βfy∗2 ) dµ ∈ IK, ∀E ∈ B with P ◦ ν(E) < ∞. By Propositions 11.113 and
11.134, αfy∗1 + βfy∗2 is the Radon-Nikodym derivative of ναy∗1 +βy∗2 with
respect to µ. Then, by Radon-Nikodym Theorem 11.161 and the special
case,
fαy∗1 +βy∗2 = αfy∗1 + βfy∗2 a.e. in X ; ∀y∗1 , y∗2 ∈ Y∗ , ∀α, β ∈ IK
Note that P ◦ ν is a σ-finite measure on (X, B) and P ◦ ν ≪ µ. Again,

by Radon-Nikodym Theorem 11.161, ∃! fˆ : X → [0, ∞) ⊂ IR such that
R
dP◦ν
dµ = fˆ a.e. in X . This yields P ◦ ν(E) = E fˆ dµ, ∀E ∈ B. ∀y∗ ∈
R
Y∗ , by Propositions 11.113 and 11.135, P ◦ νy∗ (E) = E (P ◦ fy∗ ) dµ ≤
(k y∗ k P ◦ ν)(E), ∀E ∈ B. When k y∗ k > 0, P ◦ νy∗ (E) ≤ (k y∗ k P ◦
R R
ν)(E) = k y∗ k P ◦ ν(E) = k y∗ k E fˆ dµ = E (k y∗ k fˆ) dµ, where the first
equality follows from Proposition 11.133; and the thirdRequality follows from
Proposition 11.80. When k y∗ k = 0, P ◦νy∗ (E) ≤ 0 = E (k y∗ k fˆ) dµ, where
the first inequality follows from Proposition 11.135; and the
R second equality
follows from Proposition 11.73. Hence, P ◦ νy∗ (E) = E (P ◦ fy∗ ) dµ ≤
R
E
(k y∗ k fˆ) dµ, ∀E ∈ B. Then, by Propositions 11.93,
P ◦ fy∗ ≤ k y∗ k fˆ a.e. in X ; ∀y∗ ∈ Y∗
Let IKQ := Q if IK = IR and IKQ := { α + iβ ∈ C | α, β ∈ Q } if IK = C.

Clearly, IKQ is a countable dense set in IK.
Pn
Let D ⊆ Y∗ be a countable dense set and D̂ := { i=1 αi y∗i ∈ Y∗ | n ∈
Z+ , α1 , . . . , αn ∈ IKQ , y∗1 , . . . , y∗n ∈ D }. Then, D̂ ⊆ Y∗ is also a countable
dense set. Note that, ∀y∗1 , y∗2 ∈ D̂, ∀α, β ∈ IKQ , we have αy∗1 + βy∗2 ∈ D̂.
Define

E0 := x ∈ X ∃y∗1 , y∗2 ∈ D̂, ∃α, β ∈ IKQ ∋· fαy∗1 +βy∗2 (x) 6=

αfy (x) + βfy (x) or | fy (x) | > k y∗1 k fˆ(x)
∗1 ∗2 ∗1
Then, E0 ∈ B and µ(E0 ) = 0.

fαy∗1 +βy∗2 (x) = αfy∗1 (x) + βfy∗2 (x); (11.4)

∀x ∈ X \ E0 , ∀y∗1 , y∗2 ∈ D̂, ∀α, β ∈ IKQ
and
| fy∗ (x) | ≤ k y∗ k fˆ(x); ∀x ∈ X \ E0 , ∀y∗ ∈ D̂ (11.5)
∞
∀x ∈ X \ E0 , ∀y∗ ∈ Y∗ , by Proposition 4.13, ∃ ( y∗i )i=1 ⊆ D̂ that converges
to y∗ . Then, this sequence is a Cauchy sequence. By (11.4) and (11.5),
∞
( fy∗i (x) )i=1 ⊆ IK is a Cauchy sequence and admits limit F (x, y∗ ) ∈ IK. It
should be clear that F (x, y∗ ) is independent of the choice of the sequence
∞ ∞
( y∗i )i=1 , since let ( ȳ∗i )i=1 ⊆ D̂ be any sequence converging to y∗ , the com-
bined sequence (y∗1 , ȳ∗1 , y∗2 , ȳ∗2 , . . .) ⊆ D̂ converges to y∗ . Therefore, the
sequence (fy∗1 (x), fȳ∗1 (x), fy∗2 (x), fȳ∗2 (x), . . .) ⊆ IK is a Cauchy sequence
and admits a limit, which has to equal to F (x, y∗ ). Then, ∀x ∈ X \ E0 ,
∀y∗ ∈ Y∗ , F (x, y∗ ) ∈ IK. ∀x ∈ X \ E0 , ∀ȳ∗ ∈ D̂, F (x, ȳ∗ ) = fȳ∗ (x).
∞
∀x ∈ X \ E0 , ∀y∗1 , y∗2 ∈ Y∗ , ∀α, β ∈ IK, ∃ ( ȳ∗1,i )i=1 ⊆ D̂ that con-
verges to y∗1 , ∃ ( ȳ∗2,i )i=1 ⊆ D̂ that converges to y∗2 , ∃ ( αi )∞
∞
i=1 ⊆ IKQ
∞
that converges to α, and ∃ ( βi )i=1 ⊆ IKQ that converges to β. By
Propositions 7.23, 3.66, and 3.67, we have limi∈IN (αi ȳ∗1,i + βi ȳ∗2,i ) =
αy∗1 + βy∗2 , where the sequence on the left-hand-side is contained in
D̂. This implies that F (x, αy∗1 + βy∗2 ) = limi∈IN fαi ȳ∗1,i +βi ȳ∗2,i (x) =
limi∈IN (αi fȳ∗1,i (x) + βi fȳ∗2,i (x)) = αF (x, y∗1 ) + βF (x, y∗2 ), where the sec-
ond equality follows from (11.4); and the last equality follows from Proposi-

tions 7.23, 3.66, and 3.67. Furthermore, | F (x, y∗1 ) | = limi∈IN fȳ∗1,i (x) ≤
limi∈IN k ȳ∗1,i k fˆ(x) = k y∗1 k fˆ(x), where the inequality follows from (11.5);
and the last equality follows from Propositions 3.66 and 7.21. Hence,
∀x ∈ X \ E0 , F (x, ·) : Y∗ → IK is a bounded linear functional on Y∗ . Since
Y is reflexive, then ∃f (x) ∈ Y such that F (x, y∗ ) = hh y∗ , f (x) ii, ∀y∗ ∈ Y∗
and k f (x) k ≤ fˆ(x). Therefore, we may define f : X → Y by assigning
f (x) = ϑY , ∀x ∈ E0 .
∀y∗ ∈ Y∗ , define Fy∗ : X → IK by Fy∗ (x) = hh y∗ , f (x) ii, ∀x ∈ X. Fix
any ȳ∗ ∈ D̂. Then, ∀x ∈ X \ E0 , Fȳ∗ (x) = hh ȳ∗ , f (x) ii = F (x, ȳ∗ ) = fȳ∗ (x)
and, ∀x ∈ E0 , Fȳ∗ (x) = hh ȳ∗ , f (x) ii = 0. By Proposition 11.41, Fȳ∗ is
B-measurable. By the arbitrariness of ȳ∗ and Proposition 11.162, f is B-
measurable.
Claim 11.163.1 ∀y∗0 ∈ Y∗ , fy∗0 (x) = hh y∗0 , f (x) ii a.e. x ∈ X .
Proof of claim: ˆ := Pn α y ∈ Y∗ n ∈
Let D̄ := D ∪{y∗0 } and D̄ i=1 i ∗i
ˆ ⊆ Y∗ is also a countable
Z , α , . . . , α ∈ IK , y , . . . , y ∈ D̄ . Then, D̄
+ 1 n Q ∗1 ∗n
ˆ . Define
dense set and D̂ ⊆ D̄
ˆ , ∃α, β ∈ IK ∋· f
E1 := x ∈ X ∃y∗1 , y∗2 ∈ D̄ Q αy∗1 +βy∗2 (x) 6=

αfy (x) + βfy (x) or | fy (x) | > k y∗1 k fˆ(x)
∗1 ∗2 ∗1
Then, E1 ∈ B, µ(E1 ) = 0 and E0 ⊆ E1 .

∀x ∈ X \ E1 , ∀y∗1 , y∗2 ∈ D̄ ˆ , ∀α, β ∈ IK , we have f
Q αy∗1 +βy∗2 (x) =
ˆ
αfy∗1 (x) + βfy∗2 (x) and | fy∗1 (x) | ≤ k y∗1 k f (x). By Proposition 4.13,
∞
∃ ( y∗i )i=1 ⊆ D̄ ˆ that converges to y . Then, this sequence is a Cauchy se-
∗0
∞
quence. By the above, ( fy∗i (x) )i=1 ⊆ IK is a Cauchy sequence and admits
limit F̄ (x, y∗0 ) ∈ IK. It should be clear that F̄ (x, y∗0 ) is independent of the
choice of the sequence ( y∗i )∞ ∞
i=1 . Two particular sequences ( ȳ∗i )i=1 ⊆ D̂
converging to y∗0 and (y∗0 , y∗0 , . . .) ⊆ D̄ ˆ leads to f (x) = F̄ (x, y ) =
y∗0 ∗0
F (x, y∗0 ). Therefore, fy∗0 (x) = F (x, y∗0 ) = hh y∗0 , f (x) ii = Fy∗0 (x),
∀x ∈ X \ E1 . Note that fy∗0 is B-measurable and, by Propositions 7.72 and
11.38, Fy∗0 is B-measurable. Then, E1 ⊇ { x ∈ X | fy∗0 (x) 6= Fy∗0 (x) } =
{ x ∈ X | | fy∗0 (x) − Fy∗0 (x) | > 0 } ∈ B. Hence, fy∗0 = Fy∗0 a.e. in X .
Therefore, the claim holds. 2
Note that P ◦ f (x) ≤ fˆ(x), ∀x ∈ X, and P ◦ f is B-measurable,
by Propositions 7.21 and 11.38. ∀E ∈ dom ( ν ), we have P ◦ ν(E) =
R R
ˆ
E f dµ <R ∞. This implies that E P ◦ f dµ < ∞. By Proposition 11.90,
we have E f dµ ∈ Y. ∀y∗ ∈ Y∗ , P ◦ νy∗ (E) ≤R (k y∗ k P ◦ ν)(E) R < ∞,
E
R ∈ dom ( νy∗ ), and hh y ,

∗ Rν(E) ii = ν
y∗ (E) = f
E y∗
dµ = F
E y∗
dµ =
E
hh y ∗ , f (x) ii dµ(x) = y ,
∗ E f dµ , where the last three equalities
R fol-
low from Proposition 11.90. Hence, by Proposition 7.85, ν(E) = E f dµ ∈
Y, ∀E ∈ dom ( ν ). Hence, f is a Radon-Nikodym derivative of ν with respect

dν
to µ. By Proposition 11.159, f is unique as desired and dµ = f a.e. in X .
Finally, we consider the general case. Let X̄ := (X, B, P ◦ µ), which is a
σ-finite measure space. By the second special case, ∃! f1 : X → Y such that
dν ¯
dP◦µ = f1 a.e. in X . Again by the second special case, ∃! f2 : X → IK such
dµ
that dP◦µ = f2 a.e. in X̄ . By Definition 11.158, dP◦µ
dP◦µ = P ◦ f2 a.e. in X̄ .
Clearly, the constant function 1 is the Radon-Nikodym derivative of P ◦ µ
with respect to P ◦ µ. Then, P ◦ f2 = 1 a.e. in X¯ and ∃f3 : X → IK such
that f3 f2 = 1 a.e. in X̄ . By Proposition 11.160, dP◦µ
dµ = f3 a.e. in X and

dν dν dP◦µ
dµ = dP◦µ dµ = f1 f3 =: f : X → Y a.e. in X .
Theorem 11.164 (Lebesgue Decomposition) Let X := (X, B, µ) be a

σ-finite measure space, Y be a normed linear space, and ν be a σ-finite
Y-valued measure on (X, B). Then, there exists a unique pair of σ-finite
Y-valued measures ν0 and ν1 on (X, B) such that P ◦ ν0 ⊥ µ, P ◦ ν1 ≪ µ,
ν = ν0 + ν1 , and P ◦ ν = P ◦ ν0 + P ◦ ν1 . Furthermore, the following
statements hold.
(i) if ν is a finite Y-valued measure on (X, B), then ν0 and ν1 are finite
Y-valued measures on (X, B).
(ii) if ν is a σ-finite measure on (X, B), then ν0 and ν1 are σ-finite mea-
sures on (X, B).
(iii) if ν is a finite measure on (X, B), then ν0 and ν1 are finite measures
on (X, B).
Proof Let λ := µ+P◦ν. By Proposition 11.133, λ is a σ-finite measure

on (X, B). Let X¯ := (X, B, λ). Clearly, we have µ ≪ λ and P ◦ ν ≪ λ. By
Radon-Nikodym Theorem 11.161, ∃f : X → [0, ∞) ⊂ IR such that Rf is the
Radon-Nikodym derivative of µ with respect to λ. Then, µ(E) = E f dλ,
∀E ∈ B. Let A := { x ∈ X | f (x) > 0 } ∈ B and B := { x ∈ X | f (x) =
R0 } ∈ B. Then, A ∩ B = ∅ and A ∪ B = X. By Proposition 11.73, µ(B) =
B
f dλ = 0. Define ν0 to be a function from B to Y by: ν0 (E) is undefined,
∀E ∈ B with E ∩ B ∈ B \ dom ( ν ); and ν0 (E) = ν(E ∩ B) ∈ Y, ∀E ∈ B
with E ∩ B ∈ dom ( ν ). Define ν1 to be a function from B to Y by: ν1 (E) is
undefined, ∀E ∈ B with E ∩ A ∈ B \ dom ( ν ); and ν1 (E) = ν(E ∩ A) ∈ Y,
∀E ∈ B with E∩A ∈ dom ( ν ). By Proposition 11.149, ν0 and ν1 are σ-finite
Y-valued measures on (X, B) such that ν = ν0 + ν1 , P ◦ ν = P ◦ ν0 + P ◦ ν1 ,
P ◦ ν0 (E) = P ◦ ν(E ∩ B), and P ◦ ν1 (E) = P ◦ ν(E ∩ A), ∀E ∈ B. This
implies that P ◦ ν0 (A) = P ◦ ν(A ∩ B) R = 0. Then, P ◦ ν0 ⊥ µ.
∀E ∈ B with µ(E) = 0, we have E f dλ = 0. Let Ē := (E, BE , λE ) be
the σ-finite measure subspace of X̄ as defined in Proposition 11.13. Then,
by Proposition 11.93, we have f = 0 a.e. in Ē. Then, λ(E ∩ A) = 0 and
P ◦ ν(E ∩ A) = P ◦ ν1 (E) = 0. Hence, P ◦ ν1 ≪ µ. This shows that ν0 and

ν1 is the pair of σ-finite Y-valued measures on (X, B) that we seek.
Next, we show the uniqueness of the pair ν0 and ν1 . Let ν̂0 and ν̂1 be
another pair of σ-finite Y-valued measures on (X, B) such that P ◦ ν̂0 ⊥ µ,
P ◦ ν̂1 ≪ µ, ν = ν̂0 + ν̂1 , and P ◦ ν = P ◦ ν̂0 + P ◦ ν̂1 . Then, ∃Â, B̂ ∈ B with
Â = X\B̂ such that P◦ν̂0 (Â) = µ(B̂) = 0. ∀E ∈ B with λ(E) < ∞, we have
µ(E) < ∞, P ◦ ν(E) = P ◦ ν0 (E) + P ◦ ν1 (E) = P ◦ ν̂0 (E) + P ◦ ν̂1 (E) < ∞.
Then, ν̂0 (E) = ν̂0 (E ∩ Â)+ ν̂0 (E ∩ B̂) = ν̂0 (E ∩ B̂) = ν̂0 (E ∩ B̂)+ ν̂1 (E ∩ B̂) =
ν(E ∩ B̂) = ν0 (E ∩ B̂) + ν1 (E ∩ B̂) + ν̂0 (E ∩ Â ∩ B) + ν̂1 (E ∩ Â ∩ B) =
ν0 (E ∩ B̂) + ν(E ∩ Â ∩ B) = ν0 (E ∩ B̂) + ν0 (E ∩ Â) = ν0 (E) ∈ Y, where the
second equality follows from the fact that P ◦ ν̂0 (Â) = 0; the third equality
follows from µ(B̂) = 0 and P ◦ ν̂1 ≪ µ; the fifth equality follows from the
fact that P ◦ ν̂0 (Â) = 0, µ(B) = 0 and P ◦ ν̂1 ≪ µ; and the sixth equality
follows from the fact that µ(B̂) = 0 and P ◦ ν1 ≪ µ. We also have ν̂1 (E) =
ν̂1 (E ∩ Â) + ν̂1 (E ∩ B̂) = ν̂1 (E ∩ Â) = ν̂1 (E ∩ Â) + ν̂0 (E ∩ Â) = ν(E ∩ Â) =
ν0 (E ∩ Â) + ν1 (E ∩ Â) = ν(E ∩ Â ∩ B) + ν1 (E ∩ Â) = ν̂0 (E ∩ Â ∩ B) + ν̂1 (E ∩
Â ∩B)+ ν1 (E ∩ Â) = ν1 (E ∩ Â) = ν1 (E ∩ Â)+ ν1 (E ∩ B̂) = ν1 (E) ∈ Y where
the second equality follows from the fact that µ(B̂) = 0 and P ◦ ν̂1 ≪ µ;
the third equality follows from P ◦ ν̂0 (Â) = 0; the eighth equality follows
from the fact that P ◦ ν̂0 (Â) = 0, µ(B) = 0, and P ◦ ν̂1 ≪ µ; and the
ninth equality follows from the fact that µ(B̂) = 0 and P ◦ ν1 ≪ µ. By
Proposition 11.134, we have ν̂0 = ν0 and ν̂1 = ν1 . Hence, the pair ν0 and
ν1 is unique.
(i) If ν is finite, then P ◦ ν(X) = P ◦ ν0 (X) + P ◦ ν1 (X) < ∞. Then, ν0
and ν1 are finite.
(ii) If ν is a σ-finite measure on (X, B), by Proposition 11.132, it is
identified with a σ-finite IR-valued measure ν̄ on (X, B) such that ν̄(E) ∈
[0, ∞) ⊂ IR, ∀E ∈ dom ( ν̄ ). By the general case, there exists a pair of
σ-finite IR-valued measures ν̄0 and ν̄1 on (X, B) that satisfies the desired
properties. By the proof of the general case, ν̄0 (E) ∈ [0, ∞) ⊂ IR, ∀E ∈
dom ( ν̄0 ), and ν̄1 (E) ∈ [0, ∞) ⊂ IR, ∀E ∈ dom ( ν̄1 ). By Proposition 11.132,
ν̄0 and ν̄1 are identified with σ-finite measures ν0 and ν1 , respectively. Then,
ν0 = P ◦ ν̄0 ⊥ µ, ν1 = P ◦ ν̄1 ≪ µ, and ν = P ◦ ν̄ = P ◦ ν̄0 + P ◦ ν̄1 = ν0 + ν1 .
Then, ν0 and ν1 are σ-finite measures on (X, B).
(iii) If ν is a finite measure on (X, B), then, by (i) and (ii), ν0 and ν1
are finite measures on (X, B).
11.9 Lp Spaces
Example 11.165 Let p ∈ [1, ∞) ⊂ IR, X := (X, B, µ) be a σ-finite mea-
sure space, Y be a separable normed linear space over IK, and (M(X , Y), IK)
be the vector space of functions of X to Y as defined in Example 6.20
with the usual vector addition, scalar multiplication, and the null vector
11.9. LP SPACES 465
ϑ. Define l : [0, ∞) ⊂ IR → [0, ∞) ⊂ IR by l(t) = tp , ∀t ∈ [0, ∞) ⊂ IR.

We will introduce the notation Pp ◦ f to denote l ◦ P ◦ f . Let Zp :=
{ f ∈ M(X , Y) | f is B-measurable and Pp ◦ f is integrable over X }. De-
R 1/p
fine k · kp : Zp → [0, ∞) ⊂ IR by k f kp = X (Pp ◦ f ) dµ , ∀f ∈ Zp . We
will next show that Zp is a subspace of (M(X , Y), IK) and k · kp defines a
pseudo-norm on Zp .
Clearly, ϑ ∈ Zp 6= ∅. ∀f, g ∈ Zp , ∀α ∈ IK, by Propositions 7.23,
11.38, and 11.39, f + g and αf are B-measurable. By Minkowski’s Inequal-
R
ity 11.166, f + g ∈ Zp and k f + g kp ≤ k f kp + k g kp . k αf kp = X (Pp ◦
1/p pR 1/p R 1/p
(αf )) dµ = | α | X (Pp ◦ f ) dµ = | α | X (Pp ◦ f ) dµ =
| α | k f kp ∈ IR, where the second equality follows from Proposition 11.90.
Hence, αf ∈ Zp .
The above shows that Zp is a subspace of (M(X , Y), IK). Hence, (Zp , IK)
is a vector space. Clearly, k ϑ kp = 0. Then, combined with the above,
we have k · kp defines a pseudo-norm on (Zp , IK). By Proposition 7.47,
the quotient space of (Zp , IK) modulo k · kp is a normed linear space, to
be denoted Lp (X , Y). We will denote the vector space (Zp , IK) with the
pseudo-norm k · kp by L̄p (X , Y).
R
∀f ∈ Zp with k f kp = 0, we have X Pp ◦f dµ = 0. By Proposition 11.93,
we have Pp ◦ f = 0 a.e. in X and f = ϑY a.e. in X . On the other hand,
∀f ∈ M(X , Y) with f = ϑY a.e. in X and f being B-measurable, then, by
Proposition 11.80, k f kp = 0 and f ∈ Zp . Hence, ∀f ∈ M(X , Y), f ∈ Zp
and k f kp = 0 if, and only if, f = ϑY a.e. in X and f is B-measurable. We
will denote the norm in Lp (X , Y) by k · kp and elements in Lp (X , Y) by [ f ],
where f ∈ L̄p (X , Y). ⋄
Theorem 11.166 (Minkowski’s Inequality) Let p ∈ [1, ∞) ⊂ IR, X :=

(X, B, µ) be a σ-finite measure space, Y be a separable normed linear space
over IK, and L̄p (X , Y) be the vector space over IK with the pseudo-norm k·kp
as defined in Example 11.165. ∀f, g ∈ L̄p (X , Y), then, f + g ∈ L̄p (X , Y) and
k f + g kp ≤ k f kp + k g kp
When 1 < p < ∞, equality holds if, and only if, ∃α, β ∈ [0, ∞) ⊂ IR, which
are not both zeros, such that αP ◦ f = βP ◦ g a.e. in X and P ◦ (f + g) =
P ◦ f + P ◦ g a.e. in X .
Proof Clearly, f and g are B-measurable. By Propositions 7.23, 11.38,

and 11.39, f + g is B-measurable. We will distinguish two exhaustive and
mutually exclusive cases: Case 1: k f kp k g kp = 0; Case 2: k f kp k g kp > 0.
Case 1: k f kp k g kp = 0. Without loss of generality, assume that k g kp = 0.
R
Then, X (Pp ◦g) dµ = 0. By Proposition 11.93, we have Pp ◦g = 0 a.e. in X .
Thus, g R= ϑY a.e. in X and fR= f + g a.e. in X . By Proposition 11.80, the
integral X (Pp ◦(f +g)) dµ = X (Pp ◦f ) dµ ∈ IR. Hence, k f +g kp = k f kp =
k f kp + k g kp ∈ IR and f + g ∈ L̄p (X , Y). Clearly, equality holds implies

α = 0, β = 1, αP◦f = βP◦g a.e. in X and P◦(f +g) = P◦f +P◦g a.e. in X .
kfkp
Case 2: k f kp k g kp > 0. Let λ := f +kgk ∈ (0, 1) ⊂ IR. ∀x ∈ X, we
k kp p
have
p p
k f (x) + g(x) k k f (x) k + k g(x) k
≤
(k f kp + k g kp )p k f kp + k g kp
p
k f (x) k k g(x) k k f (x) kp k g(x) kp
= λ + (1 − λ) ≤λ p + (1 − λ) p
k f kp k g kp k f kp k g kp
where the second inequality follows from the convexity of the function tp
on [0, ∞) ⊂ IR. In the above, when p > ‚ 1, ‚equality
‚ ‚holds if, and only if,
‚ ‚ ‚ ‚
‚f (x)‚ ‚g(x)‚
k f (x) + g(x) k = k f (x) k + k g(x) k and = kgkp .
kfkp

R (Pp ◦(f +g)) R (P ◦f )
By Proposition 11.80, we have X dµ ≤ λ p p + (1 −
(kfk +kgkp )p X kfkp
p
(Pp ◦g) R R
λ) kgk p dµ = λ p X (Pp ◦ f ) dµ + kgk1−λ
p
X (Pp ◦ g) dµ = 1. This implies
R p kfk
p
p
that X (Pp ◦ (f + g)) dµ ≤ (k f kp + k g kp )p < +∞ and k f + g kp ≤ k f kp +

k g kp . Therefore, f + g ∈ L̄p (X , Y).
Fix any p ∈ (1, +∞) ⊂ IR. By Proposition 11.94, equality holds if, and
only if, P ◦ (f + g) = P ◦ f + P ◦ g a.e. in X and P◦f = kgk P◦g
a.e. in X .
kfkp p
Equality implies that α = 1/ k f kp and β = 1/ k g kp such that αP ◦ f =

βP ◦ g a.e. in X and P ◦ (f + g) = P ◦ f + P ◦ g a.e. in X . On the other
hand, if ∃α, β ∈ [0, ∞) ⊂ IR, which are not both zeros, such that αP ◦
f = βP ◦ g a.e. in X and P ◦ (f + g) = P ◦ f + P ◦ g a.e. in X . Without
loss of generality, assume that β 6= 0. Then, P ◦ g = α1 P ◦ f a.e. in X
with α1 := α/β. It is easy to show that k g kp = α1 k f kp . This implies
that α1 = k g kp / k f kp . Then, equality holds. Hence, equality holds, if,
and only if, ∃α, β ∈ [0, ∞) ⊂ IR, which are not both zeros, such that
αP ◦ f = βP ◦ g a.e. in X and P ◦ (f + g) = P ◦ f + P ◦ g a.e. in X .
Hence, the result holds in both cases. This completes the proof of the
theorem. 2
Definition 11.167 Let X := (X, B, µ) be a measure space and f : X → IR

be B-measurable. The essential supremum of f is
ess sup f (x) := inf { M ∈ IR | µ({ x ∈ X | f (x) > M }) = 0 } ∈ IRe

x∈X

IR and g : X → IR be B-measurable. Then,
(i) ess supx∈X (f (x) + g(x)) ≤ ess supx∈X f (x) + ess supx∈X g(x);
11.9. LP SPACES 467
(ii) if f ≤ g a.e. in X , then ess supx∈X f (x) ≤ ess supx∈X g(x);
(iii) ∀α ∈ (0, ∞) ⊂ IR, ess supx∈X (αf (x)) = α ess supx∈X f (x); and ∀α ∈
[0, ∞) ⊂ IR, ess supx∈X (αf (x)) = α ess supx∈X f (x) if
ess supx∈X f (x) ∈ IR.
(iv) λ := ess supx∈X f (x) ∈ IRe . Then, f (x) ≤ λ a.e. x ∈ X .
Proof (i) We will distinguish two exhaustive and mutually exclusive

cases: Case 1: µ(X) = 0; Case 2: µ(X) > 0.
Case 1: µ(X) = 0. Then, ∀M ∈ IR, 0 ≤ µ({ x ∈ X | f (x) > M }) ≤
µ(X) = 0. Then, ess supx∈X f (x) = −∞. Similarly, ess supx∈X g(x) =
ess supx∈X (f (x) + g(x)) = −∞. Then, the (i) holds.
S∞ S∞
Case 2: µ(X) > 0. Note that n=1 An := n=1 { x ∈ X | f (x) >
−n } = X. By Proposition 11.7, ∃n ∈ IN such that µ(An ) > 0.
Then, ess supx∈X f (x) ≥ −n > −∞. Similarly, ess supx∈X g(x) > −∞
and ess supx∈X (f (x) + g(x)) > −∞. Then, λ := ess supx∈X f (x) +
ess supx∈X g(x) ∈ (−∞, +∞] ⊂ IRe . If λ = +∞, then (i) holds. On
the other hand, if λ ∈ IR, ∀M ∈ IR with λ < M , ∃M1 , M2 ∈ IR with
ess supx∈X f (x) < M1 and ess supx∈X g(x) < M2 and M1 + M2 = M .
Then, µ({ x ∈ X | f (x) > M1 }) = 0 = µ({ x ∈ X | g(x) > M2 }).
By Propositions 7.23, 11.38, and 11.39, f + g is B-measurable. Hence,
µ({ x ∈ X | f (x) + g(x) > M }) = 0 and ess supx∈X (f (x) + g(x)) ≤ M . By
the arbitrariness of M , (i) holds.
(ii) Let λ := ess supx∈X g(x) ∈ IRe . We will distinguish two exhaustive
and mutually exclusive cases: Case 1: λ = +∞; Case 2: λ < +∞. Case
1: λ = +∞. The result holds. Case 2: λ < +∞. ∀M ∈ IR with λ < M ,
µ({ x ∈ X | g(x) > M }) = 0. Then, { x ∈ X | f (x) > M } ⊆ { x ∈
X | g(x) > M } ∪ { x ∈ X | f (x) − g(x) > 0 }. By Propositions 7.23, 11.38,
and 11.39, f − g is B-measurable. Then, 0 ≤ µ({ x ∈ X | f (x) > M }) ≤
µ({ x ∈ X | g(x) > M }) + µ({ x ∈ X | f (x) − g(x) > 0 }) = 0. Hence,
ess supx∈X f (x) ≤ M . By the arbitrariness of M , the result holds.
(iii) Let α ∈ (0, +∞) ⊂ IR. Then, ess supx∈X (αf (x)) = inf { M ∈
IR | µ({ x ∈ X | αf (x) > M }) = 0 } = inf { αM ∈ IR | µ({ x ∈
X | αf (x) > αM }) = 0 } = α inf { M ∈ IR | µ({ x ∈ X | f (x) > M }) =
0 } = α ess supx∈X f (x), where the third equality follows from Proposi-
tion 3.81.
Let α = 0 and ess supx∈X f (x) ∈ IR. Then, µ(X) > 0. Then,
ess supx∈X (αf (x)) = ess supx∈X 0 = 0 = α ess supx∈X f (x).
(iv) We will distinguish three exhaustive and mutually exclusive cases:
Case 1: µ(X) = 0; Case 2: µ(X) > 0 and λ < +∞; Case 3: µ(X) > 0
and λ = +∞. Case 1: µ(X) = 0. Then, λ = −∞. Clearly, the result
holds. Case 2: µ(X) > 0 and λ < +∞. Then, λ ∈ IR. ∀n ∈ IN, µ(En ) :=
µ({ x ∈ X | f (x) > λ +S 1/n }) = 0. By Proposition 11.7, µ(E) := µ({ x ∈
∞
X | f (x) > λ }) = µ( n=1 En ) = limn∈IN µ(En ) = 0. Hence, f (x) ≤
λ a.e. x ∈ X . Case 3: µ(X) > 0 and λ = +∞. Clearly, the result holds.
Hence, (iv) holds in all three cases.
Example 11.169 Let X := (X, B, µ) be a measure space, Y be a sepa-
rable normed linear space over IK, and (M(X , Y), IK) be the vector space
of functions of X to Y as defined in Example 6.20 with the usual vec-
tor addition, scalar multiplication, and the null vector ϑ. Let Z∞ :=
{ f ∈ M(X , Y) | f is B-measurable and ess supx∈X k f (x) k < +∞ }. De-
fine k · k∞ : Z∞ → [0, ∞) ⊂ IR by k f k∞ = max{ess supx∈X k f (x) k , 0},
∀f ∈ Z∞ . We will next show that Z∞ is a subspace of (M(X , Y), IK) and
k · k∞ defines a pseudo-norm on Z∞ . Clearly, ϑ ∈ Z∞ 6= ∅. ∀f, g ∈ Z∞ ,
∀α ∈ IK, by Propositions 7.23, 11.38, and 11.39, f + g and αf are B mea-
surable. By Proposition 11.168,
k f + g k∞ = max{ess sup k f (x) + g(x) k , 0}

x∈X
≤ max{ess sup(k f (x) k + k g(x) k), 0}
x∈X
≤ max{ess sup k f (x) k + ess sup k g(x) k , 0}
x∈X x∈X

ess supx∈X k f (x) k + ess supx∈X k g(x) k if µ(X) > 0
=
0 if µ(X) = 0
≤ k f k∞ + k g k∞ < +∞
and
k αf k∞ = max{ess sup k αf (x) k , 0} = max{ess sup | α | k f (x) k , 0}

x∈X x∈X

| α | ess supx∈X k f (x) k if µ(X) > 0
= = | α | k f k∞ < +∞
0 if µ(X) = 0
Then, f + g, αf ∈ Z∞ . Hence, Z∞ is a subspace of (M(X , Y), IK). This

implies that (Z∞ , IK) is a vector space. Clearly, k ϑ k∞ = 0. Therefore, k·k∞
defines a pseudo-norm on (Z∞ , IK). By Proposition 7.47, the quotient space
of (Z∞ , IK) modulo k·k∞ is a normed linear space, to be denoted L∞ (X , Y).
We will denote the vector space (Z∞ , IK) with the pseudo-norm k · k∞ by
L̄∞ (X , Y).
∀f ∈ Z∞ with k f k∞ = 0, we have ess supx∈X k f (x) k ≤ 0. Then, by
Proposition 11.168, P ◦ f = 0 a.e. in X . Hence, f = ϑY a.e. in X . On
the other hand, ∀f ∈ M(X , Y) with f = ϑY a.e. in X and f being B-
measurable, we have k f k∞ = 0 and f ∈ Z∞ . Hence, ∀f ∈ M(X , Y),
f ∈ Z∞ and k f k∞ = 0 if, and only if, f = ϑY a.e. in X and f is B-
measurable. We will denote the norm in L∞ (X , Y) by k · k∞ and elements
in L∞ (X , Y) by [ f ], where f ∈ L̄∞ (X , Y). ⋄
.
In the following, we will write limn∈IN zn = z in L̄p (X , Y), when the
∞
sequence ( zn )n=1 ⊆ L̄p (X , Y) converges to z ∈ L̄p (X , Y) in L̄p (X , Y)
11.9. LP SPACES 469
.
pseudo-norm. We will simply write limn∈IN zn = z if there is no con-
fusion in which pseudo-norm convergence occurs. For z ∈ L̄p (X , Y),
we will denote the corresponding equivalence class in Lp (X , Y) by [ z ].
∞ .
Then, for ( zn )n=1 ⊆ L̄p (X , Y), limn∈IN zn = z in L̄p (X , Y) if, and only
if, limn∈IN [ zn ] = [ z ] in Lp (X , Y) (or simply limn∈IN [ zn ] = [ z ] when there
is no confusion in which norm convergence occurs.)
Theorem 11.170 (Hölder’s Inequality) Let p ∈ [1, +∞) ⊂ IR and

q ∈ (1, +∞] ⊂ IRe with 1/p + 1/q = 1, X := (X, B, µ) be a σ-finite mea-
sure space, and Y be a separable normed linear space over IK with Y∗ being
separable. Then, ∀f ∈ L̄p (X , Y), ∀g = L̄q (X , Y∗ ), the function r : X → IK,
defined by r(x) = hh g(x), f (x) ii, ∀x ∈ X, is absolutely integrable over X
and Z
| hh g(x), f (x) ii | dµ(x) ≤ k f kp k g kq
X
When q < ∞, equality holds if, and only if, | hh g(x), f (x) ii | = k f (x) k ·
k g(x) k a.e. x ∈ X and ∃α, β ∈ IR, which are not both zeros, such that
αPp ◦ f = βPq ◦ g a.e. in X .
Proof By Propositions 7.65, 11.38, 11.39, and 7.21, r and P ◦ r are

B-measurable. We will distinguish two exhaustive and mutually exclusive
cases: Case 1: q = ∞; Case 2: 1 < q < +∞. Case 1: q = ∞. Then,
p = 1. By Proposition 11.168, k g(x) k ≤ k g k∞ a.e. x ∈ X . Note that
| hh g(x), f (x) ii | ≤ k g(x) k k f (x) k ≤ k g k∞ k f (x) k a.e. x ∈ X . Then, by
Propositions 11.80 and 11.90,
Z Z
| hh g(x), f (x) ii | dµ(x) ≤ k g k∞ P ◦ f dµ = k f k1 k g k∞
X X
Case 2: 1 < q < +∞. Then, 1 < p < +∞. We will further distinguish
two exhaustive and mutually exclusive cases: Case 2a: k f kp k g kq = 0;
Case 2b: k f kp k g kq > 0. Case 2a: k f kp k g kq = 0. Without loss of
generality, assume k g kq = 0. Then, g = ϑY∗ a.e. in X . This implies that
| hh g(x), f (x) ii | = 0 a.e. x ∈ X and, by Propositions 11.80 and 11.73,
Z
| hh g(x), f (x) ii | dµ(x) = 0 = k f kp k g kq
X
Equality holds ⇒ α = 0, β = 1, αPp ◦ f = 0 = βPq ◦ g a.e. in X , and

| hh g(x), f (x) ii | = 0 = k f (x) k k g(x) k a.e. x ∈ X . This subcase is proved.
Case 2b: k f kp k g kq > 0. Then, k f kp > 0 and k g kq > 0. ∀x ∈ X, by
p q
k f (x) k k g(x) k
Lemma 7.7 with a = ,b= , and λ = 1/p, we have
k f kp k g kq
p q
| hh g(x), f (x) ii | k g(x) k k f (x) k 1 k f (x) k 1 k g(x) k
≤ ≤ p +
k f kp k g kq k g kq k f kp p k f kp q k g kqq
with equality holds if, and only if, | hh g(x), f (x) ii | = k g(x) k k f (x) k and
p q
k f (x) k k g(x) k
p = q . Integrating the above inequality over X , we have, by
k f kp k g kq
Propositions 11.80 and 11.94,
R
X | hh g(x), f (x) ii | dµ(x) 1 1
≤ + =1
k f kp k g kq p q
with equality holds if, and only if, | hh g(x), f (x) ii | = k g(x) k ·
Pp ◦ f Pq ◦ g
k f (x) k a.e. x ∈ X and p = q a.e. in X . Equality ⇒ α =
k f kp k g kq
p q
1/ k f kp , β = 1/ k g kq , αPp ◦ f = βPq ◦ g a.e. in X and | hh g(x), f (x) ii | =
k g(x) k k f (x) k a.e. x ∈ X . On the other hand, if | hh g(x), f (x) ii | =
k g(x) k k f (x) k a.e. x ∈ X and ∃α, β ∈ IR, which are not both zeros,
such that αPp ◦ f = βPq ◦ g a.e. in X , then, without loss of generality,
assume β 6= 0. Let α1 = α/β. Then, α1 Pp ◦ f = Pq ◦ g a.e. in X . Hence,
p q q p
α1 k f kp = k g kq , which further implies that α1 = k g kq / k f kp . Hence,
Pp ◦ f Pq ◦ g
p = q a.e. in X . This implies equality. Therefore, equality holds
k f kp k g kq
if, and only if, | hh g(x), f (x) ii | = k g(x) k k f (x) k a.e. x ∈ X and ∃α, β ∈ IR,
which are not both zeros, such that αPp ◦ f = βPq ◦ g a.e. in X . This sub-
case is proved.
When p = 2 = q, the Hölder’s inequality becomes the well-known
Cauchy-Schwarz Inequality:
Z Z Z
1/2 1/2
| hh g(x), f (x) ii | dµ(x) ≤ P2 ◦ f dµ P2 ◦ g dµ
X X X
Example 11.171 Let p ∈ [1, ∞) ⊂ IR, X := (X, B, µ) be a σ-finite

measure space, Y be a separable Banach space over IK, and Lp (X , Y)
be the normed linear space over IK as defined in Example 11.165. We
will show that Lp (X , Y) is a Banach space by Proposition 7.27. Define
l : [0, ∞) ⊂ IR → [0, ∞) ⊂ IR by l(t) = tp , ∀t ∈ [0, ∞) P∞⊂ IR. Fix any
∞
( [ fn ] )n=1 ⊆ Lp (X , Y) with fn ∈ L̄p (X , Y), ∀n ∈ IN, and n=1 k [ fn ] kp =:
M ∈ [0, ∞) ⊂ IR. ∀n ∈ IN, define gn : X → [0, ∞) ⊂ IR by gn (x) =
P n
i=1 k fi (x) k, ∀x ∈ X. By Propositions 7.23, 7.21, 11.38, and 11.39, gn
is B-measurable.P Note that P ◦ fn P ∈ L̄p (X , IR). Then,
Pn gn ∈ L̄p (X , IR)
n n
and k gn kp ≤ i=1 k P ◦ f k
i p = i=1 k f k
i p = i=1 k [ fi ] kp ≤ M .
R
This implies that X (l ◦ gn ) dµ ≤ M . Clearly, (gn (x))p ≤ (gn+1 (x))p ,
p
∀x ∈ X, ∀n ∈ IN. By Proposition 11.79, ∃g : X → [0, ∞) ⊂ IR,

which
R is B-measurable,R such that limn∈I N l ◦ gn = l ◦ g a.e. in X and
p
X (l ◦ g) dµ = limn∈IN X (l ◦ gn ) dµ ≤ M .
Let E := { x ∈ X | ( gn (x) )∞ n=1 does not converge to g(x) }. Then,
E ∈ B and µ(E) = 0. ∀x ∈ X \ E, limn∈IN gn (x) = g(x) ∈ IR and
11.9. LP SPACES 471
Pn
limn∈IN i=1 k fi (x) k = g(x) ∈PIR. By Proposition 7.27 and the com-
n
pleteness of Y, we have limn∈IN i=1 fi (x) =: limn∈IN sn (x) =: s(x) ∈ Y.
Define s(x) = sn (x) = ϑY , ∀x ∈ E and ∀n ∈ IN. Then, by Proposi-
tion 11.41, sn is B-measurable, ∀n ∈ IN. Clearly, limn∈IN sn (x) = s(x),
∀x ∈ P X. By Proposition 11.48, s is B-measurable. Pn By Lemma Pn 11.43,
n
sn = i=1 f i a.e. in X . This yields that [ s n ] = [ i=1 f i ] =Pn i=1 [ fi ]
and sn ∈ L̄p (X , Y). Then, by Proposition 11.50, limn∈IN i=1 fi =
s a.e. in X . Note that limn∈IN Pp ◦ (sn (x) − s(x)) = 0, ∀x ∈ X. Note
p
also k sn (x) − s(x) k ≤ (k sn (x) k + k s(x) k)p ≤ (gn (x) + g(x))p ≤ 2p (g(x))p ,
p
∀x ∈ X \E, ∀n ∈ IN, and k sn (x)−s(x) k = 0 ≤ 2p (g(x))p , ∀x ∈ E, ∀n ∈ IN.
p p p
Hence, k sn (x) − s(x) k ≤ 2 (g(x)) , ∀x ∈ X, R∀n ∈ IN. By Lebesgue
Dominated Convergence Theorem 11.89, limn∈IN X (Pp ◦ (sn − s)) dµ = 0.
This implies that limn∈IN k sn − s kp = 0. Hence, s ∈ L̄p (X , Y) and
Pn . . ∞
limn∈IN i=1 fi = limn∈IN sn = s. Hence, ( [ fn ] )n=1 is summable in
Lp (X , Y). By Proposition 7.27 and the arbitrariness of ( [ fn ] )∞ n=1 , we have
Lp (X , Y) is complete. This shows that Lp (X , Y) is a Banach space when X
is a σ-finite measure space and Y is a separable Banach space. ⋄
Example 11.172 Let X := (X, B, µ) be a measure space, Y be a sep-

arable Banach space over IK, and L∞ (X , Y) be the normed linear space
over IK as defined in Example 11.169. We will show that L∞ (X , Y) is
∞
a Banach space. Fix any Cauchy sequence ( [ fn ] )n=1 ⊆ L∞ (X , Y) with
fn ∈ L̄∞ (X , Y), ∀n ∈ IN. ∀k ∈ IN, ∃Nk ∈ IN, ∀n, m ∈ IN with
n ≥ Nk and m ≥ Nk , we have k fn − fm k∞ < 1/k. Then, by Propo-
sition 11.168, An,m,k := { x ∈ S∞X S| k fn (x)
S∞ − fm (x) k ≥ 1/k } ∈ B and
∞
µ(An,m,k ) = 0. Let A := k=1 n=Nk m=Nk An,m,k ∈ B. Clearly,
µ(A) = 0. ∀x ∈ X \ A, ( fn (x) )∞ n=1 ⊆ Y is a Cauchy sequence, which
converges to f (x) ∈ Y by the completeness of Y. Define f (x) = ϑY ,
∀x ∈ A. Then, f : X → Y is well defined and limn∈IN fn (x) = f (x),
∀x ∈ X \ A. By Propositions 11.48 and 11.41, f is B-measurable. ∀k ∈ IN,
∀n ∈ IN with n ≥ Nk , ∀x ∈ X \ A, by Propositions 3.66, 3.67, 7.21, and
7.23, we have k fn (x) − f (x) k = limm∈IN k fn (x) − fm (x) k ≤ 1/k. Then,
0 ≤ µ({ x ∈ X | k f (x) − fn (x) k > 1/k }) ≤ µ(A) = 0. This shows
.
that k fn − f k∞ ≤ 1/k. Then, limn∈IN k fn − f k∞ = 0, limn∈IN fn = f ,
and f ∈ L̄∞ (X , Y). Hence, limn∈IN [ fn ] = [ f ] in L∞ (X , Y). Therefore,
L∞ (X , Y) is a Banach space when X is a measure space and Y is a separa-
ble Banach space. ⋄
Proposition 11.173 Let p ∈ [1, ∞) ⊂ IR, X := (X, B, µ) be a σ-finite

measure space, Y be a separable normed linear space over IK, Lp (X , Y)
be the normed linear space over IK as defined in Example 11.165, and
∞
f ∈ L̄p (X , Y). Then, there exists a sequence of simple functions ( φi )i=1 ,
φi : X → Y, ∀i ∈ IN, such thatR limi∈IN φi = f a.e. in X , k φi (x) k ≤ k f (x) k,
.
∀x ∈ X, ∀i ∈ IN, limi∈IN X Pp ◦ (φi − f ) dµ = 0, and limi∈IN φi =
f in L̄p (X , Y).
Proof Since f ∈ L̄p (X , Y), then f is B-measurable and Pp ◦ f is

integrable over X . By Proposition 11.65, there exists a sequence of simple
functions ( φi )∞
i=1 , φi : X → Y, ∀i ∈ IN, such that k φi (x) k ≤ k f (x) k,
∀x ∈ X, ∀i ∈ IN, and limi∈IN φi = f a.e. in X . By Propositions 7.23, 7.21,
11.38, and 11.39, Pp ◦ (φi − f ) is B-measurable, ∀i ∈ IN. Note that, by
Propositions 7.23, 7.21, 11.52, and 11.53, limi∈IN Pp ◦ (φi − f ) = 0 a.e. in X
and Pp ◦(φi −f )(x) ≤ 2p Pp ◦f (x), ∀x ∈ X, ∀i R∈ IN. By Lebesgue Dominated
Convergence Theorem 11.89, we have limi∈IN X Pp ◦(φi −f ) dµ = 0. Hence,
.
limi∈IN φi = f . This completes the proof of the proposition. 2
Proposition 11.174 Let p ∈ [1, ∞) ⊂ IR, X := (X , B, µ) be a σ-finite

normal topological measure space, Y be a separable normed linear space over
IK, and f ∈ L̄p (X, Y). Then, ∀ǫ ∈ (0, ∞) ⊂ IR, ∃ a continuous function
g : X → Y such that g ∈ L̄p (X, Y) and k g − f kp < ǫ.
Proof Fix ǫ ∈ (0, ∞) ⊂ IR. By Proposition 11.173, there ex-

ists a simple function φ : X → Y such that k φ(x) k ≤ k f (x) k, ∀x ∈
X, and k φ − f kp < ǫ/2. Let φ admit the canonical representation
Pn
φ = i=1 yi χAi ,X , where n ∈ Z+ , y1 , . . . , yn ∈ Y are distinct and none
equals to ϑY , A1 , . . . , An ∈ B are pairwise disjoint, nonempty, and of fi-
nite measure. ∀i ∈ {1, . . . , n}, by X being a topological measure space
and Proposition 11.27, ∃Ui , X \ Fi ∈ OX such that Fi ⊆ Ai ⊆ Ui and
ǫp
µ(Ui \ Fi ) = µ(Ui \ Ai ) + µ(Ai \ Fi ) < 2p (n+1) p ky kp . By X being a nor-
i
mal topological space and Urysohn’s Lemma 3.55, there exists a contin-
uous function gi : X → [0, 1] ⊂ IR such that gi (x) = 1, ∀x ∈ Fi and
gi (x) = 0, ∀x ∈ X \ Ui . By Proposition 11.37, gi is B-measurable. By
ǫ
Proposition 11.76, k gi − χAi ,X kp ≤ 2(n+1)ky ik
.
Pn
Define g : X → Y by g(x) = i=1 yi gi (x), ∀x ∈ X. By Propositions 7.23,
3.12, and 3.32, g is continuous. By PropositionP 11.37, g is B-measurable.
n
Then, k g − f kp ≤ k g − φ kp + k φ − f kp ≤ i=1 k yi (gi − χAi ,X ) kp +
Pn Pn kyikǫ
ǫ/2 = i=1 k yi k k gi − χAi ,X kp + ǫ/2 ≤ i=1 2(n+1)kyik + ǫ/2 < ǫ. Hence,
g ∈ L̄p (X, Y).
Proposition 11.175 Let X := (X, B, µ) be a σ-finite measure space, Y

be a separable Banach space, f : X → Y be B-measurable, ∀E ∈ B with
µ(E) < ∞, f |E be absolutely integrable over E := (E, BE , µE ), which is
the finite measure subspace of X , and M ∈ [0, ∞) ⊂ IR.
Assume that,
1 R
∀E ∈ B with 0 < µ(E) < ∞, we have µ(E) E f dµ ≤ M . Then,
P ◦ f ≤ M a.e. in X .
Proof Consider the open set O := { y ∈ Y | k y k > M } ⊆ Y.

Since Y is separable, by Propositions 4.38 and 4.4, O is second countable
and separable. Let D ⊆ O be a countable dense set in O (the relative
closure of D with respect to O equals to O). It is easy to show that M :=
11.9. LP SPACES 473
{ BY ( y, r ) ⊆ O | y S ∈ D, r ∈ Q, r > 0 } is aScountable basis for O. Let

E := f inv(O) = f inv( BY (y,r)∈M BY ( y, r )) = BY (y,r)∈M f inv(BY ( y, r )).
We will show that µ(f inv(BY ( y, r ))) = 0, ∀BY ( y, r ) ∈ M, by an argu-
ment of contradiction. Suppose that ∃y ∈ D, ∃r ∈ Q with r > 0 such that
BY ( y, r ) ⊆ O and µ(Ē) := µ(f inv(BY ( y, r ))) > 0. Since X is σ-finite, then
∃Ê ∈ B with Ê ⊆ Ē such that 0 <R µ(Ê) < +∞. ∀x ∈ Ê, we have x ∈ Ē
1 1 R
and k f (x) − y k < r. Then, µ(Ê) Ê f dµ − y = µ(Ê) Ê (f − y) dµ =
1
R R
µ(Ê) Ê
(f (x) − y) dµ(x) ≤ µ(1Ê) Ê k f (x) − y k dµ(x) < r, where the
first equality follows from Propositions 11.90 and 11.73; the first in-
equality follows from Proposition 11.90; and the Rsecond inequality follows
from Proposition 11.94. This implies that µ(1Ê) Ê f dµ ∈ BY ( y, r ) ⊆ O
R

and µ(1Ê) Ê f dµ > M . This contradicts the assumption. Hence,
∀BY ( y, r ) ∈ M.
µ(f inv(BY ( y, r ))) = 0, P
Then, 0 ≤ µ(E) ≤ BY (y,r)∈M µ(f inv(BY ( y, r ))) = 0. Hence, P ◦ f ≤
M a.e. in X . 2
Lemma 11.176 Let p, q ∈ (1, ∞) ⊂ IR with 1/p + 1/q = 1, X := (X, B, µ)

be a σ-finite measure space, Y be a separable normed linear space over IK
with Y∗ being separable, Z := Lp (X , Y) be the Banach space over IK as
defined in Example 11.171, and g : X → Y∗ be B-measurable. Assume that
(i) ∀E ∈ B with µ(E) < +∞, g is absolutely integrable over E :=

(E, BE , µE ), which is the finite measure subspace of X ;
(ii) ∃M ∈ [0, ∞) ⊂ IR such that ∀ simple function φ : X → Y (φ ∈

R function hh g(·), φ(·) ii : X → IK is absolutely integrable
L̄p (X , Y)), the
over X and X hh g(x), φ(x) ii dµ(x) ≤ M k φ kp .
Then, g ∈ L̄q (X , Y∗ ) and k g kq ≤ M .
Proof By Proposition 11.113, define a σ-finite

R Y∗ -valued measure ν
R (X, B) by:
on ν(E) is undefined,
R ∀E ∈ B with E P ◦ g dµ = ∞; ν(E) R =
E
g dµ ∈ Y∗ , ∀E ∈ B with E P ◦ g dµ < ∞. Then, P ◦ ν(E) = E P ◦
g dµ, ∀E ∈ B. By (i), P ◦ ν(E) < ∞, ∀E ∈ B with µ(E) < ∞. By
Proposition 11.90, ν(E) = ϑY∗ , ∀E ∈ B with µ(E) = 0. Fix any E ∈ B
with µ(E) < ∞. Define Pq ◦ ν(E) ∈ [0, ∞] ⊂ IRe by
n
X k ν(Ei ) kq
Pq ◦ ν(E) := sup µ(Ei )
„ «n
n∈Z+ , Ei
S
⊆B, n E =E i=1
(µ(Ei ))q
i=1 i
i=1 µ(Ei )>0
Ei ∩Ej =∅, ∀1≤i<j≤n
n Sn
∀n ∈ Z+ , ∀ pairwise disjoint ( Ei )i=1 ⊆ B with E = i=1 Ei ,
∀ǫ ∈ (0, 1) ⊂ IR, ∀i ∈ {1, . . . , n} with µ(Ei ) > 0, by Lemma 7.75,
q−1
∃yi ∈ Y such that k yi k = k ν(Ei ) k /(µ(Ei ))q−1 and hh ν(Ei ), yi ii ≥
q−1 q
(1 − ǫ) k ν(E
Pni ) k k yi k = (1 − ǫ) k ν(Ei ) k /(µ(Ei )) . Define a simple func-
tion φ = i=1 µ(Ei )>0 yi χEi ,X . Then,
X
n 1/p
(q−1)p
k φ kp = k ν(Ei ) k (µ(Ei ))(1−q)p µ(Ei )
i=1
µ(Ei )>0
X
n 1/p
q
= k ν(Ei ) k (µ(Ei ))−q µ(Ei )
i=1
µ(Ei )>0
By (ii), we have
n
X X
n
q
(1 − ǫ) k ν(Ei ) k /(µ(Ei ))q−1 ≤ hh ν(Ei ), yi ii
i=1 i=1
µ(Ei )>0 µ(Ei )>0
X
n DD Z EE X
n Z

= g dµ, yi = hh g(x), yi ii dµ(x)
i=1 Ei i=1 Ei
µ(Ei )>0 µ(Ei )>0
Z X
n 1/p
q
= hh g(x), φ(x) ii dµ(x) ≤ M k ν(Ei ) k (µ(Ei ))1−q
X i=1
µ(Ei )>0
where theP second and third equalities follow from Proposition 11.90. Hence,
n q
we have ) k (µ(Ei ))−q µ(Ei ) ≤ M q /(1 − ǫ)q . By the
i=1 µ(Ei )>0 k ν(EiP
n q
arbitrariness of ǫ, we have i=1 µ(Ei )>0 k ν(Ei ) k (µ(Ei ))−q µ(Ei ) ≤ M q .
Then, Pq ◦ ν(E) ≤ M q . S∞
∞
Since X is σ-finite, then ∃ ( Xn )n=1 ⊆ B such that X = n=1 Xn
and µ(Xn ) < ∞, ∀n ∈ IN. Without loss of generality, we may assume
that Xn ⊆ Xn+1 , ∀n ∈ IN. By Proposition 11.65, there exists a se-
∞
quence of simple functions ( ψi )i=1 , ψi : X → Y∗ , ∀i ∈ IN, such that
k ψi (x) k ≤ k g(x) k, ∀x ∈ X, ∀i ∈ IN, and limi∈IN ψi = g a.e. in X . Fix any
n ∈ IN, let En := { x ∈ Xn | k g(x) k ≤ n } ∈ B and En := (En , BEn , µEn )
be the finite measure subspace of X . Then, (P ◦ g)|En and (Pq ◦ g)|En
are integrable over En . By Propositions 7.21, 7.23, 11.52, and 11.53,
limi∈IN (P ◦ (ψi − g))|En = 0 a.e. in En . Note that (P ◦ (ψi − g))|En (x) ≤
2 (P ◦ g)|En (x), ∀x ∈ En , ∀i ∈ IN. By R Lebesgue Dominated Conver-
gence Theorem 11.89, we have limi∈IN En P ◦ (ψi − g) dµ = 0. Note
also that (Pq ◦ ψi )|En (x) ≤ (Pq ◦ g)|En (x), ∀x ∈ En , ∀i ∈ IN. By
Propositions 7.21 and 11.52, limi∈IN (Pq ◦ ψi )|En = (Pq ◦ g)|En a.e. in En .
Again, Rby Lebesgue DominatedR Convergence Theorem 11.89, we have
limi∈IN En Pq ◦ ψi dµ = En Pq ◦ g dµ. ∀ǫ ∈ (0, ∞) ⊂ IR, ∃i0 ∈ IN such that
R R R

0 ≤ En P ◦(ψi0 −g) dµ < 2qnǫq−1 and En Pq ◦ψi0 dµ− En Pq ◦g dµ < ǫ/2.
Pn̄
Let ψi0 admit the canonical representation ψi0 = j=1 y∗j χAj ,X . Then,
Z Z
Pq ◦ g dµ < Pq ◦ ψi0 dµ + ǫ/2
En En
11.9. LP SPACES 475
n̄
X
= k ν(Aj ∩ En ) kq (µ(Aj ∩ En ))1−q + ǫ/2 −
j=1
µ(Aj ∩En )>0
n̄
X n̄
X
q q
k ν(Aj ∩ En ) k (µ(Aj ∩ En ))1−q + k y∗j k µ(Aj ∩ En )
j=1 j=1
µ(Aj ∩En )>0
Let Āj = Aj ∩ En , j = 1, . . . , n̄. Then,
Z n̄
X
Pq ◦ g dµ < ν(Āj ) q (µ(Āj ))1−q −
En j=1
µ(Āj )>0
n̄
X n̄
X

ν(Āj ) q (µ(Āj ))1−q + q
k y∗j k µ(Āj ) + ǫ/2
j=1 j=1
µ(Āj )>0 µ(Āj )>0
n̄
X
≤ Pq ◦ ν(En ) − ν(Āj ) q (µ(Āj ))1−q +
j=1
µ(Āj )>0
n̄
X Z q

ψi0 dµ (µ(Āj ))1−q + ǫ/2
j=1 Āj
µ(Āj )>0
n̄
X Z q Z q

≤ Mq + (µ(Āj ))1−q ψi0 dµ − g dµ + ǫ/2
j=1 Āj Āj
µ(Āj )>0
n̄
X Z Z
q 1−q
= M + (µ(Āj )) ψi0 dµ − g dµ q ·
j=1 Āj Āj
µ(Āj )>0
Z Z q−1

tj ψi0 dµ + (1 − tj ) g dµ + ǫ/2
Āj Āj
n̄
X Z Z

≤ Mq + (µ(Āj ))1−q ψi0 dµ − g dµ q ·
j=1 Āj Āj
µ(Āj )>0
q−1
tj nµ(Āj ) + (1 − tj )nµ(Āj ) + ǫ/2
Xn̄ Z

= Mq + qnq−1 (ψi0 − g) dµ + ǫ/2
j=1 Āj
µ(Āj )>0
n̄
X Z
q q−1
≤ M + qn P ◦ (ψi0 − g) dµ + ǫ/2
j=1 Āj
µ(Āj )>0
Z
≤ M q + qnq−1 P ◦ (ψi0 − g) dµ + ǫ/2 < M q + ǫ
En
where the first equality follows from the Mean Value Theorem 9.20 and
tj ∈ (0, 1) ⊂ IR, j = 1, . . . , n̄; the fourth inequality follows from Propo-
sition 11.90 and the fact that k ψi0 (x) k ≤ k g(x) k ≤ n, ∀x ∈ En ; and
the second equality and the fifth and sixthR inequality follow from Proposi-
tion 11.90. By arbitrariness of ǫ, we have En Pq ◦ g dµ ≤ M q . Clearly, we
S
have En ⊆ En+1 , ∀n ∈ IN, and R ∞ n=1 En = X. Then, R by Monotone Conver-
gence Theorem
R 11.78, we have P
X q ◦ g dµ = limn∈IN X (Pq ◦ g)χEn ,X dµ =
limn∈IN En Pq ◦ g dµ ≤ M q . Hence, k g kq ≤ M and g ∈ L̄q (X , Y∗ ).
Lemma 11.177 Let p ∈ [1, ∞) ⊂ IR, X := (X, B, µ) be a σ-finite mea-

sure space, Y be a separable reflexive Banach space over IK with Y∗ being
separable, and Z := Lp (X , Y) be the Banach space over IK as defined in
Example 11.171. Then, ∀f ∈ Z∗ , ∃g : X → Y∗ , which is B-measurable,
such that
(ii) ∀ simple function φ : X → Y (φ ∈ Z̄ := L̄p (X , Y)), the function
Rhh g(·), φ(·) ii : X → IK is absolutely
R integrable over X , f ([ φ ]) =
X
hh g(x), φ(x) ii dµ(x) and X hh g(x), φ(x) ii dµ(x) ≤ k f k k φ kp .
Furthermore, g is unique in the sense that g̃ : X → Y∗ is another
function with the above properties if, and only if, g̃ is B-measurable and
g = g̃ a.e. in X .
Proof Fix any f ∈ Z∗ . ∀E ∈ B with µ(E) < ∞, ∀y ∈ Y, let

zE,y := yχE,X ∈ Z̄. Define fE : Y → IK by fE (y) = f ([ zE,y ]), ∀y ∈ Y.
Since f ∈ Z∗ , then fE is linear and continuous
and fE = y∗E ∈ Y∗ . Note
that z∅,y = ϑZ , ∀y ∈ Y, and f ( z∅,y ) = 0. Then, f∅ = ϑY∗ and
y∗∅ = ϑY∗ .
∞
Claim 11.177.1
S∞ ∀E ∈ B P with µ(E) < ∞, ∀ pairwise disjoint ( Ei )i=1 ⊆ B
∞
with E = i=1 Ei . Then, i=1 k y∗Ei k ≤ k f k (µ(E))1/p < ∞.
P∞ P∞
Proof of claim: i=1 k y∗Ei k = i=1 supy∈Y, kyk≤1 | fEi (y) |. ∀i ∈ IN,
by Propositions 7.85 and 7.90, ∃yi ∈ Y P with k yi k ≤ 1 suchPn that k y∗Ei k =
n
(yi ) = f ([ zEi ,yi ]). Then,
f Ei P Pn ∀n ∈ I
N, i=1 k y ∗E i k
Pn i=1 f ([ zEi ,yi ]) =
=
n
f ([ i=1 zEi ,yi ]) ≤ k f k k [ i=1 zEi ,yi ] kp = k f k k i=1 zEi ,yi kp ≤ k f k ·
(µ(E))1/p < ∞, where the first inequality follows from Proposition 7.72;
and the second inequality follows P from Propositions 11.80 and 11.73. By the
arbitrariness of n, we have ∞ n=1 k y∗En k ≤ k f k (µ(E))
1/p
. This completes
11.9. LP SPACES 477
∞
S∞ ∀E ∈ B with µ(E) <
Claim 11.177.2 P∞,
∞
∀ pairwise disjoint ( En )n=1 ⊆
B with E = n=1 En , we have y∗E = n=1 y∗En ∈ Y∗ .
Proof
P∞ of claim: By Claim 11.177.1 and Propositions 7.27 and 7.72,
∗
n=1 y∗En ∈ Y . ∀y ∈ Y,
∞
X n
X n
X
hh y∗En , y ii = lim hh y∗Ei , y ii = lim hh y∗Ei , y ii
n∈IN n∈IN
n=1 i=1 i=1
n
X n
X
= lim f ([ zEi ,y ]) = lim f ([ zEi ,y ])
n∈IN n∈IN
i=1 i=1
where the first equality follows from Propositions 7.72 and 3.66; Pn and the last
equality follows from the Pnlinearity of f . Note that lim n∈IN i=1 zEi ,y (x) =
p p
zE,y (x), ∀x ∈ X, and k i=1 zEi ,y (x)−zE,y (x) k ≤ k y k χE,X (x), ∀x ∈ X,
∀n ∈ IN. R Then,Pby Lebesgue Dominated Convergence Theorem Pn 11.89,
.
limn∈IN X Pp ◦ ( ni=1 zEi ,y − zE,y ) dµ = 0 and limn∈IN Pn i=1 z E i ,y =
zE,y in Z̄. By Propositions 7.72 and 3.66, lim Pn∈IN f ([ i=1 zEi ,y ]) =
∞
f ([ zE,y ]) = hh y∗E , y ii. Hence, hh y∗E , y ii = Phh n=1 y∗En , y ii, ∀y ∈ Y.
This implies that, by Proposition 7.85, y∗E = ∞ n=1 y∗En . S∞ 2
∞
Since X is σ-finite, then ∃ ( Xn )n=1 ⊆ B such that X = n=1 Xn and
µ(Xn ) < ∞, ∀n ∈ IN. Without loss of generality, we may assume that
∞
( Xn )n=1 is pairwise disjoint. Fix any n ∈ IN, let Xn := (Xn , Bn , µn )
be the finite measure subspace of X . We may define a function νn :
Bn → Y∗ by νn (E) = fE = y∗E , ∀E ∈ Bn . Clearly, S∞ νn (∅) = y∗∅ =
∞
ϑY∗ . ∀ pairwisePdisjoint ( Ei )i=1 ⊆ Bn , let E := i=1 Ei ∈ Bn . By
∞
Claim 11.177.1, i=1 k νn (Ei ) kP≤ k f k (µ(E))1/p ≤ k f k (µ(Xn ))1/p < ∞.
∞ ∗
By Claim 11.177.2, νn (E) = i=1 νn (Ei ) ∈ Y . This shows that νn is
∗
a Y -valued pre-measure on (Xn , Bn ). By Claim 11.177.1, P ◦ νn (Xn ) ≤
k f k (µ(Xn ))1/p < +∞. Then, νn is finite. Hence, (Xn , Bn , νn ) is a finite
Y∗ -valued measure space. By Proposition 11.114, the generation process on
∞
( (Xn , Bn , νn ) )n=1 yields a σ-finite Y∗ -valued measure space (X, B, ν).
Next, we will show that P◦ν(E) ≤ k f k (µ(E))1/p < ∞ and ν(E) = y∗E ,
∀E ∈ B with µ(E) < ∞. Fix any E ∈ B with µ(E) <P∞. Let En :=
∞
Xn ∩E ∈ Bn , ∀n ∈ IN. By Proposition 11.114, P ◦ν(E) = n=1 P ◦νn (En ).
mn
∀ǫ ∈ (0, +∞) Sm⊂n IR, ∀n ∈ IN, ∃mn ∈ Z+ , ∃ pairwise
Pmn disjoint ( En,i )−n i=1 ⊆ Bn
with En = i=1 En,i , such that P ◦νn (En ) < i=1 k νn (En,i ) k+2 ǫ < ∞.
Then,
∞ X
X mn
P ◦ ν(E) < ( k νn (En,i ) k + 2−n ǫ)
n=1 i=1
X∞ Xmn

≤ y∗En,i + ǫ ≤ k f k (µ(E))1/p + ǫ < ∞
n=1 i=1
where the third inequality follows from Claim 11.177.1. By the arbitrari-
ness of ǫ, we have P ◦ ν(E) ≤ k f k (µ(E))1/p < ∞. Then, E ∈ dom ( ν )
P∞ ∗
and ν(E) =
P n=1 νn (En ) ∈ Y . By Claim 11.177.2, we have ν(E) =
∞
n=1 y∗En = y∗E . Thus, by Proposition 11.134, ν is uniquely defined
independent of the choice of ( Xn )∞ n=1 .
∀E ∈ B with µ(E) = 0, P ◦ ν(E) ≤ 0. Thus, P ◦ ν ≪ µ. By Radon-
Nikodym Theorem 11.163 and Proposition 7.90, ∃! g : X → Y∗ such that
g is the Radon-Nikodym derivative R of ν with respect to µ. ∀E ∈ B with
µ(E) < ∞, we have P ◦ ν(E) = E P ◦ g dµ < ∞. Thus, (i) holds. ∀ simple
function φ : X → Y, ∃M ∈ [0, ∞) ⊂ IR such that k φ(x) k ≤ M , ∀x ∈ X,
and µ(E) := µ({ x ∈ X | φ(x) 6= ϑY }) < ∞. Then, by Proposition 7.72,
| hh g(x), φ(x) ii | ≤ M k g(x) k χE,X (x) = M P ◦ g(x)χE,X (x), ∀x ∈ X. By
Propositions 7.72, 11.38, and 11.39, the function hh g(·), φ(·) ii : X → IK is
B-measurable. Hence, the function hh g(·), φ(·) ii : X → IK is absolutely
P inte-
grable over X . Let φ admit the canonical representation φ = ni=1 yi χEi ,X .
Then,
n
X n
X n
X
f ([ φ ]) = f ([ yi χEi ,X ]) = f ([ yi χEi ,X ]) = f ([ zEi ,yi ])
i=1 i=1 i=1
n
X n
X n DD Z
X EE
= hh y∗Ei , yi ii = hh ν(Ei ), yi ii = g dµ, yi
i=1 i=1 i=1 Ei
Xn Z Z
= hh g(x), yi ii dµ(x) = hh g(x), φ(x) ii dµ(x) ∈ IK
i=1 Ei X
where
R the last two equalities
follow from Proposition 11.90. Then,
hh g(x), φ(x) ii dµ(x) = | f ([ φ ]) | ≤ k f k · k [ φ ] kp = k f k k φ kp . Thus,
X
(ii) holds. Hence, g is the function we seek. Since ν is uniquely defined and
g is also uniquely defined, then g is unique as desired.
Theorem 11.178 (Riesz Representation Theorem) Let p ∈ [1, ∞) ⊂

IR, q ∈ (1, ∞] ⊂ IRe with 1/p + 1/q = 1, X := (X, B, µ) be a σ-finite
measure space, Y be a separable reflexive Banach space over IK with Y∗
being separable, and Z := Lp (X , Y) be the Banach space over IK as de-
fined in Example 11.171. Then, Z∗ = Lq (X , Y∗ ) isometrically isomorphi-
cally. In particular, ∀f ∈ Z∗ , ∃! ∗ ∗
R [ g ] ∈ Lq (X , Y ) with g ∈ L̄q (X , Y )
such that f ([ z ]) = hh [ g ] , [ z ] ii := X hh g(x), z(x) ii dµ(x) and the function
hh g(·), z(·) ii : X → IK is absolutely integrable over X , ∀z ∈ Z̄ := L̄p (X , Y),
and k f k = k g kq .
Proof ∀f ∈ Z∗ , by Lemma 11.177, ∃g : X → Y∗ , which is B-

measurable, such that

11.9. LP SPACES 479
(ii) ∀ simple function φ : X → Y (φ ∈ L̄p (X , Y)), the function

hh
R g(·), φ(·) ii : X → IK is absolutely
R integrable over X , f ([ φ ]) =
hh g(x), φ(x) ii dµ(x) and hh g(x), φ(x) ii dµ(x) ≤ kf k kφk .
X X p
Furthermore, g is unique in the sense that g̃ : X → Y∗ is another func-
tion with the above properties if, and only if, g̃ is B-measurable and
g = g̃ a.e. in X .
We will show that g ∈ L̄q (X , Y∗ ) and k g kq ≤ k f k < +∞ by dis-
tinguishing two exhaustive and mutually exclusive cases: Case 1: 1 <
p < +∞; Case 2: p = 1. Case 1: 1 < p < +∞. By Lemma 11.176,
we have g ∈ L̄q (X , Y∗ ) and k g kq ≤ k f k < +∞. Case 2: p = 1.
∀E
R ∈ B with∗ 0 < µ(E) < ∞, by (i) and Proposition R 11.90, y∗E :=
g dµ ∈ Y and, ∀y ∈ Y, | hh y ∗E , y ii | = hh g(x), y ii dµ(x) =
RE E

X hh g(x), yχE,X (x) ii dµ(x) ≤ k f k k yχE,X k1 = k f k k y k µ(E), where
the first two equalities follow from Proposition 11.90; and the inequality
follows from (ii). Then, k y∗E k /µ(E) ≤ k f k. By Proposition 11.175, we
have P ◦ g ≤ k f k a.e. in X . Hence k g k∞ ≤ k f k and g ∈ L̄∞ (X , Y∗ ).
Hence, in both cases, we have g ∈ L̄q (X , Y∗ ) and k g kq ≤ k f k < +∞.
∀z ∈ Z̄, by Proposition 11.173, there exists a sequence of simple functions
∞
( ϕi )i=1 , ϕi : X → Y, ∀i ∈ IN, such that limi∈IN ϕi = z a.e. in X , k ϕi (x) k ≤
.
k z(x) k, ∀x ∈ X, ∀i ∈ IN and limi∈IN ϕi =Rz in Z̄. By Propositions 7.72
and 3.66, f ([ z ]) = limi∈IN f ([ ϕi ]) = limi∈IN X hh g(x), ϕi (x) ii dµ(x). Note
that, by Propositions 7.72, 11.52, and 11.53, limi∈IN hh g(x), ϕi (x) ii =
hh g(x), z(x) ii a.e. x ∈ X and | hh g(x), ϕi (x) ii | ≤ k g(x) k kRϕi (x) k ≤
k g(x) k k z(x) k, ∀x ∈ X, ∀i ∈ IN. By Hölder’s Inequality 11.170, X k g(x) k·
k z(x) k dµ(x) ≤ k g kq k z kp < ∞. By Propositions 7.72, 11.38, and 11.39,
hh g(·), ϕi (·) ii : X → IK and hh g(·), z(·) ii : X → IK are B-measurable,
∀i ∈ IN.R By Lebesgue DominatedR Convergence Theorem 11.89, f ([ z ]) =
limi∈IN X hh g(x), ϕi (x) ii dµ(x) = X hh g(x), z(x) ii dµ(x) and the function
hh g(·), z(·) ii : X → IK is absolutely integrable over X . Note that
Z

kf k = sup | f ([ z ]) | = sup hh g(x), z(x) ii dµ(x)
‚ ‚
‚ ‚ z∈Z̄, kzkp ≤1 X
[z]∈Z, ‚[z]‚ ≤1
p
Z
≤ sup | hh g(x), z(x) ii | dµ(x)
z∈Z̄, kzkp ≤1 X
≤ sup k g kq k z kp ≤ k g kq
z∈Z̄, kzkp ≤1
where the first inequality follows from Proposition 11.90; and the second
inequality follows from Hölder’s Inequality 11.170. Hence, we have k f k =
k g kq .
Thus, we may define a function Φ : Z∗ → Lq (X , Y∗ ) by Φ(f ) = [ g ], ∀f ∈
Z . Clearly, Φ is well defined and k Φ(f ) kq = k f k, ∀f ∈ Z∗ . ∀f1 , f2 ∈ Z∗ ,
∗
∀α, β ∈ IK, let [ gi ] = Φ(fi ), i = 1, 2. ∀ [ z ] ∈ Z,

(αf1 + βf2 )([ z ]) = αf1 ([ z ]) + βf2 ([ z ])
Z Z
= α hh g1 (x), z(x) ii dµ(x) + β hh g2 (x), z(x) ii dµ(x)
X X
Z
= hh αg1 (x) + βg2 (x), z(x) ii dµ(x)
X
where the last equality follows from Proposition 11.90. By the uniqueness of
g, we have Φ(αf1 + βf2 ) = [ αg1 + βg2 ] = α [ g1 ]+ β [ g2 ] = αΦ(f1 )+ βΦ(f2 ).
Hence, Φ Ris linear. ∀ [ g ] ∈ Lq (X , Y∗ ), we may define f : Z → IK by
f ([ z ]) = X hh g(x), z(x) ii dµ(x), ∀z ∈ Z̄. By Hölder’s Inequality 11.170
and Proposition 11.90, we have f ∈ Z∗ . Then, Φ(f ) = [ g ] and Φ is surjec-
tive. ∀f1 , f2 ∈ Z∗ with Φ(f1 ) = Φ(f2 ), we have 0 = k Φ(f1 ) − Φ(f2 ) kq =
k Φ(f1 − f2 ) kq = k f1 − f2 k and f1 = f2 . Hence, Φ is injective. Therefore,
Φ : Z∗ → Lq (X , Y∗ ) is a isometrical isomorphism. This completes the proof
of the theorem. 2
11.10 Dual of C(X , Y)

Proposition 11.179 Let p ∈ [1, ∞) ⊂ IR, X1 be a finite-dimensional Ba-
nach space, X2 be a σ-compact metric space, Y1 be a finite-dimensional
Banach space over IK, Y2 be a separable normed linear space over IK, Y3 be
a normed linear space over IK, Y, Ȳ ⊆ Y3 be separable subsets, X ⊆ X1 be a
compact subset with subset topology O, X := (X, O), X := (X , BB ( X ) , µ)
be a finite metric measure space, and α ∈ IK. Then, the following state-
ments hold.
(i) Y1 is separable.
(ii) lp (Y2 ) =: Z2 is a separable normed linear space.
(iii) span ( Y ) ⊆ Y3 is separable.
(iv) C(X , Y1 ) is a separable Banach space.
(v) Lp (X, Y1 ) is a separable Banach space.
(vi) X2 is separable.
(vii) Y + Ȳ , αY , Y ∩ Ȳ , and Y ∪ Ȳ are separable.
(viii) span ( Y ) ⊆ Y3 is separable.
Proof Let Y1 be m-dimensional, where m ∈ Z+ , and {e1 , . . . , em } ⊆

Y1 be a set of basis vectors. Then, Y1 is isomorphic to IKm . The norm
k · kY1 induces a norm k · k1 on IKm . Then, Y1 is isometrically isomorphic
to the normed linear space (IKm , IK, k · k1 ), which is a Banach space by
Theorem 7.36. By Theorem 7.38, k · k1 is equivalent to the Euclidean norm
| · | on IKm .
11.10. DUAL OF C(X , Y) 481
(i) Let IKQ := Q if IK = IR; and IKQ := { a + ib ∈ C | a, b ∈ Q },

if IK = C. Clearly, IKQ is a countable dense set in IK. Then, IKm Q is a
countable dense subset of (IKm , IK, | · |). Since k · k1 is equivalent to | · |,
then IKm m
Q is a countable dense subset of (IK , IK, k · k1 ) = Y1 . Hence, Y1 is
separable.
(ii) Let D ⊆ Y2 be a countable denset subset and, ∀i ∈ IN, Di :=
{ (y1 , . . . , yi , ϑY , ϑY , .S. .) ∈ Z2 | yj ∈ D, 1 ≤ j ≤ i }. Then, Di is countable,
∀i ∈ IN. Let D̄ := ∞ i=1 Di ⊆ Z2 , which is also countable. We will show
that D̄ isP dense in Z2 = lp (Y2 ). ∀z := (y1 , y2 , . . .) ∈ Z2 , ∀ǫ P∞ ∈ (0, +∞) ⊂ IR,
∞ p p
we have i=1 k yi kY2 < ∞. Then, ∃N ∈ IN such that i=N +1 k yi kY2 <
p ǫ
ǫ /2. ∀i ∈ {1, . . . , N }, ∃ȳi ∈ D such that k yi − ȳi kY2 < 21/p N 1/p . Let
P
N p
z̄ := (ȳ1 , . . . , ȳN , ϑY , ϑY , . . .) ∈ D̄. Then, k z − z̄ kp = i=1 k yi − ȳi kY2 +
P∞ 1/p P 1/p
p N ǫp p
i=N +1 k yi kY2 < i=1 2N + ǫ /2 = ǫ. Hence, D̄ is dense in
Z2 . Therefore, Z2 is separable. Pn
(iii) Let D ⊆ Y be a countable dense subset. Let D̂ := { i=1 αi yi ∈
Y3 | n ∈ Z+ , αi ∈ IKQ , yi ∈ D, i = 1, . . . , n }, which is a countable set.
Clearly, D̂ ⊆ span ( Y ) is a dense subset. Hence, span ( Y ) ⊆ Y3 is separa-
ble.
(iv) This result is standard, which follows directly from Corollary 7.57
of Stone-Weierstrass Theorem, and therefore the proof is omitted.
(v) By (iv), let D ⊆ C(X , Y1 ) be a countable dense subset. By Propo-
sition 4.11, X is a normal topological space. Then, by Proposition 11.174
and (i), ∀f ∈ L̄p (X, Y1 ), ∀ǫ ∈ (0, +∞) ⊂ IR, ∃g ∈ L̄p (X, Y1 ) such that
g is continuous and k g − f kp < ǫ/2. Clearly, g ∈ C(X , Y1 ). Then,
ǫ
∃h ∈ D such that k h − g kC(X ,Y1 ) < 2(µ(X)) 1/p +1 . Since X is compact
and h ∈ C(X , Y1 ), then ∃M ∈ [0, ∞) ⊂ IR such that P ◦ h(x) ≤ M < ∞,
∀x ∈ X. By Proposition 11.37, h is B-measurable. Hence, h ∈ L̄p (X, Y1 ).
R 1/p
Then, k f − h kp ≤ k f − g kp + k g − h kp < ǫ/2 + X Pp ◦ (g − h) dµ ≤
1/p
ǫ/2 + k g − h kpC(X ,Y1 ) µ(X) < ǫ. Hence, D ⊆ L̄p (X, Y1 ) is dense.
Therefore, Lp (X, Y1 ) is separable. By Example 11.171, Lp (X, Y1 ) is a Ba-
nach space. Hence, Lp (X, Y1 ) is a separable Banach space.
∞
S∞(vi) Since X2 is σ-compact, thenS∃ compact sets ( Kn )n=1 such that X2 =
n=1 Kn . ∀n ∈ IN, ∀i ∈ IN, Kn ⊆ x∈Kn BX2 ( x, 1/i ).SBy the compactness
of Kn , ∃ finite subset Dn,i ⊆ Kn such that Kn ⊆ x∈Dn,i BX2 ( x, 1/i ).
S∞ S∞
Then, D := n=1 i=1 Dn,i ⊆ X2 is a countable dense set. Hence, X2 is
separable.
(vii) This is straightforward and is therefore omitted.
(viii) This follows immediately from (iii) and Proposition 4.13.
Definition 11.180 Let X := (X, O) be a topological space, Y be a normed

linear space, and (X, B, µ) be a Y-valued measure space on the same set
X. The triple X := (X , B, µ) is said to be a Y-valued topological measure

space if B = BB ( X ) and (X , BB ( X ) , P ◦ µ) is a topological measure space.
We will say that X is finite or σ-finite if the measure µ is so. We will
say that X is Tychonoff, Hausdorff, regular, completely regular, normal,
first countable, second countable, separable, second category everywhere,
connected, locally connected, compact, countably compact, sequentially
compact, locally compact, σ-compact, or paracompact if X is so.
Let X := (X, ρ) be a metric space with the natural topology O, Y be
a normed linear space, and (X, BB ( X ) , µ) be a Y-valued measure space
on the same set X. The triple X := (X , BB ( X ) , µ) is said to be a Y-
valued metric measure space if ((X, O), BB ( X ) , µ) is a Y-valued topological
measure space. X is said to be complete or totally bounded if X is so.
Let X := (X , IK, k·k) be a normed linear space over the field IK, O be the
natural topology on X generated by the norm k·k, Y be a normed linear space,
and (X, BB ( X ) , µ) be a Y-valued measure space on the same set X. The
triple X := (X, BB ( X ) , µ) is said to be a Y-valued normed linear measure
space if ((X, O), BB ( X ) , µ) is a Y-valued topological measure space. When
X is a Banach space, then X is said to be a Y-valued Banach measure space.
Depending on whether IK = IR or IK = C, we will say that X is a Y-valued
real or complex Banach measure space.
Proposition 11.181 Let X := (X, O) be a topological space, Y be a

normed linear space over IK. Define
Z := { µ ∈ Mσ (X, BB ( X ) , Y) | (X , BB ( X ) , µ) is a σ-finite Y-valued

topological measure space }
Let Z admit the subset topology O. Then, Z =: Mσt (X , Y) is a subspace of

Mσ (X, BB ( X ) , Y). We will abuse the notation and denote the topological
space (Z, O) by Mσt (X , Y).
Define Z̄ := { µ ∈ Mf (X, BB ( X ) , Y) | (X , BB ( X ) , µ) is a finite
Y-valued topological measure space } = Z ∩ Mf (X, BB ( X ) , Y). Then, Z̄
is a closed subspace of Mf (X, BB ( X ) , Y) and (Z̄, IK, k · kMf (X,BB (X ),Y) ) =:
Mf t (X , Y) is a normed linear space.
When Y is a Banach space, then Mf t (X , Y) is a Banach space.
Proof First, we will show that Z is a subspace of Mσ (X, BB ( X ) , Y).

∀α1 , α2 ∈ IK, ∀µ1 , µ2 ∈ Z, by Proposition 11.135, µ := α1 µ1 + α2 µ2 ∈
Mσ (X, BB ( X ) , Y). ∀E ∈ BB ( X ), ∀ǫ ∈ (0, +∞) ⊂ IR, ∀i = 1, 2, by
µi ∈ Z, ∃Oi ∈ O with E ⊆ Oi such that P ◦ µi (Oi \ E) < ǫ/(1 + 2 | αi |).
P2
Let O := O1 ∩ O2 ∈ O. Clearly, E ⊆ O and P ◦ µ(O \ E) ≤ ( i=1 | αi | P ◦
P2 P2
µi )(O \ E) = i=1 | αi | P ◦ µi (O \ E) ≤ i=1 | αi | P ◦ µi (Oi \ E) < ǫ,
where the first inequality and the first equality follow from Proposi-
tion 11.135. This shows that (X , BB ( X ) , P ◦ µ) is a topological measure
space. Then, (X , BB ( X ) , µ) is a σ-finite Y-valued topological measure
11.10. DUAL OF C(X , Y) 483
space and µ ∈ Z. Clearly, ϑMσ (X,BB (X ),Y) ∈ Z =

6 ∅. Hence, Z is a sub-
space of Mσ (X, BB ( X ) , Y). This further implies that Z̄ is a subspace of
Mf (X, BB ( X ) , Y).
Next, we will show that Z̄ is closed. ∀µ ∈ Z̄ ⊆ Mf (X, BB ( X ) , Y),
∞
by Proposition 4.13, ∃ ( µn )n=1 ∈ Z̄ such that limn∈IN µn = µ. Then,
limn∈IN k µn − µ k = limn∈IN P ◦ (µn − µ)(X) = 0. ∀E ∈ BB ( X ), ∀ǫ ∈
(0, +∞) ⊂ IR, ∃n ∈ IN such that P ◦ (µn − µ)(X) < ǫ/2. By µn ∈ Z̄,
∃O ∈ O with E ⊆ O such that P ◦ µn (O \ E) < ǫ/2. Then, P ◦ µ(O \ E) =
P ◦ (µn − µn + µ)(O \ E) ≤ (P ◦ µn + P ◦ (µn − µ))(O \ E) = P ◦ µn (O \ E) +
P ◦ (µn − µ)(O \ E) < ǫ/2 + P ◦ (µn − µ)(X) < ǫ, where the first inequality
follows from Proposition 11.133. Hence, µ ∈ Z̄. By the arbitrariness of µ,
we have Z̄ = Z̄ and Z̄ is closed.
When Y is a Banach space, by Proposition 11.136, Mf (X, BB ( X ) , Y)
is a Banach space. By Theorem 7.35, Mf t (X , Y) is a Banach space.
A bit of notation to simplify our presentation. Let Mσ (X, B) denote the
set of σ-finite measures on the measurable space (X, B); Mf (X, B) denote
the set of finite measures on the measurable space (X, B); Mσt (X ) denote
the set of σ-finite topological measures on the topological space X ; and
Mf t (X ) denote the set of finite topological measures on the topological
space X .
Proposition 11.182 Let X := (X, O) be a topological space and µo : O →

[0, ∞) ⊂ IR. Assume that
(i) µo (∅) = 0;
(ii) µo (O1 ) ≤ µo (O2 ), ∀O1 , O2 ∈ O with O1 ⊆ O2 ;

S∞ P∞ ∞
(iii) µo ( i=1 Oi ) ≤ i=1 µo (Oi ), ∀ ( Oi )i=1 ⊆ O;
(iv) µo (O1 ∪ O2 ) = µo (O1 ) + µo (O2 ), ∀O1 , O2 ∈ O with O1 ∩ O2 = ∅;
(v) µo (O) = supU∈O, U⊆U ⊆O µo (U ), ∀O ∈ O.
Define µ̄o : X2 → [0, ∞) ⊂ IR by µ̄o (E) = inf O∈O, E⊆O µo (O), ∀E ⊆ X.

1. µ̄o is an outer measure. It induces a finite complete measure space

(X, B̄, µ̄), where B̄ := { E ⊆ X | E is measurable with respect to µ̄o }
and µ̄ := µ̄o |B̄ .
2. BB ( X ) ⊆ B̄ and the triple X := (X , BB ( X ) , µ := µ̄|BB (X ) ) is a finite

topological measure space with µ(O) = µo (O), ∀O ∈ O.
3. The measure µ is unique in the sense that if µ̂ be another measure on

(X, BB ( X )) satisfying µ̂(O) = µo (O) = µ(O), ∀O ∈ O, then µ̂ = µ.
Proof 1. By (i), we have µ̄o (∅) = 0. ∀A ⊆ B ⊆ X, we have 0 ≤

= inf O∈O, A⊆O µo (O) ≤ inf O∈O, B⊆O µo (O) = µ̄o (B) ≤ µo (X) < ∞.
µ̄o (A) S
∀E ⊆ ∞ i=1 Ei ⊆ X, ∀ǫ ∈ (0, +∞) ⊂ IR, ∀i ∈ IN, ∃Oi ∈ O with Ei ⊆ Oi
−i
suchS that µo (OP i ) < µ̄o (Ei ) + 2P ǫ. Then, µ̄o (E) = inf O∈O, E⊆O µo (O) ≤
∞ ∞ ∞
µo ( i=1 Oi ) ≤ i=1 µo (Oi ) < i=1 µ̄o (Ei )+ǫ, where the second P∞inequality
follows from (iii). By the arbitrariness of ǫ, we have µ̄o (E) ≤ i=1 µ̄o (Ei ).
Hence, µ̄o : X2 → [0, ∞) ⊂ IR is an outer measure. It is easy to see that
µ̄o (O) = µo (O), ∀O ∈ O. By Theorem 11.17, (X, B̄, µ̄) is a finite complete
measure space.
2. ∀O ∈ O, ∀E ⊆ X, ∀ǫ ∈ (0, +∞) ⊂ IR, ∃O1 ∈ O with E ⊆ O1
such that µo (O1 ) < µ̄o (E) + ǫ/2. By (v), ∃U ∈ O with U ⊆ U ⊆ O1 ∩ O
such that µo (O ∩ O1 ) < µo (U ) + ǫ/2. Then, µ̄o (E) > µo (O1 ) − ǫ/2 ≥
µo ((O1 \U )∪U )−ǫ/2 = µo (O1 \U )+µo (U )−ǫ/2 = µ̄o (O1 \U )+µo (U )−ǫ/2 >
µ̄o (O1 \ (O1 ∩ O)) + µo (O ∩ O1 ) − ǫ = µ̄o (O1 \ O) + µ̄o (O ∩ O1 ) − ǫ ≥
µ̄o (E \ O) + µ̄o (E ∩ O) − ǫ ≥ µ̄o (E) − ǫ, where the second inequality follows
from (ii); the first equality follows from (iv); and the third, the fourth, and
the last inequalities follow from the fact that µ̄o is an outer measure. By
the arbitrariness of ǫ, we have µ̄o (E) = µ̄o (E \ O) + µ̄o (E ∩ O). By the
arbitrariness of E, O is measurable with respect to µ̄o and O ∈ B̄. By
the arbitrariness of O, we have O ⊆ B̄. Since B̄ is a σ-algebra on X, then
BB ( X ) ⊆ B̄. By Proposition 11.13, (X, BB ( X ) , µ) is a measure space.
Clearly, µ(O) = µ̄(O) = µ̄o (O) = µo (O), ∀O ∈ O. This coupled with
the definition of µ̄o leads to the conclusion that X is a topological measure
space. Clearly, µ(X) = µo (X) < ∞. Hence, X is a finite topological
measure space.
3. Let µ̂ be another measure on (X, BB ( X )) satisfying µ̂(O) = µo (O) =
µ(O), ∀O ∈ O. Then, µ̂ is finite. Suppose µ 6= µ̂. Then, ∃E ∈ BB ( X )
such that µ̂(E) 6= µ(E) = inf O∈O, E⊆O µo (O) = inf O∈O, E⊆O µ(O) =
inf O∈O, E⊆O µ̂(O). Since µ̂(E) ≤ µ̂(O), ∀O ∈ O with E ⊆ O. Then,
we must have µ̂(E) < µ(E). Since X is a topological measure space, then,
by Proposition 11.27, ∃X \F ∈ O with F ⊆ E such that µ(E \F ) < (µ(E)−
µ̂(E))/2. This implies that µ(F ) = µ(E) − µ(E \ F ) > µ(E)/2 + µ̂(E)/2 >
µ̂(E) ≥ µ̂(F ) and µo (X \ F ) = µ(X \ F ) = µ(X) − µ(F ) < µ̂(X) − µ̂(F ) =
µ̂(X \ F ) = µo (X \ F ), where the first equality follows from X \ F ∈ O;
the second equality follows from µ being a finite measure; the inequality
follows from X ∈ O; the third equality follows from µ̂ being a measure; and
the last equality follows from X \ F ∈ O. This is a contradiction. Hence,
we have µ̂ = µ and µ is unique.
Proposition 11.183 Let X := (X, O) be a compact Hausdorff topological

space, Y be a Banach space, µ̄ be a function that assigns a vector µ̄(F ) ∈ Y
for each closed subset F ⊆ X, X := (X , BB ( X ) , ν) be a finite topological
measure space. Assume that
(i) µ̄(F1 ∪ F2 ) = µ̄(F1 ) + µ̄(F2 ), ∀X \ F1 , X \ F2 ∈ O with F1 ∩ F2 = ∅;
11.10. DUAL OF C(X , Y) 485
(ii) k µ̄(F1 ) − µ̄(F2 ) k ≤ ν(O), ∀X \ F1 , X \ F2 , O ∈ O with F1 △ F2 ⊆ O.
Then, there exists a unique µ ∈ Mf t (X , Y) such that µ(F ) = µ̄(F ), ∀X \F ∈

O. Furthermore, P ◦ µ ≤ ν.
Proof Fix any E ∈ BB ( X ). Let ÂE := { F ⊆ E | X \ F ∈ O } and

¯ ¯
ÂE := (ÂE , ⊆). Clearly, ÂE is a directed system.
Claim 11.183.1 The net ( µ̄(F ) )F ∈Â

¯ is Cauchy.
E
Proof of claim: ∀ǫ ∈ (0, +∞) ⊂ IR, by X being a topological measure

space, ∃V ∈ O with E ⊆ V such that ν(V \E) < ǫ/2. By Proposition 11.27,
¯
∃X \ F ∈ O with F ⊆ E such that ν(E \ F ) < ǫ/2. ∀F1 ∈ ÂE with F ⊆ F1 ,
we have F ⊆ F1 ⊆ E ⊆ V and F △ F1 = F1 \ F ⊆ V \ F ∈ O. By (ii),
k µ̄(F1 ) − µ̄(F ) k ≤ ν(V \ F ) = ν(V \ E) + ν(E \ F ) < ǫ. Hence, the net is
Cauchy. This completes the proof of the claim. 2
By Proposition 4.44, we may define µ(E) = limF ∈Â ¯ µ̄(F ) ∈ Y. Thus,
E
we have defined a function µ : BB ( X ) → Y. We will show that µ is the
Y-valued measure we seek. Clearly, µ(F ) = µ̄(F ), ∀X \ F ∈ O. By (i),
µ̄(∅) + µ̄(∅) = µ̄(∅) and then µ(∅) = µ̄(∅) = ϑY .
∀E ∈ BB ( X ), ∀ǫ ∈ (0, +∞) ⊂ IR, ∃V ∈ O with E ⊆ V such that
¯
ν(V \ E) < ǫ/2. By µ(E) = limF ∈Â ¯ µ̄(F ), ∃F ∈ ÂE such that k µ(E) −
E
µ̄(F ) k < ǫ/2. Clearly, F ⊆ E ⊆ V . Then, k µ(E) k < k µ̄(F ) k + ǫ/2 ≤
ν(V ) + ǫ/2 = ν(E) + ν(V \ E) + ǫ/2 < ν(E) + ǫ, where the second inequality
follows from (ii). By the arbitrariness of ǫ, we have k µ(E) k ≤ ν(E).
∞ S∞
Fix any pairwise disjoint ( En )n=1 ⊆ BB ( X ), let E := n=1 En ∈
BB ( X ). ∀ǫ ∈ (0, +∞) ⊂ IR, ∀n ∈ IN, ∃Vn ∈ O with En ⊆ Vn such
that ν(Vn \ En ) < 2−n−1 ǫ/5. By Proposition 11.27, ∃X \ Fn ∈ O with
Fn ⊆ En such that ν(En \ Fn ) < 2−n−1 ǫ/5. By µ(En ) = limF ∈Â ¯ µ̄(F ),
En
¯
∃F̂n ∈ ÂEn with Fn ⊆ F̂n such that µ(En ) − µ̄(F̂n ) < 2−n ǫ/5. Clearly,
Fn ⊆ F̂n ⊆ En ⊆ Vn . ∃V ∈ O with E ⊆ V such that ν(V \ E) < ǫ/5. By
Proposition 11.27, ∃X \ F ∈ O with F ⊆ E such that ν(E \ F ) < ǫ/5. By
¯
¯ µ̄(F ), ∃F̂ ∈ ÂE with F ⊆ F̂ such that µ(E) − µ̄(F̂ ) <
µ(E) = limF ∈Â
E
ǫ/5. Clearly, S F ⊆ F̂ ⊆ S E ⊆ V . By Proposition 5.5, F̂ is compact. SnSince

F̂ ⊆ E = ∞ n=1 En ⊆ ∞
n=1 Vn , then ∃n 0 ∈ IN
such that F̂ ⊆ 0
i=1 Vi .
Pn
∀n ∈ IN with n0 ≤ n, k µ(E) − i=1 µ(Ei ) k ≤ µ(E) − µ̄(F̂ ) + µ̄(F̂ ) −
Pn P Sn
n
i=1 µ̄(F̂i ) + i=1 µ̄(F̂i ) − µ(Ei ) < ǫ/5 + µ̄(F̂ ) − µ̄( i=1 F̂i ) + ǫ/5,
Sn
where the second inequality follows from (i). Clearly, F̂ and i=1 F̂i are
Sn Sn Sn Sn
closed sets. F̂ △ ( i=1 F̂i ) = (F̂ \ ( i=1 F̂i )) ∪ (( i=1 F̂i ) \ F̂ ) ⊆ (( i=1 Vi ) \
S S
( ni=1 F̂i )) ∪ (E \ F̂ ) ⊆ ( Sni=1 (Vi \ Fi )) ∪ (V \ F ) ∈ O. By
P Pn(ii), k µ(E) −
n n
i=1 µ(E i ) k < 2ǫ/5+ν(( (V
i=1 i \F i ))∪(V \F )) ≤ 2ǫ/5+ i=1 ν(Vi \Fi )+
Pn
ν(V \ F ) = 2ǫ/5 P+ i=1 (ν(Vi \ Ei ) + ν(Ei \ Fi )) + ν(V \ E) + ν(E \ F ) < ǫ.
∞
Then, µ(E) = n=1 µ(En ) ∈ Y. P∞
P∞∀ pairwise disjointS∞ ( En )∞
n=1 ⊆ BB ( X ), n=1 k µ(En ) k ≤
n=1 ν(E n ) = ν( n=1 E n ) ≤ ν(X) < ∞. This shows that µ is a Y-valued
pre-measure on (X, BB ( X )).
n
∀ES ∈ BB ( X
n P),n ∀n ∈ Z+ , ∀ pairwise
Pn disjoint ( Ei )i=1 ⊆ BB ( X ) with
E = i=1 Ei , i=1 k µ(Ei ) k ≤ i=1 ν(Ei ) = ν(E). Hence, P ◦ µ(E) ≤
ν(E). By the arbitrariness of E, we have P ◦ µ ≤ ν. Hence, µ is a finite
Y-valued measure on (X, BB ( X )). It is easy to show that (X , BB ( X ) , µ)
is a Y-valued topological measure space. Then, µ ∈ Mf t (X , Y).
Finally, we need to show that µ ∈ Mf t (X , Y) is unique. Let µ̂ ∈
Mf t (X , Y) be such that: µ̂(F ) = µ̄(F ) = µ(F ), ∀X \ F ∈ O. ∀E ∈ BB ( X ),
∀ǫ ∈ (0, +∞) ⊂ IR, by Proposition 11.27, ∃X \F ∈ O with F ⊆ E such that
P ◦ µ(E \ F ) < ǫ/2. Again by Proposition 11.27, ∃X \ F1 ∈ O with F1 ⊆ E
such that P ◦ µ̂(E \ F ) < ǫ/2. Let F̄ := F ∪ F1 ⊆ E, which is clearly closed.

Then, k µ(E)−µ̂(E) k ≤ µ(E)−µ(F̄ ) + µ(F̄ )−µ̂(F̄ ) + µ̂(F̄ )−µ̂(E) =

µ(E \ F̄ ) + 0 + µ̂(E \ F̄ ) ≤ P ◦ µ(E \ F̄ ) + P ◦ µ̂(E \ F̄ ) ≤
P ◦ µ(E \ F ) + P ◦ µ̂(E \ F1 ) < ǫ. By the arbitrariness of ǫ, we have
µ(E) = µ̂(E). Hence, µ = µ̂.
Definition 11.184 Let X := (X, O) be a topological
T∞ space. E ⊆ X is said
∞
to be a Gδ if ∃
( Oi )i=1 ⊆ O such that E = i=1 Oi . Ē ⊆ X is said to be
∞ S∞
an Fσ if exists Fei ⊆ O such that Ē = Fi .
i=1
i=1
Proposition 11.185 Let X := (X, ρ) be a locally compact separable metric

space with the natural topology O, E := { E ⊆ X | E is a compact Gδ },
and Ba (X ) be the σ-algebra generated by E. Then, Ba (X ) = BB ( X ).
Proof ∀E ∈ E, by Proposition 5.5, E is closed. Then, E ∈ BB ( X ).
Hence, E ⊆ BB ( X ). Since BB ( X ) is a σ-algebra, then Ba (X ) ⊆ BB ( X ).
∀x ∈ X, by Definition
S 5.49, ∃Ox ∈ O such that x ∈ Ox and Ox is com-
pact. Then, X = x∈X Ox . By Propositions 4.4 and 3.24, ∃ a countable
S S
set D ⊆ X such that X = x∈D Ox = x∈D Ox .
∀Fe ∈ O, ∀x ∈ D, FT x := FS∩Ox is compact and closed by Propositions 5.5
∞
and 3.5. Then, Fx = n=1 x̄∈Fx BX ( x̄, 1/n ), by Proposition 4.10. This
implies that Fx is a Gδ in addition
S to being compact. Then, Fx ∈ E ⊆
Ba (X ). This implies that F = x∈D Fx ∈ Ba (X ). Hence, Fe ∈ Ba (X ). By
the arbitrariness of Fe, we have O ⊆ Ba (X ). By Ba (X ) being a σ-algebra,
we have BB ( X ) ⊆ Ba (X ).
Therefore, Ba (X ) = BB ( X ). This completes the proof of the proposi-
tion. 2
Lemma 11.186 Let X := (X, O) be a normal topological space. Then,
∀Ee ∈ O with E being a Gδ , there exists a continuous function φ : X →
[0, 1] ⊂ IR such that E = { x ∈ X | φ(x) = 1 }.
11.10. DUAL OF C(X , Y) 487
∞ T∞
Proof Since E is a Gδ , then ∃ ( Oi )i=1 ⊆ O such that E = i=1 Oi .
∀i ∈ IN, by Urysohn’s Lemma 3.55, there exists a continuous function
P∞ −iφi :
X → [0, 1] ⊂ IR such that φi |E = 1 and φi |O fi = 0. Let φ := i=1 2 φi .
By Proposition 4.26, φ : X → [0, 1] ⊂ IR is continuous. Clearly φ|E = 1
S
and φ(x) < 1, ∀x ∈ ∞ f e
i=1 Oi = E. Hence, the result holds. This completes
Theorem 11.187 Let X := (X, ρ) be a locally compact separable metric

space with the natural topology O and µ be a finite measure on (X, BB ( X )).
Then, X := (X , BB ( X ) , µ) is a finite metric measure space. Thus,
Mf (X, BB ( X )) = Mf t (X ). As a consequence, Mf (X, BB ( X ) , Y) =
Mf t (X , Y), where Y is any normed linear space.
Proof By Propositions 4.4, 3.24, and 5.72, X is σ-compact. Let

R ⊆ BB ( X ) be such that E ∈ R if ∀ǫ ∈ (0, +∞) ⊂ IR, we have
(i) ∃O ∈ O with O being σ-compact and E ⊆ O such that µ(O \ E) < ǫ;
(ii) ∃Fe ∈ O with F being a compact Gδ and F ⊆ E such that µ(E \ F ) < ǫ.
We will show that R = BB ( X ).
T∞ S
Claim 11.187.1 ∀Fe ∈ O, F = n=1 x∈F BX ( x, 1/n ) =: F̄ and is a Gδ .
Proof of claim: Clearly, F ⊆ F̄ . ∀x0 ∈ Fe , by Proposition

S 4.10, ǫ0 :=
e ∼
dist(x, F ) > 0. Then, ∀n ∈ IN with 1/n < ǫ0 , x0 ∈ x∈F BX ( x, 1/n )
and x ∈ F ē . Hence, Fe ⊆ F
ē and F = F̄ . Clearly, F̄ is a G . This completes
0 δ
Claim 11.187.2 ∀O ∈ O, O is σ-compact.
Proof of claim: By Claim 11.187.1, O e is a Gδ . Then, ∃ ( Oi )∞ ⊆ O

T S i=1
such that O e = ∞ Oi and O = ∞ O fi . By X being σ-compact, ∃
i=1
∞
i=1 S∞
compact sets ( Ki )i=1 such that X = i=1 Ki . Then, O = O ∩ X =
S∞ S∞ f f
i=1 j=1 (Oi ∩ Kj ). ∀i, j ∈ IN, by Propositions 3.5 and 5.5, Oi ∩ Kj is
compact. Hence, O is σ-compact. S∞ 2
∞
∀ ( Ei )i=1 ⊆ R, let E := i=1 Ei ∈ BB ( X ). ∀ǫ ∈ (0, +∞) ⊂ IR, ∀i ∈ IN,
∃Oi ∈ O with Oi being σ-compact and Ei ⊆ Oi such that µ(Oi \Ei ) < 2−i ǫ;
∃Fei ∈ O with Fi being S∞ a compact Gδ and Fi ⊆ Ei such that µ(Ei \ Fi ) <
2−i−1 ǫ. Let O := i=1 Oi ∈ O, S∞ which is S σ-compact by S Claim 11.187.2.
∞ ∞
Then,
P∞ E ⊆ O and µ(O\E) = µ(( i=1 O i )\( i=1 Ei )) ≤ µ( i=1 (Oi \Ei )) ≤
i=1 µ(OS i \ Ei ) < ǫ. Hence, E satisfies (i). By Proposition Sn11.7, µ(E) =
n 0
limn∈IN µ( Si=1 Ei ). Then, ∃n0 ∈ IN such that µ(E) < µ( i=1 Ei ) + ǫ/2.
Let F := ni=1 0
Fi . Clearly, F is compact and closed. By Claim Sn11.187.1,
0
FS is a Gδ . Then, F ⊆ E
Sn0 and µ(E
Sn0\ F ) = µ(E) − µ(F
Sn0) < µ( i=1 Ei ) −
n0
Pn0i=1 Fi )+ǫ/2 = µ(( i=1 Ei )\( i=1 Fi ))+ǫ/2 ≤ µ( i=1 (Ei \Fi ))+ǫ/2 ≤
µ(
i=1 µ(Ei \ Fi ) + ǫ/2 < ǫ. Hence, E satisfies (ii). Then, E ∈ R. Thus, R
is closed under countable unions.
∀E ∈ R, ∀ǫ ∈ (0, +∞) ⊂ IR, ∃O ∈ O with O being σ-compact and

E ⊆ O such that µ(O \ E) < ǫ; ∃Fe ∈ O with F being a compact Gδ and
F ⊆ E such that µ(E \ F ) < ǫ. Then, O e is a closed set, Oe ⊆ E, e and
e e ∞
µ(E \ O) = µ(OS \ E) < ǫ. By X being σ-compact, ∃ compact sets ( Ki )i=1
∞
such that X = i=1 Ki . Without loss of generality, we may assume that
Ki ⊆ Ki+1 , ∀i ∈ IN. Note that ǫ > µ(E e \ O)
e = µ(E e \ (Oe ∩ S∞ Ki )) =
i=1
µ(Ee \ (S∞ (O e ∩ Ki ))) = µ(T∞ (E e \ (O
e ∩ Ki ))) = limi∈IN µ(Ee \ (Oe ∩ Ki )),
i=1 i=1
where the last equality follows from Proposition 11.5. Then, ∃n ∈ IN such
that µ(E e \ (O e ∩ Kn )) < ǫ. By Propositions 3.5 and 5.5, O e ∩ Kn is closed
and compact, then it is a Gδ by Claim 11.187.1. Clearly, O e ∩ Kn ⊆ E. e
e e
Hence, E satisfies (ii). F ∈ O and is σ-compact by Claim 11.187.2. Note
that E e ⊆ Fe and µ(Fe \ E) e = µ(E \ F ) < ǫ. Then, E e satisfies (i). Hence,
e
E ∈ R. R is closed under set complements. Clearly, ∅ ∈ R. This proves
that R is a σ-algebra.
∀Ee ∈ O with E being a compact Gδ , ∀ǫ ∈ (0, +∞) ⊂ IR, then E
satisfies (ii) trivially. By Lemma 11.186, there exists a continuous function
φ : X → [0, 1] ⊂ IR such that E = { x ∈ X | φ(x) = 1 T }. ∀i ∈ IN,
∞
let Oi := { x ∈ X | φ(x) > 1 − 1/i } ∈ O. Clearly E = i=1 Oi and
Oi+1 ⊆ Oi , ∀i ∈ IN. By Proposition 11.5, µ(E) = limi∈IN µ(Oi ). ∃n ∈ IN
such that µ(On ) − ǫ ≤ µ(E) ≤ µ(On ). Clearly, we have E ⊆ On . Then,
µ(On \E) = µ(On )−µ(E) < ǫ. By Claim 11.187.2, On is σ-compact. Then,
E satisfies (i) and E ∈ R.
Thus, R is a σ-algebra and E := { E ∈ BB ( X ) | E is a compact Gδ } ⊆
R. By Proposition 11.185, R = BB ( X ). Then, X is a finite metric measure
space.
Thus, we have Mf (X, BB ( X )) ⊆ Mf t (X ). Clearly, Mf (X, BB ( X )) ⊇
Mf t (X ). Hence, Mf (X, BB ( X )) = Mf t (X ).
∀µ̄ ∈ Mf (X, BB ( X ) , Y) then P ◦ µ̄ ∈ Mf (X, BB ( X )) = Mf t (X ). This
implies that µ̄ ∈ Mf t (X , Y). Hence, Mf (X, BB ( X ) , Y) ⊆ Mf t (X , Y).
Clearly, Mf (X, BB ( X ) , Y) ⊇ Mf t (X , Y). Then, Mf (X, BB ( X ) , Y) =
Mf t (X , Y).
Definition 11.188 Let X := (X, O) be a topological space, Y be a normed

linear space, f : X → Y. The support of f is the set supp(f ) :=
{ x ∈ X | f (x) 6= ϑY }.
Lemma 11.189 Let X := (X, O) be compact Hausdorff topological space,

Z := C(X , IR), and f ∈ Z∗ . f¯ ∈ Z∗ is said to be a positive linear functional
if f¯(z) ≥ 0, ∀z ∈ P := { h ∈ Z | h : X → [0, ∞) ⊂ IR }. Then, f = f+ −f− ,
where f+ , f− ∈ Z∗ are positive linear functionals.
Proof ∀z ∈ P , define f+ (z) := supφ∈Z, 0≤φ(x)≤z(x), ∀x∈X f (φ). Then,

0 ≤ f+ (z) ≤ k f k k z k < ∞ and f+ (z) ≥ f (z), ∀z ∈ P . Clearly,
(i) f+ (αz) = αf+ (z), ∀z ∈ P and ∀α ∈ [0, ∞) ⊂ IR.
11.10. DUAL OF C(X , Y) 489
∀z1 , z2 ∈ P , ∀i ∈ {1, 2}, ∀φi ∈ Z with 0 ≤ φi (x) ≤ zi (x), ∀x ∈ X, we

have f (φ1 ) + f (φ2 ) = f (φ1 + φ2 ) ≤ f+ (z1 + z2 ). Then, f+ (z1 ) + f+ (z2 ) ≤
f+ (z1 + z2 ). On the other hand, ∀φ ∈ Z with 0 ≤ φ(x) ≤ z1 (x) + z2 (x),
∀x ∈ X, we have f (φ) = f (φ ∧ z1 ) + f (φ − φ ∧ z1 ) ≤ f+ (z1 ) + f+ (z2 ). Then,
f+ (z1 + z2 ) ≤ f+ (z1 ) + f+ (z2 ). Therefore,
(ii) f+ (z1 ) + f+ (z2 ) = f+ (z1 + z2 ), ∀z1 , z2 ∈ P .
∀z ∈ Z, define z+ := z ∨ 0 ∈ P and z− := (−z) ∨ 0 ∈ P . Clearly,
z = z+ − z− . Define f+ (z) := f+ (z+ ) − f+ (z− ) ∈ IR. Then, f+ : Z → IR is
well-defined. We will show that f+ ∈ Z∗ .
∀z ∈ Z, | f+ (z) | = | f+ (z+ ) − f+ (z− ) | ≤ f+ (z+ ) + f+ (z− ) = f+ (z+ +
z− ) ≤ k f k k z+ + z− k = k f k k z k.
∀z1 , z2 ∈ Z, let z := z1 + z2 . Then, f+ (z1 ) + f+ (z2 ) = f+ (z1+ ) −
f+ (z1− ) + f+ (z2+ ) − f+ (z2− ) = f+ (z1+ + z2+ ) − f+ (z1− + z2− ) = f+ (z+ ) +
f+ (z1+ + z2+ − z+ ) − f+ (z− ) − f+ (z1− + z2− − z− ) = f+ (z) + f+ (z1+ +
z2+ − z+ ) − f+ (z1− + z2− − z− ), where the first equality follows from the
definition of f+ ; the second equality follows from (ii); the third equality
follows from (ii); and the last equality follows from the definition of f+ .
Note that, ∀x ∈ X,
(z1+ + z2+ − z+ )(x) = z1 (x) ∨ 0 + z2 (x) ∨ 0 − (z1 (x) + z2 (x)) ∨ 0


 0 z1 (x) ≥ 0 and z2 (x) ≥ 0



 −z 2 (x) z 1 (x) ≥ 0 > z2 (x) ≥ −z1 (x)

z1 (x) z1 (x) ≥ 0 ≥ −z1 (x) > z2 (x)
=

 −z1 (x) z2 (x) ≥ 0 > z1 (x) ≥ −z2 (x)



 z 2 (x) z2 (x) ≥ 0 ≥ −z2 (x) > z1 (x)

0 z1 (x) < 0 and z2 (x) < 0
= (−z1 (x)) ∨ 0 + (−z2 (x)) ∨ 0 − (−z1 (x) − z2 (x)) ∨ 0)
= z1− (x) + z2− (x) − z− (x)
Hence, (iii) f+ (z1 ) + f+ (z2 ) = f+ (z) = f+ (z1 + z2 ), ∀z1 , z2 ∈ Z.
∀z ∈ Z, ∀α ∈ IR. If α = 0, then f+ (αz) = 0 = αf+ (z). If α > 0, then
f+ (αz) = f+ (αz+ ) − f+ (αz− ) = αf+ (z+ ) − αf+ (z− ) = αf+ (z), where the
first equality follows from the definition of f+ ; the second equality follows
from (i); and the third equality follows from the definition of f+ . If α < 0,
then f+ (αz) = f+ (−αz− ) − f+ (−αz+ ) = −αf+ (z− ) + αf+ (z+ ) = αf+ (z),
where the first equality follows from the definition of f+ ; the second equality
follows from (i); and the third equality follows from the definition of f+ .
Hence, we have
(iv) f+ (αz) = αf+ (z), ∀z ∈ Z and ∀α ∈ IR.
Hence, f+ ∈ Z∗ and is a positive linear functional.
Let f− := f+ − f ∈ Z∗ . Clearly, f− (z) ≥ 0, ∀z ∈ P . Hence, f− is also a
positive linear functional.
Theorem 11.190 (Riesz Representation Theorem) Let X := (X, O)
be a compact Hausdorff topological space, Y be a Banach space over IK,
Z := C(X , Y), and Z := { z ∈ Z | z = hy, h ∈ C(X , IR), y ∈ Y }. Assume

∗ ∗
Rthat span ( Z ) = Z. Then, ∀f ∈ Z , ∃! µ ∈ Mf t (X , Y ) such
∗
that f (z) =
X
hh dµ(x), z(x) ii =: hh µ, z ii, ∀z ∈ Z. Furthermore, Z = Mf t (X , Y∗ )
isometrically isomorphically.
Proof By Proposition 5.14, X is normal. By Example 7.32, Z is a

Banach space over IK. Fix any f ∈ Z∗ . Define νo : O → [0, k f k] ⊂ IR by
νo (O) := supz∈Z,kzk≤1, supp(z)⊆O | f (z) |, ∀O ∈ O. Clearly, we have
(i) νo (∅) = 0;
(ii) 0 ≤ νo (O) ≤ k f k < ∞, ∀O ∈ O;
(iii) νo (O1 ) ≤ νo (O2 ), ∀O1 , O2 ∈ O with O1 ⊆ O2 .
S∞
∀ ( Oi )∞ i=1 ⊆ O, let O := i=1 Oi ∈ O. ∀z ∈ Z with K := supp(z) ⊆
O and k z k ≤ 1, by Proposition 5.5, K is compact. By Corollary 5.65
of Partition of Unity, ∃m ∈ Z+ , ∃n1 , . . . , nm ∈ IN, which may be taken
m
to be distinct, ∃ ( ϕni )i=1 ⊆ C(X ,P IR) such that ϕni : X → [0, 1] ⊂ IR,
m
supp(ϕ
Pm ni ) ⊆ O ni , i = 1, . . . , m, Pm
i=1 ϕni (x) = 1, ∀x ∈ K, and 0 ≤
i=1 ϕ n i (x) ≤ 1, ∀x ∈ X. Then, z = i=1 zϕni . ∀i ∈ {1, . . . , m}, zϕni ∈
Z, k zϕni k ≤ 1, and P supp(zϕni ) ⊆ supp(z) Pm ∩ supp(ϕni ) P ⊆ supp(ϕni ) ⊆
m m
O
Pn∞ i . Then, | f (z) | = | i=1 f (zϕ ni ) | ≤ i=1 | f (zϕni ) | ≤ i=1 νo (Oni ) ≤
i=1 oν (O i ). By S the arbitrariness
P∞ of z, we have
(iv) νo (O) = νo ( ∞ i=1 Oi ) ≤ i=1 νo (Oi ), ∀ ( Oi )i=1 ⊆ O.
∞
∀O1 , O2 ∈ O with O1 ∩ O2 = ∅, ∀ǫ ∈ (0, +∞) ⊂ IR, ∃z̄i ∈ Z with

supp(z̄i ) ⊆ Oi and k z̄i k ≤ 1, such that ˛ | f˛ (z̄i ) | > νo (Oi )−ǫ/2, i = 1, 2. ∀i ∈
˛ ˛
˛f (z̄i )˛
{1, 2}, when f (z̄i ) 6= 0, take zi := f (z̄i ) z̄i ∈ Z; and when f (z̄i ) = 0, take
zi := z̄i ∈ Z. Then, zi ∈ Z, k zi k = k z̄i k ≤ 1, supp(zi ) = supp(z̄i ) ⊆ Oi ,
and f (zi ) = | f (z̄i ) | > νo (Oi ) − ǫ/2. Let z := z1 + z2 ∈ Z. Clearly, k z k ≤ 1
since O1 ∩ O2 = ∅. Note that supp(z) ⊆ supp(z1 ) ∪ supp(z2 ) = supp(z1 ) ∪
supp(z2 ) ⊆ O1 ∪O2 , where the equality follows from Proposition 3.3. Then,
νo (O1 )+νo (O2 )−ǫ < f (z1 )+f (z2 ) = f (z) ≤ νo (O1 ∪O2 ) ≤ νo (O1 )+νo (O2 ),
where the last inequality follows from (iv). By the arbitrariness of ǫ, we
have
(v) νo (O1 ∪ O2 ) = νo (O1 ) + νo (O2 ), ∀O1 , O2 ∈ O with O1 ∩ O2 = ∅.
∀O ∈ O, ∀ǫ ∈ (0, +∞) ⊂ IR, ∃z ∈ Z with K := supp(z) ⊆ O and
k z k ≤ 1, such that | f (z) | > νo (O) − ǫ. By Proposition 5.5, K is compact.
By Proposition 3.35, ∃U ∈ O, such that K ⊆ U ⊆ U ⊆ O. Then, νo (O) ≥
νo (U ) ≥ | f (z) | > νo (O) − ǫ, where the first inequality follows from (iii).
Hence, we have
(vi) νo (O) = supU∈O, U⊆U⊆O νo (U ), ∀O ∈ O.
By Proposition 11.182, there exists a finite topological measure space
X̄ := (X , BB ( X ) , ν) such that ν(O) = νo (O), ∀O ∈ O and ν(E) =
inf O∈O, E⊆O νo (O), ∀E ∈ BB ( X ). Furthermore, ν is unique among mea-
sures ν̂ on (X , BB ( X )) with ν̂|O = νo . Clearly, ν ∈ Mf t (X ).

Fix any Fe ∈ O. Let AF := (U, V, h) ∈ O × O × C(X , IR) F ⊆ U ⊆

U ⊆ V, h : X → [0, 1] ⊂ IR, h|U = 1, supp(h) ⊆ V . Define a relation ≺
11.10. DUAL OF C(X , Y) 491
on AF by (U1 , V1 , h1 ) ≺ (U2 , V2 , h2 ) if V1 ⊇ V2 . By Proposition 3.35 and

Urysohn’s Lemma 3.55, ĀF := (AF , ≺) is a directed system. ∀(U, V, h) ∈
ĀF , the function fh : Y → IK, defined by fh (y) = f (hy), ∀y ∈ Y, is a
bounded linear functional since f ∈ Z∗ . Then, fh ∈ Y∗ . This defines a net
( fh )(U,V,h)∈ĀF ⊆ Y∗ .
Claim 11.190.1 The net ( fh )(U,V,h)∈ĀF ⊆ Y∗ is Cauchy.
Proof of claim: ∀ǫ ∈ (0, +∞) ⊂ IR, ∃V ∈ O with F ⊆ V such that

ν(V \ F ) < ǫ. By Proposition 3.35, ∃U, Ǔ ∈ O such that F ⊆ U ⊆ U ⊆
Ǔ ⊆ Ǔ ⊆ V . By Urysohn’s Lemma 3.55, ∃h ∈ C(X , IR) with h : X →
[0, 1] ⊂ IR such that h|U = 1 and h|Uě = 0. Then, supp(h) ⊆ Ǔ ⊆ V
and (U, V, h) ∈ ĀF . ∀(U1 , V1 , h1 ) ∈ ĀF with (U, V, h) ≺ (U1 , V1 , h1 ), we
have V1 ⊆ V and k fh − fh1 k = supy∈Y, kyk≤1 | hh fh , y ii − hh fh1 , y ii | =
supy∈Y, kyk≤1 | f (hy) − f (h1 y) | = supy∈Y, kyk≤1 | f ((h − h1 )y) |. Note that,
∀y ∈ Y with k y k ≤ 1, (h − h1 )y ∈ Z, k (h − h1 )y k ≤ 1, and
supp((h − h1 )y) ⊆ supp(h − h1 )

⊆ (supp(h) ∪ supp(h1 )) \ { x ∈ X | h(x) = 1 = h1 (x) }
⊆ (supp(h) ∪ supp(h1 )) \ (U ∩ U1 )
= supp(h) \ (U ∩ U1 ) ∪ supp(h1 ) \ (U ∩ U1 )
⊆ supp(h) \ (U ∩ U1 ) ∪ supp(h1 ) \ (U ∩ U1 )
= (supp(h) \ (U ∩ U1 )) ∪ (supp(h1 ) \ (U ∩ U1 ))
⊆ (V \ F ) ∪ (V1 \ F ) ⊆ V \ F ∈ O
where the third containment follows from the fact that h|U = 1 and h1 |U1 =
1; and the first equality follows from Proposition 3.3. Then, k fh − fh1 k ≤
νo (V \ F ) = ν(V \ F ) < ǫ. Hence, the net is Cauchy. This completes the
proof of the claim. 2
By Propositions 4.44 and 7.72,
(vii) lim(U,V,h)∈ĀF fh =: µ̄(F ) ∈ Y∗ , ∀Fe ∈ O.
Thus, we have defined a function µ̄ that assigns a vector µ̄(F ) ∈ Y∗ to each
closed subset F ⊆ X. We will next show that µ̄ satisfies the assumption of
Proposition 11.183.
Fix any F f1 , F
f2 ∈ O with F1 ∩ F2 = ∅. Fix any ǫ ∈ (0, ∞) ⊂ IR.
By the normality of X , ∃V1 , V2 ∈ O with V1 ∩ V2 = ∅ such that
Fi ⊆ Vi , i = 1, 2. Without loss of generality, we may assume that
ν(Vi \ Fi ) < ǫ/4, i = 1, 2. Fix any i ∈ {1, 2}. By lim(U,V,h)∈ĀFi fh = µ̄(Fi ),

∃(Ûi , V̂i , ĥi ) ∈ ĀFi with V̂i ⊆ Vi such that µ̄(Fi ) − fĥi < ǫ/6. By
lim(U,V,h)∈ĀF1 ∪F2 fh = µ̄(F1 ∪ F2 ), ∃(Û , V̂ , ĥ) ∈ ĀF1 ∪F2 with V̂ ⊆ V1 ∪ V2

such that µ̄(F1 ∪F2 )− fĥ < ǫ/6. This implies that k µ̄(F1 ∪F2 )− µ̄(F
1 )−

µ̄(F2 ) k ≤ µ̄(F1 ∪ F2 ) − fĥ + fĥ − fĥ1 − fĥ2 + fĥ1 − µ̄(F1 ) + fĥ2 −
DD EE DD EE

µ̄(F2 ) < ǫ/2 + supy∈Y, kyk≤1 fĥ , y − fĥ1 , y − fĥ2 , y =

ǫ/2 + supy∈Y, kyk≤1 f (ĥy) − f (ĥ1y) − f (ĥ2 y) = ǫ/2 + supy∈Y, kyk≤1 f ((ĥ −

ĥ1 − ĥ2 )y) . Note that, ∀y ∈ Y with k y k ≤ 1, ẑ := (ĥ − ĥ1 − ĥ2 )y ∈ Z,
k ẑ k ≤ 1, since supp(ĥ1 ) ∩ supp(ĥ2 ) ⊆ V̂1 ∩ V̂2 = ∅, and supp(ẑ) ⊆
(supp(ĥ) ∪ supp(ĥ1 ) ∪ supp(ĥ2 )) \ ((Û ∩ Û1 ) ∪ (Û ∩ Û2 )). Then, supp(ẑ) ⊆
supp(ĥ) ∪ supp(ĥ1 ) ∪ supp(ĥ2 ) = supp(ĥ) ∪ supp(ĥ1 ) ∪ supp(ĥ2 ) ⊆ V̂ ∪
∼
V̂1 ∪ V̂2 ⊆ V1 ∪ V2 . In addition, supp(ẑ) ⊆ (Û ∩ Û1 ) ∪ (Û ∩ Û2 ) ⊆
∼ ∼
(Û ∩ Û1 ) ∪ (Û ∩ Û2 ) = Û ∩ (Û1 ∪ Û2 ) ⊆ F^1 ∪ F2 . This yields
supp(ẑ) ⊆ (V1 ∪ V2 ) ∩ F^ 1 ∪ F2 ⊆ (V1 \ F1 ) ∪ (V2 \ F2 ) =: Ô ∈ O. Then,

we have k µ̄(F1 ∪ F2 ) − µ̄(F1 ) − µ̄(F2 ) k < ǫ/2 + νo (Ô) = ǫ/2 + ν(Ô) ≤
ǫ/2 + ν(V1 \ F1 ) + ν(V2 \ F2 ) < ǫ. By the arbitrariness of ǫ, we have
f1 , F
(viii) µ̄(F1 ) + µ̄(F2 ) = µ̄(F1 ∪ F2 ), ∀F f2 ∈ O with F1 ∩ F2 = ∅.
Fix any F f1 , F
f2 , O ∈ O with F1 △ F2 ⊆ O. ∀ǫ ∈ (0, +∞) ⊂ IR,
∀i ∈ {1, 2}, ∃Vi ∈ O with Fi ⊆ Vi such that ν(Vi \ Fi ) < ǫ/4. By
lim f = µ̄(Fi ), ∃(Ûi , V̂i , ĥi ) ∈ ĀFi with V̂i ⊆ Vi such that
(U,V,h)∈ĀFi h

µ̄(Fi ) − fĥi < ǫ/4. This leads to k µ̄(F1 ) − µ̄(F2 ) k ≤ µ̄(F1 ) −
DD EE

fĥ1 + fĥ1 − fĥ2 + fĥ2 − µ̄(F2 ) < ǫ/2 + supy∈Y, kyk≤1 fĥ1 , y −
DD EE

fĥ2 , y = ǫ/2 + supy∈Y, kyk≤1 f ((ĥ1 − ĥ2 )y) . Note that, ∀y ∈
Y with k y k ≤ 1, ẑ := (ĥ1 − ĥ2 )y ∈ Z, k ẑ k ≤ 1, and supp(ẑ) ⊆
(supp(ĥ1 ) ∪ supp(ĥ2 )) \ (Û1 ∩ Û2 ) ⊆ (supp(ĥ1 ) ∪ supp(ĥ2 )) \ (Û1 ∩ Û2 ) =
(supp(ĥ1 ) ∪ supp(ĥ2 )) \ (Û1 ∩ Û2 ) ⊆ (V1 ∪ V2 ) \ (F1 ∩ F2 ) ⊆ (V1 \ F1 ) ∪ (V1 ∩
f2 ) ∪ (V2 ∩ F
F f1 ) ∪ (V2 \ F2 ) ⊆ (V1 \ F1 ) ∪ (F1 \ F2 ) ∪ (F2 \ F1 ) ∪ (V2 \ F2 ) =
(V1 \ F1 ) ∪ (V2 \ F2 ) ∪ (F1 △ F2 ) ⊆ (V1 \ F1 ) ∪ (V2 \ F2 ) ∪ O =: Ô ∈ O. Thus,
k µ̄(F1 ) − µ̄(F2 ) k < ǫ/2 + νo (Ô) < ǫ/2 + ν(Ô) ≤ ǫ/2 + ν(V1 \ F1 ) + ν(V2 \
F2 ) + ν(O) < ǫ + ν(O). By the arbitrariness of ǫ, we have
(ix) k µ̄(F1 ) − µ̄(F2 ) k ≤ ν(O), ∀F f1 , F
f2 , O ∈ O with F1 △ F2 ⊆ O.
By Proposition 11.183, ∃! µ ∈ Mf t (X , Y∗ ) such that µ(F ) = µ̄(F ), ∀Fe ∈

O. Furthermore, P ◦ µ ≤ ν. Then, k µ k = P ◦ µ(X) ≤ ν(X) ≤ k f k < ∞.
This defines a mapping ΦZ : Z∗ → Mf t (X , Y∗ ) by ΦZ (f ) = µ, ∀f ∈ Z∗ .
The above can be expressed as
(x) k ΦZ (f ) k ≤ k f k, ∀f ∈ Z∗ .
∀f1 , f2 ∈ Z∗ , ∀α ∈ IK, let µi := ΦZ (fi ) ∈ Mf t (X , Y∗ ), i = 1, 2,
f := f1 + f2 ∈ Z∗ , and µ := ΦZ (f ) ∈ Mf t (X , Y∗ ). ∀Fe ∈ O, µ(F ) =
µ̄(F ) = lim(U,V,h)∈ĀF fh = lim(U,V,h)∈ĀF (f1h + f2h ) = lim(U,V,h)∈ĀF f1h +
lim(U,V,h)∈ĀF f2h = µ̄1 (F ) + µ̄2 (F ) = µ1 (F ) + µ2 (F ) = (µ1 + µ2 )(F ). By
Proposition 11.181, µ1 + µ2 ∈ Mf t (X , Y∗ ). Then, by Proposition 11.183,
ΦZ (f1 + f2 ) = µ = µ1 + µ2 = ΦZ (f1 ) + ΦZ (f2 ). Let µ̂ := ΦZ (αf1 ) ∈
11.10. DUAL OF C(X , Y) 493
Mf t (X , Y∗ ). ∀Fe ∈ O, we have µ̂(F ) = µ̂(F ¯ ) = lim(U,V,h)∈Ā (αf )h =

F
lim(U,V,h)∈ĀF αfh = αµ̄1 (F ) = (αµ1 )(F ). By Proposition 11.181, αµ1 ∈
Mf t (X , Y∗ ). Then, by Proposition 11.183, ΦZ (αf1 ) = µ̂ = αµ1 = αΦZ (f1 ).
This shows that ΦZ is a bound linear operator.
Fix any f ∈ Z∗ . Let µ = ΦZ (f ). ∀z ∈ Z. By Proposition R 11.37, z is
BB ( X )-measurable. Clearly, P ◦ z(x) ≤ k z k, ∀x ∈ X. Then, X P ◦ z dP ◦
µ ≤ k z k P ◦ µ(X) = k z k k µ k < ∞. Hence, z is absolutely integrable over
X := (X , BB ( X ) , µ). By Proposition 5.7, z(X) ⊆ Y is compact. Then,
by Proposition 11.179, H := span R ( z(X) ) ⊆ Y is a separable subspace.
By
R Proposition 11.129,
hh µ, z ii = X
hh dµ(x), z(x) ii ∈ IK and | hh µ, z ii | =

X hh dµ(x), z(x) ii ≤ k z k k µ k R< ∞.
We will show that f (z) = X hh dµ(x), z(x) ii = hh µ, z ii, ∀z ∈ Z, in
four steps. In the first step, we consider the special case: Y = IR and f
is a positive linear functional. ∀Fe ∈ O, ∀(U, V, h) ∈ ĀF , fh = f (h) ∈
[0, k f k] ⊂ IR, since h ∈ P := { z ∈ C(X , IR) | z : X → [0, ∞) ⊂ IR } ⊆
C(X , IR) = Z. Then, µ̄(F ) = lim(U,V,h)∈ĀF fh ∈ [0, k f k] ⊂ IR. Hence,
by Proposition 11.183 and its proof, µ : BB ( X ) → [0, k f k] ⊂ IR and
µ ∈ Mf t (X ). Fix any z ∈ Z. We will distinguish three exhaustive cases:
Case 1: z = ϑZ ; Case R 2: z 6= ϑZ and z ∈ P ; Case 3: z ∈ Z. Case 1: z = ϑZ .
Then, f (z) = 0 = X z(x)dµ(x) = hh µ, z ii.
Case 2: z 6= ϑZ and z ∈ P . Let z̄ := z/ k z k ∈ P . Then, z̄ : X →
[0, 1] ⊂ IR. Fix any n ∈ IN and fix any i ∈ {1, . . . , n}. Define φi :=
((nz̄ − i + 1) ∨ 0) ∧ 1 ∈ P , Oi := { x ∈ X | nz̄(x) > i − 1 }, and Fi :=
{ x ∈ X | nz̄(x) ≥ i − 1 }. Let O0 := { x ∈ X | nz̄(x) > −1 } = X,
On+1 := { x ∈ X | nz̄(x) > n } = ∅, Fn+1 := { x ∈ X | nz̄(x) ≥ n },
and Fn+2 := { x ∈ X | nz̄(x) ≥ n + 1 } = ∅. Clearly, Fi+2 ⊆ Oi+1 ⊆
Oi+1 ⊆ Fi+1 ⊆ Oi ⊆ Oi ⊆ Fi ⊆ Oi−1 , φi : X → [0, 1] ⊂ IR, φi |Fi+1 = 1,
and supp(φi ) ⊆ Oi ⊆ F g
i ⊆ Oi−1 . Clearly Oi ∈ O and Fi+1 ∈ O, i =
P n
0, . . . , n + 1, and z̄ = n1 i=1 φi . Fix any i ∈ {1, . . . , n}. By the definition
of µ̄ and the fact that f is a positive linear functional, ∀(U, V, h) ∈ ĀFi+2
with V ⊆ Oi+1 , we have h(x) ≤ χOi+1 ,X (x) ≤ χFi+1 ,X (x) ≤ φi (x), ∀x ∈ X,
and fh = f (h) ≤ f (φi ). This implies that µ(Fi+2 ) ≤ f (φi ). ∀(U, V, h) ∈
ĀFi , we have φi (x) ≤ χFi ,X (x) ≤ h(x), ∀x ∈ X, and fh = f (h) ≥ f (φi ).
This leads to f (φi ) ≤ Rµ(Fi ). By Propositions R 11.73R and 11.80, we have
µ(Fi+2) ≤ µ(FRi+1 ) = X χFi+1 ,X dµ ≤ X φi dµ ≤ X χFi ,X dµ = µ(Fi ).
Then, f(φi )− XR φi dµ ≤ µ(F iP )−µ(Fi+2 ). Summing
R both
side from 1 to n,
P
we have f (z̄) − X z̄ dµ = n1 ni=1 (f (φi ) − X φi dµ) ≤ n1 ni=1 f (φi ) −
R
1
X φi dµ ≤ n (µ(F1 ) + µ(F2 )) ≤ 2µ(X)/n = 2 k µ k /n ≤ 2 k f k /n, where
the first equality follows from Proposition 11.90; and the last R inequality
follows from (x). By the arbitrariness of n, we have Rf (z̄) = XRz̄ dµ. By
Proposition 11.90, f (z) = f (k z k z̄) = k z k f (z̄) = k z k X z̄ dµ = X z dµ =
hh µ, z ii.
Case 3: z ∈ Z. Let z+ := z ∨0 ∈ P and z− := (−z)∨0 R ∈ P . Clearly,
R z=
z+ − z− . By Cases 1 and 2, f (z) = f (z+ ) − f (z− ) = X z+ dµ − X z− dµ =
R
z dµ = hh µ, z ii, where the third equality follows from Proposition 11.90.
X R
Hence, f (z) = X z dµ = hh µ, z ii, ∀z ∈ Z. This completes the first step.
In the second step, we consider the special case: Y = IR. By
Lemma 11.189, f = f+ − f− , where f+ , f− ∈ Z∗ are positive linear
functionals. R Let µ+ := ΦZ (f+ )Rand µ− := ΦZ (f− ). By the first step,
f+ (z) = X z dµ+ and f− (z) = X z dµ− , ∀z ∈ Z. Then, by linearity of
ΦZ , µ = ΦZ (f ) = ΦZ (f+ − f− ) = ΦZ (f+ ) − ΦZ (f− ) R= µ+ − µ− .RBy Propo-
Rsitions 11.139 and 11.140, f (z) = f+ (z) − f− (z) = X z dµ+ − X z dµ− =
X z dµ = hh µ, z ii. This completes the second step.
In the third step, we consider the special case when Y is a real Ba-
nach space. ∀y ∈ Y, define µy : BB ( X ) → IR by µy (E) = hh µ(E), y ii,
∀E ∈ BB ( X ). Then, µy ∈ Mf t (X , IR) by Proposition 11.135. Define fy :
C(X , IR) → IR by fy (h) = f (hy), ∀h ∈ C(X , IR). By f ∈ Z∗ , we have fy ∈

(C(X , IR))∗ . ∀Fe ∈ O, µy (F ) = hh µ(F ), y ii = lim(U,V,h)∈ĀF fh , y =
lim(U,V,h)∈ĀF hh fh , y ii = lim(U,V,h)∈ĀF f (hy) = lim(U,V,h)∈ĀF fy (h) =
ΦC(X ,IR) (fy )(F ). By Proposition 11.183, Rwe have µy = R ΦC(X ,IR) (fy ). By the
second step, we have f (hy) = fy (h) = X h dµy = X hh dµ(x), h(x)y ii =
hh µ, hy ii, ∀h ∈ C(X , IR), where the third equality follows from Propo-
sition 11.140. ∀z ∈ Z, ∀ǫ ∈ (0, +∞) Pn ⊂ IR, ∃z̄ ∈ span ( Z ) such that
k z − z̄ k < ǫ/(2 k f k + 1). Then, z̄ = i=1 hi yi , where n ∈ Z+ , h1 , . . . , hn ∈
C(X , IR), and y1 , . . . , yn ∈ Y. Then, | f (z) − hh µ, z ii | ≤ |P f (z) − f (z̄) | +
|Rf (z̄) − hh µ, z̄ ii | + | hh µ, z̄ ii − hh µ, z ii | ≤ k f k k z − z̄ k + n f (hi yi ) −
Pn R R i=1
hh dµ(x), h i (x)y i ii + hh dµ(x), z̄(x) ii − hh dµ(x), z(x) ii ≤
X Pn i=1 R X R X

ǫ/2+ i=1R(f (hi y)− X hh dµ(x), hi (x)y ii) + X hh dµ(x), z̄(x)−z(x) ii ≤
ǫ/2 + 0 + X P ◦ (z̄ − z)(x) dP ◦ µ(x) ≤ ǫ/2 + k z − z̄ k P ◦ µ(X) ≤
ǫ ǫ
ǫ/2 + k µ k ≤ ǫ/2 + k f k < ǫ, where the second inequality
2kfk+1 2kfk+1
follows from Proposition 7.72; the third and the fourth inequality follows
from Proposition 11.129; the fifth inequality follows from Propositions 11.73
and 11.80; and the seventh inequality R follows from (x). By the arbitrari-
ness of ǫ, we have f (z) = hh µ, z ii = X hh dµ(x), z(x) ii. This completes the
third step.
In the fourth step, we consider the special case when Y is a complex
Banach space. Let g := Re ◦f . By Lemmas 7.40 and 7.81, g is a bounded
linear functional of the real Banach space ZIR := (C(X , YIR ), IR, k · kC(X ,YIR )
and f (z) = g(z) − ig(iz), ∀z ∈ ZIR . Let ḡ ∈ Z∗IR be defined by ḡ(z) =
g(iz), ∀z ∈ ZIR , µgr := ΦZIR (g) ∈ Mf t (X , Y∗IR ), and µgi := ΦZIR (ḡ) ∈
Mf t (X , Y∗IR ). ∀Fe ∈ O, µ(F ) = lim(U,V,h)∈ĀF fh = lim(U,V,h)∈ĀF (gh −
iḡh ) = lim(U,V,h)∈ĀF gh − i lim(U,V,h)∈ĀF ḡh = ΦZIR (g)(F ) − iΦZIR (ḡ)(F ) =
µgr (F ) − iµgi (F ) = (µgr − iµgi )(F ). By the definition of ḡ, we have
µgi (E)(y) = µgr (E)(iy) ∈ C, ∀E ∈ BB ( X ), ∀y ∈ YIR . Then, by
Lemma 7.81, µgr (E) − iµgi (E) ∈ Y∗ , ∀E ∈ BB ( X ). By Proposi-
tion 11.135, µgr − iµgi ∈ Mf t (X , Y∗ ). By Proposition R 11.183, we have
µ = µgrR − iµgi . By the third step, g(z) = X hh dµgr (x), z(x) ii and
ḡ(z) = X hh dµgi (x), z(x) ii, ∀z ∈ ZIR . This implies, ∀z ∈ Z, f (z) =
11.10. DUAL OF C(X , Y) 495
R R
Rg(z) − ig(iz) = g(z) − iḡ(z) = X hhR dµgr (x), z(x) ii − i X hh dµgi (x), z(x) ii =
X hh d(µgr − iµgi )(x), z(x) ii = X hh dµ(x), z(x) ii = hh µ, z ii, where the
fourth equality follows from Propositions 11.139 and 11.140. This com-
pletes the fourth step. R
Thus, we have the representation f (z) = X hh dµ(x), z(x) ii = hh µ, z ii,
∀z ∈ Z.
∗
R Fix any µ ∈ Mf t (X , Y ). Define f : Z → IK by∗ f (z) = hh µ, z ii =
X hh dµ(x), z(x) ii, ∀z ∈ Z. We will show that f ∈ Z , k f k ≤ k µ k, and
ΦZ (f ) = µ. ∀z ∈ Z. By Proposition 11.37, R z is BB ( X )-measurable.
Clearly, P ◦ z(x) ≤ k z k, ∀x ∈ X. Then, X P ◦ z dP ◦ µ ≤ k z k P ◦
µ(X) = k z k k µ k < ∞. Hence, z is absolutely integrable over X :=
(X , BB ( X ) , µ). By Proposition 5.7, z(X) ⊆ Y is compact. Then, by Propo-
sition 11.179, H := span ( z(X) ) ⊆R Y is a separable subspace. By Propo-
sition 11.129, f (z) = hh µ, z ii = X hh dµ(x), z(x) ii ∈ IK is well-defined.
By Proposition 11.129, f ∈ Z∗ and k f k = supz∈Z, kzk≤1 | hh µ, z ii | =
R
supz∈Z, kzk≤1 X hh dµ(x), z(x) ii ≤ supz∈Z, kzk≤1 k z k k µ k ≤ k µ k.
∗ e

Let µ̂ := ΦZ (f ) ∈ Mf t (X , Y ). ∀F ∈ O, ∀y ∈ Y, hh µ̂(F ), y ii =
lim(U,V,h)∈ĀF fh , y = lim(U,V,h)∈ĀF hh fh , y ii = lim(U,V,h)∈ĀF f (hy) =
R
lim(U,V,h)∈ĀF X hh dµ(x), h(x)y ii. ∀ǫ ∈ (0, +∞) ⊂ IR, ∃O ∈ O with
F ⊆ O such that P ◦ µ(O \ F ) < ǫ/(1 + k y k). ∀(U, V, h) ∈ ĀF with
R R
V ⊆ O, X hh dµ(x), h(x)y ii − hh µ(F ), y ii = F hh dµ(x), h(x)y ii −
R R

hh µ(F ), y ii + O\F hh dµ(x), h(x)y ii + Oe hh dµ(x), h(x)y ii = hh µ(F ), y ii −
R R

hh µ(F ), y ii + O\F hh dµ(x), h(x)y ii + 0 ≤ O\F (k y k P ◦ h) dP ◦ µ ≤
k y k P ◦ µ(O \ F ) < ǫ, where the first equality follows from Proposi-
tion 11.129; the second equality follows from Proposition 11.122; the first
inequality follows from Proposition 11.129; and the second inequality fol-
lows from Proposition
R 11.80. This implies that | hh µ̂(F ), y ii−hh µ(F ), y ii | =
lim(U,V,h)∈ĀF X hh dµ(x), h(x)y ii − hh µ(F ), y ii ≤ ǫ. By the arbitrariness
of ǫ and y, we have µ̂(F ) = µ(F ). By Proposition 11.183, µ̂ = µ. This
shows that ΦZ is surjective.
∀f ∈ Z∗ , let µ := ΦZ (f ) ∈ Mf t (X , Y∗ ). Then, by the above and (x), we
have k µ k = k ΦZ (f ) k ≤ k f k ≤ k µ k. Hence, k ΦZ (f ) k = k f k. Then, ΦZ
is injective. This shows that ΦZ is bijective, continuous, linear, and norm
preserving. Hence, ΦZ : Z∗ → Mf t (X , Y∗ ) is an isometrical isomorphism.
Definition 11.191 Let m ∈ Z+ , I := [0, 1] ⊂ IR, Y be a normed linear

space, f : I m → Y, and n ∈ Z+ . The nth Bernsteı̌n function for f ,
Bn : I m → Y, is defined by, ∀x := (x1 , . . . , xm ) ∈ I m ,
n
X n
X m
k1 km Y n ki
Bn (x) = Bn (x; f ) = ··· f( , . . . , ) x (1 − xi )n−ki
n n i=1 ki i
k1 =0 km =0
Theorem 11.192 (Bernsteı̌n Approximation Theorem) Let m ∈

Z+ , I := [0, 1] ⊂ IR, Y be a normed linear space, f : I m → Y be con-
tinuous, and ( Bn )∞
n=1 be the sequence of Bernsteı̌n functions for f . Then,
limn∈IN k f − Bn kC(I m ,Y) = 0.
Proof ∀n ∈ Z+ , ∀y ∈ I, we have
n
X
n n k
1 = (y + 1 − y) = y (1 − y)n−k (11.6)
k
k=0
Then, ∀n ∈ IN, ∀y ∈ I, we have
X n − 1
n−1
y = y·1 =y y k (1 − y)n−1−k
k
k=0
X n − 1
n−1 Xn
n−1 k

= y k+1 (1 − y)n−1−k = y (1 − y)n−k
k k−1
k=0 k=1
Xn X n
k n k k n k
= y (1 − y)n−k = y (1 − y)n−k (11.7)
n k n k
k=1 k=0
where the second equality follows from (11.6). Similarly, ∀n − 1 ∈ IN,

∀y ∈ I,
n−1
X
2 k n−1 k
y = y y (1 − y)n−1−k
n−1 k
k=0
n−1
X k
n − 1 k+1
= y (1 − y)n−1−k
n−1 k
k=0
Xn Xn
k−1 n−1 k k(k − 1) n k
= y (1 − y)n−k = y (1 − y)n−k
n−1 k−1 n(n − 1) k
k=1 k=1
Xn
k(k − 1) n k
= y (1 − y)n−k
n(n − 1) k
k=0
where the first equality follows from (11.7). This implies that
Xn
1 k2 − k n k
(1 − )y 2 = y (1 − y)n−k
n n2 k
k=0
Xn n
k2 n k n−k 1Xk n k
= y (1 − y) − y (1 − y)n−k
n2 k n n k
k=0 k=0
Xn 2

k n k 1
= y (1 − y)n−k − y
n2 k n
k=0
11.10. DUAL OF C(X , Y) 497
where the last equality follows from (11.7). Rearranging terms in the above
yields, ∀y ∈ I, ∀n − 1 ∈ IN,
Xn
1 k2 n k
y (1 − y) = y (1 − y)n−k + y 2 − 2y 2
n n2 k
k=0
Xn Xn
k2 n k n−k 2 n k
= y (1 − y) +y y (1 − y)n−k −
n2 k k
k=0 k=0
X n
k n k
2y y (1 − y)n−k
n k
k=0
Xn
k k2 n k
= (y 2 − 2y + 2 ) y (1 − y)n−k
n n k
k=0
Xn
k 2 n k
= (y − ) y (1 − y)n−k (11.8)
n k
k=0
where the second equality follows from (11.6) and (11.7). ∀n ∈ Z+ , ∀x :=

(x1 , . . . , xm ) ∈ I m , we have
m
Y Ym X n
n k
1 = (xi + 1 − xi )n = xi (1 − xi )n−k
i=1 i=1 k=0
k
Xn n m
X Y n
= ··· xki i (1 − xi )n−ki (11.9)
i=1
ki
k1 =0 km =0
Then, ∀x := (x1 , . . . , xm ) ∈ I m , ∀n − 1 ∈ IN, we have

m m X n
1X X ki n ki
xi (1 − xi ) = (xi − )2 xi (1 − xi )n−ki
n i=1 i=1 ki =0
n ki
Xm X n
ki 2 n ki
= (xi − ) xi (1 − xi )n−ki ·
i=1 ki =0
n ki
Ym X n
n kj
xj (1 − xj )n−kj
j=1
kj
kj =0
j6=i
m X
X n n
X m
ki 2 Y n kj
= ··· (xi − ) xj (1 − xj )n−kj
i=1 k1 =0
n j=1
kj
km =0
n Y m X ki
X n X m
n kj n−kj
= ··· xj (1 − xj ) (xi − )2
kj n
k1 =0 km =0 j=1 i=1
n m
km 2 Y n kj
X n X k1
= ··· x − ( , . . . , ) xj (1 − xj )n−kj (11.10)
n n j=1
kj
k1 =0 km =0
where the first equality follows from (11.8); and the second equality follows
from (11.6).
Note that I m ⊆ IRm is a compact metric space. By Propositions 5.22,
5.29, 7.21, 3.12, and 3.9, ∃M ∈ [0, ∞) ⊂ IR such that k f (x) k ≤ M , ∀x ∈
I m . By Proposition 5.39, f is uniformly continuous. ∀ǫ ∈ (0, ∞) ⊂ IR,
∃δ ∈ (0, ∞) ⊂ IR, ∀x, x̄ ∈ I m with | x − x̄| < δ, we have k f (x) − f (x̄) k <
ǫ/2. Let n0 := max{δ −4 , m2 M 2 /ǫ2 , 2} ∈ IN. ∀n ∈ IN with n0 ≤ n,
∀x := (x1 , . . . , xm ) ∈ I m , we have
k f (x) − Bn (x) k
Xn Xn Y m
n ki
= f (x) ··· xi (1 − xi )n−ki −
ki
k1 =0 km =0 i=1
X n Xn m
k1 km Y n ki
··· f( , . . . , ) xi (1 − xi )n−ki
n n i=1 i k
k1 =0 km =0
X n Xn m
k1 km Y n ki
= ··· (f (x) − f ( , . . . , )) xi (1 − xi )n−ki
n n i=1 ki
k1 =0 km =0
X n Xn Ym
k1 km n ki
≤ ··· f (x) − f ( , . . . , ) xi (1 − xi )n−ki
n n i=1
k i
k1 =0 km =0
where the first equality follows from (11.9) and Definition 11.191. Let J :=

{0, . . . , n}m and Jx := (k1 , . . . , km ) ∈ J x − ( kn1 , . . . , knm ) < n−1/4 .
Then,
k f (x) − Bn (x) k
X m
Y
≤ f (x) − f ( k1 , . . . , km ) n ki
xi (1 − xi )n−ki +
n n i=1
k i
(k1 ,...,km )∈Jx
X m
Y
f (x) − f ( k1 , . . . , km ) n ki
xi (1 − xi )n−ki
n n i=1
ki
(k1 ,...,km )∈J\Jx

Note that, ∀(k1 , . . . , km ) ∈ Jx , (x1 , . . . , xm ) − ( kn1 , . . . , knm ) < n−1/4 ≤ δ,

then f (x) − f ( kn1 , . . . , knm ) < ǫ/2. This implies that
X m
Y
f (x) − f ( k1 , . . . , km ) n ki
n n i=1
ki
(k1 ,...,km )∈Jx
X m
Y n
ǫ
< xki i (1 − xi )n−ki
2 k i
(k1 ,...,km )∈Jx i=1
X Ym
ǫ n ki ǫ
≤ xi (1 − xi )n−ki =
2 i=1
ki 2
(k1 ,...,km )∈J
11.10. DUAL OF C(X , Y) 499
where the equality follows from (11.9). Note also that, ∀(k1 , . . . , km ) ∈
|x−( kn1 ,..., knm )|2 √
J \ Jx , f (x) − f ( kn1 , . . . , knm ) ≤ 2M = 2M k1 km 2 ≤ 2M n x−
|x−( n ,..., n )|
2
( kn1 , . . . , knm ) . Then,
X m
Y
f (x) − f ( k1 , . . . , km ) n ki
n n i=1
k i
(k1 ,...,km )∈J\Jx
X m
√ k1 km 2 Y n ki
≤ 2M n x − ( , . . . , ) xi (1 − xi )n−ki
n n i=1
ki
(k1 ,...,km )∈J\Jx
X m
√ Y n ki
≤ 2M n x − ( k1 , . . . , km ) 2 xi (1 − xi )n−ki
n n i=1
k i
(k1 ,...,km )∈J
m
√ 1X Mm
= 2M n xi (1 − xi ) ≤ √ ≤ ǫ/2
n i=1 2 n
Hence, we have k f (x) − Bn (x) k < ǫ. By the arbitrariness of x ∈ I m , we

have k f − Bn kC(I m ,Y) < ǫ. Therefore, limn∈IN k f − Bn kC(I m ,Y) = 0.
Theorem 11.193 (Riesz Representation Theorem) Qm Let m ∈ Z+ ,

I1 , . . . , Im ⊂ IR be compact intervals, X := i=1 Ii ⊂ IRm with subset
topology O, X := (X, O), Y be a Banach space, and Z := C(X , Y). Then,
Z∗ = Mf t (X , Y∗ ) = Mf (X, BB ( X ) , Y∗ ).
Proof By Tychonoff Theorem 5.47 and Proposition 4.37, X is a com-

pact metric space. By Proposition 5.5, X is closed in IRm . By Proposi-
tion 4.39, X is a complete metric space. Since IRm is separable, by Proposi-
tion 4.38, X is separable. Hence, X is a separable compact complete metric
space.
Let Z := { z ∈ Z | z = hy, h ∈ C(X , IR), y ∈ Y }. We will show that
Z = span ( Z ) by distinguishing two exhaustive and mutually exclusive
cases: Case 1: ∃i0 ∈ {1, . . . , m} such that Ii0 = ∅; Case 2: I1 , . . . , Im are
nonempty. Case 1: ∃i0 ∈ {1, . . . , m} such that Ii0 = ∅. Then, X = ∅ and
Z is the trivial Banach space with a singleton element. Clearly, Z = Z.
Hence, Z = span ( Z ).
Case 2: I1 , . . . , Im are nonempty. Without loss of generality, assume
Ii = [ai , bi ] ⊂ IR with ai , bi ∈ IR and ai ≤ bi , i = 1, . . . , m, and ∃m̄ ∈ Z+
with m̄ ≤ m such that ai < bi , i = 1, . . . , m̄, and ai = bi , i = m̄ + 1, . . . , m.
Let I := [0, 1] ⊂ IR. Then, we may define a homeomorphism ψ : X → I m̄
by ψ(x) = ( xb11−a −a1 m̄ −am̄
, . . . , xbm̄ ¯
1 −am̄ ), ∀x := (x1 , . . . , xm ) ∈ X. ∀f ∈ Z, let f :
I → Y be defined by f¯ := f ◦ ψ inv. By Proposition 3.12, f¯ ∈ C(I , Y). By
m̄ m̄
Bernsteı̌n
Approximation
Theorem 11.192, ∀ǫ ∈ (0, ∞) ⊂ IR, ∃n ∈ IN such
that f¯−Bn C(I m̄ ,Y) < ǫ, where Bn : I m̄ → Y is the nth Bernsteı̌n function

for f¯. Then, k f − Bn ◦ ψ kZ = (f¯ − Bn ) ◦ ψ Z = f¯ − Bn C(I m̄ ,Y) < ǫ.
Clearly, Bn ◦ψ ∈ span ( Z ). By the arbitrariness of ǫ, we have f ∈ span ( Z ).
By the arbitrariness of f , we have Z = span ( Z ).
Hence, in both cases, we have Z = span ( Z ). By Riesz Representa-
tion Theorem 11.190, we have Z∗ = Mf t (X , Y∗ ). By Theorem 11.187,
Z∗ = Mf t (X , Y∗ ) = Mf (X, BB ( X ) , Y∗ ). This completes the proof of the
theorem. 2
Theorem 11.194 (Riesz Representation Theorem) X := (X, O) be

a compact Hausdorff topological space, Y be a finite dimensional Banach
space over IK, and Z := C(X , Y). Then, Z∗ = Mf t (X , Y∗ ).
Proof Let Z := { z ∈ Z | z = hy, h ∈ C(X , IR), y ∈ Y }. We will show

that Z = span ( Z ). Then, the theorem is a direct consequence of Riesz
Representation Theorem 11.190.
Let the dimension of Y be m ∈ Z+ and {y1 , . . . , ym } be a basis of Y.
Then,
Pthere is a invertible bounded linear mapping φ : Y → IKm such that
m
y = i=1 (πi ◦ φ(y))yi , ∀y ∈ Y, where πi : IKm → IK is the ith coordinate
projection function, i = 1, . . . , m. We will distinguish two exhaustive and
mutually exclusives cases: Case 1: IK = IR; Case 2: IK = C.
Case 1: IK P = IR. ∀f ∈ Z, let gi := P πi ◦ φ ◦ f ∈ C(X , IR), i = 1, . . . , m.
Then, f (x) = m i=1 (πi ◦ φ(f (x)))y i = m
i=1 gi (x)yi , ∀x ∈ X . Hence, f ∈
span ( Z ). This case is proved.
Case 2: IK = C. ∀f ∈ Z, let gi := Re ◦πi ◦ φ ◦ fP∈ C(X , IR) and hi :=
m
Pm i ◦φ◦f ∈ C(X , IR), i = 1, . . . , m. Then, f (x) P
Im ◦π = i=1 (πi ◦φ(f (x)))yi =
m
i=1 (Re ◦πi ◦ φ ◦ f (x) + i Im ◦πi ◦ φ ◦ f (x))yi = i=1 (gi (x)yi + hi (x)iyi ),
∀x ∈ X . Hence, f ∈ span ( Z ). This case is also proved.
Proposition
Q 11.195 Let m ∈ Z+ , I1 , . . . , Im ⊂ IR be compact intervals,
X := m i=1 i ⊂ IR
I m
with subset topology O, X := (X, O), and Y be a
separable Banach space. Then, Z := C(X , Y) is separable.
Proof Let Z := { z ∈ Z | z = hy, h ∈ C(X , IR), y ∈ Y }. By Riesz

Representation Theorem 11.193 and its proof, we have Z = span ( Z ). By
Proposition 11.179, C(X , IR) is separable. Let D1 ⊆ C(X , IR) be a countable
dense subset. Let D2 ⊆ Y be a countable dense subset. Then, Z0 := { z ∈
Z | z = h1 y1 , h1 ∈ D1 , y1 ∈ D2 } is a countable set. Clearly, span ( Z0 ) ⊇ Z.
Then, Z is separable. By Proposition 11.179, Z is separable. This completes
Chapter 12
Differentiation and
Integration
12.1 Carathéodory Extension Theorem

Definition 12.1 Let X be a set, A ⊆ X2 be an algebra on X, Y be a
normed linear space over IK, and ν : A → [0, ∞] ⊂ IRe be a measure on the
algebra A. A Y-valued measure on the algebra A is a function µ from A
to Y that satisfies
(i) µ(∅) = ϑY ;
(ii) ∀A ∈ A with ν(A) = ∞, µ(A) is undefined;
(iii) ∀A ∈ A with ν(A)

S∞ < ∞, µ(A) ∈ Y Pand ∀ pairwise disjoint ( Ai )∞
i=1 ⊆
∞
A
P∞ with A = i=1 Ai , we have i=1 k µ(A i ) k < +∞ and µ(A) =
i=1 µ(Ai );
(iv) ∀A ∈ A with ν(A) < ∞, we have

n
X
ν(A) = sup k µ(Ai ) k
n Sn
n∈Z+ , (Ai) ⊆A, A= i=1 Ai , Ai ∩Aj =∅, ∀1≤i<j≤n i=1
i=1
Then, ν is said to be the total variation of µ and denoted by P ◦ µ. µ is

said to be finite if ν is finite; and µ is said to be σ-finite if ν is σ-finite.
Proposition 12.2 Let X be a set, A ⊆ X2 be an algebra on X, Y be a

normed linear space over IK, µ be a Y-valued measure on the algebra A, and
E ∈ A. Then, AE := { C ∈ A | C ⊆ E } is an algebra on E, µE := µ|AE
is a Y-valued measure on the algebra AE , and P ◦ µE = (P ◦ µ)|AE .
501
502 CHAPTER 12. DIFFERENTIATION AND INTEGRATION
Proof It is easy to show that AE is an algebra on E. Note that P ◦ µ

is a measure on the algebra A. Define νE := (P ◦ µ)|AE . Then, νE (∅) =
∞ S∞
P ◦ µ(∅) = 0. ∀ pairwise disjoint P∞( Ai )i=1 ⊆ AE P with A := i=1 Ai ∈ AE ,
∞
we have νE (A) = P ◦ µ(A) = i=1 P ◦ µ(Ai ) = i=1 νE (Ai ). Then, νE is
a measure on the algebra AE .
µE (∅) = µ(∅) = ϑY . ∀A ∈ AE with νE (A) = ∞, we have P ◦ µ(A) =
∞, µ(A) is undefined, and therefore, µE (A) is undefined. ∀A ∈ AE
with νE (A) < ∞, we have P ◦ µ(A) < ∞ and µS E (A) = µ(A) ∈
∞ ∞
Y.
P∞ ∀ pairwise disjoint
P∞ ( A )
i i=1 ⊆ A with
E P A = i=1PAi , we have
∞ ∞
i=1 k µE (A i ) k = i=1 k µ(A i ) k < ∞ and i=1 µE (Ai ) = i=1 µ(Ai ) =
µ(A) = µE (A). ∀A ∈ AE with νE (A) < ∞, we have Pn (A) = P ◦
νE
µ(A) = supn∈Z+ , (Ai)n ⊆A, A=Sn Ai , Ai ∩Aj =∅, ∀1≤i<j≤n i=1 k µ(Ai ) k =
i=1 i=1
Pn
supn∈Z+ , (Ai)n ⊆AE , A=Sn Ai , Ai ∩Aj =∅, ∀1≤i<j≤n i=1 k µE (Ai ) k. Hence,
i=1 i=1
µE is a Y-valued measure on the algebra AE with P ◦ µE = P ◦ ( µ|AE ) =
νE = (P ◦ µ)|AE .
Proposition 12.3 Let X := (X, B, µ) be a finite measure space. Define

ρ : B × B → [0, ∞) ⊂ IR by ρ(E1 , E2 ) = µ(E1 △ E2 ), ∀E1 , E2 ∈ B. Then, ρ
defines a pseudo-metric on B.
Proof ∀E1 , E2 , E3 ∈ B, ρ(E1 , E2 ) = µ(E1 △ E2 ) ∈ [0, +∞) ⊂ IR

since µ is a finite measure on (X, B). Clearly, ρ(E1 , E1 ) = µ(E1 △ E1 ) =
µ(∅) = 0 and ρ(E1 , E2 ) = µ(E1 △E2 ) = µ(E2 △E1 ) = ρ(E2 , E1 ). Note that
ρ(E1 , E2 )+ρ(E2 , E3 ) = µ(E1 △E2 )+µ(E2 △E3 ) = µ(E1 \E2 )+µ(E2 \E1 )+
µ(E2 \ E3 ) + µ(E3 \ E2 ) ≥ µ((E1 \ E2 ) ∪ (E2 \ E3 )) + µ((E2 \ E1 ) ∪ (E3 \ E2 )).
Clearly, we have (E1 \ E2 ) ∪ (E2 \ E3 ) ⊇ E1 \ E3 and (E2 \ E1 ) ∪ (E3 \ E2 ) ⊇
E3 \ E1 . Then, ρ(E1 , E2 ) + ρ(E2 , E3 ) ≥ µ(E1 \ E3 ) + µ(E3 \ E1 ) = µ(E1 △
E3 ) = ρ(E1 , E3 ). Hence, ρ defines a pseudo-metric on B. This completes
Theorem 12.4 (Carathéodory Extension Theorem) Let A be an al-

gebra on a set X, Y be a Banach space over IK, µ be a σ-finite Y-valued
measure on the algebra A, and B be the σ-algebra on X generated by A.
Then, there is a unique Y-valued measure µ̄ on (X, B) such that µ̄|A = µ
and (P ◦ µ̄)|A = P ◦ µ. Furthermore, µ̄ is σ-finite.
Proof We first consider the special case where µ is finite. Then,

µ : A → Y and P ◦ µ : A → [0, P ◦ µ(X)] ⊂ IR. By Carathéodory Extension
Theorem 11.19, there is a unique finite measure ν : B → [0, P ◦ µ(X)] ⊂ IR
on the measurable space (X, B) such P∞that ν(A) = P ◦ µ(A), ∀A ∈ A,
and ν(E) = inf (Ai)∞ ⊆A, S∞ Ai ⊇E i=1 P ◦ µ(Ai ), ∀E ∈ B. Define ρ :
i=1 i=1
B × B → [0, P ◦ µ(X)] ⊂ IR by ρ(E1 , E2 ) = ν(E1 △ E2 ), ∀E1 , E2 ∈ B.
By Proposition 12.3, ρ defines a pseudo-metric on B. Define an equivalence
relation ≡ on B by E1 ≡ E2 if ρ(E1 , E2 ) = ν(E1 △E2 ) = 0. By Lemma 4.48,
12.1. CARATHÉODORY EXTENSION THEOREM 503
(B/ ≡, ρ̄) is a metric space, where ρ̄ : B/ ≡ ×B/ ≡→ [0, P ◦ µ(X)] ⊂ IR is

defined by ρ̄([ E1 ] , [ E2 ]) = ρ(E1 , E2 ), ∀ [ E1 ] , [ E2 ] ∈ B/ ≡ with E1 , E2 ∈
B. Let A≡ := { [ A ] ∈ B/ ≡ | A ∈ A }.
Claim 12.4.1 A≡ is dense in B/ ≡, that is A≡ = B/ ≡.
Proof of claim: ∀ [ ES] ∈ B/ ≡ with E ∈ B, ∀ǫ P∞ ∈ (0, ∞) ⊂ IR,

∞ ∞
∃ ( Ai )i=1 ⊆ A with E ⊆ i=1 Ai such that ν(E) P ≤ i=1 P ◦ µ(Ai ) <
ν(E) + ǫ/2 < +∞. Then, ∃n0 ∈ IN such that ∞ P ◦ µ(Ai ) < ǫ/2.
Sn0 S∞ i=n0 +1 S∞
Let A := i=1 Ai ∈ A. Note that E \ A ⊆ ( i=1 Ai ) \ A ⊆ i=n0 +1 Ai .
S∞ P∞
This implies that 0 ≤ ν(E \ A) ≤ ν( i=n0 +1 Ai ) ≤ ν(Ai ) =
P∞ S∞ i=n0 +1
i=n0 +1 P ◦ µ(Ai ) < ǫ/2. Note also S that A \ E ⊆ ( i=1 Ai ) \ E. This
S∞
∞
further
P∞ implies that 0 ≤
P∞ν(A\E) ≤ ν(( i=1 Ai )\E) = ν( i=1 Ai )−ν(E) ≤
i=1 ν(Ai ) − ν(E) = i=1 P ◦ µ(Ai ) − ν(E) < ǫ/2. Hence, ρ̄([ E ] , [ A ]) =
ρ(E, A) = ν(E △ A) = ν(E \ A) + ν(A \ E) < ǫ. Hence, A≡ = B/ ≡. This
Define g : A≡ → Y by g([ A ]) = µ(A), ∀ [ A ] ∈ A≡ with A ∈ A. We
will show that g is well defined. ∀A1 , A2 ∈ A with A1 ≡ A2 , we have
ρ(A1 , A2 ) = ν(A1 △ A2 ) = P ◦ µ(A1 △ A2 ) = 0. Then, P ◦ µ(A1 \ A2 ) =
0 = P ◦ µ(A2 \ A1 ). This implies that µ(A1 \ A2 ) = ϑY = µ(A2 \ A1 ) and
µ(A1 ) = µ(A1 ∩ A2 ) + µ(A1 \ A2 ) = µ(A1 ∩ A2 ) + µ(A2 \ A1 ) = µ(A2 ).
Hence, g is well defined.
Claim 12.4.2 g is uniformly continuous.
Proof of claim: ∀ǫ ∈ (0, ∞) ⊂ IR, let δ = ǫ. ∀ [ A1 ] , [ A2 ] ∈ A≡

with A1 , A2 ∈ A and ρ̄([ A1 ] , [ A2 ]) < δ, we have k g([ A1 ]) − g([ A2 ]) k =
k µ(A1 ) − µ(A2 ) k = k µ(A1 ∩ A2 ) + µ(A1 \ A2 ) − µ(A2 ∩ A1 ) − µ(A2 \ A1 ) k =
k µ(A1 \ A2 ) − µ(A2 \ A1 ) k ≤ k µ(A1 \ A2 ) k + k µ(A2 \ A1 ) k ≤ P ◦ µ(A1 \
A2 ) + P ◦ µ(A2 \ A1 ) = P ◦ µ(A1 △ A2 ) = ν(A1 △ A2 ) = ρ(A1 , A2 ) =
ρ̄([ A1 ] , [ A2 ]) < δ = ǫ. Hence, g is uniformly continuous. This completes
By Proposition 4.46 and the completeness of Y, there exists a unique
continuous function ḡ : B/ ≡→ Y such that ḡ|A≡ = g, and ḡ is uniformly
continuous. Define µ̄ : B → Y by µ̄(E) = ḡ([ E ]), ∀E ∈ B. We will show
that µ̄ is the Y-valued measure we seek. Clearly, µ̄(A) = ḡ([ A ]) = g([ A ]) =
µ(A), ∀A ∈ A. Then, µ̄(∅) = µ(∅) = ϑY . ∀ǫ ∈ (0, ∞) ⊂ IR, by the uniform
continuity of ḡ, ∃δ(ǫ) ∈ (0, ǫ] ⊂ IR such that, ∀ [ E1 ] , [ E2 ] ∈ B/ ≡ with
E1 , E2 ∈ B and ρ̄([ E1 ] , [ E2 ]) = ρ(E1 , E2 ) = ν(E1 △ E2 ) < δ(ǫ), we have
k µ̄(E1 ) − µ̄(E2 ) k = k ḡ([ E1 ]) − ḡ([ E2 ]) k < ǫ.
Claim 12.4.3 µ̄ is finitely additive, that is, µ̄(E1 ∪ E2 ) = µ̄(E1 ) + µ̄(E2 ),

∀E1 , E2 ∈ B with E1 ∩ E2 = ∅.
Proof of claim: ∀E1 , E2 ∈ B with E1 ∩ E2 = ∅, ∀ǫ ∈ (0, ∞) ⊂ IR, by

Claim 12.4.1, ∃A1 , A2 ∈ A such that ρ̄([ Ai ] , [ Ei ]) = ρ(Ai , Ei ) = ν(Ai △
Ei ) < δ(ǫ/4)/2, i = 1, 2. Then, k µ̄(Ei ) − µ̄(Ai ) k < ǫ/4, i = 1, 2. Note that

(E1 ∪E2 )\(A1 ∪A2 ) = (E1 ∪E2 )∩ A f1 ∩ A
f2 = (E1 ∩ A f1 ∩ Af2 )∪(E2 ∩ A f1 ∩ Af2 ) ⊆
(E1 \ A1 ) ∪ (E2 \ A2 ) and (A1 ∪ A2 ) \ (E1 ∪ E2 ) ⊆ (A1 \ E1 ) ∪ (A2 \ E2 ). This
leads to (E1 ∪E2 )△(A1 ∪A2 ) ⊆ (E1 \A1 )∪(E2 \A2 )∪(A1 \E1 )∪(A2 \E2 ) =
(E1 △ A1 ) ∪ (E2 △ A2 ). This implies that ρ̄([ E1 ∪ E2 ] , [ A1 ∪ A2 ]) =
ν((E1 ∪ E2 ) △ (A1 ∪ A2 )) ≤ ν(E1 △ A1 ) + ν(E2 △ A2 ) < δ(ǫ/4). Hence,
k µ̄(E1 ∪ E2 ) − µ̄(A1 ∪ A2 ) k < ǫ/4. Note also that (A1 ∩ A2 ) △ (E1 ∩ E2 ) =
((A1 ∩A2 )\ (E1 ∩E2 ))∪((E1 ∩E2 )\ (A1 ∩A2 )) = (A1 ∩A2 ∩ E f1 )∪(A1 ∩A2 ∩
f f f
E2 ) ∪ (E1 ∩ E2 ∩ A1 ) ∪ (E1 ∩ E2 ∩ A2 ) ⊆ (A1 \ E1 ) ∪ (A2 \ E2 ) ∪ (E1 \ A1 ) ∪
(E2 \ A2 ) = (E1 △ A1 ) ∪ (E2 △ A2 ). This leads to ρ̄([ E1 ∩ E2 ] , [ A1 ∩ A2 ]) =
ρ̄([ ∅ ] , [ A1 ∩ A2 ]) = ν((E1 ∩ E2 ) △ (A1 ∩ A2 )) ≤ ν((E1 △ A1 ) ∪ (E2 △ A2 )) ≤
ν(E1 △A1 )+ν(E2 △A2 ) < δ(ǫ/4). This implies that k µ̄(A1 ∪A2 )− µ̄(A1 )−
µ̄(A2 ) k = k µ(A1 ∪ A2 ) − µ(A1 ) − µ(A2 ) k = k µ(A1 ) + µ(A2 \ A1 ) − µ(A1 ) −
µ(A2 ) k = k µ(A1 ∩ A2 ) − µ(∅) k = k µ̄(A1 ∩ A2 ) − µ̄(∅) k < ǫ/4. Therefore,
we have k µ̄(E1 ∪ E2 ) − µ̄(E1 ) − µ̄(E2 ) k ≤ k µ̄(E1 ∪ E2 ) − µ̄(A1 ∪ A2 ) k +
k µ̄(A1 ∪ A2 ) − µ̄(A1 ) − µ̄(A2 ) k + k µ̄(A1 ) − µ̄(E1 ) k + k µ̄(A2 ) − µ̄(E2 ) k < ǫ.
By the arbitrariness of ǫ, we have µ̄(E1 ∪ E2 ) = µ̄(E1 ) + µ̄(E2 ). Hence, µ̄
is finitely additive. This completes the proof of the claim. 2
Claim 12.4.4 ∀E ∈ B, k µ̄(E) k ≤ ν(E).
Proof of claim: ∀E ∈ B, ∀ǫ ∈ (0, ∞) ⊂ IR, by Claim 12.4.1, ∃A ∈ A

such that ρ̄([ E ] , [ A ]) = ν(E △ A) < δ(ǫ/2) ≤ ǫ/2. Then, k µ̄(E) − µ̄(A) k <
ǫ/2. Note that k µ̄(A) k = k µ(A) k ≤ P ◦ µ(A) = ν(A). Then, k µ̄(E) k ≤
k µ̄(E) − µ̄(A) k + k µ̄(A) k < ǫ/2 + ν(A) ≤ ǫ/2 + ν(A ∩ E) + ν(A \ E) ≤
ǫ/2 + ν(E) + ν(A △ E) < ν(E) + ǫ. By the arbitrariness of ǫ, we have
k µ̄(E) k ≤ ν(E). This completes the proof of the claim. S∞ 2
∞
∀ pairwise disjointP( En )n=1 ⊆ B, P let E := n=1 En ∈ B. By
∞ ∞
Claim 12.4.4,
Sn we have n=1 k µ̄(En ) k ≤ n=1 ν(En ) = ν(E) P < +∞. Let
Ēn := i=1 Ei ∈ B, ∀n ∈ IN. By Claim 12.4.3, µ̄(Ēn ) = ni=1 µ̄(Ei ). We
will show that limn∈IN µ̄(Ēn ) = µ̄(E), which then implies that µ̄ is countably
P ∀ǫ ∈ (0, ∞) ⊂ IR, ∃n0 ∈ INsuch that ∀n ∈ IN with n ≥ n0 , we have
additive.
0≤ ∞ i=n+1 ν(E ) < δ(ǫ). Then, ρ̄( Ēn , [ E ]) = ρ(Ē n , E) = ν(Ēn △ E) =
P∞i
ν(E \ Ēn ) = i=n+1 ν(Ei ) < δ(ǫ). This implies that µ̄(E) − µ̄(Ēn ) < ǫ.
P
Hence, µ̄(E) = limn∈IN µ̄(Ēn ) = ∞ n=1 µ̄(En ). Therefore, µ̄ is countably
additive. This shows that µ̄ is a Y-valued pre-measure on (X, B). S
∀E ∈ B, ∀n ∈ Z+ , ∀ pairwise
Pn Ei )ni=1 ⊆ B with E = ni=1 Ei ,
disjoint ( P
n
by Claim 12.4.4, we have i=1 k µ̄(Ei ) k ≤ i=1 ν(Ei ) = ν(E). Therefore,
P ◦ µ̄(E) ≤ ν(E). By Proposition 11.97, P ◦ µ̄ is a measure on (X, B). By
the above argument, P ◦ µ̄(X) ≤ ν(X) = P ◦ µ(X) < +∞. Hence, P ◦ µ̄
is a finite measure on (X, B). ∀A ∈ A, by Definitions 11.105 and 12.1,
ν(A) = P ◦ µ(A) ≤ P ◦ µ̄(A) ≤ ν(A). Then, P ◦ µ̄(A) = ν(A) = P ◦ µ(A),
∀A ∈ A. By Carathéodory Extension Theorem 11.19, P ◦ µ̄ = ν.
To show the uniqueness of µ̄, let µ̃ be another Y-valued measure on
(X, B) such that µ̃|A = µ and (P ◦ µ̃)|A = P ◦ µ. By Carathéodory Ex-
12.1. CARATHÉODORY EXTENSION THEOREM 505
tension Theorem 11.19, P ◦ µ̃ = ν. Hence, µ̃ is a finite Y-valued measure

and µ̃ : B → Y. Define g̃ : B/ ≡→ Y by g̃([ E ]) = µ̃(E), ∀ [ E ] ∈ B/ ≡
with E ∈ B. We need to show that g̃ is well defined. ∀E1 , E2 ∈ B
with E1 ≡ E2 , we have ρ(E1 , E2 ) = ν(E1 △ E2 ) = 0. This leads to
ν(E1 \ E2 ) = 0 = ν(E2 \ E1 ) and µ̃(E1 \ E2 ) = ϑY = µ̃(E2 \ E1 ). Then,
µ̃(E1 ) = µ̃(E1 ∩ E2 ) + µ̃(E1 \ E2 ) = µ̃(E1 ∩ E2 ) + µ̃(E2 \ E1 ) = µ̃(E2 ).
Hence, g̃ is well defined. Clearly, g̃([ A ]) = µ̃(A) = µ(A) = g([ A ]),
∀ [ A ] ∈ A≡ with A ∈ A. Hence, g̃|A≡ = g. ∀ǫ ∈ (0, ∞) ⊂ IR, let δ = ǫ.
∀ [ E1 ] , [ E2 ] ∈ B/ ≡ with E1 , E2 ∈ B and ρ̄([ E1 ] , [ E2 ]) = ν(E1 △ E2 ) < δ,
we have k g̃([ E1 ]) − g̃([ E2 ]) k = k µ̃(E1 ) − µ̃(E2 ) k = k µ̃(E1 ∩ E2 ) + µ̃(E1 \
E2 ) − µ̃(E2 ∩ E1 ) − µ̃(E2 \ E1 ) k ≤ k µ̃(E1 \ E2 ) k + k µ̃(E2 \ E1 ) k ≤
P ◦ µ̃(E1 \ E2 ) + P ◦ µ̃(E2 \ E1 ) = P ◦ µ̃(E1 △ E2 ) = ν(E1 △ E2 ) < δ = ǫ.
Hence, g̃ is uniformly continuous. By Proposition 4.46, g̃ = ḡ. Then,
µ̃(E) = g̃([ E ]) = ḡ([ E ]) = µ̄(E), ∀E ∈ B. Hence, µ̃ = µ̄. This establishes
the uniqueness and completes the proof for the special case.
Next, we consider the general S∞ case where µ is σ-finite. Then,
∞
∃ ( Xn )n=1 ⊆ A such that X = n=1 Xn and P ◦ µ(Xn ) < ∞, ∀n ∈ IN.
∞
Without loss of generality, we may assume that ( Xn )n=1 is pairwise dis-
joint. Fix any n ∈ IN. Let An := { E ∈ A | E ⊆ Xn } and µn := µ|An .
By Proposition 12.2, µn is a finite Y-valued measure on the algebra An
and P ◦ µn = (P ◦ µ)|An . By the special case, there exists a unique Y-
valued measure µ̄n on (Xn , Bn ), where Bn is the σ-algebra generated by
An , such that µ̄n (A) = µn (A) and P ◦ µ̄n (A) = P ◦ µn (A), ∀A ∈ An .
Furthermore, µ̄n is finite. By Proposition 11.114, the generation pro-
∞
cess on ( Xn := (Xn , Bn , µ̄n ) )n=1 yields a σ-finite Y-valued measure space
X := (X, B̄, µ̄), P where B̄ := { E ⊆ X | E ∩ Xn ∈ Bn , ∀n ∈ IN }, ∀E ∈ B̄,
P ◦ µ̄(E)P = ∞ n=1 P ◦ µ̄n (E ∩ Xn ), µ̄(E) is undefined if P ◦ µ̄(E) = ∞,
∞
µ̄(E) = n=1 µ̄n (E ∩ Xn ) ∈ Y if P ◦ µ̄(E) < ∞, and Xn is the finite
Y-valued measure subspace of X , ∀n ∈ IN.
Claim 12.4.5 B = B̄.
Proof of claim: ∀A ∈ A, ∀n ∈ IN, A ∩ Xn ∈ An ⊆ Bn . This implies
that A ∈ B̄. Then, A ⊆ B̄. Since B̄ is a σ-algebra, then B ⊆ B̄. On
S∞ hand, ∀E ∈ B̄, ∀n ∈ IN, we have E ∩ Xn ∈ Bn ⊆ B. Then,
the other
E = n=1 (E ∩ Xn ) ∈ B and, hence, B̄ ⊆ B. This shows that B = B̄ and
completes the proof of the claim. P∞ 2
∀A ∈ A, ∀n P∈ IN, we have A ∩ Xn ∈ AP n ⊆ Bn and P ◦ µ̄(A) = n=1 P ◦
∞ ∞
µ̄n (A ∩ Xn ) = n=1 P ◦ µn (A ∩ Xn ) = n=1 P ◦ µ(A ∩ Xn ) = P ◦ µ(A).
Hence, (P ◦ µ̄)|A = P ◦ µ. ∀A ∈ A with P ◦ µ̄(A) = ∞, then µ̄(A) is
undefined and P ◦µ(A) = ∞, which implies that µ(A) is Pundefined. ∀A ∈ A
∞
with
P∞ P ◦ µ̄(A) < ∞, then
P∞ P ◦ µ(A) < ∞ and µ̄(A) = n=1 µ̄n (A ∩ Xn ) =
n=1 µn (A ∩ Xn ) = n=1 µ(A ∩ Xn ) = µ(A) ∈ Y. Hence, µ̄|A = µ. This
shows that µ̄ is the σ-finite Y-valued measure on (X, B) that we seek.
To show the uniqueness of µ̄, let µ̃ be another Y-valued measure on
(X, B) such that µ̃|A = µ and (P ◦ µ̃)|A = P ◦µ. Let X̃n := (Xn , Bn , µ̃n ) be
the Y-valued measure subspace of X̃ := (X, B, µ̃), ∀n ∈ IN. Fix any n ∈ IN.
Then, µ̃n |An = µ̃|An = µ|An = µn and (P ◦ µ̃n )|An = (P ◦ µ̃)|An =
(P ◦ µ)|An = P ◦ µn . By the uniqueness of µ̄ for the special case, we have
µ̃n = µ̄n . Then, Xñ = Xn . By Proposition 11.115, we have µ̃ = µ̄. Hence,
µ̄ is unique as desired.
Definition 12.5 Let X be a set, A ⊆ X2 be an algebra on X, Y be a

normed linear space over IK, and µ : A → Y. µ is said to be a Y-valued
pre-measure on the algebra A if
(i) µ(∅) = ϑY ;
∞ S∞
∀ pairwise disjoint ( Ai )i=1 ⊆ APwith A := i=1 Ai ∈ A, we have
(ii) P
∞ ∞
i=1 k µ(Ai ) k < ∞ and µ(A) = i=1 µ(Ai ) ∈ Y.
Define P ◦ µ : A → [0, ∞] ⊂ IRe by, P ∀A ∈ A, P ◦ µ(A) :=

supn∈Z+ , (Ai)n ⊆A, A=Sn Ai , Ai ∩Aj =∅, ∀1≤i<j≤n ni=1 k µ(Ai ) k. P ◦ µ is
i=1 i=1
said to be the total variation of µ.
µ is said to be finite if P ◦ µ(X) < ∞.
Proposition 12.6 Let X be a set, A ⊆ X2 be an algebra on X, Y be a

normed linear space over IK, and µ : A → Y be a Y-valued pre-measure on
the algebra A. Then, P ◦ µ : A → [0, ∞] ⊂ IRe defines a measure on the
algebra A.
∞
ProofS Clearly, P ◦ µ(∅) = 0. ∀ pairwise disjoint ( Ai )i=1 ⊆ A with
∞
A := i=1 Ai ∈ A, ∀i ∈ IN with P ◦ µ(Ai ) > 0, ∀0 ≤ tiS< P ◦ µ(Ai ),
ni ni
∃ni ∈ Z+ and ∃ pairwise disjoint ( Ai,j )j=1 ⊆ A with Ai = j=1 Ai,j such
Pni
that ti < j=1 k µ(Ai,j ) k ≤ P ◦ µ(Ai ). ∀i ∈ IN with P ◦ µ(Ai ) = 0, let
ti = 0, ni = 1, Ai,1 = Ai . Then, 0 = ti ≤ k µ(Ai,1 ) k ≤ P ◦ µ(Ai ) = 0.
P∞
Claim 12.6.1 0 ≤ t := i=1 ti ≤ P ◦ µ(A).
Proof of claim: Clearly, t ≥ 0 since ti ≥ 0, ∀i ∈ IN. We will distinguish

two exhaustive and mutually exclusive cases: Case 1: t < +∞; Case 2:
t = +∞. P∞ Pni
Case 1: t < +∞. Then, t ≤ i=1 j=1 k µ(Ai,j ) k ≥ 0. Therefore,
PN Pni
∀ǫ ∈ (0, ∞) ⊂ IR, ∃N ∈ IN such that t − ǫ < k µ(Ai,j ) k ≤
PN Pni SN Sni i=1 j=1

i=1 j=1 k µ(Ai,j ) k + µ(A \ i=1 j=1 Ai,j ) ≤ P ◦ µ(A). By the
arbitrariness of ǫ, we have t ≤ P P◦∞µ(A).
Pni
Case 2: t = +∞. Then t = i=1 j=1 k µ(Ai,j ) k = ∞. ∀M ∈ [0, ∞) ⊂
IR, ∃N ∈ IN such that
ni
N X
X
M ≤ k µ(Ai,j ) k
i=1 j=1
12.2. PRODUCT MEASURE 507
ni
N X
X [ ni
N [

≤ k µ(Ai,j ) k + µ(A \ Ai,j ) ≤ P ◦ µ(A)
i=1 j=1 i=1 j=1
This implies that P ◦ µ(A) = +∞ = t.

This completes
P the proof of the claim. P∞ 2
Hence, ∞ t
i=1 i ≤ P◦µ(A). By the arbitrariness of t i ’s, we have i=1 P◦
µ(Ai ) ≤ P ◦ µ(A).
n
On the other hand, ∀n ∈ Z+ , ∀ pairwise disjoint ( Ej )j=1 ⊆ A with
Sn
A = j=1 Ej , we have
n
X n
X ∞
[ n
X ∞
X
k µ(Ej ) k = kµ ( (Ai ∩ Ej ) ) k = k µ(Ai ∩ Ej ) k
j=1 j=1 i=1 j=1 i=1
X ∞
n X ∞ X
X n ∞
X
≤ k µ(Ai ∩ Ej ) k = k µ(Ai ∩ Ej ) k ≤ P ◦ µ(Ai )
j=1 i=1 i=1 j=1 i=1
n P∞
By the arbitrariness of n and ( Ej )j=1 , we have P ◦ µ(A) ≤ i=1 P ◦ µ(Ai ).
P∞
Hence, P ◦ µ(A) = i=1 P ◦ µ(Ai ). This implies that P ◦ µ is a measure
on the algebra A. This completes the proof of the proposition. 2
Clearly, µ : A → Y is a finite Y-valued pre-measure on the algebra A if,
and only if, µ is a finite Y-valued measure on the algebra A. In this case,
the definitions of total variations of µ coincide considering µ as a Y-valued
pre-measure on the algebra A or as a Y-valued measure on the algebra A.
12.2 Product Measure

Definition 12.7 Let X be a set. A ⊆ X2 is said to be a π-system on X if:
(i) ∅, X ∈ A; and (ii) ∀A, B ∈ A, we have A ∩ B ∈ A. D ⊆ X2 is said to
be a monotone class on X if
(i) ∅, X ∈ D;
(ii) ∀A, B ∈ D with A ⊆ B, we have B \ A ∈ D;

S∞
(iii) ∀ ( Ai )∞
i=1 ⊆ D with Ai ⊆ Ai+1 , ∀i ∈ IN, we have i=1 Ai ∈ D.
Let X be a set and A ⊆ X2. Then, there exists the smallest monotone
class on X that contains A, which is the intersection of all monotone classes
on X that contains A.
Proposition 12.8 Let X be a set. B ⊆ X2 is a σ-algebra on X if, and

only if, B is a π-system on X and is a monotone class on X.
Proof “Necessity” Let B be a σ-algebra on X. Then, ∅, X ∈ B.

∀A, B ∈ B, we have A ∩ B ∈ B. Hence, B is a π-system on X. ∀A, B ∈ B
∞
S∞ A ⊆ B, B \ A ∈ B. ∀ ( Ai )i=1 ⊆ B with Ai ⊆ Ai+1 , ∀i ∈ IN, we have
with
i=1 Ai ∈ B. Hence, B is a monotone class on X.
“Sufficiency” Let B be a monotone class on X and a π-system on X.
Then, ∅, X ∈ B. ∀A ⊆ B, we have A ⊆ X and X \ A = A e ∈ B, since
^
f f
B is a monotone class on X. ∀A1 , A2 ∈ B, we have A1 ∪ A2 = A 1 ∩ A2 .
f f f f
By the above, A1 , A2 ∈ B. Then, A1 ∩ A2 ∈ B since B is a π-system on
X. This further implies that A1 ∪ A2S∈ B. Hence, B is an algebra on X.
∞ n
∀ ( Ei )i=1 ⊆ B, ∀n ∈ IN, let An := i=1 Ei ∈ B, since B is an algebra.
Then, An ⊆SAn+1 , ∀n ∈ IN. By B being a monotone class on X, we have
S ∞ ∞
n=1 An = i=1 Ei ∈ B. This shows that B is a σ-algebra.
Lemma 12.9 (Monotone Class Lemma) Let X be a set, A ⊆ X2 be a

π-system on X, B be the σ-algebra on X generated by A, and D be the
smallest monotone class on X that contains A. Then, B = D.
Proof By Proposition 12.8, B is a monotone class on X. Hence,

D ⊆ B.
Define D1 := { E ∈ D | E ∩ A ∈ D, ∀A ∈ A }. Since A is a π-system
on X, then A ⊆ D1 . Clearly D1 ⊆ D. We will show that D1 is a monotone
class on X. Then, D ⊆ D1 and D = D1 .
Clearly, ∅ ∈ A ⊆ D1 and X ∈ A ⊆ D1 . ∀E1 , E2 ∈ D1 with E1 ⊆ E2 ,
we have E1 , E2 ∈ D and E2 \ E1 ∈ D. ∀A ∈ A, we have A ∩ E1 ∈ D and
A ∩ E2 ∈ D. Clearly, A ∩ E1 ⊆ A ∩ E2 . Since D is a monotone class on
X, we have D ∋ (A ∩ E2 ) \ (A ∩ E1 ) = A ∩ (E2 \ E1 ). By the arbitrariness
∞
we have E2 \ E1 ∈ D1 . ∀ ( Ei )i=1 ⊆ D1 with Ei ⊆ Ei+1 , ∀i ∈ IN, we
of A, S
∞
have i=1 Ei ∈ D since D is a monotone class on X. ∀A ∈ A, ∀i ∈ IN,
Ei ∈ D1 implies
S∞ that A ∩ Ei ∈ D. S∞Clearly, A ∩ Ei ⊆ A ∩ Ei+1 , ∀i ∈ IN.
Then, D ∋ i=1 (A ∩ Ei ) = A ∩ ( i=1 ESi ), since D is a monotone class on
∞
X. By the arbitrariness of A, we have i=1 Ei ∈ D1 . This shows that D1
is a monotone class on X.
Define D2 := { E ∈ D | E ∩ B ∈ D, ∀B ∈ D }. Since D1 = D, then
A ⊆ D2 . Clearly, D2 ⊆ D. We will show that D2 is a monotone class on
X. Then, D ⊆ D2 and D = D2 .
Clearly, ∅ ∈ A ⊆ D2 and X ∈ A ⊆ D2 . ∀E1 , E2 ∈ D2 with E1 ⊆ E2 ,
we have E2 \ E1 ∈ D since D is a monotone class on X. ∀B ∈ D, we have
E1 ∩ B ∈ D and E2 ∩ B ∈ D since E1 , E2 ∈ D2 . Clearly, E1 ∩ B ⊆ E2 ∩ B.
Then, D ∋ (E2 ∩ B) \ (E1 ∩ B) = (E2 \ E1 ) ∩ B, since D is a monotone class
∞
on X. By the arbitrariness of B, weShave E2 \ E1 ∈ D2 . ∀ ( Ei )i=1 ⊆ D2
∞
with Ei ⊆ Ei+1 , ∀i ∈ IN, we have i=1 Ei ∈ D since D is a monotone
class on X. ∀B ∈ D, ∀i ∈ IN, Ei ∈ D2 implies
S∞ that B ∩ Ei ∈ D.SClearly,
∞
B ∩ Ei ⊆ B ∩ Ei+1 , ∀i ∈ IN. Then, D ∋ i=1 (B ∩ Ei ) = B ∩ ( i=1 Ei ),
since D is a monotone class on X. By the arbitrariness of B, we have
S ∞
i=1 Ei ∈ D2 . This shows that D2 is a monotone class on X.
Therefore, D2 = D. This implies, by the definition of D2 , that D is

a π-system on X. By Proposition 12.8, we have D is σ-algebra. Then,
B ⊆ D. Hence, B = D. This completes the proof of the lemma. 2
Proposition 12.10 Let X be a set, C be a semialgebra on X, Y be a

normed linear space, A be the algebra on X generated by C, ν : C → [0, ∞] ⊂
IRe , and µ be a function from C to Y. Assume that
(i) µ(∅) = ϑY and ν(∅) = 0;
n Sn
(ii) ∀C ∈ C, ∀n ∈ Z+P, ∀ pairwise disjoint ( Ci )i=1 ⊆ C with C = i=1 Ci ,
n
we have ν(C) = i=1 ν(Ci );
S∞
(iii) ∀C ∈ C,P∀ pairwise disjoint ( Ci )∞
i=1 ⊆ C with C = i=1 Ci , we have
∞
ν(C) ≤ i=1 ν(Ci );
(iv) ∀C ∈ C with ν(C) = ∞, µ(C) is undefined;
(v) ∀C ∈ C with ν(C) < ∞,
n Snµ(C) ∈ Y and ∀n ∈ Z+ ,P∀npairwise disjoint
( Ci )i=1 ⊆ C with C = i=1 Ci , we have µ(C) = i=1 µ(Ci ).
(vi) ∀C ∈ C with ν(C) < ∞, we have
n
X
ν(C) = sup k µ(Ci ) k
n Sn
n∈Z+ , (Ci) ⊆C, C= i=1 Ci , Ci ∩Cj =∅, ∀1≤i<j≤n i=1
i=1
Then, ν admits a unique extension to a measure ν̄ on the algebra A; and µ

admits a unique extension to a Y-valued measure µ̄ on the algebra A with
(P ◦ µ̄)|C = ν. Furthermore, P ◦ µ̄ = ν̄.
Proof By Proposition 11.31, A = { A ⊆ X | A is the finite Pn disjoint

union ofSn sets in C }. Define ν̄ : A → [0, ∞] ⊂ IR e by ν̄(A) = i=1 ν(Ci ),
n
∀A = i=1 Ci ∈ A, where n ∈ Z+ and ( Ci )i=1 ⊆ C is pairwise disjoint.
By (ii), (iii), and Proposition 11.32 and its proof, ν̄ is the unique measure
on the algebra A which is an extension of ν. Hence, ν̄ is the measure on
the algebra A that we seek. Define µ̄ to bePa function from A to Y by:
n
µ̄(A)Sis undefined if ν̄(A) = ∞; and µ̄(A) = i=1 µ(Ci ) ∈ Y if ν̄(A) < ∞,
n n
A = i=1 Ci , n ∈ Z+ , and ( Ci )i=1 ⊆ C is pairwise disjoint. By (i) and (v),
µ̄ is well-defined. Clearly, µ̄|C = µ and hence µ̄ is an extension of µ.
We will show that µ̄ is a Y-valued measure on the algebra A with
P ◦ µ̄ = ν̄. Then, µ̄ is the Y-valued measure on the algebra A that
we seek. By (i), µ̄(∅) = ϑY . ∀A ∈ A with ν̄(A) = ∞, µ̄(A) is unde-
∞
fined. S∀A ∈ A with ν̄(A) < ∞, ∀ pairwise disjoint ( Ai )i=1 ⊆ A with
∞
A = i=1 Ai , we have µ̄(A) Sn0∈ Y, ν̄(Ai ) < ∞, and µ̄(Ai ) ∈ Y, n0
∀i ∈ IN.
Since A ∈ A, then A = i=1 Ci , where n0 ∈ Z+ and ( Ci )i=1Sn⊆ C is
i
pairwise disjoint. Fix any i ∈ IN, Ai ∈ A implies that Ai = j=1 Ci,j ,
ni
where ni ∈ Z+ and ( Ci,j )j=1 ⊆ C is pairwise disjoint. This leads
P∞ P∞ Pni

P∞ Pni
to i=1 k µ̄(Ai ) k = i=1 j=1 µ(Ci,j ) ≤ i=1 j=1 k µ(Ci,j ) k ≤
P∞ Pni P∞ Pni S∞ Sni
i=1 j=1 ν(Ci,j ) = i=1 j=1 ν̄(Ci,j ) = ν̄( i=1 j=1 Ci,j ) = ν̄(A) <
∞, where the first equality follows from the definition of µ̄; the second
inequality follows from (vi); the second equality follows from ν̄|C = ν;
and the third equality follows from the fact that ν̄ is a measure on
P∞ A.PnThis
the algebra
i
implies that ∀ǫ ∈ (0, +∞) ⊂ IR, ∃N ∈ IN such
that ν̄(Ci,j ) < ǫ. ∀n ∈ IN with N ≤ n, let Ā :=
Sni=NS+1 j=1 S Sni
A \ ( i=1 j=1 Ci,j ) ∈ A. Clearly, Ā = ∞
ni
i=n+1 Ci,j and ν̄(Ā) =
P∞ Pni Sn̄j=1
i=n+1 ν̄(C i,j ) < ǫ. By Ā ∈ A, we have Ā = i=1 i , where n̄ ∈ Z+
C̄
n̄j=1 Pn
and C̄i i=1 ⊆ C is pairwise disjoint.
Then, k µ̄(A) − i=1 µ̄(Ai ) k =
Pn0 Pn Pni Pn0 Sn Sni
k=1 µ(Ck ) − i=1 j=1 µ(Ci,j ) = k=1 µ(Ck ∩ (( i=1 j=1 Ci,j ) ∪
Pn Pni Sn0 P Sn Sni
n0
Ā))− i=1 j=1 µ(Ci,j ∩( k=1 Ck )) = k=1 µ(( i=1 j=1 (Ck ∩Ci,j ))∪
S P P i S 0 P Pn Pni

( n̄i=1 (Ck ∩ C̄i ))) − ni=1 nj=1 µ( nk=1 (Ci,j ∩ Ck )) = nk=1 0
i=1
Pn0 Pn̄ Pn Pni Pn0 j=1

µ(Ck ∩ Ci,j ) + k=1 i=1 µ(Ck ∩ C̄i ) − i=1 j=1 k=1 µ(Ci,j ∩ Ck ) =
Pn̄ Pn0 Pn̄ Pn̄
µ(C ∩ C̄i ) = i=1 µ(C̄i ) ≤ ≤
Pn̄ i=1 k=1 Pn̄k Sn̄ i=1 µ(C̄i )
i=1 ν(C̄i ) = i=1 ν̄(C̄i ) = ν̄( i=1 C̄i ) = ν̄(Ā) < ǫ, where the first equal-
ity follows from the definition of µ̄; the fourth equality follows from (v); the
sixth equality follows from (v); the second inequality follows from (vi); the
seventh equality follows from ν̄|C = ν; the eighth equality follows P from the
fact that ν̄ is a measure on the algebra A. Hence, µ̄(A) = ∞ i=1 µ̄(Ai ).
Sn0
∀A ∈ A with ν̄(A) < ∞, then A = i=1 Ci , where n0 ∈ Z+
n0
and ( Ci )i=1 ⊆ C is pairwise Sn disjoint. ∀n ∈ Z+ , ∀ pairwise disjoint
n
( Ai )i=1 ⊆
S i A with A = A
i=1 i , ∀i ∈ {1, . . . , n}, Ai ∈ A implies that
Ai = nj=1 Ci,j , where ni ∈ Z+ and ( Ci,j )nj=1 i
⊆ C is pairwise disjoint.
P P P P P i

Then, ni=1 k µ̄(Ai ) k = ni=1 nj=1 i
µ(Ci,j ) ≤ ni=1 nj=1 k µ(Ci,j ) k ≤
Pn Pni Pn Pni Pn
i=1 j=1 ν(C i,j ) = i=1 j=1 ν̄(C i,j ) = i=1 ν̄(A i ) = ν̄(A), where the
first equality follows from the definition of µ̄; the second inequality follows
from (vi); the second equality follows from ν̄|C = ν; and the last two equali-
ties follow from the fact that ν̄ is a measure on the Pnalgebra A. Hence, sA :=
supn∈Z+ , (Ai)n ⊆A, A=Sn Ai , Ai ∩Aj =∅, ∀1≤i<j≤n i=1 k µ̄(Ai ) k ≤ ν̄(A). On
i=1 i=1
the other hand, ∀ǫ ∈ (0, +∞) ⊂ IR, ∀i ∈ {1,S . . . , n0 }, by (vi), ∃ni ∈ Z+ ,
∃ pairwise disjoint ( Ci,j )nj=1
i
⊆ C with Ci = nj=1 i
Ci,j such that ν̄(Ci ) =
Pni Pni
ν(Ci ) < j=1 k µ(Ci,j ) k+ ǫ/(1 + n0 ) = j=1 k µ̄(Ci,j ) k+ ǫ/(1 + n0 ). Then,
Pn0 Pn0 Pni
ν̄(A) = i=1 ν̄(Ci ) < i=1 j=1 k µ̄(Ci,j ) k + ǫ ≤ sA + ǫ. By the arbitrari-
ness of ǫ, we have ν̄(A) ≤ sA . Hence, sA = ν̄(A). This shows that µ̄ is a
Y-valued measure on the algebra A with P ◦ µ̄ = ν̄.
To show the uniqueness of µ̄, let µ̂ be another Y-valued measure on
the algebra A with µ̂|C = µ and (P ◦ µ̂)|C = ν. Since P ◦ µ̂ is a measure
on the algebra A that is an extension of ν, then P ◦ µ̂ = ν̄ = P ◦ µ̄
by Proposition 11.32. ∀A ∈ A with ν̄(A) = ∞, then µ̂(A) and µ̄(A)
Sn
are both undefined. ∀A ∈ A with ν̄(A) < ∞, then A = P i=1 Ci , where
n n
n
Pn ∈ Z + and ( Ci )i=1 ⊆ C is pairwise disjoint. Then, µ̂(A) = i=1 µ̂(Ci ) =
i=1 µ(Ci ) = µ̄(A), where the first equality follows from the fact that µ̂
is a Y-valued measure on the algebra A; the second equality follows from
µ̂|C = µ; and the last equality follows from the definition of µ̄. Hence,
µ̂ = µ̄. Therefore, µ̄ is unique.
Proposition 12.11 Let Xi := (Xi , Bi , µi ) be a finite IK-valued measure

space, i = 1, 2, C := { E1 × E2 ⊆ X1 × X2 | E1 ∈ B1 , E2 ∈ B2 }, which is
the set of measurable rectangles in X1 × X2 , B be the σ-algebra on X1 × X2
generated by C, µ : C → IK be defined by µ(E1 × E2 ) = µ1 (E1 )µ2 (E2 ),
∀E1 × E2 ∈ C, and ν : C → [0, ∞) ⊂ IR be defined by ν(E1 × E2 ) =
P ◦ µ1 (E1 )P ◦ µ2 (E2 ), ∀E1 × E2 ∈ C. Then, C is a semialgebra on X1 × X2 ,
µ and ν satisfy the assumptions of Proposition 12.10. Therefore, there
exists a unique IK-valued measure λ := µ1 × µ2 on the measurable space
(X1 × X2 , B) such that λ(E1 × E2 ) = µ1 (E1 )µ2 (E2 ) and P ◦ λ(E1 × E2 ) =
P ◦µ1 (E1 )P ◦µ2 (E2 ), ∀E1 ×E2 ∈ C. Furthermore, λ is finite. The IK-valued
measure space X := (X1 × X2 , B, λ) is said to be the product IK-valued
measure space of X1 and X2 , and denoted by X1 × X2 . λ is said to be the
product IK-valued measure of µ1 and µ2 and denoted by µ1 × µ2 .
Proof ∀E1,1 × E2,1 , E1,2 × E2,2 ∈ C, we have (E1,1 × E2,1 ) ∩ (E1,2 ×

E2,2 ) = (E1,1 ∩ E1,2 ) × (E2,1 ∩ E2,2 ) ∈ C and ( E1,1 × E2,1 )∼ = (E g1,1 ×
g g g
E2,1 ) ∪ (E1,1 × E2,1 ) ∪ (E1,1 × E2,1 ), which is a finite disjoint union of sets
in C. Clearly, ∅ = ∅ × ∅ ∈ C 6= ∅. Hence, C is a semialgebra on X1 × X2 .
Next, we will show that µ and ν satisfy (i) – (vi) of Proposition 12.10.
µ(∅) = µ(∅×∅) = µ1 (∅)µ2 (∅) = 0 and ν(∅) = ν(∅×∅) = P◦µ1 (∅)P◦µ2 (∅) =
0. Hence, (i) of Proposition 12.10 holds.
(iv) of Proposition 12.10 holds trivially since ν(E1 ×E2 ) = P ◦µ1 (E1 )P ◦
µ2 (E2 ) < ∞, ∀E1 × E2 ∈ C.
∞
∀E1S× E2 ∈ C, ∀ pairwise disjoint ( E1,i × E2,i )i=1 ⊆ C with E1 ×
∞
E2 = i=1 (E1,i × E2,i ). Fix any x1 ∈ ES 1 . ∀x2 ∈ E2 , ∃! i ∈ IN such
that (x1 , x2 ) ∈ E1,i × E2,i . Then, E2 = i∈IN, x1 ∈E1,i E2,i and the sets
P
in the union are pairwise disjoint. Then, P ◦ µ2 (E2 ) = i∈IN, x1 ∈E1,i P ◦
P
µ2 (E2,i ) = i∈IN P ◦ µ2 (E2,i )χE1,i ,X1P (x1 ) ∈ [0, ∞) ⊂ IR. ∀x1 ∈ X1 \ E1 ,
we have P ◦ µ2 (E2 )χE1 ,X1 (x1 ) = 0 = P i∈IN P ◦ µ2 (E2,i )χE1,i ,X1 (x1 ). Then,
∀x1 ∈ X1 , P ◦ µ2 (E2 )χE1 ,X1 (x1 ) = i∈IN P ◦ µ2 (E2,i )χE1,i ,X1 (x1 ). By
Monotone Convergence Theorem R 11.78 and Proposition 11.73,R ν(EP 1 ×E2 ) =
P ◦ µ1 (E1 )P ◦ µ2 (E2 ) = X1 P ◦ µ2 (E2 )χE1 ,X1 dP ◦ µ1 = X1 ( i∈IN P ◦
P P∞
µ2 (E2,i )χE1,i ,X1 ) dP ◦ µ1 = ∞ i=1 P ◦ µ2 (E2,i )P ◦ µ1 (E1,i ) = i=1 ν(E1,i ×
E2,i ). Hence, (ii) and (iii) of Proposition 12.10 hold.
n
∀E1 × E2 ∈ C,S∀n ∈ IN, ∀ pairwise disjoint ( E1,i × E2,i )i=1 ⊆ C
n
with E1 × E2 = i=1 (E1,i × E2,i ). Fix any x1 ∈ E1 . ∀x2 ∈ E2 ,
∃! i ∈ N := {1, . . . , n} such that (x1 , x2 ) ∈ E1,i × E2,i . Then, E2 =
S
i∈N, x1 ∈EP E2,i and the sets in the union are pairwise disjoint. Then,
1,i P
µ2 (E2 ) = i∈N, x1 ∈E1,i µ2 (E2,i ) = i∈N µ2 (E2,i )χE1,i ,X1 (x1 ) ∈ IK. ∀x1 ∈
P
X1 \ E1 , we have µ2 (E2 )χE1 ,X1 (x1 ) = 0P= i∈N µ2 (E2,i )χE1,i ,X1 (x1 ).
Then, ∀x1 ∈ X1 , µ2 (E2 )χE1 ,X1 (x1 ) = i∈IN µ2 (E2,i )χE1,i ,X1 (x1 ). By
RPropositions 11.122 and R11.129, P we have µ(E1 × E2 ) = µ1P (E1 )µ2 (E2 ) =
n
X1 µ2 (E 2 )χ
PnE 1 ,X 1 dµ 1 = X1 ( i∈N µ 2 (E 2,i )χ E 1,i ,X1 ) dµ 1 = i=1 µ2 (E2,i ) ·
µ1 (E1,i ) = i=1 µ(E1,i × E2,i ). Hence, (v) of Proposition 12.10 holds.
n
∀E1 × E2 ∈ C,S∀n ∈ Z+ , ∀ pairwise disjoint Pn( E1,i × E2,i )i=1 ⊆ C
n
with E1 × E2 = i=1 (E1,i P
P × E2,i ), we have i=1 | µ(E1,i
P× E2,i ) | =
n n n
i=1 | µ1 (E 1,i ) | | µ2 (E 2,i ) | ≤ i=1 P ◦µ 1 (E 1,i )P ◦µ 2 (E2,i ) = i=1 ν(E1,i ×
E2,i ) = ν(E1 × E2 ), where the inequality follows from Definition 11.105;
and the last equality follows from (ii). Then, Pn ν(E1 × E2 ) ≥ sE1 ×E2 :=
sup n∈Z , „E ×E «n ⊆C, E ×E =Sn (E ×E ) i=1 | µ(E1,i × E2,i ) |. On the
+ 1,i 2,i 1 2 i=1 1,i 2,i
i=1
(E1,i ×E2,i )∩(E1,j ×E2,j )=∅, ∀1≤i<j≤n
n
other hand, ∀ǫ ∈S(0, 1] ⊂ IR, ∃n1 ∈ Z P+n,1 ∃ pairwise disjoint ( E1,i )i=1 ⊆
1
n1
B1 with E1 = i=1 E1,i such that i=1 | µ1 (E1,i ) | ≥ P ◦ µ1 (E1 )(1 −
2+2ν(ES
ǫ
1 ×E2 )
). ∃n 2 ∈ Z + , ∃ pairwise disjoint ( E2,i )ni=1 2
⊆ B2 with
n2 P n2
E2 = i=1 E2,i such that i=1 | µ2 (E2,i ) | > P ◦ µ2 (E2 )(1 − 2+2ν(Eǫ 1 ×E2 ) ).
Sn1 Sn2
Then, E1 × E2 = i=1 j=1 (E1,i × E2,j ) and the sets in the union
Pn1 Pn2
are pairwise disjoint and in C. Then, i=1 j=1 P | µ(E1,i × E2,j ) | =
Pn1 Pn2 Pn1 n2
i=1 j=1 | µ1 (E1,i ) | | µ2 (E2,j ) | = ( i=1 | µ1 (E1,i ) |)( j=1 | µ2 (E2,j ) |) ≥
P ◦ µ1 (E1 )P ◦ µ2 (E2 )(1 − 2+2ν(Eǫ 1 ×E2 ) )2 ≥ ν(E1 × E2 )(1 − 1+ν(Eǫ1 ×E2 ) ) >
ν(E1 × E2 ) − ǫ. By the arbitrariness of ǫ, we have sE1 ×E2 ≥ ν(E1 × E2 ).
Hence, (vi) of Proposition 12.10 holds.
Let A be the algebra on X1 × X2 generated by C. By Proposition 12.10,
ν admits a unique extension to a measure ν̄ on the algebra A; and µ
admits a unique extension to a IK-valued measure µ̄ on the algebra A
with (P ◦ µ̄)|C = ν. Furthermore, P ◦ µ̄ = ν̄. Clearly, µ̄ is finite. By
Carathéodory Extension Theorem 12.4, there is a unique IK-valued mea-
sure λ on the measurable space (X1 × X2 , B) such that λ|A = µ̄ and
(P ◦ λ)|A = P ◦ µ̄ = ν̄. Then, λ|C = µ and (P ◦ λ)|C = ν. This im-
plies that P ◦ λ(X1 × X2 ) = ν(X1 × X2 ) = P ◦ µ1 (X1 )P ◦ µ2 (X2 ) < ∞.
Hence, λ is finite.
Proposition 12.12 Let Xi := (Xi , Bi , µi ) be a σ-finite IK-valued measure

space, i = 1, 2, C := { E1 ×E2 ⊆ X1 ×X2 | E1 ∈ B1 , E2 ∈ B2 } be the set of
measurable rectangles, B be the σ-algebra on X1 ×X2 generated by C. Then,
there is a unique IK-valued measure λ := µ1 × µ2 on the measurable space
(X1 × X2 , B) such that λ(E1 × E2 ) = µ1 (E1 )µ2 (E2 ) and P ◦ λ(E1 × E2 ) =
P ◦ µ1 (E1 )P ◦ µ2 (E2 ), ∀E1 ∈ dom ( µ1 ), ∀E2 ∈ dom ( µ2 ). Furthermore,
λ is σ-finite. The IK-valued measure space X := (X1 × X2 , B, λ) is said
to be the product IK-valued measure space of X1 and X2 , and denoted by
X1 × X2 . λ is said to be the product IK-valued measure of µ1 and µ2 and
denoted by µ1 × µ2 .
∞
Proof S∞i ∈ {1, 2}. Since Xi is σ-finite, then ∃ ( Xi,n )n=1 ⊆ Bi
Fix any
such that Xi = n=1 Xi,n and P ◦ µi (Xi,n ) < ∞, ∀n ∈ IN. Without
loss of generality, we may assume that ( Xi,n )∞ n=1 is pairwise disjoint. Let
Xi,n := (Xi,n , Bi,n , µi,n ) be the finite IK-valued measure subspace of Xi ,
∀n ∈ IN. Fix any n ∈ IN and any m ∈ IN. Let Cn,m := { E1 × E2 ⊆
X1,n × X2,m | E1 ∈ B1,n , E2 ∈ B2,m } and B̄n,m be the σ-algebra on
X1,n × X2,m generated by Cn,m . By Proposition 12.11, there is a unique
IK-valued measure λn,m = µ1,n × µ2,m on (X1,n × X2,m , B̄n,m ) such that
λn,m (E1 ×E2 ) = µ1,n (E1 )µ2,m (E2 ) and P ◦λn,m (E1 ×E2 ) = P ◦µ1,n (E1 )P ◦
µ2,m (E2 ), ∀E1 × E2 ∈ Cn,m . Furthermore, λn,m is finite. Denote the
finite IK-valued measure space (X1,n × X2,m , B̄n,m , λn,m ) =: X̄n,m . By
Proposition 11.114, the generation process on X¯n,m n∈IN, m∈IN yields a
σ-finite IK-valued measure space X := (X1 × X2 , B̄, λ) such that X̄n,m
the finite IK-valued
is measure subspace of X , ∀n, m ∈ IN, where B̄ :=
E ⊆ XP 1 × XP2
E ∩ (X1,n × X2,m ) ∈ B̄n,m , ∀n ∈ IN, ∀m ∈ IN , P ◦
∞ ∞
λ(E) =
P m=1 P ◦ λn,m (E ∩ (X1,n × X2,m )), ∀E ∈ B̄, and λ(E) =
∞ P∞
n=1
n=1 m=1 λn,m (E ∩ (X1,n × X2,m )), ∀E ∈ B̄ with P ◦ λ(E) < ∞.
Claim 12.12.1 B = B̄.
Proof of claim: ∀E1 × E2 ∈ C, ∀n, m ∈ IN, E1 ∩ X1,n ∈ B1,n and

E2 ∩X2,m ∈ B2,m by Proposition 11.112. Then, (E1 ×E2 )∩(X1,n ×X2,m ) ∈
Cn,m ⊆ B̄n,m . This implies that E1 × E2 ∈ B̄. Then, C ⊆ B̄. Since B̄ is a
σ-algebra, then B ⊆ B̄.
On the other hand, ∀n, m ∈ IN, ∀E1 × E2 ∈ Cn,m , we have E1 ∈ B1,n ⊆
B1 and E2 ∈ B2,m ⊆ B2 . Thus, E1 × E2 ∈ C ⊆ B. Then, Cn,m ⊆ B and
B̄n,m ⊆ B. This further implies that B̄ ⊆ B. Hence, B = B̄. This completes
P∞ ∀E 1 ∈ dom ( µ 1 ), ∀E 2 ∈P∞ dom ( µ 2 ), we have ∞ > P ◦ µ 1 (E1 ) =
P∞ n=1 P ◦ µ1 (E 1 ∩ X 1,n
P∞) = n=1 P ◦ µ 1,n (E 1 ∩ X 1,n ), I
K ∋ µ
P∞1 (E 1 ) =
n=1 µ1 (E1 ∩ X1,n ) = P∞ n=1 µ 1,n (E 1 ∩ X 1,n ), ∞ > P ◦ µ2 (E 2 ) = m=1 P ◦
µ
P∞2 (E2 ∩ X 2,m ) = P∞
m=1 P ◦ µ 2,m (E 2 ∩ X 2,m ), and IK ∋ µ2 (E 2 ) =
Pm=1 µ2 (E2 ∩ X2,m ) = m=1 µ2,m (E2 ∩ X2,m ). Then, PP◦ λ(EP 1 × E2 ) =
∞ P∞ ∞ ∞
n=1 m=1 P ◦ λn,m ((E1 × E2 ) ∩ (X 1,n
P∞ P∞ × X 2,m )) = n=1 m=1 P ◦
λn,m ((E1 ∩ X1,n ) ×P (E2 ∩ X2,m )) = n=1 P m=1 P ◦ µ1,n (E1 ∩ X1,n )P ◦
∞ ∞
µ2,m (E2 ∩X2,m ) = ( n=1 P◦µ1,n(E1 ∩X1,n ))( m=1 P◦µ2,m(E2 ∩X2,m )) =
P ◦ µ1 (E1 )P ◦ µ2 (E2 ) < ∞, where the first equality follows from Propo-
sition 11.114; and the third P∞equality
P∞ follows from Proposition 12.11. We
also
P∞ P∞ have λ(E 1 × E 2 ) = m=1 λn,m ((E1 × EP 2 ) ∩ (X 1,n × X2,m )) =
∞ P∞
n=1
n=1 m=1 λn,m ((E1 ∩ P X1,n ) × (E2 ∩ X2,m )) P = n=1 m=1 µ1,n (E1 ∩
∞ ∞
X1,n )µ2,m (E2 ∩X2,m ) = ( n=1 µ1,n (E1 ∩X1,n ))( m=1 µ2,m (E2 ∩X2,m )) =
µ1 (E1 )µ2 (E2 ) ∈ IK, where the first equality follows form Proposition 11.114;
and the third equality follows from Proposition 12.11. Hence, X is the σ-
finite IK-valued measure space that we seek.
To show the uniqueness of λ, let λ̄ be another IK-valued measure

on (X1 × X2 , B) such that P ◦ λ̄(E1 × E2 ) = P ◦ µ1 (E1 )P ◦ µ2 (E2 )
and λ̄(E1 × E2 ) = µ1 (E1 )µ2 (E2 ), ∀E1 ∈ dom ( µ1 ), ∀E2 ∈ dom ( µ2 ).
∀n, m ∈ IN, let (X1,n ×X2,m , B̄n,m , λ̄n,m ) be the IK-valued measure subspace

of (X1 × X2 , B, λ̄). Then, λ̄n,m Cn,m = λn,m |Cn,m and (P ◦ λ̄n,m )Cn,m =
(P ◦ λn,m )|Cn,m . By Proposition 12.11, we have λ̄n,m = λn,m . Then, X̄n,m
is the finite IK-valued measure subspace of (X1 × X2 , B, λ̄). By Proposi-
tion 11.115, we have λ̄ = λ. This shows that λ is unique.
Proposition 12.13 Let Xi := (Xi , Bi , µi ) be a σ-finite measure space, i =

1, 2, and X := (X1 × X2 , B, µ) := X1 × X2 be the product measure space.
Then, ∀E ∈ B, ∀x1 ∈ X1 , Ex1 := { x̄2 ∈ X2 | (x1 , x̄2 ) ∈ E } ∈ B2 ; and,
∀x2 ∈ X2 , Ehx2i := { x̄1 ∈ X1 | (x̄1 , x2 ) ∈ E } ∈ B1 .
Proof Let E := { E ∈ B | Ex1 ∈ B1 , ∀x1 ∈ X1 } ⊆ B. ∀E ∈ C :=

{ E1 × E2 ⊆ X1 × X2 | E1 ∈ B1 , E2 ∈ B2 }, we have E ∈ E. Then, C ⊆ E.
We will show that E is a σ-algebra on X1 ×X2 . Then, by Proposition 12.12,
we have B ⊆ E and B = E.
Clearly, ∅ ∈ C ⊆ E and X1 × X2 ∈ C ⊆ E. ∀E ∈ E, ∀x1 ∈ X1 ,
we have ((X1 × X2 ) \ E)x1 = X2 \ Ex1 ∈ B2 since B2 is a σ-algebra. By
∞
the arbitrariness
S∞ of x1 , we have (X1 × X2 ) \S
E ∈ E. ∀ ( Ei )i=1 ⊆ E, let
∞
E := i=1 Ei ∈ B. ∀x1 ∈ X1 , we have Ex1 = i=1 Eix1 ∈ B2 since B2 is a
σ-algebra. Then, E ∈ E. Therefore, E is a σ-algebra and B = E. By the
definition of E, we have ∀E ∈ B = E, ∀x1 ∈ X1 , Ex1 ∈ B2 . By symmetry,
∀E ∈ B, ∀x2 ∈ X2 , Ehx2i ∈ B1 . This completes the proof of the proposition.
2
Proposition 12.14 Let Xi := (Xi , Bi , µi ) be a σ-finite measure space,

i = 1, 2, and X := (X1 × X2 , B, µ) := X1 × X2 be the product mea-
sure space. Then, ∀E ∈ B, the function gE : X1 → [0, ∞] ⊆ IRe , de-
fined by gE (x1 ) = µ2 (Ex1 ), ∀x1 ∈ X1 , is B1 -measurable, where Ex1 is
as defined in Proposition 12.13. By symmetry, ∀E ∈ B, the function
hE : X2 → [0, ∞] ⊆ IRe , defined by hE (x2 ) = µ1 (Ehx2i ), ∀x2 ∈ X2 , is
B2 -measurable, where Ehx2i is as defined in Proposition 12.13.
Proof By Proposition 12.13, ∀x1 ∈ X1 , Ex1 ∈ B2 . Then, gE (x1 ) ∈

[0, ∞] ⊂ IRe . Hence, the function gE is well-defined.
First, consider the special case when X1 and X2 are finite. Let E :=
{ E ∈ B | gE is B1 -measurable}, and C be the set of measurable rectangles
in X1 × X2 . ∀E := E1 × E2 ∈ C, gE (x1 ) = µ2 (E2 )χE1 ,X1 (x1 ), ∀x1 ∈ X1 .
Clearly, gE is B1 -measurable. Then, E ∈ E and C ⊆ E.
Clearly, C is a π-system on X1 × X2 . We will show that E is a monotone
class on X1 × X2 . Then, by Monotone Class Lemma 12.9, we have E = B.
Clearly, ∅ = ∅ × ∅ ∈ C ⊆ E and X1 × X2 ∈ C ⊆ E. ∀E1 , E2 ∈ E with
E1 ⊆ E2 , then gEi : X1 → [0, µ2 (X2 )] ⊂ IR is B1 -measurable, i = 1, 2.
Let E := E2 \ E1 . ∀x1 ∈ X1 , we have gE (x1 ) = µ2 (E2 x1 \ E1 x1 ) =

µ2 (E2x1 ) − µ2 (E1x1 ) = gE2 (x1 ) − gE1 (x1 ) ∈ [0, µ2 (X2 )] ⊂ IR. By Proposi-
tions 7.23, 11.39, and 11.38, gE is B1 -measurable. Then, E = E2 \ E1 ∈ E.
∞
∀ ( Ei )i=1 ⊆ E with Ei ⊆ Ei+1 , ∀i ∈ IN, thenSgEi : X1 → [0, µ2 (X2 )] ⊂ IR
∞
is B1 -measurable,
S∞ ∀i ∈ IN. Let E := i=1 Ei ∈ B. ∀x1 ∈ X1 ,
gE (x1 ) = µ2 ( i=1 Ei x1 ) = limi∈IN µ2 (Ei x1 ) = limi∈IN gEi (x1 ), where the
first equality follows from the definition of gE ; the second equality fol-
lows from Proposition 11.7; and the third equality follows from the defi-
nitionSof gEi ’s. Hence, by Proposition 11.48, gE is B1 -measurable. Then,
∞
E = i=1 Ei ∈ E. This shows that E is a monotone class on X1 × X2 .
Then, E = B and, ∀E ∈ B, gE is B1 -measurable. By symmetry, ∀E ∈ B,
hE is B2 -measurable. The proposition holds for the special case.
Next, consider the general case when X1 and X2 are S σ-finite. Since
∞ ∞
X1 is σ-finite, then ∃ ( X1,n )n=1 ⊆ B1 such that X1 = n=1 X1,n and
µ1 (X1,n ) < ∞, ∀n ∈ IN. Without loss of generality, we may assume that
∞
X1,n ⊆ X1,n+1 , ∀nS∈ IN. Since X2 is σ-finite, then ∃ ( X2,m )m=1 ⊆ B2
∞
such that X2 = m=1 X2,m and µ2 (X2,m ) < ∞, ∀m ∈ IN. With-
out loss of generality, we may assume that X2,m ⊆ X2,m+1 , ∀m ∈ IN.
∀n, m ∈ IN, let X1,n := (X1,n , B1,n , µ1,n ) be the finite measure sub-
space of X1 , X2,m := (X2,m , B2,m , µ2,m ) be the finite measure subspace
of X2 , (X1,n × X2,m , B̄n,m , λn,m ) := X1,n × X2.m , which is the finite mea-
sure subspace of X by Proposition 12.12. ∀E ∈ B, ∀n, m ∈ IN, let
En,m := E ∩ (X1,n × X2,m ) ∈ B̄n,m . By the special case, the function
gn,m : X1,n → [0, ∞) ⊂ IR, defined by gn,m (x1 ) = µ2,m (En,m x1 ∩ X2,m ),
∀x1 ∈ X1,n , is B1,n -measurable. Define ḡn,m : X1 → [0, ∞) ⊂ IR by
ḡn,m (x1 ) = µ2 (En,m x1 ), ∀x1 ∈ X1 . Then, ḡn,m = gn,m χX1,n ,X1 . By
Proposition
S 11.41, ḡn,m is B1 -measurable. Note that gE (x1 ) = µ2 (Ex1 ) =
µ2 ( ∞ n=1 E n,n x1 ) = limn∈IN µ2 (En,n x1 ) = limn∈IN ḡn,n (x1S ), ∀x1 ∈ X1 ,
∞
where the second equality follows from the fact that E = n=1 En,n ; and
the third equality follows form Proposition 11.7. By Proposition 11.48 and
the fact that [0, ∞] ⊂ IRe is metrizable, gE is B1 -measurable. By symmetry,
∀E ∈ B, hE is B2 -measurable.
Lemma 12.15 Let Xi := (Xi , Bi , µi ) be a σ-finite measure space, i = 1, 2,

and X := (X1 × X2 , B, µ) := X1 × X2 be the product measure space. Then,
∀E ∈ B, the following statements are equivalent.
(i) µ(E) < ∞.
(ii) the function gE : X1 → [0, ∞] ⊆ IRe , as defined in Proposition 12.14,

is B1 -measurable,
the function ĝE : X1 → [0, ∞) ⊂ IR, defined by
gE (x1 ) gE (x1 ) < ∞
ĝE (x1 ) = , ∀x1 ∈ X1 , is B1 -measurable,
0 gER (x1 ) = ∞
gE = ĝE a.e. in X1 and X1 ĝE dµ1 < ∞.
(iii) the function hE : X2 → [0, ∞] ⊆ IRe , as defined in Proposition 12.14,

is B2 -measurable,
the function ĥE : X2 → [0, ∞) ⊂ IR, defined by
hE (x2 ) hE (x2 ) < ∞
ĥE (x2 ) = , ∀x2 ∈ X2 , is B2 -measurable,
0 hE (x2 ) = ∞
R
hE = ĥE a.e. in X2 and X2 ĥE dµ2 < ∞.
R R
In this case, µ(E) = X1 ĝE dµ1 = X2 ĥE dµ2 .
Proof First, consider the special case when X1 and X2 are finite.
Then X is finite. ∀E ∈ B, 0 ≤ µ(E) ≤ µ(X1 × X2 ) = µ1 (X1 )µ2 (X2 ) < ∞.
By Proposition 12.14, the function gE : X1 → [0, µ2 (X2 )] ⊂ IR is B1 -
measurable.
Then,
R ĝE = gE and is B1 -measurable. Let E := E ∈
B µ(E) = X1 ĝE dµ1 ⊆ B. Let C be the set of measurable rect-
angles in X1 × X2 , which is clearly a π-system. ∀E := E1 × E2 ∈ C,
RgE = µ2 (E2 )χER1 ,X1 . Then, by Proposition 11.73, µ(E) = µ1 (E1 )µ2 (E2 ) =
g dµ1 = X1 ĝE dµ1 . This shows that E ∈ E. Then C ⊆ E. We
X1 E
will shown that E is a monotone class on X1 × X2 . By Monotone Class
Lemma 12.9, we have E = B. Then, (i) ⇔ (ii).
Clearly, ∅ ∈ C ⊆ E and X1 × X2 ∈ C ⊆ E. ∀E1 , E2 ∈ E with E1 ⊆ E2 ,
let E := E2 \ E1 ∈ B. By Proposition 12.14, gE1 , gE2 and gE are B1 -
measurable. As shown in the proof R of Proposition
R 12.14, gE R= gE2 − gE1 .
Then, µ(E) = µ(E2 ) − µ(E1 ) = X1 ĝE2 dµ1 − X1 ĝE1 dµ1 = X1 gE2 dµ1 −
R R R
X1 gE1 dµ1 = X1 gE dµ1 = X1 ĝE dµ1 , where the first equality follows
from the fact that µ is a measure; the second equality follows from the
definition of E; the third equality follows from the fact that ĝEi = gEi ,
i = 1, 2; the fourth equality follows from Proposition 11.80; and the last
equality follows from the fact that ĝE = gE . This shows that E = E2 \ E1 ∈
E. S∞
∞
∀ ( Ei )i=1 ⊆ E with Ei ⊆ Ei+1 , ∀i ∈ IN, let E := i=1 Ei ∈ B. ∀i ∈ IN,
by Proposition 12.14, gEi is B1 -measurable. ∀x1 ∈ X1 , we have gEi (x1 ) ≤
gEi+1 (x1 ) since Ei ⊆ Ei+1 . By Proposition 12.14, gE is B1 -measurable.
As shown in the proof of Proposition 12.14, gE (x1 ) = lim R i∈IN gEi (x1 ),
∀x1 ∈ X1 . This implies that µ(E) = limi∈IN µ(Ei ) = limi∈IN X1 ĝEi dµ1 =
R R R
limi∈IN X1 gEi dµ1 = X1 gE dµ1 = X1 ĝE dµ1 , where the first equality fol-
lows from Proposition 11.7; the second equality follows from the definition
of E; the third equality follows from the fact that ĝEi = gEi ; the fourth
equality follows from Monotone Convergence Theorem 11.78; S∞ and the last
equality follows from the fact that ĝE = gE . Hence, E = i=1 Ei ∈ E.
Hence, E is a monotone class on X1 × X2 and E = B. Therefore, (i) ⇔
(ii) in this special case. By symmetry, (i) ⇔ (iii) in this special case. This
completes the proof for the special case.
Next, consider the general case when X1 and X2 are S σ-finite. Since
∞ ∞
X1 is σ-finite, then ∃ ( X1,n )n=1 ⊆ B1 such that X1 = n=1 X1,n and
µ1 (X1,n ) < ∞, ∀n ∈ IN. Without loss of generality, we may assume that
∞
X1,n ⊆ X1,n+1 , ∀n ∈ IN. Since X2 is σ-finite, then ∃ ( X2,m )m=1 ⊆ B2
S∞
such that X2 = m=1 X2,m and µ2 (X2,m ) < ∞, ∀m ∈ IN. With-
out loss of generality, we may assume that X2,m ⊆ X2,m+1 , ∀m ∈ IN.
∀n, m ∈ IN, let X1,n := (X1,n , B1,n , µ1,n ) be the finite measure subspace
of X1 , X2,m := (X2,m , B2,m , µ2,m ) be the finite measure subspace of X2 ,
(X1,n × X2,m , B̄n,m , λn,m ) := X1,n × X2.m , which is the finite measure
subspace of X by Proposition 12.12. ∀E ∈ B, ∀n, m ∈ IN, let En,m :=
E ∩ (X1,n × X2,m ) ∈ B̄n,m . By the special case, the function gn,m : X1,n →
[0, ∞) ⊂ IR, defined by gn,m (x1 ) = µ2,m (En,m x1 ∩ X2,m ), ∀x1 ∈ X1,n , is
R
B1,n -measurable and µ(En,m ) = λn,m (En,m ) = X1,n gn,m dµ1,n . Define
ḡn,m : X1 → [0, ∞) ⊂ IR by ḡn,m (x1 ) = µ2 (En,m x1 ), ∀x1 ∈ X1 . Then,
ḡn,m = gn,m χX1,n ,X1 . By Proposition
R 11.41, ḡn,m is B1 -measurable. By
Proposition 11.90, µ(En,m ) = X1 ḡn,m dµ1 . By Proposition 12.14 and
its proof, we have gE (x1 ) = limn∈IN ḡn,n (x1 ), ∀x1 ∈ X1 , and gE is B1 -
measurable. Clearly, ḡn,n (x1 ) ≤ ḡn+1,n+1 (x1 ), ∀x1 ∈ X1 , ∀n ∈ IN, since
En,n ⊆ En+1,n+1 .
(i) ⇒R (ii). Let µ(E) < ∞. Then, ∞ > µ(E) = limn∈IN µ(En,n ) =
limn∈IN X1 ḡn,n dµ1 , where the first equality follows from Proposition 11.7.
By Proposition 11.79, the function R ĝE satisfies
R ĝE = limn∈IN ḡn,n =
gE a.e. in X1 and µ(E) = limn∈IN X1 ḡn,n dµ1 = X1 ĝE dµ1 .
R (ii) ⇒ (i). Let ĝE be B1 -measurable, gE = ĝE a.e. in X1 , and
X1 ĝE dµ1 < ∞. Then, lim ḡ
R n∈IN n,n
= ĝE a.e. in X1 . Then, µ(E) =
R
limn∈IN µ(En,n ) = limn∈IN X1 ḡn,n dµ1 = X1 ĝE dµ1 < ∞, where the
first equality follows from Proposition 11.7; the third equality follows from
Monotone Convergence Theorem 11.78.
By symmetry, (i) ⇔ (iii).

1, 2, X := (X1 × X2 , B, µ) := X1 × X2 be the product measure space, Y :=
(Y, O) be a topological space, and f : X1 × X2 → Y be B-measurable. Then,
(i) ∀x1 ∈ X1 , fx1 : X2 → Y, defined by fx1 (x2 ) = f (x1 , x2 ), ∀x2 ∈ X2 ,
is B2 -measurable;
(ii) ∀x2 ∈ X2 , fhx2i : X1 → Y, defined by fhx2i (x1 ) = f (x1 , x2 ), ∀x1 ∈ X1 ,
is B1 -measurable.
Proof (i) ∀ open set O ∈ O, f inv(O) ∈ B since f is B-measurable.

∀x1 ∈ X1 , by Proposition 12.13, (f inv(O))x1 := { x2 ∈ X2 | (x1 , x2 ) ∈
f inv(O) } ∈ B2 . Clearly, fx1 inv(O) = (f inv(O))x1 ∈ B2 . Then, fx1 is B2 -
measurable.
(ii) By symmetry, (ii) holds. This completes the proof of the proposition.
2
Theorem 12.17 (Tonelli) Let Xi := (Xi , Bi , µi ) be a σ-finite measure

space, i = 1, 2, X := (X1 × X2 , B, µ) := X1 × X2 be the product measure
space, and f : X1 ×X2 → [0, ∞) ⊂ IR be B-measurable. Define fx1 : X2 → Y

and fhx2i : X1 → Y as in Proposition 12.16. Then, the following statements
hold.
R
(i) X1 ×X2 f dµ < ∞ if, and only if, p : X1 → [0, ∞] ⊂ IRe , defined
R
by p(x1 ) = X2 fx1 dµ2 , ∀x1 ∈ X1 , is B1 -measurable; p̃ : X1 →

p(x1 ) p(x1 ) < ∞
[0, ∞) ⊂ IR, defined by p̃(x1 ) = , ∀x1 ∈ X1 , is
0 R p(x1 ) = ∞
B1 -measurable; p = p̃ a.e. in X1 ; and X1 p̃ dµ1 < ∞. In this case,
R R
X1 ×X2
f dµ = X1 p̃ dµ1 .
R
(ii) X1 ×X2 f dµ < ∞ if, and only if, q : X2 → [0, ∞] ⊂ IRe , defined
R
by q(x2 ) = X1 fhx2i dµ1 , ∀x2 ∈ X2 , is B2 -measurable; q̃ : X2 →

q(x2 ) q(x2 ) < ∞
[0, ∞) ⊂ IR, defined by q̃(x2 ) = , ∀x2 ∈ X2 , is
0 R q(x2 ) = ∞
B2 -measurable; q = q̃ a.e. in X2 ; and X2 q̃ dµ2 < ∞. In this case,
R R
X1 ×X2
f dµ = X2 q̃ dµ2 .
Proof (i) By Proposition 11.66, there exists a sequence of sim-

∞
ple functions ( ϕn )n=1 , ϕn : X → [0, ∞) ⊂ IR, ∀n ∈ IN, such that
0 ≤ ϕn (x1 , x2 ) ≤ ϕn+1 (x1 , x2 ) ≤ f (x1 , x2 ), ∀(x1 , x2 ) ∈ X1 × X2 , ∀n ∈ IN,
and limn∈IN ϕn (x1 , x2 ) = f (x1 , x2 ), ∀(x1 , x2 ) ∈ X1 × X2 . By Proposi-
tions 12.16 and 11.76, R p is well-defined. Define pn : X1 → [0, ∞] ⊂
IRe by pn (x1 ) = X2 ϕn (x1 , x2 ) dµ2 (x2 ), ∀x1 ∈ X1 , ∀n ∈ IN. By
Proposition 12.16, pn ’s are well-defined. By Proposition 11.80, pn (x1 ) ≤
pn+1 (x1 ) ≤ p(x1 ), ∀x1 ∈ X1 , ∀n ∈ IN. By Monotone Convergence The-
orem 11.78, p(x1 ) = limn∈IN pn (x1 ), ∀x1 ∈ X1P . Fix any n ∈ IN. Let
mn
ϕn admit the canonical representation ϕn = i=1 ai χEi ,X1 ×X2 , where
mn ∈ Z+ , a1 , . . . , amn ∈ (0, ∞) ⊂ IR are distinct, E1 , . . . , Emn ∈ B
are nonempty, pairwise disjoint, and µ(Ei ) < ∞, ∀i ∈ {1, . . . , mn }.
Fix any i ∈ {1, . . . , mn }, define gi : X1 → [0, ∞] ⊂ IRe by gi (x1 ) =
µ2 (Ei x1 ), ∀x1 ∈ X1 , where Ei x1 := { x2 ∈ X2 | (x1 , x2 ) ∈ Ei }. By
Proposition 12.14, gi is B1 -measurable. Define ĝi : X1 → [0, ∞) ⊂ IR
gi (x1 ) gi (x1 ) < ∞
by ĝi (x1 ) = , ∀x1 ∈ X1 . By Lemma 12.15,
0 gi (x1 ) = ∞ R
ĝi is B1 -measurable, gi = ĝi a.e. in X1 , and µ(Ei ) = X1 ĝi dµ1 . By
R P mn Pmn R
Proposition 11.73, X1 ×X2 ϕn dµ = i=1 ai µ(Ei ) = i=1 ai X1 ĝi dµ1 =
R P mn R
X1 ( i=1 ai ĝi ) dµ1 =: X1 p̄n dµ1 , where the third equality follows from
Proposition 11.80. By Propositions 7.23, 11.38,R and 11.39, p̄n : X1 →
[0, ∞) ⊂ IR is B1 -measurable. Note that pn (x1 ) = X2 ϕn (x1 , x2 ) dµ2 (x2 ) =
R P mn P mn R
X ( i=1 ai χEi ,X1 ×X2 (x1 , x2 )) dµ2 (x2 ) = i=1 ai X2 χEi x1 ,X2 dµ2 =
P mn2 Pmn
i=1 ai µ2 (Eix1 ) = i=1 ai gi (x1 ), ∀x1 ∈ X1 , where the first equality fol-
lows from the definition of pn ; the second equality follows from the canoni-
cal representation of ϕn ; the third equality follows from Proposition 11.80;
the fourth equality follows from the fact that X2 is σ-finite and Proposi-
tion 11.73; and the fifth equality follows from the definition of gi ’s. Then,
pn is B1 -measurable by Propositions 3.89, 11.38, and 11.39. By Proposi-
tion 11.48 and the fact that Pmn[0, ∞] ⊂ IRe is Pmetrizable,
mn
p is B1 -measurable.
Furthermore, p̄n (x1 ) = i=1 ai ĝi (x1 ) = i=1 ai gi (x1 ) = pn (x1 ) a.e. x1 ∈
X1 , where the second equality follows from Proposition 3.89, Lemmas 11.45
and 11.46, and the fact that [0, ∞] ⊂ IRe is second countable and metriz-
able; and the third equality follows from the above. Let An := { x1 ∈
X1 | pn (x1 ) = ∞ }. An ∈ B1 since pn is B1 -measurable. µ1 (An ) = 0
since p̄n = pn a.e. in X1 . Since pn (x1 ) ≤ pn+1S(x1 ) ≤ p(x1 ), ∀x1 ∈ X1 ,
∀n ∈ IN, then, An ⊆ An+1 , ∀n ∈ IN. Let A := ∞ n=1 An ∈ B1 . By Propo-
sition 11.7, µ 1 (A) = 0. Fix any n ∈ IN. Define p̃ n : X1 → [0, ∞) ⊂ IR by
pn (x1 ) x1 ∈ X1 \ A
p̃n (x1 ) = , ∀x1 ∈ X1 . By Proposition 11.41, p̃n is
0 x1 ∈ A
B
R 1 -measurable. By R Lemma 11.44, R we have p̃n = pn = p̄n a.e. in X1 . Then,
X1 ×X2 ϕ n dµ = X1 p̄ n dµ 1 = X1 p̃n dµ1 by Proposition 11.90. It is clear
that p̃n (x1 ) ≤ p̃Rn+1 (x1 ) ≤ p(x1 ), ∀x1 R∈ X1 . By Monotone Convergence R
Theorem 11.78, X1 ×X2 f dµ = limn∈IN X1 ×X2 ϕn dµ = limn∈IN X1 p̃n dµ1 .
R R
“Necessity” Let c = X1 ×X2 f dµ < ∞. Then, c = limn∈IN X1 p̃n dµ1 .
By Proposition
11.79 and its proof, ∃p̃ : X1 → [0, ∞) ⊂ IR such that
limn∈IN p̃n (x1 ) limn∈IN p̃n (x1 ) < ∞
p̃(x1 ) = , ∀x1 ∈ X1 , p̃ is B1 -
0 limn∈IN p̃n (x1 ) = ∞ R
measurable, limn∈IN p̃n = p̃ a.e. in X1 , and c = X1 p̃ dµ1 . Let Ā := { x1 ∈
X1 | limn∈IN p̃n (x1 ) = ∞ }. Then, Ā ∈ B1 and µ1 (Ā) = 0. ∀x1 ∈ A ∪ Ā,
we have limn∈IN pn (x1 ) = p(x1 ) = ∞ and p̃(x1 ) = 0. ∀x1 ∈ X1 \ (A ∪ Ā),
p̃(x1 ) = limn∈IN p̃n (x1 ) = limn∈IN pn (x1 ) = p(x1 ) < ∞. Hence, p̃(x1 ) =

p(x1 ) p(x1 ) < ∞
. Note that A ∪ Ā = { x1 ∈ X1 | p(x1 ) = ∞ } ∈ B
0 p(x1 ) = ∞
and µ1 (A ∪ Ā) = 0. Then, p̃ = p a.e. in X1 . R
“Sufficiency” Let p and p̃ be as defined, p = p̃ a.e. in X1 and X1 p̃ dµ1 =:
R
c < ∞. All we need to show is that X1 ×X2 f dµ = c. Let Â := { x1 ∈
X1 | p(x1 ) = ∞ }. Since p = p̃ a.e. in X1 and p is B1 -measurable, then
Â ∈ B1 and µ1 (Â) = 0. ∀x1 ∈ X1 \ Â, p̃n (x1 ) = pn (x1 ), ∀n ∈ IN,
and limn∈IN p̃n (x1 ) = limn∈IN pn (x1 ) = p(x1 ) = p̃(x1 ). Since p̃n (x1 ) ≤
p̃n+1 (x1 ) ≤ p(x1 ), ∀x1 ∈ X1 , ∀n ∈ IN, then we may define p̂ : X1 →
[0, ∞] ⊂ IRe by p̂(x1 ) = limn∈IN p̃n (x1 ), ∀x1 ∈ X1 . Then, p̂(x1 ) = p̃(x1 ),
∀x1 ∈ X1 \ Â. By Proposition 11.48 and the fact that [0, ∞] ⊂ IRe is metriz-
able, p̂ is B1 -measurable. By the fact that [0, ∞] ⊆ IRe is second count-
able and metrizable and Lemma 11.43, we have p̃ = p̂ a.e. in X1 . Then,
limn∈IR N p̃n = p̃ a.e. in X R 1 . By Monotone R Convergence Theorem 11.78,
c = X1 p̃ dµ1 = limn∈IN X1 p̃n dµ1 = X1 ×X2 f dµ < ∞.
Hence, (i) holds. By symmetry, (ii) holds. This completes the proof of
the theorem. 2
Theorem 12.18 (Fubini) Let Xi := (Xi , Bi , µi ) be a σ-finite measure

space, i = 1, 2, X := (X1 × X2 , B, µ) := X1 × X2 be the product measure
space, Y be a separable Banach space, and f : X1 × X2 → Y be absolutely
integrable over X . Define fx1 : X2 → Y and fhx2i : X1 → Y as in Proposi-
tion 12.16. Then, the following statements hold.
(i) There exists p̌ : X1 → Y and exists Ǔ ∈ B1 such that µ1 (X R 1 \ Ǔ ) = 0;

∀x1 ∈ Ǔ , fx1 is absolutely integrable over X2 and p̌(x1 ) = X2 fx1 dµ2 ;
∀x
R 1 ∈ X1 \ Ǔ , Rp̌(x1 ) = ϑY ; p̌ is absolutely integrable over X1 ; and
X1 ×X2 f dµ = X1 p̌ dµ1 .
(ii) There exists q̌ : X2 → Y and exists V̌ ∈ B2 such that µ2 (X2 \ V̌ ) =

0; ∀x2 ∈ V̌ , fhx2i is absolutely integrable over X1 and q̌(x2 ) =
R
f
X1 hx2i
dµ1 ; ∀x2 ∈ X2 \ V̌ , q̌(x2 ) = ϑY ; q̌ is absolutely integrable
R R
over X2 ; and X1 ×X2 f dµ = X2 q̌ dµ2 .
Proof SinceR f is absolutely integrable over X , then P ◦ f is B-

measurable and X1 ×X2 P ◦ f dµ < ∞. By Tonelli Theorem 12.17,
R
g : X1 → [0, ∞] ⊂ IRe , defined by g(x1 ) = X2 P ◦ f (x1 , x2 ) dµ2 (x2 ),
∀x1 ∈ X1 , is B1 -measurable, g̃ : X1 → [0, ∞) ⊂ IR, defined by g̃(x1 ) =

g(x1 ) g(x1 ) < ∞
, ∀x1 ∈ X1 , is B1 -measurable, g = g̃ a.e. in X1 ,
0R g(x1 ) = ∞ R
and X1 ×X2 P ◦ f dµ = X1 g̃ dµ1 . Let U := { x1 ∈ X1 | g(x1 ) < ∞ }.
RThen, U ∈ B1 and µ1 (X1R \ U ) = 0. ∀x1 ∈ U , we have g(x1 ) =
X2 P ◦ f (x1 , x2 ) dµ2 (x2 ) = X2 P ◦ fx1 dµ2 < ∞. Then, Rfx1 is absolutely
integrable over X2 . By Propositions 12.16 and 11.90, X2 fx1 dµ2 ∈ Y,
R
X2 fx1 dµ2 x1 ∈ U
∀x1 ∈ U . Define p̃ : X1 → Y by p̃(x1 ) = ,
ϑY x1 ∈ X1 \ U
∀x1 ∈ X1 .
∞
By Proposition 11.65, ∃ a sequence of simple functions ( ϕn )n=1 , ϕn :
X → Y, ∀n ∈ IN, such that k ϕn (x1 , x2 ) k ≤ k f (x1 , x2 ) k, ∀(x1 , x2 ) ∈
X1 × X2 , ∀n ∈ IN, and limn∈IN ϕn = f a.e. in X . Let A := { (x1 , x2 ) ∈ X1 ×
∞
X2 | ( ϕn (x1 , x2 ) )n=1 does not converge to f (x1 , x2 ) }. Then, A ∈ B and
µ(A) = 0. Define gA : X1 → [0, ∞] ⊂ IRe by gA (x1 ) = µ2 (Ax1 ), ∀x1 ∈ X1 ,
where Ax1 := { x̄2 ∈ X2 | (x1 , x̄2 ) ∈ A } isas defined in Proposition 12.13,
gA (x1 ) gA (x1 ) < ∞
and ĝA : X1 → [0, ∞) ⊂ IR by ĝA (x1 ) = , ∀x1 ∈
0 gA (x1 ) = ∞
X1 . Then, by Lemma 12.15, gA and ĝRA are well-defined and B1 -measurable,
gA = ĝA a.e. in X1 , and µ(A) = X1 ĝA dµ1 = 0. Since ĝA (x1 ) ≥ 0,
∀x1 ∈ X1 , then, by Proposition 11.93, we have ĝA = 0 a.e. in X1 . Then,
by Lemma 11.44 and the fact that [0, ∞] ⊂ IRe is second countable and
metrizable, gA = 0 a.e. in X1 . Let A1 := { x1 ∈ X1 | gA (x1 ) 6= 0 }.
Then, A1 ∈ B1 and µ1 (A1 ) = 0. Fix any x1 ∈ U \ A1 . gA (x1 ) = 0
implies that µ2 (Ax1 ) = 0, which further implies that limn∈IN ϕn (x1 , x2 ) =
f (x1 , x2 ) a.e. x2 ∈ X2 . Then,

R by Lebesgue Dominated Convergence Theo-
rem 11.89, p̃(x1 ) = limn∈IN X2 ϕn (x1 , x2 ) dµ2 (x2 ) ∈ Y, ∀x1 ∈ U \ A1 .
PmFix any n ∈ IN. Let ϕn admit the canonical representation ϕn =

i=1 yi χEi ,X1 ×X2 , where m ∈ Z+ , y1 , . . . , ym ∈ Y are distinct and
none equals to ϑY , E1 , . . . , Em ∈ B are nonempty, pairwise disjoint, and
µ(Ei ) < ∞, i = 1, . . . , m. Fix any i ∈ {1, . . . , m}. Define gi : X1 →
[0, ∞] ⊂ IRe by gi (x1 ) = µ2 (Eix1 ), ∀x1 ∈ X1 , where Eix1 := { x̄2 ∈
X2 | (x1 , x̄2 ) ∈ Ei }. By Proposition 12.14, gi is B1 -measurable. De-
gi (x1 ) gi (x1 ) < ∞
fine ĝi : X1 → [0, ∞) ⊂ IR by ĝi (x1 ) = , ∀x1 ∈ X1 .
0 gi (x1 ) = ∞
RBy Lemma 12.15, Rĝi is B1 -measurable, Pm gi = ĝi a.e. P in X1 , and
m R µ(Ei ) =
ĝ i dµ 1 . Then, X1 ×X ϕ n dµ = i=1 y i µ(E i ) = i=1 y i X1 ĝi dµ1 =
RX1 Pm R2
X1 ( y
i=1 i i ĝ ) dµ 1 =: p̄
X1 n dµ 1 , where the first equality follows from
Proposition 11.73; and the third equality follows from Proposition 11.90.
By Propositions 7.23, 11.38, and 11.39, p̄n : X1 → Y is B1 -measurable
Sm by Proposition 11.90, p̄n is absolutely integrable over X1 . Let Ān :=
and,
i=1 { x1 ∈ X1 | gi (x P1m) = ∞ }. Then, Pm Ān ∈ B1 and µP 1 (Ān ) = 0. ∀x1 ∈
m
X \
P1m nR n 1Ā , p̄ (x ) = y ĝ
i=1 i i 1(x ) = Ri=1 Py g (x
i i 1 ) = i=1 yi µ2 (Ei x1 ) =
m
y χ dµ = ( i=1 i Ei x1 ,X2 ) dµ2
y χ =
R i=1 i X2 Ei x1 ,X2 2 X2
X2 ϕn (x1 , x2 ) dµ2 (x2 ) ∈ Y, where the first equality follows from the defini-
tion of p̄n ; the second equality follows from the definitions of ĝi ’s; the third
equality follows from the definitions of gi ’s; the fourth equality follows from
Proposition S∞ 11.73; and the fifth equality follows from Proposition 11.90. Let
A2 := n=1 Ān . Then, A2 ∈ R B1 and µ1 (A2 ) = 0. ∀x1 ∈ U \ (A1 ∪ A2 ) =: Ǔ ,
we have p̃(x1 ) = limn∈IN X2 ϕn (x1 , x2 ) dµ2 (x2 ) = limn∈IN p̄n (x1 ) ∈ Y.
Clearly, Ǔ ∈ B1 and 0 ≤ µ1 (X1 \ Ǔ ) = µ1 ((X1 \ U ) ∪ A1 ∪ A2 ) ≤
µ1 (X1 \ U ) + µ1 (A1 ) + µ1 (A2 ) = 0. Fix any n ∈ IN. Define p̌n : X1 → Y by
p̄n (x1 ) x1 ∈ Ǔ
p̌n (x1 ) = , ∀x1 ∈ X1 . By Proposition 11.41, p̌n is
ϑY x1 ∈ X1 \ Ǔ
B1 -measurable. By Lemma 11.43, p̌n = p̄n a.e. in X1 . Define p̌ : X1 → Y by
p̃(x1 ) x1 ∈ Ǔ
p̌(x1 ) = , ∀x1 ∈ X1 . Then, p̌(x1 ) = limn∈IN p̌n (x1 ),
ϑY x1 ∈ X1 \ Ǔ
∀x1 ∈ X1 . By RProposition 11.48, p̌ is B1 -measurable. ∀x1 ∈ Ǔ ,
p̌(x1 ) = p̃(x1 ) = X2 fx1 dµ2 and fx1 is absolutely integrable over X2 .
R R R
Note that X1 ×X2 f dµ = limn∈IN X1 ×X2 ϕn dµ = limn∈IN X1 p̄n dµ1 =
R
limn∈IN X1 p̌n dµ1 , where the first equality follows from Lebesgue Domi-
nated Convergence Theorem 11.89; the second equality follows from the
definition of p̄n ; and the third equality follows R from Proposition 11.90.

∀n ∈ IN, ∀x1 ∈ Ǔ , k p̌n (x1 ) k = k p̄n (x1 ) k = X2 ϕn (x1 , x2 ) dµ2 (x2 ) ≤
R R
X2
P ◦ ϕn (x1 , x2 ) dµ2 (x2 ) ≤ X2 P ◦ f (x1 , x2 ) dµ2 (x2 ) = g(x1 ) = g̃(x1 ).
∀x1 ∈ X1 \ Ǔ, k p̌n (x1 ) k = 0 ≤ g̃(x1 ). Hence, we have k p̌n (x1 ) k ≤ g̃(x1 ),
∀x1 ∈ X1 , ∀n ∈ RIN. By Lebesgue R Dominated Convergence Theorem 11.89,
we have limn∈IN X1 p̌n dµ1 = X1 p̌ dµ1 and p̌ is absolutely integrable over
R R
X1 . Then, X1 ×X2 f dµ = X1 p̌ dµ1 . Hence, (i) holds.
By symmetry, (ii) holds. This completes the proof of the theorem. 2

space, i = 1, 2, Xi := (Xi , Bi , µi ) be a second countable σ-finite topological
measure space, i = 1, 2, X := (X1 × X2 , O) := X1 × X2 be the product
topological space, and (X1 × X2 , B, µ) := (X1 , B1 , µ1 ) × (X2 , B2 , µ2 ) be the
product measure space. Then, X := (X , B, µ) is a second countable σ-
finite topological measure space, which is said to be the product topological
measure space of X1 and X2 , denoted by X = X1 × X2 .
Proof By Proposition 12.12, B is the σ-algebra on X1 × X2 generated

by the set of measurable rectangles, C := { B1 × B2 ⊆ X1 × X2 | B1 ∈
B1 , B2 ∈ B2 }. By Xi being a topological measure space, we have
Bi = BB ( Xi ), i = 1, 2. By Proposition 11.24, we have B = BB ( X ).
By Proposition 3.28, X is second countable.
n First, consider the special case when X1 and X2 are finite. Let E :=

E ∈ B ∀ǫ ∈ (0, ∞) ⊂ IR, (i) ∃U ∈ O with E ⊆ U such that µ(U \ E) <
o
ǫ; (ii) ∃Fe ∈ O with F ⊆ E such that µ(E \ F ) < ǫ . We will show that E
is a σ-algebra on X1 × X2 that contains C. Then, E = B and X is a finite
topological measure space.
∀E := B1 × B2 ∈ C, fix any i ∈ {1, 2}, then Bi ∈ Bi . Since Xi is
a topological measure space, then ∃Oi ∈ Oi with Bi ⊆ Oi such that
µi (Oi \ Bi ) < 1+µ(ǫ/3)∧1
3−i (B3−i )
. By Proposition 11.27, ∃Xi \ Fi ∈ Oi with
Fi ⊆ Bi such that µi (Bi \ Fi ) < 1+2µ3−iǫ (B3−i ) . Let U := O1 × O2 ∈ O and
F := F1 × F2 . Clearly, (X1 × X2 )\ F = (X1 × (X2 \ F2 ))∪((X1 \ F1 )× X2 ) ∈
O. Then, F ⊆ E ⊆ U , µ(U \ E) = µ((O1 × O2 ) \ (B1 × B2 )) =
µ((O1 \ B1 ) × B2 ) + µ(B1 × (O2 \ B2 )) + µ((O1 \ B1 ) × (O2 \ B2 )) =
µ1 (O1 \ B1 )µ2 (B2 ) + µ1 (B1 )µ2 (O2 \ B2 ) + µ1 (O1 \ B1 )µ2 (O2 \ B2 ) ≤
(ǫ/3)∧1 (ǫ/3)∧1 ((ǫ/3)∧1)2
1+µ2 (B2 ) µ2 (B2 ) + 1+µ1 (B1 ) µ1 (B1 ) + (1+µ1 (B1 ))(1+µ2 (B2 )) < ǫ, where the
second equality follows from Fact 11.3; and the third equality follows from
Proposition 12.11, and µ(E \ F ) = µ((B1 × B2 ) \ (F1 × F2 )) ≤ µ((B1 \ F1 ) ×
B2 ) + µ(B1 × (B2 \ F2 )) = µ1 (B1 \ F1 )µ2 (B2 ) + µ1 (B1 )µ2 (B2 \ F2 ) ≤
ǫ ǫ
1+2µ2 (B2 ) µ2 (B2 ) + 1+2µ1 (B1 ) µ1 (B1 ) < ǫ, where the first inequality fol-
lows from Proposition 11.6; and the second equality follows from Proposi-
tion 12.11. Hence, E ∈ E. This shows that C ⊆ E.
∀E ∈ E, ∀ǫ ∈ (0, ∞) ⊂ IR, ∃U ∈ O with E ⊆ U such that µ(U \ E) < ǫ,
e
∃F ∈ O with F ⊆ E such that µ(E \F ) < ǫ. Then, µ(E e \ U)
e = µ(U \E) < ǫ
e e
and µ(F \ E) = µ(E \ F ) < ǫ. SHence, E ∈ E. e
∞ ∞
∀ ( Ei )i=1 ⊆ E, let E := i=1 Ei ∈ B. ∀ǫ ∈ (0, ∞) ⊂ IR, ∀i ∈ IN,
∃Ui ∈ O with Ei ⊆ Ui such that µ(Ui \ Ei ) < 2S−i ǫ; ∃Fei ∈ O with
Fi ⊆ ESi such that S µ(Ei \ Fi ) < 2−i−1 ǫ. Let U := ∞ S∞
i=1 Ui ∈ O. Then,
∞ ∞
E = i=1 Ei ⊆ i=1 Ui = U and µ(U \ E) = µ( i=1 (Ui \ E)) ≤
P∞ P∞
i=1 µ(Ui \ E) ≤ i=1 µ(Ui \ Ei ) < ǫ, where the first inequality follows
from Proposition 11.6; and the second inequality follows from S Proposi-
tion 11.4. S Hence, E satisfies (i). By Proposition 11.7, µ(E) = µ( ∞ i=1 Ei ) =
n
limn∈IN µ( i=1 Ei ). Then,Sby µ(E) ≤ µ(X1 × X2 ) = µ
Sn01 (X 1 )µ 2 (X 2 ) < ∞,
n0
∃n0 ∈ IN such that µ( i=1 Ei ) ≤ µ(E) < µ( i=1 Ei ) + ǫ/2. Let
Sn0 Tn0
F := Si=1 Fi . Clearly,
S Fe = i=1 Fei ∈ O. Then,Sn0 F ⊆ E andSn0 µ(E \ F ) =
µ(E\(Pni=1 0
Ei ))+µ(( ni=10
Ei )\F )
Pn0 = µ(E)−µ( E
i=1 i )+µ( i=1 (Ei \F )) <
n0
ǫ/2 + i=1 µ(Ei \ F ) ≤ ǫ/2 + i=1 µ(Ei \ Fi ) < ǫ, where the first and the
second equalities follow from Fact 11.3; the first inequality follows from
Proposition 11.6; and the second inequality
S∞ follows from Proposition 11.4.
Hence, E satisfies (ii). Then, E = i=1 Ei ∈ E.
This shows that E is a σ-algebra on X1 × X2 that contains C. This
completes the proof of the special case.
Next, consider the general case when X1 and X2 are σ-finite. S∞Fix any i =
∞
1, 2. By Xi being σ-finite, ∃ ( Xi,n )n=1 ⊆ Bi such that Xi = n=1 Xi,n and
µi (Xi,n ) < ∞, ∀n ∈ IN. By Xi being a topological measure space, without
loss of generality, we may assume that Xi,n ⊆ Xi,n+1 and Xi,n ∈ Oi ,
∀n ∈ IN. ∀n ∈ IN, by Proposition 11.29, let Xi,n := ((Xi,n , Oi,n ), Bi,n , µi,n )
be the finite topological measure subspace of Xi . ∀n ∈ IN, by the special
case, let X̄n,n := X1,n ×X2,n := ((X1,n ×X2,n , Ōn,n ), B̄n,n , λn,n ) be the finite
product topological measure space. By Proposition 12.12 and its proof,
(X1,n × X2,n , B̄n,n , λn,n ) is the finite measure subspace of (X1 × X2 , B, µ).
∀E ∈ B, ∀ǫ ∈ (0, ∞) ⊂ IR, ∀n ∈ IN, let En := E ∩ (X1,n × X2,n ) ∈
B̄n,n . Since X̄n,n is a topological measure space, ∃Un ∈ Ōn,n with En ⊆
Un such that λn,n (Un \ En ) < 2−n ǫ. Since X1,n ∈ O1 and X2,n ∈ O2 ,
S∞ X1,n × X2,n ∈ O, which
then S∞ that Un ∈ O. Let U :=
S∞further implies
S∞ n
n=1 U ∈ O. Then,
P∞ E = E
n=1 n P ⊆ n=1 Un = U and P∞µ(U \ E) =
∞
µ( n=1 (Un \ E)) ≤ n=1 µ(Un \ E) ≤ n=1 µ(Un \ En ) = n=1 λn,n (Un \
En ) < ǫ, where the first inequality follows from Proposition 11.6; the second
inequality follows from Proposition 11.4; and the second equality follows
from Proposition 11.13. By the arbitrariness of E, we have X is a σ-finite
topological measure space. This completes the proof of the proposition. 2

space, i = 1, 2, Xi := (Xi , Bi , µi ) be a second countable σ-finite IK-valued
topological measure space, i = 1, 2, X := (X1 × X2 , O) := X1 × X2 be the
product topological space, and (X1 × X2 , B, µ) := (X1 , B1 , µ1 ) × (X2 , B2 , µ2 )
be the product IK-valued measure space. Then, X := (X , B, µ) is a second
countable σ-finite IK-valued topological measure space, which is said to be
the product IK-valued topological measure space of X1 and X2 , denoted by
X = X1 × X2 .
Proof Let Xî := (Xi , Bi , P ◦ µi =: νi ), i = 1, 2, and Xˆ := (X1 ×

X2 , B, P◦µ =: ν). By Proposition 12.12, X̂1 , X̂2 , and X̂ are σ-finite measure
spaces and X̂ = X̂1 × X̂2 . Since Xi is a second countable σ-finite IK-valued
topological measure space, then, by Definition 11.180, X̂i := (Xi , Bi , νi )

is a second countable σ-finite topological measure space, i = 1, 2. By
Proposition 12.19, X̂ := (X , B, ν) is a second countable σ-finite topological
measure space. Then, X is a second countable σ-finite IK-valued topological
measure space. This completes the proof of the proposition. 2

dνi
1, 2, νi be a σ-finite IK-valued measure on (Xi , Bi ) with dµ i
= fi : Xi →
IK a.e. in Xi , i = 1, 2, and f : X1 × X2 → IK be defined by f (x1 , x2 ) =
dν
f1 (x1 )f2 (x2 ), ∀(x1 , x2 ) ∈ X1 × X2 . Then, dµ = f a.e. in X , where ν :=
ν1 × ν2 , µ := µ1 × µ2 , and X := (X1 × X2 , B, µ) := X1 × X2 .
Proof By Proposition 12.12, X is a σ-finite measure space. By Propo-

sitions 7.23, 11.38, and 11.39, f is B-measurable. By Proposition 11.146 and
Definition 11.158, f is a Radon-Nikodym derivative of a σ-finite IK-valued
measure ν̄ on (X1 × X2 , B) with respect to µ. By Proposition 11.159,
dν̄
dµ = f a.e. in X .
First, consider the special case when ν1 and ν2 are finite IK-valued
measures. Let E := { E ∈ B | ν(E) = ν̄(E) } and C := { B1 × B2 ⊆
X1 × X2 | B1 ∈ B1 , B2 ∈ B2 }, where C is the set of measurable rectan-
gles in X1 × X2 . ∀E := B1 × B2 ∈ C, we have ν(E) =R ν1 (B1 )ν2 (B2 ) by
Proposition 12.11. By Tonelli Theorem 12.17, we have X1 ×X2 P ◦ f dµ =
R R
( X1 P ◦ f1 dµ1 )( X2 P ◦ f2 dµ2 ) = P ◦ ν1 (X1 )P ◦ ν2 (X2 ) < ∞. Hence, f
is absolutely integrable over X and ν̄ is a finite IK-valued measure. By
Proposition 11.80, f χB1 ×B2 ,X1R×X2 is absolutelyR integrable over X . By Fu-
bini Theorem 12.18, ν̄(E) = B1 ×B2 f dµ = X1 ×X2 f χB1 ×B2 ,X1 ×X2 dµ =
R R
( B1 f1 dµ1 )( B2 f2 dµ2 ) = ν1 (B1 )ν2 (B2 ) = ν(E), where the first equality
follows from Definition 11.158; the second equality follows from Proposi-
tion 11.90; the third equality follows from Fubini Theorem; and the fourth
equality follows from Definition 11.158. This implies that E ∈ E. By the
arbitrariness of E, we have C ⊆ E.
Clearly, C is a π-system on X1 × X2 . We will show that E is a monotone
class on X1 × X2 . Then, by Monotone Class Lemma 12.9, we have E = B.
dν
This further implies that ν = ν̄ and dµ = f a.e. in X , which completes the
proof of the special case.
Note that ∅ = ∅ × ∅ ∈ C ⊆ E and X1 × X2 ∈ C ⊆ E. ∀E1 , E2 ∈ E with
E1 ⊆ E2 , we have ν(E2 \E1 ) = ν(E2 )−ν(E1 ) = ν̄(E2 )− ν̄(E1 ) = ν̄(E2 \E1 ),
where the first equality follows from the fact that ν is a finite IK-valued
measure; the second equality follows from the fact that E1 , E2 ∈ E; and the
third equality follows from fact that ν̄ is a finite IK-valued measure. Hence,
E2 \ E1 ∈ E. S∞
∞
∀ ( Ei )i=1 ⊆ E with Ei ⊆ Ei+1 , ∀i ∈ IN, let E := i=1 Ei ∈ B. Then,
ν(E) = limi∈IN ν(Ei ) = limi∈IN ν̄(Ei ) = ν̄(E), where the first equality
follows from Proposition 11.109 and the fact that ν is finite; the second
equality follows from the fact that Ei ∈ E, ∀i ∈ IN; and the third equal-
ity follows
S∞ from Proposition 11.109 and the fact that ν̄ is finite. Then,
E = i=1 Ei ∈ E.
Hence, E is a monotone class on X1 × X2 . This completes the proof of
the special case.
Next, consider the general case when ν1Sand ν2 are σ-finite. Then,
∞ ∞
there exists ( Xi,n )n=1 ⊆ Bi such that Xi = n=1 Xi,n and P ◦ νi (Xi,n ) <
∞, ∀n ∈ IN, i = 1, 2. Without loss of generality, we may assume
that ( Xi,n )∞ n=1 is pairwise disjoint, i = 1, 2. For any i = 1, 2 and
∀n ∈ IN, let Xi,n := (Xi,n , Bi,n , µi,n ) be the σ-finite measure subspace
of Xi , Xî,n := (Xi,n , Bi,n , νi,n ) be the finite IK-valued measure subspace
of Xî := (Xi , Bi , νi ). Fix any n, m ∈ IN. Let X¯n,m := (X1,n ×
X2,m , B̄n,m , µ̄n,m ) := X1,n × X2,m be the σ-finite product measure space,
and Xñ,m := (X1,n × X2,m , B̄n,m , ν̃n,m ) := Xˆ1,n × Xˆ2,m be the finite
product IK-valued measure space. By Proposition 12.12, X̄n,m is the
measure subspace of X and X̃n,m is the finite IK-valued measure sub-
space of X̃ := (X1 × X2 , B, ν1 × ν2 ). By Definition 11.158, we have
dν1,n dν2,m
dµ1,n = f1 |X1,n a.e. in X1,n and dµ2,m = f2 |X2,m a.e. in X2,m . By the
dν̃
special case, we have dµ̄n,m n,m
= f |X1,n ×X2,m a.e. in X̄n,m . ∀E ∈ B with
P ◦ ν(E) < ∞, let
P∞ Pn,m E := E ∩ (X1,n × P X2,m ) P∈ B̄n,m . Then, we have
∞ ∞ ∞
P ◦ ν(E) =
P∞ P∞ R n=1 m=1 P ◦ ν(E n,m ) = P m=1 P R◦ ν̃n,m (En,m ) =
∞ P∞
n=1
P ◦ f |X1,n ×X2,m dµ̄ n,m = m=1 En,m P ◦ f dµ =
R n=1 m=1 En,m n=1
E
P ◦ f dµ < ∞, where the first equality follows from the fact that P ◦ ν is
a measure; the second equality follows from Proposition 11.112; the third
dν̃
equality follows from the fact that dµ̄n,m n,m
= f |X1,n ×X2,m a.e. in X¯n,m ; and
the last two equalities
P∞ P∞ follow from Proposition P∞ We also have IK ∋
P∞11.87.
ν(E) =
P∞ P∞ R n=1 m=1 ν(E n,m ) = Pn=1 P m=1 ν̃n,m
R (En,m ) =
∞ ∞
f | dµ̄n,m = f dµ =
R n=1 m=1 En,m X1,n ×X2,m n=1 m=1 En,m
E f dµ = ν̄(E), where the first equality follows from Definition 11.105;

the second equality follows from Proposition 11.112; the third equality fol-
dν̃
lows from the fact that dµ̄n,m n,m
= f |X1,n ×X2,m a.e. in X¯n,m ; the fourth and
the fifth equality follows from Proposition 11.90; and the last equality fol-
dν̄
lows from the fact that dµ = f a.e. in X . Therefore, by Proposition 11.134,
dν
we have ν̄ = ν and dµ = f a.e. in X .
Theorem 12.22 (Fubini) Let Xi := (Xi , Bi , µi ) be a σ-finite IK-valued

measure space, i = 1, 2, X := (X1 × X2 , B, µ) := X1 × X2 be the product
IK-valued measure space, Y be a separable Banach space over IK, and f :
X1 × X2 → Y be absolutely integrable over X . Define fx1 : X2 → Y and
fhx2i : X1 → Y as in Proposition 12.16. Then, the following statements
hold.
(i) There exists p̌ : X1 → Y and exists Ǔ ∈ B1 such that P ◦ µ1 (X1 \
Ǔ) = 0; ∀x1 ∈ Ǔ , fx1 is absolutely integrable over X2 and p̌(x1 ) =
R
f dµ ; ∀x1 ∈ X1 \ Ǔ, p̌(x1 ) = ϑY ; p̌ is absolutely integrable over
X2 x1 R 2 R
X1 ; and X1 ×X2 f dµ = X1 p̌ dµ1 .
(ii) There exists q̌ : X2 → Y and exists V̌ ∈ B2 such that P ◦ µ2 (X2 \

V̌ ) = 0; ∀x2 ∈ V̌ , fhx2i is absolutely integrable over X1 and q̌(x2 ) =
R
X1 fhx2i dµ1 ; R∀x2 ∈ X2 \ V̌ ,R q̌(x2 ) = ϑY ; q̌ is absolutely integrable
over X2 ; and X1 ×X2 f dµ = X2 q̌ dµ2 .
Proof (i) Let X̂i := (Xi , Bi , P ◦ µi =: νi ), i = 1, 2, and Xˆ := (X1 ×

X2 , B, P ◦ µ =: ν). By Proposition 12.12, X̂1 , Xˆ2 , and Xˆ are σ-finite
measure spaces and X̂ = Xˆ1 × Xˆ2 . Fix any i = 1, 2. By Radon-Nikodym
Theorem 11.163, we may define functions dµ dνi =: gi : Xi → IK. ∀E ∈ Bi ,
i
R
νi (E) = P ◦ µi (E) = E P ◦ gi dνi . By Proposition 11.159, we have P ◦ gi =
1 a.e. in Xî . By Proposition 12.21, we have dµ dν = g1 g2 a.e. in X̂ .
R Since f is absolutely
R integrable over X , then, by Proposition 11.160,
X1 ×X2
f dµ = X1 ×X2
(f g 1 g 2 ) dν and (P ◦ f ) (P ◦ (g1 g2 )) = (P ◦ f ) (P ◦
g1 ) (P ◦ g2 ) = P ◦ (f g1 g2 ) is integrable over X̂ . Define f¯ := f g1 g2 :
X1 × X2 → Y. By Fubini Theorem 12.18, there exists p̄ : X1 → Y and
exists Ū ∈ B1 such that ν1 (X1 R\ Ū) = 0; ∀x1 ∈ Ū, f¯x1 is absolutely in-
tegrable over X̂2 and p̄(x1 ) = X2 f¯x1 dν2 ; ∀x1 ∈ X1 \ Ū , p̄(x1 ) = ϑY ;
R R
p̄ is absolutely integrable over X̂1 ; and X1 ×X2 f¯ dν = X1 p̄ dν1 . Let
A1 := { x1 ∈ X1 | g1 (x1 ) = 0 }. Clearly, A1 ∈ B1 and ν1 (A1 ) = 0. Let
Ǔ := Ū \A1 ∈ B1 . Then, P◦µ1 (X1 \Ǔ ) = ν1 (X1 \Ǔ ) = ν1 ((X1 \Ū)∪A1 ) = 0.
∀x1 ∈ Ǔ , f¯x1 is absolutely integrable over Xˆ2 implies that fx1 g1 (x1 )g2 is
absolutely integrable over Xˆ2 , which further implies that (P ◦ fx1 ) (P ◦ g2 ) is
integrable R over X̂2 . By Proposition
R 11.160, fx1 is absolutely integrable
R over
X2 and X2 fx1 dµ2 = X2 (fx1 g2 ) dν2 . Then, p̄(x1 ) = g1 (x1 ) X2 fx1 dµ2 .
R
f dµ2 x1 ∈ Ǔ
X2 x1
Define p̌ : X1 → Y by p̌(x1 ) = , ∀x1 ∈ X1 .
ϑY x1 ∈ X1 \ Ǔ

p̄(x1 )/g1 (x1 ) x1 ∈ Ǔ
Then, p̌(x1 ) = . By Propositions 11.41,
ϑY x1 ∈ X1 \ Ǔ
11.38, and 11.39, p̌ is B1 -measurable. Since p̄ and g1 p̌ are B1 -measurable,
then, by Lemma 11.43, p̄ = g1 p̌ a.e. in X1 . Since p̄ is absolutely integrable
over X̂1 , then, P ◦ (g1 p̌) = (P ◦ p̌)(P ◦ g1 ) is integrable R over X̂1 . ByR Proposi-
tion 11.160, p̌ is absolutely integrable over X1 and X1 (p̌g1 ) dν1 = X1 p̌ dµ1 .
R R R
By Proposition 11.90, we have X1 ×X2 f dµ = X1 ×X2 f¯ dν = X1 p̄ dν1 =
R R
X1 (p̌g1 ) dν1 = X1 p̌ dµ1 . Hence, (i) holds.
By symmetry, (ii) holds. This completes the proof of the theorem. 2
12.3 Change of Variable

Definition 12.23 Let X := (X, B, µ) be a (Y-valued) measure space, X̄ :=
(X̄, B̄, ν) be a (Y-valued) measure space, (Y be a normed linear space,) and
12.3. CHANGE OF VARIABLE 527
g : X → X̄. g is said to be an isomeasure between X and X¯ if g is bijective;

∀E ∈ B, g(E) ∈ B̄; ∀Ē ∈ B̄, g inv(Ē) ∈ B; (∀Ē ∈ B̄, P ◦ ν(Ē) = P ◦
µ(g inv(Ē));) ∀E ∈ dom ( µ ), we have g(E) ∈ dom ( ν ) and ν(g(E)) = µ(E);
and ∀Ē ∈ dom ( ν ), we have g inv(Ē) ∈ dom ( µ ) and ν(Ē) = µ(g inv(Ē)).
We will say X and X¯ are isomeasuric if there is an isomeasure between X
and X¯ .
Two (Y-valued) measure spaces are isomeasuric, then they are equivalent
up to relabeling of elements. Thus, isomeasure preserves the completeness,
finiteness, and σ-finiteness of the (Y-valued) measure spaces.
Definition 12.24 Let X := (X , B, µ) be a (Y-valued) topological measure

space, X̄ := (X¯ , B̄, ν) be a (Y-valued) topological measure space, (Y be a
normed linear space,) and g : X → X̄. g is said to be an homeomorphical
isomeasure between X and X̄ if g : X → X̄ is a homeomorphism and g is an
isomeasure between X and X̄. We will say X and X̄ are homeomorphically
isomeasuric if there is an homeomorphic isomeasure between X and X̄.
Two (Y-valued) topological measure spaces are homeomorphically isomea-

suric, then they are equivalent up to relabeling of elements.
Proposition 12.25 Let X := (X, B, µ) be a measure space, (X̄, B̄) be a

measurable space, and g : X → X̄ be bijective and such that ∀Ē ∈ B̄,
g inv(Ē) ∈ B and, ∀E ∈ B, g(E) ∈ B̄. Then, we may define the induced
measure g∗ µ : B̄ → [0, ∞] ⊂ IRe by g∗ µ(Ē) = µ(g inv(Ē)), ∀Ē ∈ B̄. Then,
X̄ := (X̄, B̄, g∗ µ) is a measure space and g is an isomeasure between X and
X̄ .
Proof This is straightforward, and therefore omitted. 2
Proposition 12.26 Let Y be a normed linear space, X := (X, B, µ) be a

Y-valued measure space, (X̄, B̄) be a measurable space, and g : X → X̄
be bijective and such that ∀Ē ∈ B̄, g inv(Ē) ∈ B and, ∀E ∈ B, g(E) ∈ B̄.
Then, we may define the induced measure g∗ µ from B̄ to Y by, ∀Ē ∈ B̄
with g inv(Ē) ∈ dom ( µ ), g∗ µ(Ē) = µ(g inv(Ē)) ∈ Y; and ∀Ē ∈ B̄ with
g inv(Ē) ∈ B \ dom ( µ ), g∗ µ(Ē) is undefined. Then, X̄ := (X̄, B̄, g∗ µ) is
a Y-valued measure space, P ◦ (g∗ µ) = g∗ (P ◦ µ), and g is an isomeasure
between X and X̄ .
Proof Since X is a Y-valued measure space, then (X, B, P ◦ µ) is a

measure space. By Proposition 12.25, (X̄, B̄, g∗ (P ◦ µ)) is a measure space
and g is an isomeasure between (X, B, P ◦ µ) and (X̄, B̄, g∗ (P ◦ µ)).
First, g∗ µ(∅) = µ(g inv(∅)) = µ(∅) = ϑY ∈ Y.
Second, ∀Ē ∈ B̄ with g∗ (P ◦µ)(Ē) = +∞, we have P ◦µ(g inv(Ē)) = +∞
and g inv(Ē) ∈ B \ dom ( µ ). This implies that g∗ µ(Ē) is undefined.
Third, ∀Ē ∈ B̄ with g∗ (P ◦ µ)(Ē) < ∞, we have P ◦ µ(g inv(Ē)) < ∞ and
g inv(Ē) ∈ dom ( µ ). This implies that g∗ µ(Ē) = µ(g inv(Ē)) ∈ Y. ∀ pairwise
∞ S∞
disjoint Ēi i=1 ⊆ B̄ with Ē = i=1 Ēi , ∀i ∈ IN, Ēi ⊆ Ē, g inv(Ēi ) ⊆
g inv(Ē),PP ◦ µ(g inv(Ēi ))
≤P P ◦ µ(g
inv(Ē)) < ∞, and P g inv(Ēi ) ∈ dom ( µ ).
Then, S ∞ i=1
g∗ µ(Ēi ) = ∞ µ(g inv(Ēi )) ≤ ∞ P ◦ µ(g inv(Ēi )) =
i=1 S i=1
∞ ∞
P ◦ µ( i=1 g inv(Ēi )) = P ◦ µ(g inv( i=1 Ēi )) = P ◦ µ(g inv(Ē)) < ∞, where
the first inequality follows from Definition 11.105; the second equality fol-
lows from the fact that P ◦ µ is a measure; P∞ and the third P∞equality follows
fromS Proposition 2.5. Furthermore,
S∞ g
i=1 ∗ µ( Ēi ) = i=1 µ(g inv(Ēi )) =
µ( ∞ g
i=1 inv (Ēi )) = µ(g inv ( Ē
i=1 i )) = µ(g inv (Ē)) = g ∗ Ē) ∈ Y, where
µ(
the second eqaulity follows from Definition 11.105; and the third equality
Fourth, ∀Ē ∈ B̄ with g∗ (P ◦ µ)(Ē) < ∞, by the previous Pn paragraph, we
have supn∈Z , “Ē ”n ⊆B̄, Ē=Sn Ē , Ē ∩Ē =∅, ∀1≤i<j≤n i=1 g∗ µ(Ēi ) =:
+ i i=1 i i j
i=1
sĒ ≤ P ◦ µ(g inv(Ē)) = g∗ (P ◦ µ)(Ē). S ∀ǫ ∈ (0, ∞) ⊂ IR, ∃n ∈ Z+ , ∃ pairwise
disjoint ( Ei )ni=1 ⊆ B with g inv(Ē) = ni=1 Ei , such that P ◦µ(g inv(Ē))−ǫn <
Pn
k µ(E ) k ≤ P ◦ µ(g (Ē)) = g (P ◦ µ)(Ē). Then, Ē :=
i=1 i inv
Sn∗ Sn i i=1
( g(Ei ) )∞
Pn
i=1 ⊆ B̄ is pairwise
disjoint,
Pn i=1 Ēi = g( Pn
i=1 Ei ) = g(g inv (Ē)) =
Ē, and i=1 g∗ µ(Ēi ) = i=1 µ(g inv(Ēi )) = i=1 k µ(Ei ) k > g∗ (P ◦
µ)(Ē) − ǫ. Hence, sĒ = g∗ (P ◦ µ)(Ē).
Therefore, (X̄, B̄, g∗ µ) is a Y-valued measure space with P ◦ (g∗ µ) =
g∗ (P ◦ µ). It is straightforward to show that g is an isomeasure between X
and X¯ . This completes the proof of the proposition. 2
Proposition 12.27 Let X := (X, O) and X̄ := (X̄, Ō) be topological

spaces, g : X → X̄ be a homeomorphism, (Y be a normed linear space,)
and X := (X , BB( X ) , µ) be a (Y-valued) topological measure space. Then,
X̄ := (X̄ , BB X̄ , g∗ µ) is a (Y-valued) topological measure space and g is a
homeomorphical isomeasure between X and X̄.
Proof Clearly, g is bijective and g and g inv are continuous.

By Propo-
sition 11.34, ∀E ∈ BB ( X ), we have g(E) ∈ BB X¯ ; and ∀Ē ∈ BB X̄ ,
we have g inv(Ē) ∈ BB ( X ). Then, by Propositions 12.25 and 12.26, the
(Y-valued) induced measure g∗ µ is well defined, (X̄, BB X¯ , g∗ µ) is a (Y-
valued) measure space, and g is an isomeasure between X and X̄.
We will show that X̄ is a (Y-valued) topological measure space. ∀Ē ∈
BB X¯ , ∀ǫ ∈ (0, ∞) ⊂ IR, we have g inv(Ē) ∈ BB ( X ). Since X is a (Y-
valued) topological measure space, then ∃U ∈ O with g inv(Ē) ⊆ U such
that µ(U \ g inv(Ē)) < ǫ (P ◦ µ(U \ g inv(Ē)) < ǫ). Let Ū := g(U ) ∈ Ō. Then,
Ē ⊆ g(U ) = Ū and g∗ µ(Ū \ Ē) = µ(g inv(Ū \ Ē)) = µ(g inv(Ū ) \ g inv(Ē)) =
µ(U \ g inv(Ē)) < ǫ (in the case when µ is a Y-valued measure, we have
P ◦ (g∗ µ)(Ū \ Ē) = g∗ (P ◦ µ)(Ū \ Ē) = P ◦ µ(g inv(Ū \ Ē)) = P ◦ µ(g inv(Ū ) \
g inv(Ē)) = P ◦ µ(U \ g inv(Ē)) < ǫ, where the first equality follows from
Proposition 12.26). Hence, X̄ is a (Y-valued) topological measure space.
Then, g is a homeomorphical isomeasure between X and X̄. 2
12.3. CHANGE OF VARIABLE 529
Proposition 12.28 Let X := (X, B, µ) be a measure space, X̄ := (X̄, B̄, ν)

be a measure space, Y be a normed linear space, f : X̄ → Y beRB̄-measurable,
Rand g : X → X̄ be an isomeasure between X and X̄ . Then, X (f ◦ g) dµ =
X̄
f dν, whenever one of the integrals exists.
Proof Clearly, f ◦ g is B-measurable. We will distinguish two ex-
haustive and mutually exclusive cases: Case 1: µ(X) < +∞; Case 2:
µ(X) = +∞.
Case 1: µ(X) < +∞. ν(X̄) = µ(g inv(X̄)) = µ(X) < +∞. Let I ( Y ) be
P integration system on Y. ∀R = { (y
the Pα , Uα ) | α ∈ Λ } ∈ I ( Y ), let F̄R :=
α∈Λ yα ν(f
P inv (U α )) ∈ Y and F R := α∈Λ yα µ((f ◦ g)inv(Uα )) ∈ Y. Note
that F̄R R = α∈Λ y α µ(g inv (f inv (U α ))) = FR . Then,
R by Definition 11.68, we
have X̄ f dν = limR∈I(Y) F̄R = limR∈I(Y) FR = X (f ◦ g) dµ, whenever one
Case
2: µ(X) = +∞. ν(RX̄) = µ(g inv(X̄)) = µ(X) = +∞. Let
F̄Ā Ā∈M“X̄ ” be the net for X̄ f dν and ( FA )A∈M(X ) be the net for
R
X (f ◦ g) dµ Ras defined in Definition 11.69. Without loss of generality,
assume that X̄ f dν exists. Then,
Z Z
f dν = lim“ ” F̄Ā = lim“ ” f |Ā dνĀ
X̄ Ā∈M X̄ Ā∈M X̄ Ā
Z
= lim“ ” (f ◦ g)|ginv(Ā) dµginv(Ā)
Ā∈M X̄ ginv(Ā)
where the first two equalities follow from Definition 11.69; and the third
equality follows from Case R 1. Fix any open set U (U ⊆ IRe if Y = IR or
U ⊆ Y if Y 6= IR) R with X̄
f dν ∈ U , ∃Ā0 ∈ M X̄ , ∀Ā ∈ M X̄ with
Ā0 ⊆ Ā, F̄Ā = ginv(Ā) (f ◦ g)|ginv(Ā) dµginv(Ā) ∈ U . ∀A ∈ M ( X ) with
g inv(Ā0 ) ⊆ A, we have A ∈ B and µ(A) <+∞. Then, g(A) ∈ B̄ and µ(A) =
ν(g(A)) < +∞. R Hence, g(A) ∈ RM X̄ and g(A) ⊇ g(g inv(Ā0 )) = Ā0 .
Then, FA = A (f ◦ g)|A dµA = g (g(A)) (f ◦ g)|ginv(g(A)) dµginv(g(A)) ∈
R inv R
U . Hence, X (f ◦ g) dµ = limA∈M(X ) FA = X̄ f dν.
Proposition 12.29 Let X := (X, B, µ) be a measure space, X̄ := (X̄, B̄, ν)
be a measure space, Y be a Banach space, W be a separable subspace of
Y, f : X̄ → W be absolutely integrable over X̄ , and g : X → X̄ be an
isomeasure
R between RX and X¯ . Then, f ◦ g is absolutely integrable over X
and X (f ◦ g) dµ = X̄ f dν ∈ Y.
RProof Clearly, f ◦ g is B-measurable.

R By the assumption,
R 0 ≤
X̄
(P◦f ) dν < +∞. By Proposition 12.28, X (P◦f ◦g) dµ = X̄ (P◦f ) dν ∈
[0, ∞) ⊂ IR. Hence, f ◦ g is absolutely integrable over XR. By Proposi-
Rtion 11.90, f is integrable over X̄ . By Proposition 12.28, X (f ◦ g) dµ =
X̄
f dν ∈ Y. This completes the proof of the proposition. 2
Proposition 12.30 Let X := (X, B, µ) be a Y-valued measure space, where

Y is a normed linear space over IK, X¯ := (X̄, B̄, ν) be a Y-valued measure
space, Z be a normed linear space over IK, W := B ( Y, Z ), f : X̄ → W be
B̄-measurable,
R R and g : X → X̄ be an isomeasure between X and X̄ . Then,
X̄
f dν = X (f ◦ g) dµ ∈ Z, whenever one of the integrals exists.
Proof Clearly, f ◦ g is B-measurable. We will distinguish two ex-

haustive and mutually exclusive cases: Case 1: P ◦ µ(X) < +∞; Case 2:
P ◦ µ(X) = +∞.
Case 1: P ◦ µ(X) < +∞. P ◦ ν(X̄) = P ◦ µ(g inv(X̄)) = P ◦ µ(X) < +∞.
Let I ( W ) be the integration
P system on W. ∀R = { (wα , UP α) | α ∈ Λ } ∈
I ( W ), let F̄R := α∈Λ w α ν(f inv
P (U α )) ∈ Z and F R := α∈Λ wα µ((f ◦
g)inv(Uα )) ∈ Z. Then, F̄R =R α∈Λ wα µ(g inv(f inv(Uα ))) = FR . Then,
by Definition 11.116, we have X̄ f dν = limR∈I(W) F̄R = limR∈I(W) FR =
R
X
(f ◦ g) dµ, whenever one of the integrals exists.
Case 2: P ◦ µ(X) = +∞. P ◦ ν(RX̄) = P ◦ µ(g inv(X̄)) = P ◦ µ(X) = +∞.
Let F̄Ā Ā∈M“X̄ ” be the net for X̄ f dν and ( FA )A∈M(X ) be the net for
R
X (f ◦ g) dµ Ras defined in Definition 11.117. Without loss of generality,
assume that X̄ f dν exists. Then,
Z Z
f dν = lim“ ” F̄Ā = lim“ ” f |Ā dνĀ
X̄ Ā∈M X̄ Ā∈M X̄ Ā
Z
= lim“ ” (f ◦ g)|ginv(Ā) dµginv(Ā)
Ā∈M X̄ ginv(Ā)
where the first two equalities follow from Definition 11.117; and the third
equality follows from
R Case 1. Fix any open set U (U ⊆ IRe if Y = IR or U ⊆
Y if Y R6= IR) with X̄ f dν ∈ U , ∃Ā0 ∈ M X̄ , ∀Ā ∈ M X̄ with Ā0 ⊆ Ā,
F̄Ā = ginv(Ā) (f ◦ g)|ginv(Ā) dµginv(Ā) ∈ U . ∀A ∈ M ( X ) with g inv(Ā0 ) ⊆
A, we have A ∈ B and P ◦ µ(A) < +∞. Then, g(A) ∈ B̄ and P ◦ µ(A) =
P ◦ ν(g(A)) <R +∞. Hence, g(A) R∈ M X¯ and g(A) ⊇ g(g inv(Ā0 )) = Ā0 .
Then, FA = A (f ◦ g)|A dµA = g (g(A)) (f ◦ g)|ginv(g(A)) dµginv(g(A)) ∈
R inv R
U . Hence, X (f ◦ g) dµ = limA∈M(X ) FA = X̄ f dν.
Proposition 12.31 Let X := (X, B, µ) be a Y-valued measure space, where

Y is a normed linear space over IK, X¯ := (X̄, B̄, ν) be a Y-valued measure
space, Z be a Banach space over IK, W be a separable subspace of B ( Y, Z ),
f : X̄ → W be absolutely integrable over X¯ , and g : X → X̄ be an isomea-
¯
R X and X . Then, f ◦ g is absolutely integrable over X , and
Rsure between
X̄
f dν = X
(f ◦ g) dµ ∈ Z.
Proof Clearly, f ◦ g is B-measurable. By Definition 12.23, g is an

isomeasure between (X, B, P ◦ µ) and (X̄, B̄, P ◦ ν). By Proposition 12.28,
12.4. FUNCTIONS OF BOUNDED VARIATION 531
R R
X
(P ◦ f ◦ g) dP ◦ µ = X̄ (P ◦ f ) dP ◦ ν ∈ IR, where the last step follows
from the assumption that f is absolutely integrable over X̄ . Hence, f ◦ g is
absolutely integrable over RX . By Proposition
R 11.129, f is integrable over
X̄ . By Proposition 12.30, X (f ◦ g) dµ = X̄ f dν ∈ Z. 2
Theorem 12.32 (Change of Variable) Let X := (X, B, µ) be a σ-finite

IK-valued measure space, X̄ := (X̄, B̄, ν) be a σ-finite Y-valued measure
space, where Y is a separable Banach space over IK, g : X̄ → X be an
isomeasure between X¯ and X̂ := (X, B, g∗ν), Z be a Banach space over IK,
W be a separable subspace of B ( Y, Z ), f : X̄ → W be B̄-measurable, and
d(g∗ ν)
dµ =: h : X → Y. Then, f is absolutely integrable over X̄ if, and only if,
(P ◦ f ◦ g inv) (P ◦ h) is integrable overR(X, B, P ◦Rµ). In which case, (f ◦ g inv)h
is absolutely integrable over X and X̄ f dν = X (f ◦ g inv)h dµ ∈ Z.
Proof By Proposition 12.31, f is absolutely integrable over X¯ if, and

only if, f ◦g inv is absolutely integrable over Xˆ. By (ii) of Proposition 11.160,
f ◦ g inv is absolutely integrable over X̂ if, and only if, (P ◦ f ◦ g inv) (P ◦ h)
is integrable over (X, B, P ◦ µ). Hence, f is absolutely integrable over X̄ if,
and only if, (P ◦ f ◦ g inv) (P ◦ h) is integrable over (X, B, P ◦ µ). In this case,
(f ◦ g inv)h is absolutelyRintegrableRover X and, by Proposition
R 12.31 and (ii)
of Proposition 11.160, X̄ f dν = X (f ◦ g inv) d(g∗ ν) = X (f ◦ g inv)h dµ ∈ Z.
12.4 Functions of Bounded Variation

Definition 12.33 Let n ∈ Z+ , IRn be endowed with the usual positive
cone, Y be a normed linear space, Ω ⊆ IRn be an subset with subset topol-
⋖
ogy O, F : Ω → Y. ∀x1 , x2 ∈ IRn with xn1 = x2 , the semi-open rect-
o
⋖
angle with corners x1 and x2 is rx1 ,x2 := x ∈ IRn x1 ⋖ x = x2 .
⋖
∀x1 := (x1,1 , . . . , x1,n ), x2 := (x2,1 , . . . , x2,n ) ∈ IRn with x1 = x2 , ∀i ∈
{0, . . . , n}, the set of vertexes
of rx1 ,x2 with i coordinates
equal to that of
x1 is VRecti,x1 ,x2 := x̄ := (x̄1 , . . . , x̄n ) ∈ IRn ∀J = {j1 , . . . , ji } ⊆
J¯n := {1, . . . , n}, x̄k = x1,k , ∀k ∈ J, x̄k = x2,k , ∀k ∈ J¯n \ J . ∀x1 , x2 ∈ Ω
⋖
with x = x and rx1 ,x2 ⊆ Ω, the increment of F on rx1 ,x2 is ∆F (rx1 ,x2 ) :=
Pn1 P 2
x̄∈VRecti,x1 ,x2 (−1) F (x̄) x1 ⋖ x2
i
i=0
. The total variation of F on
ϑY x1 ⋖
6 x2
the semi-open rectangle rx1 ,x2 is
m
X
TF ( rx1 ,x2 ) := sup k ∆F (rx̌i ,x̂i ) k
⋖
m∈Z+ , x̌1 ,x̂1 ,...,x̌m ,x̂m ∈rx1 ,x2 , x̌i = x̂i , ∀i∈{1,...,m} i=1
Sm
rx̌ ,x̂ =rx1 ,x2 , rx̌ ,x̂ ∩rx̌ ,x̂ =∅, ∀1≤i<j≤m
i=1 i i i i j j
where TF ( rx1 ,x2 ) ∈ [0, ∞] ⊂ IRe . F is said to be of locally bounded varia-

tion if
∞ ∞ ⋖
, ( x̃i )i=1 ⊆ Ω with x̄i = x̃i and rx̄i ,x̃i ⊆ Ω, ∀i ∈ IN, such
(i) ∃ ( x̄i )i=1 S
that Ω = ∞ i=1 rx̄i ,x̃i and rx̄i ,x̃i ∩ rx̄j ,x̃j = ∅, ∀1 ≤ i < j;
(ii) F is continuous on the right on the interior of Ω, i. e., lim h→ϑIRn F (x+
⋗
h=ϑIRn
◦
h) = F (x), ∀x ∈ Ω ;
⋖
(iii) ∀x1 , x2 ∈ Ω with x1 = x2 and rx1 ,x2 ⊆ Ω, we have TF ( rx1 ,x2 ) < ∞;
(iv) ∀x1 , x2 ∈ Ω with x1 ⋖ x2 and rx1 ,x2 ⊆ Ω, Ḡ : r◦x1 ,x2 → [0, ∞) ⊂ IR

defined by Ḡ(x) = TF ( rx1 ,x ), ∀x ∈ r◦x1 ,x2 , is continuous on the right
on r◦x1 ,x2 , i. e., lim h→ϑIRn Ḡ(x + h) = Ḡ(x), ∀x ∈ r◦x1 ,x2 ;
⋗
h=ϑIRn
F is said to be of bounded variation if F P

is of locally bounded variation and
∞
the total variation of F on Ω, TF (Ω) := i=1 TF ( rx̄i ,x̃i ) < ∞.
In the above definition, (i) is an assumption on the domain Ω, which

holds if Ω ∈ OIRn .
Definition 12.34 Let n ∈ Z+ , IRn be endowed with the usual positive

cone, Y be a normed linear space, Ω ∈ OIRn with the subset topology,
µ ∈ Mσ (Ω, BB ( Ω ) , Y), and F : Ω → Y. F is said to be the cumulative
⋖
distribution function of µ if ∀x1 , x2 ∈ Ω with rx1 ,x2 ⊆ Ω and x1 = x2 , we
have µ(rx1 ,x2 ) = ∆F (rx1 ,x2 ). µ is said to be locally finite if P ◦ µ(K) < ∞,
∀ compact K ⊆ Ω.
Note that, for σ-finite Y-valued measures, the cumulative distribution

function is not unique and may not exist. Fornfinite Y-valued
measures,
o the
n ⋖
function F : Ω → Y defined by F (x) = µ(Ω ∩ x̄ ∈ IR x̄ = x ), ∀x ∈ Ω,
is a cumulative distribution function of µ.
Proposition 12.35 Let X be a set, C be a semialgebra on X, Y be a Ba-

nach space, µ : C → Y, and M ∈ [0, ∞) ⊂ IR. Assume that
S
(i) ∀C ∈ C, ∀n ∈P Z+ , ∀ pairwise disjoint ( Ci )ni=1 ⊆ C with C = ni=1 Ci ,
n
then µ(C) = i=1 µ(Ci );
n Pn
(ii) ∀n ∈ Z+ , ∀ pairwise disjoint ( Ci )i=1 ⊆ C, then i=1 k µ(Ci ) k ≤
M < +∞;
∞ S∞
(iii) ∀C ∈ C,P∀ pairwise disjoint ( Ci )i=1 ⊆ C with C = i=1 Ci , then
µ(C) = ∞ i=1 µ(Ci ).
Then, µ admits a unique extension to a finite Y-valued measure µ̄ on the

algebra on X, A, generated by C. Furthermore, P ◦ µ̄(X) ≤ M < +∞.
Proof By Proposition 11.31, A = { A ⊆ X | A is Pthe finite disjoint

n
union
Sn of sets in C }. Define µ̄ : A → Y by µ̄(A) = i=1 µ(C i ), ∀A =
n
i=1 C i ∈ A where n ∈ Z + and ( Ci ) i=1 ⊆ C is pairwise disjoint. By (i),
µ̄ is well-defined.
Snl Clearly µ̄(∅) = ϑ Y . ∀A 1 , A 2 ∈ A with A 1 ∩ A 2 = ∅,
nl
Al = i=1 Cl,i , where nl ∈ Z+ and ( Cl,i )i=1 ⊆ C is pairwise disjoint,
S2 Snl
l = 1, 2. A1 ∪ A2 = l=1 i=1 Cl,i where Cl,i , l = 1, 2, i = 1, . . . , nl are
P P l
pairwise disjoint. Then, µ̄(A1 ∪ A2 ) = 2l=1 ni=1 µ(Cl,i ) = µ̄(A1 ) + µ̄(A2 ).
Hence, µ̄ is finitely additive. S∞
∞
∀ ( Ai )i=1 ⊆ A with A = i=1 Ai ∈ S A and A1 , A2 , . . . being pair-
n
wise disjoint. Since A ∈ A, then A = j=1 Cj , where n ∈ Z+ and
Sni
( Cj )nj=1 ⊆ C is pairwise disjoint. ∀i ∈ IN, Ai = j=1 Ci,j , where
ni
ni ∈ Z+ and ( Ci,j )j=1 ⊆ C is pairwise disjoint. Then, ∀k ∈ {1, . . . , n},
S∞ S∞ Sni
Ck = Ck ∩ ( i=1 Ai ) = i=1 j=1 (Ci,j ∩ Ck ). Note that, by C being a
semialgebra, Ci,j ∩ Ck ∈ C, i = 1, 2, . . ., j = 1, .P . . , ni ,Pk = 1, . . . , n, and
are pairwise disjoint. By (iii), we have µ(Ck ) = ∞ ni
µ(Ci,j ∩ Ck ).
P∞ P∞ P Pi=1 Pj=1
ni ∞ ni
By (ii), i=1 k µ̄(Ai ) k = i=1 j=1 µ(Ci,j ) ≤ i=1 j=1 k µ(Ci,j ) k ≤
PN Pni Pn
limN ∈IN i=1 j=1 k µ(Ci,j ) k ≤ M < +∞ and µ̄(A) = k=1 µ(Ck ) =
Pn P∞ Pni P∞ Pni Pn
j=1 µ(Ci,j ∩ C ) = k=1 µ(Ci,j ∩ Ck ) =
Pk=1∞ Pni
i=1 P∞ k i=1 j=1
i=1 j=1 µ(C i,j ) = i=1 µ̄(A i ), where third equality follows from (ii);
and the fourth equality follows from (i).
This implies that µ̄ is a Y-valued pre-measure on algebra A. Clearly,
it is an extension of µ to A and it is the unique extension. By the last
paragraph, we have P ◦ µ̄(A) ≤ M < +∞, ∀A ∈ A. Then, µ̄ is a finite
Y-valued pre-measure on algebra A, and P ◦ µ̄(X) ≤ M < +∞. Hence, µ̄
is a finite Y-valued measure on the algebra A.
⋖
Proposition 12.36 Let m ∈ Z+ , x̄, x̃ ∈ IRm with x̄ = x̃, X := rx̄,x̃ ⊆
IRm with subset topology O, X o:= (X, O) be the topological space, C :=
n
⋖
rx1 ,x2 x1 = x2 , x1 , x2 ∈ rx̄,x̃ , and B be the σ-algebra on X generated
by C. Then, B = BB ( X ).
Proof Let x̄ = (x̄1 , . . . , x̄m ) and x̃ = (x̃1 , . . . , x̃m ). ∀i ∈ {1, . . . , m},
∀a, b ∈ [x̄i , x̃i ], we have x̄a := (x̄1 , . . . , x̄i−1 , a, x̄i+1 , . . . , x̄m ), x̃b :=
(x̃1 , . . . , x̃i−1 , b, x̃i+1 , . . . , x̃m ) and rx̄a ,x̃b ∈ C. Then, ∀Bi ∈ BB ( (x̄i , x̃i ] ),
(x̄1 , x̃1 ] × · · · × (x̄i−1 , x̃i−1 ] × Bi × (x̄i+1 , x̃i+1 ] × · · · × (x̄m , x̃m ] ∈ B. By the
arbitrariness of i, ∀Bi ∈ BB ( (x̄i , x̃i ] ), i = 1, . . . , m, B1 × · · · Bm ∈ B. By
Proposition 11.24, we have B = BB ( X ). This completes the proof of the
proposition. 2
∞
Proposition 12.37 Let X := (X, O)Sbe a topological space, ( Xi )i=1 ⊆
∞
BB ( X ) be pairwise disjoint with X = i=1 Xi , Xi := (Xi , Oi ) be the topo-
logical subspace of X , ∀i ∈ IN, and B := { E ⊆ X | E ∩ Xi ∈ BB ( Xi ) , ∀i ∈
IN }. Then, B = BB ( X ).
Proof ∀E ∈ B, ∀i ∈ IN, E ∩ Xi ∈ BB ( Xi ). By Proposition 11.25,

BB ( Xi ) = { C ⊆ XiS| C ∈ BB ( X ) }, ∀i ∈ IN. Then, E ∩ Xi ∈ BB ( X ),
∀i ∈ IN. Then, E = ∞ i=1 (E ∩ Xi ) ∈ BB ( X ). Hence, B ⊆ BB ( X ). On the
other hand, ∀E ∈ BB ( X ), E ∩Xi ∈ BB ( X ), ∀i ∈ IN. By Proposition 11.25,
E ∩ Xi ∈ BB ( Xi ), ∀i ∈ IN. Hence, E ∈ B. This implies that BB ( X ) ⊆ B.
Proposition 12.38 Let m ∈ Z+ , IRm be endowed with the usual positive
cone, Ω ∈ OIRm be endowed with the subset topology, and F : Ω → IR be of
locally bounded variation. Assume that ∆F (rx1 ,x2 ) ≥ 0, ∀x1 , x2 ∈ Ω with
⋖
rx1 ,x2 ⊆ Ω and x1 = x2 . Then, there exists a unique σ-finite measure µ̂ on
the measurable space (Ω, BB ( Ω )) such that F is the cumulative distribution
function of µ̂.
Proof Since Ω is open in IRm , then Ω satisfies (i) of Definition 12.33.
∞ ∞ ⋖
∃ ( x̄i )S i=1 , ( x̃i )i=1 ⊆ Ω with x̄i = x̃i and rx̄i ,x̃i ⊆ Ω, ∀i ∈ IN, such that
∞
Ω = i=1 rx̄i ,x̃i n and the sets in the union are pairwise
o disjoint. Fix any
⋖
i ∈ IN. Let C := rx1 ,x2 x1 = x2 , x1 , x2 ∈ rx̄i ,x̃i , which is the collection
of semi-open rectangles contained in rx̄i ,x̃i . Clearly, C is semialgebra on
rx̄i ,x̃i . Define µ : C → [0, ∞) ⊂ IR by µ(rx1 ,x2 ) = ∆F (rx1 ,x2 ), ∀rx1 ,x2 ∈ C.
Clearly, (i) of Proposition ∞ 11.32 is satisfied.
S ∀C := rx̂,x̌ ∈ C, ∀ pairwise
disjoint Cj := rx̂j ,x̌j j=1 ⊆ C with C = ∞ j=1 j , we will show that µ(C) ≤
C
P∞
j=1 µ(Cj ) by distinguishing two exhaustive and mutually exclusive cases:
Case 1: C = ∅; Case 2: C 6= ∅.
Case 1: P C = ∅. Then, µ(C) = 0. Clearly Cj = ∅, ∀j ∈ IN. Then,
∞
µ(C) = 0 = j=1 µ(Cj ). This case is proved.
Case 2: C 6= ∅. Then, x̂⋖x̌. By (ii) of Definition 12.33, ∀ǫ ∈ (0, ∞) ⊂ IR,
∃ŷ ∈ rx̂,x̌ such that ∆F (rŷ,x̌ ) > ∆F (rx̂,x̌ ) − ǫ/2. Since rŷ,x̌ ⊆ rx̂,x̌ , by the
assumption and (i) of Proposition 11.32, we have ∆F (rŷ,x̌ ) ≤ ∆F (rx̂,x̌ ).
Fix any j ∈ IN. Cj = rx̂j ,x̌j ⊆ Cj ⊆ C ⊆ Ω. By Ω being open and
(ii) of Definition 12.33, ∃y̌j ∈ Ω with x̌j ⋖ y̌j and rx̂j ,y̌j ⊆ Ω such that
∆F (rx̂j ,y̌j ) < ∆F (rx̂j ,x̌j ) + 2−j−1 ǫ. Since Cj ⊆ rx̂j ,y̌j , by the assumption
and (i) of Proposition 11.32, we haveS∆F (rx̂j ,x̌j )S≤ ∆F (rx̂j ,y̌j ). S
∞ ∞ ∞
Obviously, rŷ,x̌ ⊆ rx̂,x̌ = C = j=1 Cj = j=1 rx̂j ,x̌j ⊆ j=1 r◦x̂j ,y̌j .
S
Since rŷ,x̌ is compact, then ∃N ∈ IN such that rŷ,x̌ ⊆ rŷ,x̌ ⊆ N ◦
j=1 rx̂j ,y̌j ⊆
SN
j=1 rx̂j ,y̌j . By (i) of Proposition 11.32, µ(C) = ∆F (rx̂,x̌ ) < ∆F (rŷ,x̌ ) +
PN PN −j−1
ǫ/2 < j=1 ∆F (rx̂j ,y̌j ) + ǫ/2 < j=1 (∆F (rx̂j ,x̌j ) + 2 ǫ) + ǫ/2 <
PN P∞
j=1 µ(C )+ǫ ≤ j=1 µ(Cj ) + ǫ. By the arbitrariness of ǫ, we have
Pj∞
µ(C) ≤ j=1 µ(Cj ). This case is also proved.
P∞
In both cases, we have µ(C) ≤ j=1 µ(Cj ). Then, (ii) of Proposi-
tion 11.32 holds. Then, µ admits a unique extension to a measure µ̄ on the
algebra on rx̄i ,x̃i , A, generated by C. Then, by Carathéodory Extension
Theorem 11.19, there exists a unique finite measure µ̂i on the measur-
able space (rx̄i ,x̃i , Bi ) that is an extension of µ̄, where Bi is the σ-algebra
on rx̄i ,x̃i generated by C. By Proposition 12.43, Bi = BB ( rx̄i ,x̃i ). Let

Xi := (rx̄i ,x̃i , Bi , µ̂i ) be the finite measure space, ∀i ∈ IN. By Proposi-
tion 11.114, the generation process on ( Xi )∞ i=1 yields a σ-finite measure
space X := (Ω, B, µ̂) such that Xi is the finite measure subspace of X ,
∀i ∈ IN.
By Proposition 12.37, B = BB ( Ω ). Then, X = (Ω, BB ( Ω ) , µ̂).
⋖ S∞
∀x1 , x2 ∈ Ω with P∞ x1 = x2 and rx1 ,x2 ⊆ Ω, µ̂(r P∞ x1 ,x2 ) = µ̂( i=1 (rx1 ,x2 ∩
rx̄i ,x̃iS)) = i=1 µ̂(rx1 ∨x̄i ,x2 ∧x̃i ) = i=1 ∆F (rx1 ∨x̄i ,x2 ∧x̃i ) =
∞
∆F ( i=1 rx1 ∨x̄i ,x2 ∧x̃i ) = ∆F (rx1 ,x2 ). Hence, F is the cumulative distri-
bution function of µ̂. Since Xi ’s are unique. By Proposition 11.115, X is
unique. This completes the proof of the proposition. 2
Proposition 12.39 Let m ∈ Z+ , IRm be endowed with the usual positive

cone, Y be a normed linear space, Ω ∈ OIRm be endowed with the subset
topology O, and F : Ω → Y be of locally bounded variation. Then, ∀x̄, x̃ ∈ Ω
⋖ n n ⋖
with x̄ = x̃ and rx̄,x̃ ⊆ Ω, Sn∀n ∈ Z+ , ∀ ( x̄i )i=1 , ( x̃i )i=1 ⊆ rx̄,x̃ with x̄i = x̃i ,
∀i ∈ {1, . . . , n}, rx̄,x̃ = i=1 rx̄P
i ,x̃i , and the sets in the union being pairwise
n
disjoint, we have TF ( rx̄,x̃ ) = i=1 TF ( rx̄i ,x̃i ).
n
Proof ∀ǫ ∈ (0, ∞) ⊂ IR, ∀i ∈ {1, . . . , n}, ∃ni ∈ Z+ , ∃ ( x̂i,j )j=1 i
,
ni ⋖ S ni
( x̌i,j )j=1 ⊆ rx̄i ,x̃i with x̂i,j = x̌i,j , ∀j ∈ {1, . . . , ni }, rx̄i ,x̃i = j=1 rx̂i,j ,x̌i,j ,
and
Pni sets in the union being pairwise disjoint, P such that
∆F (rx̂i,j ,x̌i,j ) > TF ( rx̄i ,x̃i ) − ǫ/(n + 1). Then, n TF ( rx̄i ,x̃i ) −
j=1Pn Pni i=1
ǫ < i=1 j=1 ∆F (rx̂i,j ,x̌i,j ) ≤ TF ( rx̄,x̃ ). By the arbitrariness of ǫ, we
Pn
have i=1 TF ( rx̄i ,x̃i ) ≤ TF ( rx̄,x̃ ).
n̄ n̄
On the other hand, ∀ǫ ∈ (0, ∞) ⊂ IR, ∃n̄ ∈ Z+ , ∃ ( x̂i )i=1 , ( x̌i )i=1 ⊆ rx̄,x̃
⋖ S n̄
with x̂i = x̌i , ∀i ∈ {1, . . . , n̄}, rx̄,x̃ = i=1 rx̂i ,x̌i , and the sets in the union
Pn̄
being pairwise disjoint, such that i=1 k ∆F (r x̂i ,x̌i ) k > TF ( rx̄,x̃ )−ǫ. Then,
Pn̄ Pn̄ Sn

TF ( rx̄,x̃ ) − ǫ < i=1 k ∆F (rx̂i ,x̌i ) k = i=1 ∆F ( j=1 (rx̂i ,x̌i ∩ rx̄j ,x̃j )) =
Pn̄ Pn Pn̄ Pn
=
i=1 j=1 ∆F (rx̂i ∨x̄j ,x̌i ∧x̃j ) ≤ i=1 j=1 ∆F (rx̂i ∨x̄j ,x̌i ∧x̃j )
Pn Pn̄
P n
j=1 i=1 ∆F (rx̂i ,x̌i ∩ rx̄j ,x̃j P ) ≤ j=1 TF rx̄j ,x̃j . By the arbitrari-
n
ness of ǫ, we have TF ( rx̄,x̃ ) ≤ i=1 TF ( rx̄i ,x̃i ). This completes the proof
Theorem 12.40 F : IR → IR is of bounded variation if, and only if, there

exist G : IR → IR and H : IR → IR, which are of bounded variation and
monotonically nondecreasing, such that F (x) = G(x) − H(x), ∀x ∈ IR.
Proof “Sufficiency” Assume that F = G − H where G : IR → IR

and H : IR → IR are of bounded variation and monotically nonde-
creasing. Then, limx→−∞ F (x) = limx→−∞ G(x) − limx→−∞ H(x) = 0,
where the first equality follows from Propositions 7.23, 3.66, and 3.67.
Also, limx→+∞ F (x) = limx→+∞ G(x) − limx→+∞ H(x) ∈ IR, where
the equality follows from Propositions 7.23, 3.66, and 3.67. Note that,
∀x ∈ IR, limh→0+ F (x + h) = limh→0+ G(x + h) − limh→0+ H(x + h) =
G(x) − H(x) = F (x), where the first equality follows from Proposi-
tions 7.23, 3.66, and 3.67. Hence, F is continuous Pn on the right. ∀n ∈ IN,
∀ − ∞ < x1 < x2 < · P · · < xn < +∞, | F (x1 ) | + i=2 | F (xi ) − F (xi−1 ) | =
n
| G(x1 ) −P H(x1 ) | + i=2 | (G(xi ) − G(xi−1 ))P− (H(xi ) − H(xi−1 )) | ≤
n n
G(x1 ) + i=2 (G(xi ) − G(xi−1 )) + H(x1 ) + i=2 (H(xi ) − H(xi−1 )) =
G(xn ) + H(xn ) ≤ limx→+∞ G(x) + limx→+∞ H(x) =: M ∈ IR. Hence,
+∞
T−∞ ( F ) ∈ [0, M ] ⊂ IR. Hence, F is of bounded variation.
“Necessity” Let F : IR → IR be of bounded variation. ∀x ∈ IR, define
n
X
x
P−∞ := sup (F (x1 ) ∨ 0) + ((F (xi ) −
n∈IN,−∞<x1 <x2 <···<xn =x i=2
+∞
F (xi−1 )) ∨ 0) ∈ I := [0, T−∞ ( F )] ⊂ IR
n
X
x
N−∞ := sup ((−F (x1 )) ∨ 0) + ((−(F (xi ) −
n∈IN,−∞<x1 <x2 <···<xn =x i=2
F (xi−1 ))) ∨ 0) ∈ I
Note that ∀n ∈ IN, ∀ − ∞ < x1 < x2 < · · · < xn = x, we have
n
X
(F (x1 ) ∨ 0) + ((F (xi ) − F (xi−1 )) ∨ 0) − ((−F (x1 )) ∨ 0)−
i=2
n
X n
X
((−(F (xi ) − F (xi−1 ))) ∨ 0) = F (x1 ) + (F (xi ) − F (xi−1 ))
i=2 i=2
= F (x)
Hence, we have
n
X
(F (x1 ) ∨ 0) + ((F (xi ) − F (xi−1 )) ∨ 0)
i=2
n
X
= F (x) + ((−F (x1 )) ∨ 0) + ((−(F (xi ) − F (xi−1 ))) ∨ 0)
i=2
x x
Hence, by Proposition 8.37, P−∞ = F (x) + N−∞ .
x
Define Ḡ : IR → IR by Ḡ(x) = P−∞ , ∀x ∈ IR, and H̄ : IR → IR
x
by H̄(x) = N−∞ , ∀x ∈ IR. Clearly, Ḡ and H̄ are monotonically nonde-
creasing and Ḡ = F + H̄. Since Ḡ(x), H̄(x) ∈ I, ∀x ∈ IR, then a0 :=
limx→−∞ Ḡ(x) ∈ I, ā0 := limx→+∞ Ḡ(x) ∈ I, b0 := limx→−∞ H̄(x) ∈ I,
and b̄0 := limx→+∞ H̄(x) ∈ I. By the fact that F is of bounded variation,
we have a0 = limx→−∞
= limx→−∞ H̄(x) ∈ I.
Ḡ(x)
Define Ωn := x ∈ IR Ḡ(x) + 1/n ≤ limh→0 + Ḡ(x + h) , ∀n ∈ IN;
and Ω := x ∈ IR Ḡ(x) < limh→0+ Ḡ(x + h) . Since Ḡ is monotoni-
cally nondecreasing, then Ωn must be a finite set containing no more that
+∞
S∞
nT−∞ ( F ) number of points, ∀n ∈ IN.PClearly, Ω = n=1 Ωn . Then, Ω
contains countable number of points and x̄∈Ω (limh→0+ Ḡ(x̄+h)− Ḡ(x̄)) ∈
I ⊂ IR and the summands are positive.
By Ḡ = F + H̄, then, limh→0+ Ḡ(x + h) = limh→0+ F (x + h) +
limh→0+ H̄(x+h) = F (x)+limh→0+ H̄(x+h), ∀x ∈ I R. Then, limh→0+ Ḡ(x+

h)− Ḡ(x) = limh→0 + H̄(x+h)− H̄(x). Thus, Ωn x ∈ IR H̄(x)+1/n ≤
=

lim h→0+ H̄(x + h) , ∀n ∈ IN; and Ω = x ∈ IR H̄(x) < limh→0+ H̄(x +
h) .

0 t≤0
Let s : IR → IR be defined by s(t) = . Define Gn :
1 t>0
P
IR → IR, ∀n ∈ IN, by Gn (x) = Ḡ(x) − a0 − x̄∈Ωn ∆(x̄)s(x − x̄),
∀x ∈ IR, where ∆(x̄) := limh→0+ Ḡ(x̄ + h) − Ḡ(x̄) ∈ (0, ∞) ⊂ IR,
∀x̄ ∈ Ω. For any fixed n ∈ IN, Gn is monotonically nondecreasing.
∞
The sequence ( Gn )n=1 converges
P uniformly to G : IR → IR defined
by G(x) = Ḡ(x) − a0 − x̄∈Ω ∆(x̄)s(x − x̄), ∀x ∈ IR. Thus, G is
monotonically nondecreasing. By Proposition 4.57, limx→−∞ G(x) =
limx→−∞ limn∈IN Gn (x) = limn∈IN limx→−∞ Gn (x) = limn∈IN (a0 − a0 ) = 0,
limx→+∞ G(x) =Plimx→+∞ limn∈IN Gn (x) P = limn∈IN limx→+∞ Gn (x) =
limn∈IN (ā0 − a0 − x̄∈Ωn ∆(x̄)) = ā0 − a0 − x̄∈Ω ∆(x̄) ∈ IR, and, ∀x ∈ IR,
lim G(x + h) = lim G|(x,+∞) (x̂) = lim lim Gn |(x,+∞) (x̂)

h→0+ x̂→x x̂→x n∈IN
= lim lim Gn |(x,+∞) (x̂) = lim lim Gn (x + h)
n∈IN x̂→x n∈IN h→0+
X
= lim ( lim+ Ḡ(x + h) − a0 − ∆(x̄))
n∈IN h→0
x̄∈Ωn ,x≥x̄
X
= lim (Ḡ(x) − a0 − ∆(x̄)) = G(x)
n∈IN
x̄∈Ωn ,x>x̄
This shows that G satisfies (i) and (ii) of Definition 12.33. Since G is
monotonically nondecreasing and G(x) ∈ I, ∀x ∈ IR, then G also satisfies
(iii) of Definition 12.33. Hence, G is of bounded variation and monotonically
nondecreasing.
P
Define H : IR → IR by H(x) = H̄(x) − a0 − x̄∈Ω ∆(x̄)s(x − x̄), ∀x ∈ IR.
Note that, ∀x̄ ∈ Ω, ∆(x̄) = limh→0+ H̄(x̄+h)−H̄(x̄). Thus, by an argument
that is similar to the one in the previous paragraph, we may conclude
that H is of bounded variation and monotonically nondecreasing. Clearly,
G = F + H.
Lemma 12.41 Let F : IR → IR be a monotonically nondecreasing func-

tion of bounded variation, and C := { I ⊆ IR | I is an interval in IR, I =
(a, b] with a ∈ IRe , b ∈ IR and a < b; or I = ∅; or I = (a, +∞) with a ∈
IRe and a < +∞ }. Define µ : C → [0, ∞) ⊂ IR by



 F (b) − F (a) C = (a, b] ⊂ IR, a, b ∈ IR, and a < b


 F (b) C = (−∞, b] ⊂ IR and b ∈ IR
µ(C) = 0 C = ∅ ⊂ IR



 lim x→+∞ F (x) =: FM C = IR

FM − F (a) C = (a, +∞) ⊂ IR and a ∈ IR
Then, C is a semialgebra on IR and µ satisfies (i) and (ii) of Proposi-

tion 11.32.
Proof Clearly, C is a semialgebra on IR and µ satisfies (i) of Proposi-

tion 11.32. For (ii) of Proposition
∞ S∞11.32, we fix any C ∈ C and any pairwise
disjoint ( Ci )i=1 ⊆ C with C = i=1 Ci . We will distinguish five exhaustive
and mutually exclusive cases: Case 1: C = (a, b] ⊂ IR with a, b ∈ IR and
a < b; Case 2: C = (−∞, b] ⊂ IR with b ∈ IR; Case 3: C = ∅; Case 4:
C = IR; Case 5: C = (a, +∞) ⊂ IR with a ∈ IR.
Case 1: C = (a, b] ⊂ IR with a, b ∈ IR and a < b. Then, ∀i ∈ IN,
either Ci = ∅ or Ci = (ai , bi ] ⊂ IR with ai , bi ∈ IR and ai < bi . For
∞
Ci = ∅, we may remove it from the sequence ( Ci )i=1 without affecting
the desired result. Without loss of generality, assume Ci = (ai , bi ] ⊂ IR
with ai , bi ∈ IR and ai < bi , ∀i ∈ IN. ∀ǫ ∈ (0, ∞) ⊂ IR, since F is
continuous on the right, then ∃ā ∈ (a, b) ⊂ IR such that F (ā) < F (a) + ǫ
−i
and, ∀i ∈ IN,S∃ηi ∈ (0, ∞) S∞⊂ IR such that F (bi + ηi ) < F (bi ) + 2 ǫ. Then,
∞
[ā, b] ⊆ C = i=1 Ci ⊆ i=1S (ai , bi + ηi ). By the compactness of [ā, b] ⊂ IR,
n
∃n
Pn ∈ I
N such that [ā, b] ⊆ i=1 (ai , bi + ηi ) ⊂ IR. Then, F (b) − F (ā) ≤
i=1 (F (bi + ηi ) − F (ai )), since F is monotonically Pn nondecreasing. Hence,
µ(C)
Pn = F (b) − F (a) < F (b) − F (ā) +
P∞ǫ ≤ ǫ + i=1 (F (b i + ηi ) − F
P(ai )) < ǫ +
−i
i=1 (F (bi ) − F (ai ) + 2 ǫ) ≤ 2ǫ + (bi ) − F (ai )) = 2ǫ + ∞
i=1 (F P i=1 µ(Ci ).
∞
By the arbitrariness of ǫ, we have µ(C) ≤ i=1 µ(Ci ).
Case 2: C = (−∞, b] ⊂ IR with b ∈ IR. ∀ǫ ∈ (0, ∞) ⊂ IR, by
limx→−∞ F (x) = 0, ∃a ∈ (−∞, Sb) ⊂ IR suchS∞ that 0 ≤ F (a) < ǫ/2. Let
∞
C̄ = (a, b] ⊂ C. Note that C̄ = i=1 C̄i := i=1 (Ci ∩ C̄), where the sets in
the union Pare pairwise disjoint
P∞ and belongs to C. By Case 1, F (b) P∞ − F (a) =
∞
µ(C̄) ≤ i=1 µ(C̄i ) ≤ i=1 µ(Ci ). Then, P µ(C) = F (b) ≤ ǫ + i=1 µ(Ci ).
∞
By the arbitrariness of ǫ, we have µ(C) P∞ ≤ i=1 µ(Ci ).
Case 3: C = ∅. Then µ(C) = 0 ≤ i=1 µ(Ci ).
Case 4: C = IR. ∀ǫ ∈ (0, ∞) ⊂ IR, by limx→−∞ F (x) = 0 and
limx→+∞ F (x) = FM , ∃b ∈ IR such that FM − ǫ/2 < F (b) ≤ FM and
∃a ∈ (−∞, S∞ b) ⊂ IR suchS∞ that 0 ≤ F (a) < ǫ/2. Let C̄ = (a, b] ⊂ C. Note
that C̄ = i=1 C̄i := i=1 (Ci ∩ C̄), where the sets in the union Pare pairwise
∞
disjoint
P∞ and belongs to C. By Case 1, F (b) − F (a) = µ( C̄) ≤
P∞ i=1 µ(C̄i ) ≤
i=1 µ(Ci ). Then, µ(C) = FM < F (b) −
P∞ F (a) + ǫ ≤ ǫ + i=1 µ(C i ). By
the arbitrariness of ǫ, we have µ(C) ≤ i=1 µ(Ci ).
Case 5: C = (a, +∞) ⊂ IR with a ∈ IR. ∀ǫ ∈ (0, ∞) ⊂ IR, by
limx→+∞ F (x) = FM , ∃b ∈ (a, +∞) ⊂ IR such that FM − ǫ < F (b) ≤ FM .
S∞ S∞
Let C̄ = (a, b] ⊂ C. Note that C̄ = i=1 C̄i := i=1 (Ci ∩ C̄), where
the sets in the union are pairwise
P∞ disjoint P and belongs to C. By Case
∞
1, F (b) − F (a) = µ(C̄) ≤ i=1 µ(C̄i ) ≤
P∞ i=1 µ(Ci ). Then, µ(C) =
FM − F (a) < F (b) −PF (a) + ǫ ≤ ǫ + i=1 µ(Ci ). By the arbitrariness
∞
of ǫ, we have µ(C) ≤ i=1 µ(Ci ).
Hence, (ii) of Proposition 11.32 holds in all five cases. This completes
Lemma 12.42 Let F : IR → IR be a monotonically nondecreasing function
of bounded variation. Then, there is a unique finite measure µ̂ on the
measurable space (IR, BB ( IR )) such that, ∀b ∈ IR, µ̂((−∞, b]) = F (b). The
measure space (IR, BB ( IR ) , µ̂) is a finite real Banach measure space.
Proof Let C be the semialgebra and µ : C → [0, ∞) ⊂ IR be as defined
in Lemma 12.41. Let A be the algebra on IR generated by C as described
in Proposition 11.31. Clearly, the σ-algebra on IR generated by A (or C)
is BB ( IR ). By Lemma 12.41, µ satisfies (i) and (ii) of Proposition 11.32.
Then, by Proposition 11.32, µ admits a unique extension to a measure
µ̄ on the algebra A. Clearly, µ̄(IR) = µ(IR) < +∞ and µ̄ is finite. By
Carathéodory Extension Theorem 11.19, there exists an finite complete
measure space (IR, B, µ̃) that is an extension of µ̄, and hence µ, and µ̂ :=
µ̃|BB (IR) is the unique measure on (IR, BB ( IR )) that is an extension of µ̄.
Then, µ̂ is the unique finite measure on the measurable space (IR, BB ( IR ))
that satisfies, ∀b ∈ IR, µ̂((−∞, b]) = F (b).
We will show that (IR, BB ( IR ) , µ̂) is a finite real Banach measure space
in the following. ∀E ∈ BB ( IR ), P by Carathéodory Extension Theorem 11.19,
∞
µ̂(E) = inf (Ai)∞ ⊆A, E⊆S∞ Ai i=1 µ̄(Ai ). By Proposition 11.31, µ̂(E) =
i=1 P∞ i=1
∞
inf (Ci)∞ ⊆C, E⊆S∞ Ci i=1 µ(Ci ). ∀ǫ ∈ (0, ∞) ⊂ IR, ∃ ( Ci )i=1 ⊆ C with
Si=1 i=1
P
E⊆ ∞ i=1 Ci such that µ̂(E) ≤
∞
i=1 µ(Ci ) < µ̂(E) + ǫ/2 < +∞. ∀i ∈ IN,
either Ci ∈ OIR or Ci = (ai , bi ] with ai ∈ IRe , bi ∈ IR, and ai < bi . In
the former case, we will let Oi := Ci ∈ OIR . In the latter case, by F being
of bounded variation, ∃ηi ∈ (0, ∞) ⊂ IR such that F (bi ) ≤ F (bi + ηi ) <
F (bi ) + 2−i−1 ǫ. Then, let Oi := (ai , bi + ηi ) ∈ OIR , we have Ci ⊆ Oi
−i−1
and µ̂(Oi ) ≤ µ̂((ai , bi + ηi ]) = µ((a S∞i , bi + ηi ]) < µ((ai , bi ]) + 2 ǫ =
−i−1
µ(Ci ) + 2 ǫ. This
P∞ leads to E ⊆ O
i=1 P i =: O ∈ O IR and 0 ≤ µ̂(O \ E) =
∞ −i−1
µ̂(O) − P µ̂(E) ≤ i=1 µ̂(O i ) − µ̂(E) < i=1 (µ(Ci ) + 2 ǫ) − µ̂(E) =
ǫ/2 + ∞ i=1 µ(Ci ) − µ̂(E) < ǫ. Therefore, (IR, BB ( IR ) , µ̂) is a finite real
Banach measure space.
Proposition 12.43 The function F : IR → IR is monotonically nonde-
creasing and of bounded variation if, and only if, it is the cumulative dis-
tribution function of a finite measure space (IR, BB ( IR ) , µ). Furthermore,
for a fixed F , the finite measure µ on the measurable space (IR, BB ( IR )) is
unique whose distribution function is F . Then, every finite measure space
(IR, BB ( IR ) , µ) is a finite real Banach measure space.
Proof “Sufficiency” Let F : IR → IR be the cumulative distribution

function of a finite measure space (IR, BB ( IR ) , µ). TClearly, F is mono-
tonically nondecreasing by Proposition 11.4. Since ∞ n=1 (−∞, −n] = ∅
and 0 ≤ F (−1) = µ((−∞, −1]) ≤ µ(IR) < +∞, then, by Propo-
sition 11.5, limn∈IN F (−n) = limn∈IN µ((−∞, −n]) = µ(∅) = 0. By
the monotonicity
S∞ of F , we have limx→−∞ F (x) = limn∈IN F (−n) = 0.
Since n=1 (−∞, n] = IR, then, by Proposition 11.7, limn∈IN F (n) =
limn∈IN µ((−∞, n]) = µ(IR) =: FM ∈ [0, ∞) ⊂ IR. By the monotonic-
ity
T∞of F , we have limx→+∞ F (x) = limn∈IN F (n) = FM ∈ IR. ∀x ∈ IR,
1 1
n=1 (−∞, x + n = (−∞, x]. By Proposition 11.5, limn∈IN F (x + n ) =
]
1
limn∈IN µ((−∞, x + n ]) = µ((−∞, x]) = F (x). By the monotonicity of F ,
we have limh→0+ F (x + h) = limn∈IN F (x + n1 ) = F (x). Hence, F is con-
+∞
tinuous on the right. By the monotonicity of F , T−∞ ( F ) = FM < +∞.
Hence, F is monotonically nondecreasing and of bounded variation.
“Necessity” Let F : IR → IR be monotonically nondecreasing and of
bounded variation. Then, by Lemma 12.42, there is a unique finite measure
µ on the measurable space (IR, BB ( IR )) such that F (x) = µ((−∞, x]),
∀x ∈ IR. Hence, F is the cumulative distribution function of µ.
For a fixed F , the corresponding finite measure space (IR, BB ( IR ) , µ) is
unique by Lemma 12.42.
Fix any finite measure space (IR, BB ( IR ) , µ). Let F : IR → IR be its
cumulative distribution function. Then, by the above, F is monotonically
nondecreasing and of bounded variation. By Lemma 12.42, (IR, BB ( IR ) , µ)
is a finite real Banach measure space.
Proposition 12.44 The function F : IR → IR is of bounded variation if,

and only if, it is the cumulative distribution function of a finite IR-valued
measure space (IR, BB ( IR ) , µ). Furthermore, for fixed F , the finite IR-
valued measure µ on the measurable space (IR, BB ( IR )) is unique whose
cumulative distribution function is F .
Proof “Sufficiency” Let (IR, BB ( IR ) , µ) be a finite IR-valued measure

space and F : IR → IR be its cumulative distribution function. By Jordan
Decomposition Theorem 11.155, there exists a unique pair of mutually sin-
gular finite measures µ+ and µ− on (IR, BB ( IR )) such that µ = µ+ − µ−
and P ◦ µ = µ+ + µ− . By Proposition 12.43, there exists F+ : IR → IR,
which is monotonically nondecreasing and of bounded variation, such that
F+ is the cumulative distribution function of (IR, BB ( IR ) , µ+ ). Again by
Proposition 12.43, there exists F− : IR → IR, which is monotonically non-
decreasing and of bounded variation, such that F− is the cumulative dis-
tribution function of (IR, BB ( IR ) , µ− ). ∀x ∈ IR, µ+ ((−∞, x]) = F+ (x)
and µ− ((−∞, x]) = F− (x). Then, F (x) = µ((−∞, x]) = µ+ ((−∞, x]) −
µ− ((−∞, x]) = F+ (x) − F− (x). Hence, F = F+ − F− . By Theorem 12.40,
F is of bounded variation.
“Necessity” Let F : IR → IR be of bounded variation. By Theo-

rem 12.40, F = G − H, where G and H are monotonically nondecreas-
ing and of bounded variation. By Proposition 12.43, G is the cumulative
distribution function of a finite measure space (IR, BB ( IR ) , µG ). Again
by Proposition 12.43, H is the cumulative distribution function of a finite
measure space (IR, BB ( IR ) , µH ). Then, F = G−H is the cumulative distri-
bution function of the IR-valued measure space (IR, BB ( IR ) , µ := µG −µH ),
which is finite by Proposition 11.135.
For fixed F : IR → IR that is of bounded variation, let µ and ν be
finite IR-valued measures on (IR, BB ( IR )) such that F is the cumulative
distribution functions of µ and ν. Define λ := µ − ν. Then, λ is a finite
IR-valued measure on (IR, BB ( IR )) with the cumulative distribution func-
tion F̂ = F − F = 0. Clearly, F̂ is monotonically nondecreasing and of
bounded variation. By Lemma 12.42, λ(E) = 0, ∀E ∈ BB ( IR ). Hence,
µ = ν. Therefore, the finite IR-valued measure µ on the measurable space
(IR, BB ( IR )), whose cumulative distribution function is F , is unique.
Proposition 12.45 Let Y be a normed linear space over IK, F : IR → Y be

of bounded variation, and y∗ ∈ Y∗ . Then, the function hh y∗ , F (·) ii : IR → IK
is of bounded variation.
Proof By Propositions 3.66 and 7.72, we have limx→−∞ hh y∗ , F (x) ii =

hh y∗ , ϑY ii = 0 and limx→+∞ hh y∗ , F (x) ii = hh y∗ , limx→+∞ F (x) ii ∈ IK.
∀x ∈ IR, by Propositions 3.66 and 7.72, limh→0+ hh y∗ , F (x + h) ii =
hh y∗ , limh→0+ F (x + h) ii = hh y∗ , F (x) ii. ∀n ∈ IN, ∀ − ∞ < x1 < x2 <
· · · < xn < +∞, by Proposition 7.72,
n
X
| hh y∗ , F (x1 ) ii | + | hh y∗ , F (xi ) ii − hh y∗ , F (xi−1 ) ii |
i=2
n
X
≤ k y∗ k k F (x1 ) k + k y∗ k k F (xi ) − F (xi−1 ) k
i=2
+∞
≤ k y∗ k T−∞ ( F ) < +∞
Hence, hh y∗ , F (·) ii : IR → IK is of bounded variation. 2
Proposition 12.46 The function F : IR → C is of bounded variation if,

and only if, it is the cumulative distribution function of a finite C-valued
measure space (IR, BB ( IR ) , µ). Furthermore, for fixed F , the finite C-
valued measure µ : BB ( IR ) → C is unique whose cumulative distribution
function is F .
Proof “Sufficiency” Let F : IR → C be the cumulative distri-

bution function of a finite C-valued measure space (IR, BB ( IR ) , µ). By
Proposition 11.157, we have µ = µr + iµi where µr : BB ( IR ) → IR and
µi : BB ( IR ) → IR are IR-valued measures on (IR, BB ( IR )). By Jordan De-

composition Theorem 11.155, µr and µi are finite IR-valued measures. By
Proposition 12.44, there exists Fr : IR → IR and Fi : IR → IR, which are of
bounded variation, that are cumulative distribution functions of µr and µi ,
respectively. ∀x ∈ IR, F (x) = µ((−∞, x]) = µr ((−∞, x]) + iµi ((−∞, x]) =
Fr (x) + iFi (x). Hence, F = Fr + iFi . By Propositions 3.66, 3.67,
and 7.23, we have limx→−∞ F (x) = limx→−∞ (Fr (x) + iFi (x)) = 0 and
limx→∞ F (x) = limx→∞ (Fr (x) + iFi (x)) ∈ C. ∀x ∈ IR, by Proposi-
tions 3.66, 3.67, and 7.23, limh→0+ F (x + h) = limh→0+ (Fr (x + h) + iFi (x +
h)) = Fr (x) + iFi (x) = F (x). ∀n ∈ IN, ∀ − ∞ < x1 < x2 < · · · < xn < +∞,
n
X
| F (x1 ) | + | F (xj ) − F (xj−1 ) |
j=2
n
X
= | Fr (x1 ) + iFi (x1 ) | + | Fr (xj ) − Fr (xj−1 ) + i(Fi (xj ) − Fi (xj−1 )) |
j=2
Xn
≤ | Fr (x1 ) |+| Fi (x1 ) | + (| Fr (xj ) − Fr (xj−1 ) |+|Fi (xj ) − Fi (xj−1 ) |)
j=2
+∞ +∞
≤ T−∞ ( Fr ) + T−∞ ( Fi ) < +∞
Hence, F is of bounded variation.

“Necessity” Let F : IR → C be of bounded variation. Let Fr : IR → IR
be defined by Fr (x) = Re ( F (x) ), ∀x ∈ IR and Fi : IR → IR be defined
by Fi (x) = Im ( F (x) ), ∀x ∈ IR. We will show that Fr is of bounded
variation. Then, Fi is of bounded variation by a similar argument. Clearly,
limx→−∞ Fr (x) = 0 and limx→∞ Fr (x) = Re ( limx→∞ F (x) ) ∈ IR. ∀x ∈ IR,
limh→0+ Fr (x+h) = limh→0+ Re ( F (x+h) ) = Re ( F (x) ) = Fr (x). ∀n ∈ IN,
∀ − ∞ < x1 < x2 < · · · < xn < +∞,
n
X
| Fr (x1 ) | + | Fr (xj ) − Fr (xj−1 ) |
j=2
n
X
= | Re ( F (x1 ) ) | + | Re ( F (xj ) ) − Re ( F (xj−1 ) ) |
j=2
n
X
+∞
≤ | F (x1 ) | + | F (xj ) − F (xj−1 ) | ≤ T−∞ ( F ) < +∞
j=2
Hence, Fr is of bounded variation. By an argument that is similar to the

above, Fi is of bounded variation.
By Proposition 12.44, there is a unique finite IR-valued measure µr :
BB ( IR ) → IR on the measurable space (IR, BB ( IR )) such that Fr is the
cumulative distribution function of µr . Again by Proposition 12.44, there
is a unique finite IR-valued measure µi : BB ( IR ) → IR on the measurable
space (IR, BB ( IR )) such that Fi is the cumulative distribution function of

µi . Define µ : BB ( IR ) → C by µ(E) = µr (E) + iµi (E), ∀E ∈ BB ( IR ).
By Proposition 11.135, µ is a finite C-valued measure on the measurable
space (IR, BB ( IR )). ∀x ∈ IR, µ((−∞, x]) = µr ((−∞, x]) + iµi ((−∞, x]) =
Fr (x) + iFi (x) = F (x). Hence, F is the cumulative distribution function of
µ.
For fixed F : IR → C of bounded variation, let µ and ν be finite C-
valued measures on (IR, BB ( IR )) such that F is the cumulative distribution
functions of µ and ν. Define λ := µ − ν. Then, by Proposition 11.135, λ is
a finite C-valued measure on (IR, BB ( IR )) with the cumulative distribution
function F̂ = F − F = 0. Clearly, F̂ is monotonically nondecreasing and
of bounded variation. By Lemma 12.42, λ(E) = 0, ∀E ∈ BB ( IR ). Hence,
µ = ν. Therefore, the finite C-valued measure µ : BB ( IR ) → C, whose
cumulative distribution function is F , is unique.
Theorem 12.47 Let Y be a Banach space over IK. F : IR → Y is of
bounded variation if, and only if, it is the cumulative distribution function of
a finite Y-valued measure space (IR, BB ( IR ) , µ̂). Furthermore, for fixed F ,
the finite Y-valued measure µ̂ on the measurable space (IR, BB ( IR )), whose
+∞
cumulative distribution function is F , is unique; and T−∞ ( F ) = P ◦ µ̂(IR).
Proof “Sufficiency” Let F : IR → Y be the cumulative distribution

function of a finite Y-valued measure space (IR, BB ( IR ) , µ̂). Then, P ◦ µ̂
is a finite measure on (IR, BB ( IR )). By Proposition 12.43, P ◦ µ̂ admits
a cumulative distribution function G : IR → IR, which is monotonically
nondecreasing and of bounded variation.
By limx→−∞ G(x) = 0, we have ∀ǫ ∈ (0, ∞) ⊂ IR, ∃M ∈ IR, ∀x ∈
(−∞, M ) ⊂ IR, 0 ≤ G(x) < ǫ. This leads to k F (x) k = k µ̂((−∞, x]) k ≤
P ◦ µ̂((−∞, x]) = G(x) < ǫ. Hence, limx→−∞ F (x) = ϑY .
By limx→+∞ G(x) ∈ IR and Proposition 4.45, we have ∀ǫ ∈ (0, ∞) ⊂ IR,
∃M ∈ IR, ∀x1 , x2 ∈ (M, ∞) ⊂ IR, | G(x1 ) − G(x2 ) | < ǫ. Without loss
of generality, assume x1 ≤ x2 . If x1 = x2 , then k F (x2 ) − F (x1 ) k =
0 < ǫ. If x1 < x2 , k F (x2 ) − F (x1 ) k = k µ̂((−∞, x2 ]) − µ̂((−∞, x1 ]) k =
k µ̂((x1 , x2 ]) k ≤ P ◦ µ̂((x1 , x2 ]) = P ◦ µ̂((−∞, x2 ]) − P ◦ µ̂((−∞, x1 ]) =
G(x2 ) − G(x1 ) < ǫ. Hence, by Proposition 4.45, limx→+∞ F (x) ∈ Y.
∀x ∈ IR, by limh→0+ G(x + h) = G(x), we have ∀ǫ ∈ (0, ∞) ⊂ IR,
∃δ ∈ (0, ∞) ⊂ IR, ∀h ∈ (0, δ) ⊂ IR, | G(x+ h)− G(x) | < ǫ. This implies that
k F (x + h) − F (x) k = k µ̂((−∞, x + h]) − µ̂((−∞, x]) k = k µ̂((x, x + h]) k ≤
P ◦ µ̂((x, x+h]) = P ◦ µ̂((−∞, x+h])−P ◦ µ̂((−∞, x]) = G(x+h)−G(x) < ǫ.
Hence, limh→0+ F (x + h) = F (x). Therefore, F is continuous Pon the right.
∀n ∈ IN, ∀− ∞ < x1 < x2 <P · · · < xn < +∞, k F (x1 ) k + ni=2 k F (xi )−
n
F
P(x i−1 ) k = k µ̂((−∞, x1 ]) k + Pkn µ̂((xi−1 , xi ]) k ≤ P ◦ µ̂((−∞,
i=2 x1 ]) +
n +∞
i=2 P ◦ µ̂((xi−1 , xi ]) = G(x1 ) + i=2 (G(xi ) − G(xi−1 )) ≤ T−∞ ( G ) <
+∞ +∞
+∞. Hence, T−∞ ( F ) ≤ T−∞ ( G ) = P ◦ µ̂(IR) < +∞. Thus, F : IR → Y
is of bounded variation.
“Necessity” Let F : IR → Y be of bounded variation. Let C := { I ⊆

IR | I is an interval in IR with I = ∅, or I = (a, b] with a ∈ IRe , b ∈
IR, and a < b, or I = (a, +∞) with a ∈ IRe and a < +∞ }. Clearly, C
is a semialgebra on IR. Define µ : C → Y by


 F (b) − F (a) C = (a, b] ⊂ IR, a, b ∈ IR, and a < b


 F (b) C = (−∞, b] ⊂ IR and b ∈ IR
µ(C) = ϑY C = ∅ ⊂ IR



 lim x→+∞ F (x) =: FM C = IR

FM − F (a) C = (a, +∞) ⊂ IR and a ∈ IR
Clearly, µ satisfies (i) of Proposition 12.35.

n
Claim
Pn 12.47.1 ∀n ∈ Z+ , ∀ pairwise disjoint ( Ci )i=1 ⊆ C, we have
+∞
i=1 k µ(Ci ) k ≤ T−∞ ( F ) < +∞.
Proof of claim: For all Ci ’s, let the set of their real end points be
{x1 , . . . , xn̄ } ⊂ IR, where n̄ ∈ Z+ (ignore endpoints −∞ and +∞). Without
loss of generality, assume x1 < x2 < · · · < xn̄ . ∀ǫ ∈ (0, ∞) ⊂ IR, by
limx→+∞ F (x) = FM ∈ Y, ∃xn̄+1 ∈ (xn̄ , +∞) ⊂ IR such that k FM −
F (xn̄+1 ) k < ǫ. Then, −∞ < x1 < x2 < · · · < xn̄ < xn̄+1 < +∞. This
implies that
n̄+1
X
+∞
T−∞ (F ) ≥ k F (x1 ) k + k F (xi ) − F (xi−1 ) k
i=2
n̄+1
X
> k F (x1 ) k + k F (xi ) − F (xi−1 ) k + k FM − F (xn̄+1 ) k − ǫ
i=2
n
X
≥ k µ(Ci ) k − ǫ
i=1
Pn +∞
By the arbitrariness of ǫ, we have k µ(Ci ) k ≤ T−∞
i=1 ( F ) < +∞. This
∞ S ∞
Claim 12.47.2
P∞ ∀ pairwise disjoint ( Ci )i=1 ⊆ C with CP:= i=1 Ci ∈ C,
+∞ ∞
we have i=1 k µ(Ci ) k ≤ T−∞ ( F ) < +∞ and µ(C) = i=1 µ(Ci ) ∈ Y.
∞
Proof
S∞ of claim: Pn ( Ci )i=1 ⊆ C with
Fix any pairwise disjoint
+∞
C :=
i=1 Ci ∈ C. P ∀n ∈ IN, by Claim 12.47.1, i=1 k µ(Ci ) k ≤ T−∞ (F ) <
∞ +∞
+∞.
P∞ Then, i=1 k µ(Ci ) k ≤ T−∞ ( F ) < +∞. By Proposition 7.27,
∗
i=1 µ(Ci ) ∈ Y. ∀y∗ ∈ Y . Define Fy∗ : IR → IK by Fy∗ (x) = hh y∗ , F (x) ii,
∀x ∈ IR. By Proposition 12.45, Fy∗ is of bounded variation. By Proposi-
tions 12.46 and 12.44 , there exists a unique finite IK-valued measure µ̂y∗
on the measurable space (IR, BB ( IR )) such that Fy
∗ is the cumulative
dis-
tribution function of µ̂y∗ . Clearly, ∀P
C̄ ∈ C, we have P y∗ , µ(C̄) = µ̂y∗ (C̄).
∞ ∞
Then, hh y∗ , µ(C) ii = µ̂y∗ (C) = i=1 µ̂y∗ (Ci ) = i=1 hh y∗ , µ(Ci ) ii =
P∞
hh y∗ , i=1 µ(Ci ) ii, where the last equality follows from Propositions 7.72
and 3.66. P Then, by the arbitrariness of y∗ and Proposition 7.85, we have
µ(C) = ∞ i=1 µ(Ci ). This completes the proof of the claim. 2
By Claims 12.47.1 and 12.47.2, µ satisfies (ii) and (iii) of Proposi-
tion 12.35. By Proposition 12.35, there exists a unique finite Y-valued
+∞
measure µ̄ on algebra, A, generated by C and P ◦ µ̄(IR) ≤ T−∞ ( F ) < +∞.
By Carathéodory Extension Theorem 12.4, there exists a unique finite Y-
valued measure µ̂ : B → Y such that B is the σ-algebra on IR generated by
A, µ̂(A) = µ̄(A), P ◦ µ̂(A) = P ◦ µ̄(A), ∀A ∈ A. Clearly, B = BB ( IR )
and F : IR → Y is the cumulative distribution function of µ̂. Then,
+∞
P ◦ µ̂(IR) = P ◦ µ̄(IR) ≤ T−∞ ( F ) < +∞.
For fixed F : IR → Y, let ν be a finite Y-valued measure on (IR, BB ( IR ))
such that F is the cumulative distribution function of ν. Then, ν(C) =
µ(C), ∀C ∈ C. Then, ν(A) = µ̄(A), ∀A ∈ A, by Proposition 12.35.
Therefore, by Carathéodory Extension Theorem 12.4, ν(B) = µ̂(B), ∀B ∈
+∞
BB ( IR ). Hence, µ̂ is unique. Furthermore, P ◦ µ̂(IR) = T−∞ ( F ) < +∞.
Proposition 12.48 Let Y be a Banach space, (IR, BB ( IR ) , µ) be a finite
Y-valued measure space with cumulative distribution function F : IR → Y,
+∞
and G : IR → [0, T−∞ ( F )] ⊂ IR be the cumulative distribution function of
P ◦ µ. Then, ∀x ∈ IR,
n
X
G(x) = sup (k F (x1 ) k+ k F (xi )−F (xi−1 ) k) =: Ḡ(x)
n∈IN,−∞<x1 <x2 <···<xn =x i=2
Proof
+∞ Pn P ◦ µ(IR) =
By Theorem 12.47, F is of bounded variation and
T−∞ ( F ) = supn∈IN,−∞<x1 <x2 <···<xn <+∞ (k F (x1 ) k + i=2 k F (xi ) −
F (xi−1 ) k) = P ◦ µ((−∞, x]) + P ◦ µ((x, ∞)), ∀x ∈ IR. Fix any x ∈ IR.
G(x) = P ◦ µ((−∞, x]). ∀n ∈ IN, ∀ − ∞ < x1 < x2 < · · · < xn = x,
n
X
G(x) = P ◦ µ((−∞, x]) = P ◦ µ((−∞, x1 ]) + P ◦ µ((xi−1 , xi ])
i=2
n
X
≥ k µ((−∞, x1 ]) k + k µ((xi−1 , xi ]) k
i=2
n
X
= k F (x1 ) k + k F (xi ) − F (xi−1 ) k
i=2
Hence, G(x) ≥ Ḡ(x). ∀n ∈ IN, ∀x = x1 < x2 < · · · < xn < +∞,

n
X
Gc (x) := P ◦ µ((x, ∞)) = P ◦ µ((xi−1 , xi ]) + P ◦ µ((xn , ∞))
i=2
n
X n
X
≥ k µ((xi−1 , xi ]) k = k F (xi ) − F (xi−1 ) k
i=2 i=2
Pn
Hence, Gc (x) ≥ Ḡc (x) := supn∈IN,x=x1 <x2 <···<xn <∞ i=2 k F (xi ) −
F (xi−1 ) k. ∀ǫ ∈ (0, ∞) ⊂ IR, ∃n0 ∈ IN, P ∃0− ∞ < x1 < x2 < · · · < x+∞ n0 < ∞
such that T−∞+∞
( F ) − ǫ < k F (x1 ) k + ni=2 k F (xi ) − F (xi−1 ) k ≤ T−∞ ( F ).
Without loss of generality, assume x = xi0 for some i0 ∈ {1, . . . , n0 }. Then,
+∞ Pi0
T−∞ ( F ) =P G(x) + Gc (x) ≥ Ḡ(x) + Ḡc (x) ≥ k F (x1 ) k + i=2 k F (xi ) −
n0 +∞
F (xi−1 ) k + i=i 0 +1
k F (xi ) − F (xi−1 ) k > T −∞ ( F ) − ǫ. By the arbitrari-
+∞
ness of ǫ, we have G(x) + Gc (x) = Ḡ(x) + Ḡc (x) = T−∞ ( F ). Hence,
G(x) = Ḡ(x). This completes the proof of the proposition. 2
Proposition 12.49 Let Y be a separable normed linear space over IK with

Y∗ being separable and F : IR → Y be of bounded variation. Then, F is
BB ( IR )-measurable.
Proof We will prove the result in three steps. In the first step, we
consider the special case Y = IR. By Theorem 12.40, F = G − H, where
G : IR → IR and H : IR → IR are of bounded variation and monotonically
nondecreasing. By Proposition 11.35, G and H are BB ( IR )-measurable.
By Propositions 11.38, 11.39, and 7.23, F = G − H is BB ( IR )-measurable.
In the second step, we consider the special case Y = C. By Proposi-
tion 12.46, F is the cumulative distribution function of a finite C-valued
measure µ on (IR, BB ( IR )). By Proposition 11.157, we have µ = µr + iµi ,
where µr : BB ( IR ) → IR and µi : BB ( IR ) → IR are finite IR-valued mea-
sures. By Proposition 12.44, there exists Fr : IR → IR and Fi : IR → IR,
which are of bounded variation, that are the cumulative distribution func-
tion of µr and µi , respectively. By the previous step, Fr and Fi are BB ( IR )-
measurable. Clearly, F (x) = µ((−∞, x]) = µr ((−∞, x]) + iµi ((−∞, x]) =
Fr (x) + iFi (x), ∀x ∈ IR. By Propositions 11.38, 11.39, and 7.23, F is
BB ( IR )-measurable.
Finally, we consider the general case where Y is a separable normed
linear space with Y∗ being separable. ∀y∗ ∈ Y∗ , define Fy∗ : IR → IK by
Fy∗ (x) = hh y∗ , F (x) ii, ∀x ∈ IR. By Proposition 12.45, Fy∗ is of bounded
variation. By the two special cases, Fy∗ is BB ( IR )-measurable. By Propo-
sition 11.162, F is BB ( IR )-measurable. This completes the proof of the
proposition. 2
Proposition 12.50 Let Y be a separable Banach space over IK, F : IR →

Y be continuous on the right (or continuous on the left) and BB ( IR )-
measurable, and F (1) : U → B ( IK, Y ), where U := dom F (1) . Then,
U ∈ BB ( IR ) and F (1) is BU -measurable, where U := ((U, | · |), BU , µU ) is
the σ-finite metric measure subspace of R.
Proof Consider the case that F is continuous on the right. Let X :=

IK, D := IR ⊆ X. ∀x ∈ D, clearly span (AD ( x ) ) = IK = X. Then,
F (1) : U → B ( IK, Y ), where U := dom F (1) ⊆ IR = D. Clearly, B ( IK, Y )
is isometrically isomorphic to Y. Then, F (1) : U → Y. Clearly, ∀x ∈ U ,
F (1) (x) = limh→0 (F (x + h) − F (x))/h ∈ Y.
∞ [
\ \ \
Claim 12.50.1 U = Um,h1 ,h2 =: Ū ∈ BB ( IR ),
m=1 δ∈Q h1 ∈Q
˛ ˛
h2 ∈Q
˛ ˛
δ>0 ˛ ˛ ˛ ˛
0<˛˛h1˛˛<δ 0<˛˛h2˛˛<δ
where Um,h1 ,h2 := { x ∈ IR | k (F (x + h1 ) − F (x))/h1 − (F (x + h2 ) −

F (x))/h2 k < 1/m }, ∀m ∈ IN, ∀h1 , h2 ∈ Q with h1 6= 0 and h2 6= 0.
Proof of claim: ∀x ∈ U , F (1) (x) = limh→0 (F (x + h) − F (x))/h ∈ Y.

By Proposition 4.45, ∀m ∈ IN, ∃δ ∈ Q with δ > 0, such that ∀h̄1 , h̄2 ∈
BIR ( 0, δ )\{0}, we have k (F (x+h1 )−F (x))/h1 −(F (x+h2 )−F (x))/h2 k <
1/m. Then, ∀h1 , h2 ∈ Q with 0 < | h1 | < δ and 0 < | h2 | < δ, we have
k (F (x + h1 ) − F (x))/h1 − (F (x + h2 ) − F (x))/h2 k < 1/m. Thus, x ∈
Um,h1 ,h2 . Hence, x ∈ Ū . By the arbitrariness of x, we have U ⊆ Ū.
On the other hand, ∀x ∈ Ū. ∀m ∈ IN, ∃δ ∈ Q with δ > 0, such that
∀h1 , h2 ∈ Q with 0 < | h1 | < δ and 0 < | h2 | < δ, we have k (F (x + h1 ) −
F (x))/h1 − (F (x + h2 ) − F (x))/h2 k < 1/m. ∀h̄1 , h̄2 ∈ BIR ( 0, δ ) \ {0},
∞
∃ ( hi,n )n=1 ⊆ (Q ∩ BIR ( 0, δ )) \ {0} such that h̄i < hi,n , ∀n ∈ IN, and
limn∈IN hi,n = h̄i , i = 1, 2. ∀n ∈ IN, k (F (x + h1,n ) − F (x))/h1,n − (F (x +
h2,n ) − F (x))/h2,n k < 1/m. Then,

(F (x + h̄1 ) − F (x))/h̄1 − (F (x + h̄2 ) − F (x))/h̄2

= ( lim F (x + h1,n ) − F (x))/h̄1 − ( lim F (x + h2,n ) − F (x))/h̄2
n∈IN n∈IN
= lim k (F (x + h1,n ) − F (x))/h1,n − (F (x + h2,n ) − F (x))/h2,n k
n∈IN
≤ 1/m
where the first equality follows from the fact that F is continuous on the
right; and the second equality follows from Propositions 3.66, 3.67, and
7.23. By Proposition
4.45, limh→0 (F (x + h) − F (x))/h ∈ Y. Hence, x ∈
dom F (1) = U . By the arbitrariness of x, we have Ū ⊆ U . Therefore,
U = Ū .
By Propositions 7.21, 7.23, 11.38, and 11.39 and the fact that BB ( IR )
is translation invariant, Um,h1 ,h2 ∈ BB ( IR ), ∀m ∈ IN, ∀h1 , h2 ∈ Q with
h1 6= 0 and h2 6= 0. Then, U = Ū ∈ BB ( IR ). 2
∀n ∈ IN, define Hn : IR → Y by Hn (x) = n (F (x+ 1/n)− F (x)), ∀x ∈ IR.
By Propositions 7.23, 11.38, and 11.39 and the fact that BB ( IR ) is trans-
lation invariant, Hn is BB ( IR )-measurable. Then, Hn |U is BU -measurable.
Note that, ∀x ∈ U , F (1) (x) = limn∈IN Hn (x) = limn∈IN Hn |U (x). By
Proposition 11.48, F (1) is BU -measurable.
The case when F is continuous on the left can be proved similarly. This
Definition 12.51 (Lebesgue-Stieltjes Integral) Let U ∈ BB ( IR ), Y be

a Banach space over IK, F : IR → Y be of bounded variation, (IR, BB ( IR ) , µ)
be the unique finite Y-valued measure space whose cumulative distribution
function is F as prescribed in Theorem 12.47, Z be a normed linear space
over IK, andR g : U → B ( Y,RZ ) be BB (RIR )-measurable. We will denote

the integral U g(x) dµ(x) by U g dF or U g(x) dF (x), whenever the first
integral makes sense.
12.5 Absolute and Lipschitz Continuity

Definition 12.52 Let I ⊆ IR be an interval and Y be a normed linear
space. A function f : I → Y is said to be absolutely continuous at x0 ∈ I
if ∃a ∈ (0, ∞) ⊂ IR, ∀ǫ ∈ (0, ∞) ⊂ IR, ∃δ(ǫ) ∈ (0, a] ⊂ IR, ∀n ∈ IN,
∀x0 − a ≤ x1 ≤ x̄P 1 ≤ x2 ≤ x̄2 ≤ · · · ≤ xn ≤ x̄nP ≤ x0 + a with xi , x̄i ∈ I,
n n
i = 1, . . . , n, and i=1 (x̄i − xi ) < δ(ǫ), we have i=1 k f (x̄i ) − f (xi ) k < ǫ.
We will say that f is absolutely continuous if it is absolutely continuous at
any x0 ∈ I.
Clearly, a function that is absolutely continuous at x0 is continuous at x0 .
Proposition 12.53 Let I ⊆ IR be an interval, Y be a normed linear space

over IK, Z be a normed linear space over IK, f : I → Y and g : I → Y be
absolutely continuous at x0 ∈ I, A : I → B ( Y, Z ) be absolutely continuous
at x0 , and h : I → Z be defined by h(x) = A(x)f (x), ∀x ∈ I. Then, f + g
and h are absolutely continuous at x0 .
Proof By f being absolutely continuous at x0 , ∃af ∈ (0, ∞) ⊂ IR,

∀ǫ ∈ (0, ∞) ⊂ IR, ∃δf (ǫ) ∈ (0, af ] ⊂ IR, ∀n ∈ IN, ∀x0 − af ≤ x1 ≤
x̄1 ≤P x2 ≤ x̄2 ≤ · · · ≤ xn ≤ x̄n ≤ x0 + Pa f with xi , x̄i ∈ I, i = 1, . . . , n,
n n
and i=1 (x̄i − xi ) < δf (ǫ), we have i=1 k f (x̄i ) − f (xi ) k < ǫ. By g
being absolutely continuous at x0 , ∃ag ∈ (0, ∞) ⊂ IR, ∀ǫ ∈ (0, ∞) ⊂ IR,
∃δg (ǫ) ∈ (0, ag ] ⊂ IR, ∀n ∈ IN, ∀x0 − ag ≤ x1 ≤ x̄P 1 ≤ x2 ≤ x̄2 ≤ · · · ≤
n
xn ≤ x̄n P ≤ x0 + ag with xi , x̄i ∈ I, i = 1, . . . , n, and i=1 (x̄i − xi ) < δg (ǫ),
n
we have i=1 k g(x̄i ) − g(xi ) k < ǫ. Let a := min{af , ag } ∈ (0, +∞) ⊂ IR.
∀ǫ ∈ (0, ∞) ⊂ IR, let δ(ǫ) := min{δf (ǫ/2), δg (ǫ/2)} ∈ (0, a] ⊂ IR. ∀n ∈ IN,
∀x0 − a ≤ x1 ≤ x̄P 1 ≤ x2 ≤ x̄2 ≤ · · · ≤ xn ≤ x̄n P ≤ x0 + a with xi , x̄i ∈ I,
n n
i = 1, . . . , n,
Pn and i=1 (x̄i − x i ) < δ(ǫ), we have i=1 k (f + g)(x̄i ) − (f +
g)(xi ) k ≤ i=1 (k f (x̄i ) − f (xi ) k + k g(x̄i ) − g(xi ) k) < ǫ. Hence, f + g is
absolutely continuous at x0 .
Since f is absolutely continuous at x0 , then it is continuous at x0 .
Then, ∃āf ∈ (0, ∞) ⊂ IR, ∀x ∈ I ∩ (x0 − āf , x0 + āf ) ⊂ IR, we
have k f (x) k ≤ k f (x0 ) k + 1. By f being absolutely continuous at x0 ,
∃af ∈ (0, āf ) ⊂ IR, ∀ǫ ∈ (0, ∞) ⊂ IR, ∃δf (ǫ) ∈ (0, af ] ⊂ IR, ∀n ∈ IN,
∀x0 − af ≤ x1 ≤ x̄1 ≤ x2 ≤ x̄2 P ≤ · · · ≤ xn ≤ x̄n ≤ x0 + af
n
with
Pn x i , x̄i ∈ I, i = 1, . . . , n, and i=1 (x̄i − xi ) < δf (ǫ), we have
i=1 k f (x̄i ) − f (xi ) k < ǫ. Since A is absolutely continuous at x0 , then it is
continuous at x0 . Then, ∃āA ∈ (0, ∞) ⊂ IR, ∀x ∈ I ∩(x0 −āA , x0 +āA ) ⊂ IR,
we have k A(x) k ≤ k A(x0 ) k + 1. By A being absolutely continuous at
x0 , ∃aA ∈ (0, āA ) ⊂ IR, ∀ǫ ∈ (0, ∞) ⊂ IR, ∃δA (ǫ) ∈ (0, aA ] ⊂ IR,
12.5. ABSOLUTE AND LIPSCHITZ CONTINUITY 549
∀n ∈ IN, ∀x0 − aA ≤ x1 ≤ x̄1 ≤ x2 ≤ Px̄n2 ≤ · · · ≤ xn ≤ x̄n ≤ x0 + aA

with
Pn x i , x̄i ∈ I, i = 1, . . . , n, and i=1 (x̄i − xi ) < δA (ǫ), we have
i=1 k A(x̄ i ) − A(x i ) k < ǫ. Let a := min{af , aA } ∈ (0, +∞) ⊂ IR.
∀ǫ ∈ (0, ∞) ⊂ IR, let δ(ǫ) := min{δf (ǫ/(2 + 2 k A(x0 ) k)), δg (ǫ/(2 +
2 k f (x0 ) k))} ∈ (0, a] ⊂ IR. ∀n ∈ IN, ∀x0 − a ≤ x1 ≤ x̄1 ≤ x2 ≤
P2 n ≤ · · · ≤ xn ≤ x̄n ≤ xP
x̄ 0 + a with xi , x̄i ∈ I,Pi = 1, . . . , n, and
n n
i=1 (x̄ i −x i ) < δ(ǫ), we have i=1 k h(x̄i )−h(x
Pn i ) k = i=1 (k A(x̄i )f (x̄i )−
A(x̄i )f (xi ) + A(x̄i )f (xi ) − A(xP i )f (xi ) k ≤ i=1 (k A(x̄i ) k k f (x̄i ) − f (xi ) k +
n
k f (xi ) k k A(x̄i ) − A(xi ) k) ≤ i=1 ((1 + k A(x0 ) k) k f (x̄i ) − f (xi ) k + (1 +
k f (x0 ) k) k A(x̄i ) − A(xi ) k) < (1 + k A(x0 ) k)ǫ/(2 + 2 k A(x0 ) k) + (1 +
k f (x0 ) k)ǫ/(2 + 2 k f (x0 ) k) = ǫ. Hence, h is absolutely continuous at x0 .

over IK, Z be a normed linear space over IK, f : I → Y, g : I → Z, x0 ∈ I,
and h : I → Y × Z be defined by h(x) = (f (x), g(x)), ∀x ∈ I. Then, h is
absolutely continuous at x0 if, and only if, f and g are absolutely continuous
at x0 .
Proof “Sufficiency” By f being absolutely continuous at x0 , ∃af ∈

(0, ∞) ⊂ IR, ∀ǫ ∈ (0, ∞) ⊂ IR, ∃δf (ǫ) ∈ (0, af ] ⊂ IR, ∀n ∈ IN, ∀x0 − af ≤
x1 ≤P x̄1 ≤ x2 ≤ x̄2 ≤ · · · ≤ xn ≤ x̄n ≤ xP 0 + af with xi , x̄i ∈ I, i = 1, . . . , n,
n n
and (x̄
i=1 i − xi ) < δ f (ǫ), we have i=1 k f (x̄i ) − f (xi ) k < ǫ. By g
being absolutely continuous at x0 , ∃ag ∈ (0, ∞) ⊂ IR, ∀ǫ ∈ (0, ∞) ⊂ IR,
∃δg (ǫ) ∈ (0, ag ] ⊂ IR, ∀n ∈ IN, ∀x0 − ag ≤ x1 ≤ x̄P 1 ≤ x2 ≤ x̄2 ≤ · · · ≤
n
xn ≤ x̄n P ≤ x0 + ag with xi , x̄i ∈ I, i = 1, . . . , n, and i=1 (x̄i − xi ) < δg (ǫ),
n
we have i=1 k g(x̄i ) − g(xi ) k < ǫ. Let a := min{af , ag } ∈ (0, +∞) ⊂ IR.
∀ǫ ∈ (0, ∞) ⊂ IR, let δ(ǫ) := min{δf (ǫ/2), δg (ǫ/2)} ∈ (0, a] ⊂ IR. ∀n ∈ IN,
∀x0 − a ≤ x1 ≤ x̄P 1 ≤ x2 ≤ x̄2 ≤ · · · ≤ xn ≤ x̄n ≤ Pxn0 + a with xi , x̄i ∈ I,
n
i = 1, . . . , n, and i=1 (x̄i − xi ) < δ(ǫ), we have i=1 k h(x̄i ) − h(xi ) k =
Pn Pn 2
i=1 k (f (x̄i ) − P
f (xi ), g(x̄i ) − g(xi )) k = i=1 (k f (x̄i ) − f (xi ) k + k g(x̄i ) −
g(xi ) k2 )1/2 ≤ ni=1 (k f (x̄i ) − f (xi ) k + k g(x̄i ) − g(xi ) k) < ǫ. Hence, h is
absolutely continuous at x0 .
“Necessity” By h being absolutely continuous at x0 , ∃a ∈ (0, ∞) ⊂ IR,
∀ǫ ∈ (0, ∞) ⊂ IR, ∃δ(ǫ) ∈ (0, a] ⊂ IR, ∀n ∈ IN, ∀x0 − a ≤ x1 ≤ x̄1 ≤
x2 ≤ x̄2 ≤ · · · ≤ xn ≤ x̄n ≤ x0 P
P + a with xi , x̄i ∈ I, i =P1, . . . , n, and
n n n
i=1 (x̄ i − x i ) < δ(ǫ), we have ǫ > k h(x̄i ) − h(xi ) k = i=1 (k f (x̄i ) −
2 2 1/2 Pni=1
f (xi ) k + k g(x̄i ) − g(xi ) k ) ≥ i=1 k f (x̄i ) − f (xi ) k. Hence, f is abso-
lutely continuous at x0 . By symmetry, g is absolutely continuous at x0 .
Proposition 12.55 Let I ⊆ IR be an interval, Y be a normed linear space,

F : I → Y, and I1 , I2 ⊆ I be intervals such that I1 ∪ I2 = I. Then, the
(i) If F is absolutely continuous, then F |I1 is absolutely continuous.
(ii) If F |I1 and F |I2 are absolutely continuous and I1 and I2 are both
relatively open or both relatively closed (with respect to the subset
topology on I), then F is absolutely continuous.
Proof (i) Since F is absolutely continuous, then, ∀x ∈ I1 , F is abso-

lutely continuous at x. Then, F |I1 is absolutely continuous at x. By the
arbitrariness of x, F |I1 is absolutely continuous.
(ii) We will distinguish two exhaustive cases: Case 1: I1 and I2 are
relatively open in I; Case 2: I1 and I2 are relatively closed in I. Case 1: I1
and I2 are relatively open in I. ∀x0 ∈ I, without loss of generality, assume
x0 ∈ I1 . Since I1 is open relative to I, then ∃a ∈ (0, ∞) ⊂ IR such that
(x0 − a, x0 + a) ∩ I1 = (x0 − a, x0 + a) ∩ I. F |I1 is absolutely continuous
implies that F |I1 is absolutely continuous at x0 , which further implies that
F is absolutely continuous at x0 . By the arbitrariness of x0 , F is absolutely
continuous.
Case 2: I1 and I2 are relatively closed in I. ∀x0 ∈ I, without loss
of generality, assume x0 ∈ I1 . We will further distinguish two exhaustive
and mutually exclusive cases: Case 2a: x0 6∈ I2 ; Case 2b: x0 ∈ I2 . Case
2a: x0 6∈ I2 . Since I2 is relatively closed in I and x0 ∈ I \ I2 , then, by
Proposition 4.10, ∃a ∈ (0, ∞) ⊂ IR such that (x0 −a, x0 +a)∩I ⊆ I \I2 ⊆ I1 .
F |I1 is absolutely continuous implies that F |I1 is absolutely continuous at
x0 , which further implies that F is absolutely continuous at x0 . Case 2b:
x0 ∈ I2 . Then, x0 ∈ I1 ∩ I2 . By F |Ii is absolutely continuous, then
it is absolutely continuous at x0 and ∃ai ∈ (0, ∞) ⊂ IR, ∀ǫ ∈ (0, ∞) ⊂
IR, ∃δi (ǫ) ∈ (0, ai ] ⊂ IR, ∀n ∈ IN, ∀x0 − ai ≤ xP 1 ≤ x̄1 ≤ · · · ≤ xn ≤
n
x̄n ≤ x0 + ai with xj , x̄j ∈ Ii , j = 1, . . . , n, and j=1 (x̄j − xj ) < δi (ǫ),
Pn
we have j=1 k F (x̄j ) − F (xj ) k < ǫ, i = 1, 2. Take a := min{a1 , a2 } ∈
(0, ∞) ⊂ IR, ∀ǫ ∈ (0, ∞) ⊂ IR, let δ(ǫ) := min{δ1 (ǫ/2), δ2 (ǫ/2)} ∈ (0, a] ⊂
IR. ∀n ∈ IN, ∀x0 − a ≤ Pxn1 ≤ x̄1 ≤ · · · ≤ xn ≤ x̄n ≤ x0 + a with xj , x̄j ∈
I, j = 1, . . . , n, and j=1 (x̄j − xj ) < δ(ǫ), without loss of generality,
assume ∃j0 ∈ {1, . . . , n − 1} such that x̄j0 ≤ x0 ≤ xj0 +1 . (In case j0 does
not exist, add a pair of x0 ’s into the collection of xj ’s and x̄j ’s.) Then,
x1 ∈ I = I1 ∪ I2 . Without loss of generality, assume Pj0 x1 ∈ I1 . Then
x1 , x̄1 , . . . , xj0 , x̄j0 ∈ I1 , since I1 is an interval, and j=1 (x̄j − xj ) < δ(ǫ) ≤
Pj0
δ1 (ǫ/2). Then, j=1 k F (x̄j ) − F (xj ) k < ǫ/2. By a similar argument, we
Pn Pn
have j=j0 +1 k F (x̄j ) − F (xj ) k < ǫ/2. Then, j=1 k F (x̄j ) − F (xj ) k < ǫ.
Hence, F is absolutely continuous at x0 . In both subcases, F is absolutely
continuous at x0 . By the arbitrariness of x0 , F is absolutely continuous.
Definition 12.56 Let X be a normed linear space over IK1 , Y be a normed

linear space over IK2 , U ⊆ X, f : U → Y, and x0 ∈ U . f is said to be locally
Lipschitz at x0 (with Lipschitz constant L0 ∈ [0, ∞) ⊂ IR) if ∃δ ∈ (0, ∞) ⊂
IR, ∀x1 , x2 ∈ U ∩ BX ( x0 , δ ), we have k f (x1 ) − f (x2 ) k ≤ L0 k x1 − x2 k. f
is said to be locally Lipschitz on U if it is locally Lipschitz at x, ∀x ∈ U .
f is said to be Lipschitz on U (with Lipschitz constant L ∈ [0, ∞) ⊂ IR) if

∀x1 , x2 ∈ U , we have k f (x1 ) − f (x2 ) k ≤ L k x1 − x2 k.
Clearly, if f is locally Lipschitz at x0 , then f is continuous at x0 ; if f is

Lipschitz on U , then it is uniformly continuous; if f is Lipschitz on U , then
it is locally Lipschitz on U .
Definition 12.57 Let X be a normed linear space over IK1 , Y be a set, Z

be a normed linear space over IK2 , U ⊆ X, f : U × Y → Z, and x0 ∈ U . f is
said to be locally Lipschitz at x0 (with Lipschitz constant L0 ∈ [0, ∞) ⊂ IR)
uniformly over Y if ∃δ ∈ (0, ∞) ⊂ IR, ∀x1 , x2 ∈ U ∩ BX ( x0 , δ ), ∀y ∈ Y ,
we have k f (x1 , y) − f (x2 , y) k ≤ L0 k x1 − x2 k. f is said to be locally
Lipschitz on U uniformly over Y if it is locally Lipschitz at x uniformly
over Y , ∀x ∈ U . f is said to be Lipschitz on U (with Lipschitz constant
L ∈ [0, ∞) ⊂ IR) uniformly over Y if ∀x1 , x2 ∈ U , ∀y ∈ Y , we have
k f (x1 , y) − f (x2 , y) k ≤ L k x1 − x2 k.
Clearly, if f is Lipschitz on U uniformly over Y , then it is locally Lipschitz

on U uniformly over Y .
Proposition 12.58 Let X be a normed linear space over IK1 , Y be a set,

Z be a normed linear space over IK2 , U ⊆ X be compact, f : U × Y → Z
be locally Lipschitz on U uniformly over Y . Assume that ∀x ∈ U ,
supy∈Y k f (x, y) k < +∞. Then, f is Lipschitz on U uniformly over Y .
Proof ∀x ∈ U , by the Lipschitz continuity of f , ∃Lx ∈ [0, ∞) ⊂ IR,

∃δx ∈ (0, ∞) ⊂ IR, ∀x1 , x2 ∈ Ox := U ∩ BX ( x, δx ), ∀y ∈ Y , we have
k f (x1S, y) − f (x2 , y) k ≤ Lx k x1 − x2 k. Let Ôx := BX ( x, δx /2 ). Then,
U ⊆ x∈U Ôx , which is an open covering of U . By the compactness of U ,
S
there exists a finite set XN ⊆ U such that U ⊆ x∈XN Ôx . Let LM :=
2
max{maxx∈XN Lx , minx∈X
N x
δ maxx̂1 ,x̂2 ∈XN (supy∈Y k f (x̂1 , y) k +
supy∈Y k f (x̂2 , y) k + Lx̂1 δx̂1 /2 + Lx̂2 δx̂2 /2), 0} ∈ [0, ∞) ⊂ IR. ∀x1 , x2 ∈ U ,
∀y ∈ Y , ∃x̂1 ∈ XN such that x1 ∈ Ôx̂1 . We will distinguish two exhaus-
tive and mutually exclusive cases: Case 1: x2 ∈ Ox̂1 ; Case 2: x2 6∈ Ox̂1 .
Case 1: x2 ∈ Ox̂1 . Then, x1 , x2 ∈ Ox̂1 and k f (x1 , y) − f (x2 , y) k ≤
Lx̂1 k x1 − x2 k ≤ LM k x1 − x2 k. Case 2: x2 6∈ Ox̂1 . Then, k x2 − x̂1 k ≥ δx̂1
minx∈XN δx
and k x2 − x1 k ≥ k x2 − x̂1 k − k x1 − x̂1 k > δx̂1 /2 ≥ 2 > 0.
∃x̂2 ∈ XN such that x2 ∈ Ôx̂2 . Then, k f (x1 , y) − f (x2 , y) k ≤ k f (x1 , y) −
f (x̂1 , y) k + k f (x̂1 , y) − f (x̂2 , y) k + k f (x̂2 , y) − f (x2 , y) k ≤ Lx̂1 k x1 −
x̂1 k + k f (x̂1 , y) k + k f (x̂2 , y) k + Lx̂2 k x2 − x̂2 k ≤ supy∈Y k f (x̂1 , y) k +
min
x∈XN x δ
supy∈Y k f (x̂2 , y) k+Lx̂1 δx̂1 /2+Lx̂2 δx̂2 /2 ≤ LM 2 ≤ LM k x1 −x2 k.
Hence, in both cases, we have k f (x1 , y)− f (x2 , y) k ≤ LM k x1 − x2 k. Then,
f is Lipschitz On U uniformly over Y . This completes the proof of the
proposition. 2
Proposition 12.59 Let X be a normed linear space over IK, Y be a set,

Z be a normed linear space over IK, U ⊆ X be convex, f : U × Y → Z be
partial
differentiable
with respect to x. Assume that ∃L ∈ [0, ∞) ⊂ IR such
∂f
that ∂x (x, y) ≤ L, ∀(x, y) ∈ U × Y . Then, f is Lipschitz on U with
Lipschitz constant L uniformly over Y .
Proof ∀x1 , x2 ∈ U , ∀y ∈ Y , by Mean Value Theorem 9.23, ∃t ∈

(0, 1) ⊂ IR such that k f (x1 , y) − f (x2 , y) k ≤ ∂f
∂x (tx1 + (1 − t)x2 , y) k x1 −
x2 k ≤ L k x1 − x2 k. Hence, f is Lipschitz on U with Lipschitz constant L
uniformly over Y . This completes the proof of the proposition. 2

over IK1 , Z be a normed linear space over IK2 , U ⊆ Y, f : I → U be
absolutely continuous at x0 ∈ I, g : U → Z be locally Lipschitz at y0 :=
f (x0 ) ∈ U . Then, g ◦ f is absolutely continuous at x0 .
Proof By g being locally Lipschitz at y0 , then ∃L0 ∈ [0, ∞) ⊂ IR,

∃δg ∈ (0, ∞) ⊂ IR, ∀y1 , y2 ∈ U ∩ BY ( y0 , δg ), we have k g(y1 ) − g(y2 ) k ≤
L0 k y1 − y2 k. Since f is absolutely continuous at x0 , then it is continuous
at x0 . Then, ∃a0 ∈ (0, ∞) ⊂ IR such that ∀x0 − a0 < x < x0 + a0 ,
we have f (x) ∈ U ∩ BY ( y0 , δg ). By the absolute continuity of f at x0 ,
∃af ∈ (0, a0 ) ⊂ IR, ∀ǫ ∈ (0, ∞) ⊂ IR, ∃δf (ǫ) ∈ (0, af ] ⊂ IR, ∀n ∈ IN,
∀x0 − af ≤ x1 ≤ P x̄1 ≤ x2 ≤ x̄2 ≤ · · · ≤ xn ≤ x̄n P ≤ x0 + af with xi , x̄i ∈ I,
i = 1, . . . , n, and ni=1 (x̄i − xi ) < δ(ǫ), we have ni=1 k f (x̄i ) − f (xi ) k < ǫ.
For the function g ◦ f , take a = af ∈ (0, ∞) ⊂ IR, ∀ǫ ∈ (0, ∞) ⊂ IR,
let δ(ǫ) = δf (ǫ/(1 + L0 )) ∈ (0, a] ⊂ IR. ∀n ∈ IN, ∀x0 − a ≤ x1 ≤ x̄1 ≤
x2 ≤ x̄2 ≤ · · · ≤ xn ≤ x̄n ≤ x0 + a with xi , x̄i ∈ I, i = 1, . P
P . . , n, and
n n
i=1 i (x̄ − xi ) < δ(ǫ), we
Pn have f (x̄i ), f (xi ) ∈ U ∩ B Y ( y ,
0 gδ ) and i=1 k g ◦
ǫ
f (x̄i ) − g ◦ f (xi ) k ≤ i=1 L0 k f (x̄i ) − f (xi ) k ≤ L0 1+L0 < ǫ. Hence, g ◦ f
is absolutely continuous at x0 . This completes the proof of the proposition.
2
Definition 12.61 Let a, b ∈ IR, I ⊂ IR be the closed interval with a and

b as end points, I := ((I, | · |), B, µ) be the finite complete metric measure
subspace of R, Y be a normed linear space, and f : I → Y be B-measurable.
We will write
Z b Z b R
I Rf dµB if b ≥ a
f (x) dx := f dµB :=
a a − I f dµB if b < a
whenever the right-hand-side makes sense.
Fact 12.62 Let a, b, c ∈ IR with a ≤ c ≤ b, I := [a, b] ⊂ IR, I :=

((I, | · |), B, µ) be the finite complete metric measure subspace of R, Y be
a separable Banach space, and f : I → Y be absolutely integrable over I.
Rc Rb Rb
Then, a f (x) dx + c f (x) dx = a f (x) dx ∈ Y.
Proof Let J1 := [a, c] ⊂ IR, J2 := (c, b] ⊂ IR, (J2 = ∅ if

Rb
c = b) and J¯2 := [c, b] ⊂ IR. By Proposition 11.90, a f (x) dx =
R R R Rc R
I
f dµB = J1 f dµB + J2 f dµB = a f (x) dx + J2 f dµB ∈ Y. Note that
R R R R Rb
J2 f dµB = I (f χJ2 ,I ) dµB = I (f χJ¯2 ,I ) dµB = J¯2 f dµB = c f (x) dx,
where the second equality follows from (vi) of Proposition 11.90. Then,
Rc Rb Rb
a
f (x) dx + c f (x) dx = a f (x) dx ∈ Y. 2
Proposition 12.63 Let I ⊆ IR be an interval, I := ((I, | · |), B, µ) be the

σ-finite metric measure subspace of R, Y be a normed linear space over
IK, and F : I → Y be absolutely
 continuous. ∀a, b ∈ I with a ≤ b, define
 ϑY x<a
Fa,b : IR → Y by Fa,b (x) = F (x) − F (a) a ≤ x ≤ b , ∀x ∈ IR. Then,

F (b) − F (a) x > b
(i) Fa,b is of bounded variation and is absolutely continuous.
(ii) If Y is a Banach space, then Fa,b is the cumulative distribution

function of a finite Y-valued measure space (IR, BB ( IR ) , νa,b ) with
P ◦ νa,b ≪ µB .
(iii) Let Y be a separable reflexive Banach space over IK with Y∗ being

separable, then ∃f : I → Y which is B-measurable such that ∀a, b ∈ I
with a ≤ b, f |[a,b] is absolutely integrable over Ia,b , where Ia,b :=
(([a, b], | · |), Ba,b , µa,b ) is the finite complete metric measure subspace
Rb
of R, and F (b) = F (a) + a f (x) dx (or equivalently F (a) = F (b) +
Ra
b f (x) dx.) Furthermore, f is unique in the sense that if g : I → Y
is another function with the above property, we have f = g a.e. in I.
Proof (i) Clearly, Fa,b |[a,b] = F |[a,b] − F (a). By Propositions 12.55

and 12.53, Fa,b |[a,b] is absolutely continuous. Note that Fa,b |(−∞,a] = ϑY ,
which is absolutely continuous. Note also that Fa,b |[b,∞) = F (b) − F (a),
which is also absolutely continuous. By Proposition 12.55, Fa,b is absolutely
continuous.
Note that limx→−∞ Fa,b (x) = ϑY , limx→∞ Fa,b (x) = F (b) − F (a), and
Fa,b is continuous. ∀x ∈ [a, b] ⊂ IR, F is absolutely continuous at x implies
that ∃λx ∈ (0, ∞) ⊂ IR, ∀ǫ ∈ (0, ∞) ⊂ IR, ∃δx (ǫ) ∈ (0, λx ] ⊂ IR, ∀n ∈ IN,
∀x −P λx ≤ x1 ≤ x̄1 ≤ · · · ≤ xn ≤ x̄n ≤ xP+ λx with xi , x̄i ∈ I, ∀i = 1, . . . , n,
n n
and i=1 S (x̄i − xi ) < δx (ǫ), we have i=1 k F (x̄i ) − F (xi ) k < ǫ. Then,
[a, b] ⊆ x∈[a,b] (x − λx , x + λx ) ⊂ IR. By the compactness of [a, b], there
exists a Sfinite set XN := {x̃1 , . . . , x̃p } ⊆ [a, b] ⊂ IR, where p ∈ IN, such that
p
[a, b] ⊆ i=1 (x̃i − λx̃i , x̃i + λx̃i ) ⊂ IR. Without loss of generality, assume
a = x̃1 < · · · < x̃p = b and x̃i + λx̃i > x̃i+1 − λx̃i+1 , ∀i ∈ {1, . . . , p − 1}.
∀n ∈ IN, ∀ − ∞ < x1 < · · · < xn < +∞, Without loss of generality,
assume x1 , . . . , xn can be split into p + 2 segments: −∞ < x1 < · · · <
xi1 = a; x̃1 − λx̃1 ≤ a = xi1 < xi1 +1 < · · · < xi2 ≤ x̃1 + λx̃1 ; x̃2 − λx̃2 ≤
xi2 < xi2 +1 < · · · < xi3 ≤ x̃2 + λx̃2 ; · · ·; x̃p − λx̃p ≤ xip < xip +1 <
· · · < xip+1 = b ≤ x̃p + λx̃p ; and b = xip+1 < xip+1 +1 < · · · < xn < ∞.
Pij+1 Pij+1
Then, ∀j = 1, . . . , p, i=i j +1
k Fa,b (xi ) − Fa,b (xi−1 ) k = i=ij +1
k F (xi ) −
l 2λ m Pi1
x̃j
F (xi−1 ) k ≤ δx̃ (1) . It is easy to see that k Fa,b (x1 ) k + i=2 k Fa,b (xi ) −
j
Pn
Fa,b (xi−1 ) k = 0 and i=ip+1 +1 k Fa,b (xi ) − Fa,b (xi−1 ) k = 0. Hence, we
P P l 2λ m
have k Fa,b (x1 ) k + ni=2 k Fa,b (xi ) − Fa,b (xi−1 ) k ≤ pj=1 δx̃ (1)
x̃j
< +∞.
j
Hence, Fa,b is of bounded variation.
(ii) Let Y be a Banach space. By Theorem 12.47, Fa,b is the cumulative

distribution function of a finite Y-valued measure space (IR, BB ( IR ) , νa,b )
+∞
with P ◦ νa,b (IR) = T−∞ ( Fa,b ). ∀E ∈ BB ( IR ) with µB (E) = 0,
ǫ
∀ǫ ∈ (0, ∞) ⊂ IR, let δ(ǫ) := mini∈{1,...,p} δx̃i ( 2p ) ∈ (0, ∞) ⊂ IR. By Propo-
sition 11.23, ∃O ∈ OIR with E ⊆ O such that µB (O \ E) < δ(ǫ). Then,
µB (O) S∞ = µB (O \ E) + µB (E) < δ(ǫ). By Proposition 2.8 in Royden (1988),
O = i=1 Ii , where I1 , I2 , . . . are pairwise disjoint open intervals. Without
loss of generality,Passume Ii is nonempty P∞ and Ii = (x̂i,1 , x̂i,2 ) ⊂ IR, ∀i ∈ IN.
∞
Then,
P∞ µ B (O) = µ
i=1PB i (I ) = i=1 i,2 − x̂i,1 ) < δ(ǫ) and P ◦ νa,b (O) =
(x̂
∞
i=1 P ◦ ν (I
a,b i ) ≤ i=1 (G a,b i,2 ) − Ga,b (x̂i,1 )), where Ga,b : IR → IR
(x̂
is the cumulative distribution function of P ◦ νa,b . By Proposition Pn 12.48,
we have Ga,b (x) = supn∈IN,−∞<x1 <···<xn =x (k Fa,b (x1 ) k + j=2 k Fa,b (xj ) −
Fa,b (xj−1 ) k), ∀x ∈ IR. Then, for any fixed Pi ∈ IN, we have Ga,b (x̂i,2 ) −
Ga,b (x̂i,1 ) = supn∈IN,x̂i,1 =x1 <x2 <···<xn =x̂i,2 nj=2 k Fa,b (xj ) − Fa,b (xj−1 ) k.
Then, there exists ni ∈ IN, ∃x̂i,1 Pn=i x̄i,1 < x̄i,2 < · · · < x̄i,ni = x̂i,2−i−1 such
that Ga,b (x̂i,2 ) − Ga,b (x̂i,1 ) < k Fa,b (x̄i,j ) − F a,b (x̄i,j−1 ) k + 2 ǫ.
Pn j=2 Pn Pni
Fix any n ∈ IN, we have i=1 P ◦ ν (I
a,b i ) < i=1 j=2 k F (x̄
a,b i,j ) −
P
Fa,b (x̄i,j−1 ) k + ǫ/2 =: ñl=1 k Fa,b (xl,2 ) − Fa,b (xl,1 ) k + ǫ/2, where ñ ∈ IN
and −∞ < x1,1 ≤ x1,2 ≤ x2,1 ≤ x2,2 ≤ · · · ≤ xñ,1 ≤ xñ,2 < +∞
Pñ
with i=1 (xi,2 − xi,1 ) < µB (O) < δ(ǫ). By possibly adding points
into the above selection, we may split the selection into p + 2 segments:
−∞ < x1,1 ≤ x1,2 ≤ · · · ≤ xi1 ,1 ≤ xi1 ,2 ≤ a; x̃1 − λx̃1 < a ≤ xi1 +1,1 ≤
xi1 +1,2 ≤ · · · ≤ xi2 ,1 ≤ xi2 ,2 ≤ x̃1 +λx̃1 ; x̃2 −λx̃2 ≤ xi2 +1,1 ≤ xi2 +1,2 ≤ · · · ≤
xi3 ,1 ≤ xi3 ,2 ≤ x̃2 + λx̃2 ; . . .; x̃p − λx̃p ≤ xip +1,1 ≤ xip +1,2 ≤ · · · ≤ xip+1 ,1 ≤
xip+1 ,2 ≤ b ≤ x̃p + λx̃p ; b ≤ xip+1 +1,1 ≤ xip+1 +1,2 ≤ · · · ≤ xñ,1 ≤ xñ,2 < ∞.
Pi1 Pñ
Note that j=1 k Fa,b (xj,2 ) − Fa,b (xj,1 ) k = 0 and j=ip+1 +1 k Fa,b (xj,2 ) −
Pij+1
Fa,b (xj,1 ) k = 0. Note also that ∀j ∈ {1, . . . , p}, l=ij +1 (xl,2 − xl,1 ) <
ǫ Pij+1
δ(ǫ) ≤ δx̃j ( 2p ), which implies that l=ij +1 k Fa,b (xl,2 ) − Fa,b (xl,1 ) k =
Pij+1 ǫ
Pn
l=ij +1 k F (xl,2 ) − F (xl,1 ) k < 2p . Then, we have P∞ i=1
P ◦ νa,b (Ii ) < ǫ.
By the arbitrariness of n, we have P ◦ νa,b (O) = i=1 P ◦ νa,b (Ii ) ≤ ǫ. This
implies that P ◦ νa,b (E) ≤ P ◦ νa,b (O) ≤ ǫ. By the arbitrariness of ǫ, we
have P ◦ νa,b (E) = 0. By the arbitrariness of E, we have P ◦ νa,b ≪ µB .
(iii) Let Y be a separable reflexive Banach space with Y∗ being separable.

∀a, b ∈ I with a ≤ b, by (ii), Fa,b is the cumulative distribution function
of a finite Y-valued measure space (IR, BB ( IR ) , νa,b ) with P ◦ νa,b ≪ µB .
By Radon-Nikodym Theorem 11.163, there exists fa,bR : IR → Y, which
is absolutely integrable over R, such that νa,b (E) = E fa,b dµB , ∀E ∈
BB ( IR ). Furthermore, the function fa,b is unique in the sense that if ga,b :
IR → Y is another function with this property, then fa,b = ga,b a.e. in R.
Clearly, ∀xR ∈ [a, b], Fa,b (x) =
R νa,b ((−∞, x]) =R νxa,b ((−∞, a]) + νa,b ((a, x]) =
Fa,b (a) + (a,x] fa,b dµB = [a,x] fa,b dµB = a fa,b dµB , where the fourth
equality follows from Proposition 11.90.
The result is trivial if I = ∅. Let I 6= ∅. Since I is an interval, then
∞ ∞
there exists intervals ( Ui )i=1 = ( [ai , bi ] )i=1 with −∞ < · ·S· ≤ an ≤ · · · ≤
∞
a2 ≤ a1 ≤ b 1 ≤ b 2 ≤ · · · ≤ bn ≤ · · · < +∞ such that I = i=1 Ui . Define
fa1 ,b1 (x) x ∈ U1
f : I → Y by f (x) = . By
fai ,bi (x) x ∈ Ui \ Ui−1 for some i ∈ IN
Proposition 11.41, f is BB ( IR )-measurable.
We will show that f |[ai ,bi ] = fai ,bi |[ai ,bi ] a.e. in Iai ,bi , ∀i ∈ IN. In the
rest of this proof, for notational convenience, we will write [x1 , x1 ) or (x1 , x1 ]
instead of ∅, where x1 ∈ IR. Fix any i ∈ IN. Define hi : IR → Y by hi (x) =

 ϑY x < ai
f (x) ai ≤ x ≤ bi , ∀x ∈ IR. By Proposition 11.41, hi is BB ( IR )-

ϑY x > bi R R R
measurable. Note that IR P ◦ hi dµB = (−∞,ai ) P ◦ hi dµB + [ai ,bi ] P ◦
R P R R
f dµB + (bi ,∞) P ◦hi dµB = 0+ ij=2 [aj ,aj−1 ) P ◦f dµB + [a1 ,b1 ] P ◦f dµB +
Pi R Pi R R
j=2 (bj−1 ,bj ] P ◦ f dµB + 0 = j=2 [aj ,aj−1 ) P ◦ faj ,bj dµB + [a1 ,b1 ] P ◦
Pi R Pi
fa1 ,b1 dµB + j=2 (bj−1 ,bj ] P ◦ faj ,bj dµB = j=2 P ◦ νaj ,bj ([aj , aj−1 )) + P ◦
Pi Pi
νa1 ,b1 ([a1 , b1 ]) + j=2 P ◦ νaj ,bj ((bj−1 , bj ]) ≤ j=1 P ◦ νaj ,bj (IR) < +∞,
where the first equality follows from Proposition 11.87; the second equality
follows from Propositions 11.76 and 11.87; the fourth equality follows from
Proposition 11.113; the first inequality follows from Proposition 11.4; and
the second inequality follows from the fact that νaj ,bj is finite, ∀j ∈ IN.
Hence, hiR is absolutely integrable over R. Define νi : BB ( IR ) → Y by
νi (E) = E hi dµB , ∀E ∈ BB ( IR ). By Proposition 11.113, νi is a finite
Y-valued measure on (IR, BB ( IR )). Let Fi : IR → Y be its cumulative
distribution function. ∀x ∈ IR, we will show that Fi (x) = Fai ,bi (x) by
distinguishing five exhaustive and mutually exclusive cases: Case 1: x ∈
(−∞, ai ) ⊂ IR; Case 2: x ∈ [aj , aj−1 ) ⊂ IR for some j ∈ {2, . . . , i}; Case 3:
x ∈ [a1 , b1 ] ⊂ IR; Case 4: x ∈ (bj−1 , bj ] ⊂ IR for some j ∈ {2, . . . , i}; Case
5: x ∈ (bi , ∞) ⊂ IR.
R Case 1: x ∈ (−∞, ai ) ⊂ IR. By Proposition 11.73, Fi (x) = νi ((−∞, x]) =
(−∞,x] i
h dµB = ϑY = Fai ,bi (x).
Case 2: x ∈ [aj , aj−1 ) ⊂ IR for some j ∈ {2, . . . , i}. Fi (x) =
R R Pi R R
(−∞,x] hi dµB = (−∞,ai ) hi dµB + l=j+1 [al ,al−1 ) hi dµB + [aj ,x] hi dµB =
Pi R R
ϑY + l=j+1 [al ,al−1 ) fal ,bl dµB + f
[a ,x] aj ,bj
dµB =
Pi R R Pji
l=j+1 (al ,al−1 ] fal ,bl dµB + (aj ,x] faj ,bj dµB = l=j+1 νal ,bl ((al , al−1 ]) +
Pi
νaj ,bj ((aj , x]) = l=j+1 (Fal ,bl (al−1 ) − Fal ,bl (al )) + Faj ,bj (x) − Faj ,bj (aj ) =
Pi
l=j+1 (F (al−1 )− F (al ))+ F (x)− F (aj ) = F (x)− F (ai ) = Fai ,bi (x), where
the second, third, and fourth equalities follow from Propositions 11.90 and
11.73.
R R
Case 3: x ∈ [a1 , b1 ] ⊂ IR. Fi (x) = (−∞,x] hi dµB = (−∞,ai ) hi dµB +
Pi R R Pi R
l=2 [al ,al−1 ) hi dµB + [a1 ,x] hi dµB = ϑY + l=2 [al ,al−1 ) fal ,bl dµB +
R Pi R R
[a1 ,x] fa1 ,b1 dµB = l=2 (al ,al−1 ] fal ,bl dµB + (a1 ,x] fa1 ,b1 dµB =
Pi Pi
l=2 νal ,bl ((al , al−1 ]) + ν Pa1 ,b1 ((a1 , x]) = l=2 (Fal ,bl (al−1 ) − Fal ,bl (al )) +
i
Fa1 ,b1 (x) − Fa1 ,b1 (a1 ) = l=2 (F (al−1 ) − F (al )) + F (x) − F (a1 ) = F (x) −
F (ai ) = Fai ,bi (x), where the second, third, and fourth equalities follow
from Propositions 11.90 and 11.73.
Case 4: x ∈ (bj−1 , bj ] ⊂ IR for some j ∈ {2, . . . , i}. Fi (x) =
R R P R R
(−∞,x] i
h dµB = (−∞,b1 ] hi dµB + j−1 l=2 (bl−1 ,bl ] hi dµB + (bj−1 ,x] hi dµB =
Pj−1 R R
Fi (b1 ) + l=2 (bl−1 ,bl ] fal ,bl dµB + (bj−1 ,x] faj ,bj dµB = Fi (b1 ) +
Pj−1 Pj−1
l=2 nual ,bl ((bl−1 , bl ]) + νaj ,bj ((bj−1 , x]) = Fi (b1 ) + l=2 (Fal ,bl (bl ) −
Pj−1
Fal ,bl (bl−1 )) + Faj ,bj (x) − Faj ,bj (bj−1 ) = F (b1 ) − F (ai ) + l=2 (F (bl ) −
F (bl−1 )) + F (x) − F (bj−1 ) = F (x) − F (ai ) = Fai ,bi (x), where the second
equality follows from Proposition 11.90; and the sixth equality follows from
Case 3.
R R
Case 5: x ∈ (bi , ∞) ⊂ IR. Fi (x) = (−∞,x] hi dµB = (−∞,bi ] hi dµB +
R
(bi ,x] hi dµB = Fi (bi ) + ϑY = F (bi ) − F (ai ) = Fai ,bi (x), where the second
equality follows from Proposition 11.90; the third equality follows from
Proposition 11.73; and the fourth equality follows from Case 4.
Hence, Fi = Fai ,bi . By Theorem 12.47, νi = νai ,bi . By Radon-
Nikodym Theorem 11.163, fai ,bi = hi a.e. in R. Therefore, f |[ai ,bi ] =
fai ,bi |[ai ,bi ] a.e. in Iai ,bi , ∀i ∈ IN.
R ∀a, b ∈ I with aR ≤ b, ∃i ∈ IN such that [a, b] ⊆ Ui = [ai , bi ] ⊂ IR.

[a,b] P ◦ f dµB = [a,b] P ◦ fai ,bi dµB < ∞, where the equality follows
from the fact that f |[ai ,bi ] = fai ,bi |[ai ,bi ] a.e. in Iai ,bi ; and the inequal-
ity follows from the fact that fai ,bi is absolutely integrable over R. Hence,
Rb R
f |[a,b] is absolutely integrable over Ia,b . Then, a f (x) dx = [a,b] f dµB =
R R R
[a,b] hi dµB = (a,b] hi dµB = (a,b] fai ,bi dµB = Fai ,bi (b) − Fai ,bi (a) =
F (b) − F (a), where the second, third, and fourth equalities follow from
Rb
Proposition 11.90. Hence, F (b) = F (a) + a f (x) dx.
Finally, we will show that f is unique as desired. Let g : I → Y be
another function such that g is B-measurable, ∀a, b ∈ I with a ≤ b, g|[a,b]
Rb
is absolutely integrable over Ia,b , and F (b) = F (a) + a g dµB . Fix any

 ϑY x < ai
i ∈ IN, define gi : IR → Y by gi (x) = g(x) ai ≤ x ≤ bi , ∀x ∈ IR. Note

R R ϑY R x > bi R
that IR P ◦ gi dµB = (−∞,ai ) P ◦ gi dµB + [ai ,bi ] P ◦ gi dµB + (bi ,∞) P ◦
R
gi dµB = 0 + [ai ,bi ] P ◦ g dµB + 0 < +∞, where the first equality follows
from Proposition 11.87; the second equality follows from Proposition 11.76;
and the inequality follows from the fact that g|[ai ,bi ] is absolutely integrable
over Iai ,bi . Then,
R gi is absolutely integrable over R. Define ν̄i : BB ( IR ) → Y
by ν̄i (E) = E gi dµB , ∀E ∈ BB ( IR ). By Proposition 11.113, ν̄i is a finite
Y-valued measure on (IR, BB ( IR )). Let Ḡi : IR → Y be the cumulative
distribution function of ν̄i . ∀x ∈ IR, we will show that Ḡi (x) = Fai ,bi (x)
by distinguishing three exhaustive and mutually exclusive cases: Case 1:
x < ai ; Case 2: ai ≤ x ≤ bi ; Case 3: x > biR.
Case 1: x < ai . Ḡi (x) = ν̄i ((−∞, x]) = (−∞,x] gi dµB = ϑY = Fai ,bi (x).
R
Case 2: ai ≤ x ≤ bi . Ḡi (x) = ν̄i ((−∞, x]) = (−∞,x] gi dµB =
R R Rx
(−∞,ai ) gi dµB + [ai ,x] gi dµB = ϑY + ai g dµB = F (x) − F (ai ) = Fai ,bi (x),
where the third equality follows from Proposition 11.90; and the fourth
equality follows from Proposition 11.73.
Case 3: x >R bi . Ḡi (x) = ν̄i ((−∞, x]) = ν̄i ((−∞, bi ]) + ν̄i ((bi , x]) =
F (bi ) − F (ai ) + (bi ,x] gi dµB = F (bi ) − F (ai ) = Fai ,bi (x), where the third
equality follows from Case 2; and the fourth equality follows from Proposi-
tion 11.73.
Hence, Ḡi = Fai ,bi = Fi . By Theorem 12.47, we have ν̄i = νi = νai ,bi .
By Radon-Nikodym Theorem 11.163, gi = hi a.e. in R. Then, gi |Ui =
hi |Ui a.e. in Iai ,bi . Then, g = f a.e. in I.

σ-finite metric measure subspace of R, Y be a separable Banach space over
IK, f : I → Y be B-measurable, F : I → Y, x0 ∈ I, and y0 ∈ Y. Assume
that ∀x ∈ I, let Ix be the closed interval with end points x0 and x and
Ix := ((Ix , |·|), Bx , µx ) be the finite complete metric measure
Rx subspace of R,
f is absolutely integrable over Ix , and F (x) = y0 + x0 f dµB . Then, F is
absolutely continuous.
Proof ∀x ∈ I, without loss of generality, assume x ≥ x0 . If x is the
right end point of I, then take a1 = 1, otherwise take a1 ∈ (0, ∞) ⊂ IR such
that x + a1 ∈ I. If x is the left end point of I, then take a2 = 1, otherwise
take a2 ∈ (0, ∞) ⊂ IR such that x−a2 ∈ I. Let a := min{a1 , a2 } ∈ (0, ∞) ⊂
IR. Consider the interval I¯ := [min{x0 , x−a}, x+a]∩I =: [xa , xb ] ⊆ I ⊂ IR.
By the assumption and Proposition 11.87, f is absolutely integrable over
¯ | · |), B̄, µ̄) is the finite complete metric measure subspace
Ī, where Ī := ((I,
of R. By Proposition 11.81, ∀ǫ ∈R (0, ∞) ⊂ IR, ∃δ(ǫ) ∈ (0, a] ⊂ IR, ∀A ∈
B̄ with µB (A) < δ(ǫ), we have A P ◦ f dµB < ǫ. ∀n ∈ IN, ∀x − a ≤
x1 ≤ x̄1 ≤ · · · ≤ xn ≤ x̄n ≤ x + a with xi , x̄i ∈ I, i = 1, . . . , n, and
Pn ¯ i = 1, . . . , n. Pn k F (x̄i ) −
i=1 (x̄i − xi ) < δ(ǫ), we have xi , x̄i ∈ I, P i=1
Pn R x̄ Rx n R x̄
F (xi ) k = i=1 y0 + x0i f dµB − y0 − x0i f dµB = i=1 xii f dµB ≤
Pn R R
i=1 [xi ,x̄i ] P ◦ f dµB = A P ◦ f dµB , where the second equality follows
from Fact
Sn 12.62; the first inequality followsPfrom Proposition 11.90; and
n
A
Pn = i=1 [x i , x̄i ] ∈ B̄. Clearly, µB (A) = i=1 i − xi ) < δ(ǫ). Then,
(x̄
i=1 k F (x̄i ) − F (x i ) k < ǫ. This implies that F is absolutely continuous
at x. By the arbitrariness of x, F is absolutely continuous. This completes
Definition 12.65 Let I ⊆ IR be an interval, I := ((I, | · |), B, µ) be the
σ-finite metric measure subspace of R, Y be a separable Banach space over
IK, f : I → Y be B-measurable, and F : I → Y. Assume that ∀a, b ∈ I
with a ≤ b, let Ia,b := (([a, b], | · |), Ba,b , µa,b ) be the finite complete metric
measure subspace of R, f |[a,b] is absolutely integrable over Ia,b , and F (b) =
Rb
F (a) + a f dµB . Then, f is said to be the Radon-Nikodym derivative of
F.
σ-finite metric measure subspace of R, Y be a separable reflexive Banach
space with Y∗ being separable, F : I → Y. Then, F is absolutely continuous
if, and only if, there exists f : I → Y that is the Radon-Nikodym derivative
of F . Furthermore, g : I → Y is another function with the above property
if, and only if, f = g a.e. in I.
Proof This is a summary of results presented in Propositions Propo-
sition 12.63 and 12.64. The details are omitted. 2
The above results states that if a function maps into a separable reflexive
Banach space whose dual is also separable, then, the function being abso-
lutely continuous is equivalent to there exists a Radon-Nikodym derivative
of the function. Furthermore, the Radon-Nikodym derivative is unique.
When, the range space is only separable, then an absolutely continuous
function may or may not admit a Radon-Nikodym derivative. The next
result states that when the Radon-Nikodym derivative exists, then it is
unique
Theorem 12.67 Let I ⊆ IR be an interval, I := ((I, | · |), B, µ) be the σ-
finite metric measure subspace of R, Y be a separable Banach space, F :
I → Y, f : I → Y be the Radon-Nikodym derivative of F , and g : I → Y be
B-measurable. Then, g is also the Radon-Nikodym derivative of F if, and
only if, f = g a.e. in I.
Proof ∀a, b ∈ I with a ≤ b, let Ia,b := [a, b] ⊂ IR and Ia,b :=
((Ia,b , | · |), Ba,b , µa,b ) be the finite complete metric measure subspace of
R.
“Sufficiency” By f being the Radon-Nikodym derivative of F , we have
Rb
f |[a,b] is absolutely integrable over Ia,b and F (b) = F (a)+ a f dµB . By f =
12.6. FUNDAMENTAL THEOREM OF CALCULUS 559
g a.e. in I, we have f |[a,b] = g|[a,b] a.e. in Ia,b . Hence, g|[a,b] is absolutely

integrable over Ia,b by Proposition 11.90. Again, by Proposition 11.90,
Rb
F (b) = F (a) + a g dµB . Hence, g is the Radon-Nikodym derivative of F .
“Necessity” By f being the Radon-Nikodym derivative of F , we have
Rb
f |[a,b] is absolutely integrable over Ia,b and F (b) = F (a) + a f dµB . By
g being the Radon-Nikodym derivative of F , we have g|[a,b] is absolutely
Rb
integrable over Ia,b and F (b) = F (a) + a g dµB . By Proposition 11.90,
Rb
(f − g)|[a,b] is absolutely integrable over Ia,b and a (f − g) dµB = ϑY . De-

 ϑY x<a
fine ha,b : IR → Y by ha,b (x) = f (x) − g(x) a ≤ x ≤ b , ∀x ∈ IR.

ϑY x>b
It is easy to show that ha,b is Rabsolutely integrable over R. Define
νa,b : BB ( IR ) → Y by νa,b (E) = E ha,b dµB , ∀E ∈ BB ( IR ). By Propo-
sition 11.113, νa,b is a finite Y-valued measure on (IR, BB ( IR )). Let Ha,b :
IR → Y be the cumulative
R distribution function of νa,b . ∀x < a, Ha,b (x) =
νa,b ((−∞, x]) = (−∞,x] ha,b dµB = ϑY , where the third equality follows
R
from Proposition 11.73. ∀x ∈ [a, b] ⊂ IR, Ha,b (x) = (−∞,x] ha,b dµB =
R R Rx
(−∞,a) a,b
h dµB + [a,x] ha,b dµB = ϑY + a (f − g) dµB = ϑY , where the sec-
ond equality follows from Proposition 11.90; and the third equality follows
from Proposition 11.73. R ∀x > b, Ha,b (x) = νa,b ((−∞, x]) = νa,b ((−∞, b]) +
νa,b ((b, x]) = ϑY + (b,x] ha,b dµB = ϑY , where the fourth equality fol-
lows from Proposition 11.73. Hence, Ha,b (x) = ϑY , ∀xR∈ IR. By Theo-
rem 12.47, we have νa,b (E) = ϑY , ∀E ∈ BB ( IR ). Then, E ha,b dµB = ϑY ,
∀E ∈ BB ( IR ). By Proposition 11.175, we have P ◦ ha,b ≤ 0 a.e. in R.
Hence, ha,b = ϑY a.e. in R. This implies that ha,b |[a,b] = (f − g)|[a,b] =
ϑY a.e. in Ia,b . By the arbitrariness of a and b and the fact that I is an
interval, we have f = g a.e. in I.
12.6 Fundamental Theorem of Calculus

Definition 12.68 Let m ∈ IN, E ⊆ IRm and I ⊆ BB ( IRm ) be a collection
of nondegenerate balls (must not be open) in IRm , i. e., µLm (I) > 0, ∀I ∈ I.
We will say that I covers E in the sense of Vitali if ∀ǫ ∈ (0, ∞) ⊂ IR,
∀x ∈ E, ∃I ∈ I such that x ∈ I and dia(I) < ǫ.
Lemma 12.69 (Vitali) Let m ∈ IN, IRm be endowed with the usual pos-
itive cone, E ⊆ IRm with µLmo (E) < +∞ and I ⊆ BB ( IRm ) be a col-
lection of nondegenerate balls in IRm that covers E in the sense of Vitali.
Then, ∀ǫ ∈ (0, ∞) ⊂ IR, there exists a finite pairwise Sndisjoint collection
{I1 , . . . , In } ⊆ I, where n ∈ Z+ , such that µLmo (E \ ( i=1 Ii )) < ǫ.

Proof Let Î := I1 ⊆ IRm I1 ∈ I . Then, Î is a collection of non-
degenerate closed balls in IRm that covers E in the sense of Vitali. We will
first show that the result holds for Î. Fix any ǫ ∈ (0, ∞) ⊂ IR.
PBy Exam-
∞
ple 11.21, µLmo (E) = inf (Ui)∞ are open rectangles, E⊆S∞ Ui i=1 µLm (Ui ) <
i=1 i=1
+∞. Then, ∃O ∈ OIR such that E ⊆ O and µLm (O) < +∞. By neglect-
ing balls in Î, we may without loss of generality, assume that U ⊆ O,
∀U ∈ Î. ∀k ∈ Z+ , assume that pairwise disjoint U1 , . . . , Uk ∈ Î has
already be chosen. We will S distinguish two exhaustive Sk and mutually ex-
k
clusive cases: Case 1: E ⊆ i=1 Ui ; Case 2: E \ ( i=1 Ui ) 6= ∅. Case 1:
S S
E ⊆ ki=1 Ui . Then, µLmo (E \ ( ki=1 Ui )) = 0. The result holds for Î.
Sk
Case 2: E \ ( i=1 Ui ) 6= ∅. Let lk be the supremum of the diameters of
balls in Î that S U1 , . . . , Uk . Clearly, lk ≤ 1 < +∞. Then,
S do not intersect
∃x0 ∈ E \ ( ki=1 Ui ). Since ki=1 Ui is closed, then, by Proposition 4.10,
d := inf x∈Sk Ui | x − x0 | > 0. Then, by the assumption, ∃Û ∈ Î such that
i=1
x0 ∈ Û and dia(Û ) < d. Then, Û ∩ Ui = ∅, i = 1, . . . , k. This shows that

lk ≥ dia(Û ) > 0. Hence, ∃Uk+1 ∈ Î such that U1 , . . . , Uk+1 ∈ Î are pair-
wise disjoint and dia(Uk+1 ) ≥ lk /2. Inductively, we either have the result
∞
holds for Î or ∃ ( Uk )k=1 ⊆ Î such that dia(Uk+1 ) ≥ lk /2, ∀k ∈ Z+ and the
sequence is pairwise disjoint. S∞
InSthe latter P case, we have O P ⊇ k=1 Uk and +∞ > µLm (O) ≥
∞ ∞ ∞ 3
µLm ( k=1 Uk ) = k=1 µLm (Uk ) ≥ P∞ k=0 π(lk /2) /6. Hence, limk∈IN lk =
m
0. Then, ∃n ∈ IN such that µ
i=n+1 Lm (U i ) < ǫ/5 . Let R :=
Sn
E \ ( k=1 Uk ). Without loss of generality, assume Uk = B IR ( xk ,Spk ) IRm
m
for some xk ∈ IRm and pk ∈ (0, ∞) ⊂ IR, ∀k ∈ IN. ∀x̄ ∈ R, since nk=1 Uk
is closed, then, by Proposition 4.10, d := inf x∈Snk=1 Uk | x − x̄ | > 0. By
the assumption, ∃U ∈ Î such that x̄ ∈ U and 0 < dia(U ) < d. Then,
U ∩ Uk = ∅, ∀k ∈ {1, . . . , n}. By the fact that limk∈IN lk = 0, we
have ∃i0 ∈ {n + 1, n + 2, . . .} such that U ∩ Ui0 6= ∅ and U ∩ Uk = ∅,
∀k ∈ {1, . . . , i0 − 1}. Then, dia(U ) ≤ li0 −1 ≤ 2 dia(Ui0 ) = 4pi0 . Let
x̂ ∈ U ∩ Ui0 . Then, | x̄ − xi0 | ≤ | x̄ − x̂ | + | x̂ − xi0 | ≤ dia(US ) + pi0 ≤ 5pi0 .
∞
Then, x̄ ∈ Vi0 := BIRm ( xi0 , 5pi0 ) ⊂ IRm . Then, x̄ ∈ k=n+1 Vk :=
S∞ S ∞
Pk=n+1 BIRm ( xk , pk )P⊂ IRm . Hence, R ⊆ k=n+1 Vk . Then, µLmo (R) ≤
∞ ∞ m
k=n+1 µLm (Vk ) = k=n+1 5 µLm (Uk ) < ǫ. Hence, the result holds for
Î. S
Then, ∃n ∈ Z+ , ∃{I1 , . S . . , In } ⊆ ISsuch that µLo (E \ ( ni=1 Ii )) < ǫ.
n n
Note thatSµLo (J) := µLo (( i=1SIi ) \ ( i=1 Ii )) = 0. Then, Sn J ∈ BL and
n n
µLo (E \ ( Si=1 Ii )) = µLo ((E \ ( i=1 Ii )) ∩ J) + µLo ((E \ ( i=1 Ii )) \ J) ≤
n
µLo (E \ ( i=1 Ii )) < ǫ, where the equality follows from S Definition 11.15;
n
and the first inequality follows from fact
Sn that µLo ((E \Sn i=1 Ii )) ∩ J) ≤
(
µLo (J) = 0 and the fact that (E \ ( i=1 Ii )) \ J = E \ ( i=1 Ii ).
Definition 12.70 Let m ∈ IN, E ∈ OIRm with µBm (E) > 0, E :=
((E, | · |), B, µ) be the σ-finite metric measure subspace of Rm as de-
12.6. FUNDAMENTAL THEOREM OF CALCULUS 561
fined in Proposition 11.29, Y be a separable normed linear space over

IK, and f ∈ L̄1 (E, Y). A Rpoint x ∈ E is said to be a Lebesgue point
of f if lim supr→0+ µ(B1x,r ) Bx,r k f (y) − f (x) k dµ(y) = 0, where Bx,r :=
BIRm ( x, r ) ∩ E ∈ B.
Proposition 12.71 Let m ∈ IN, E ∈ OIRm with µBm (E) > 0, E :=

((E, | · |), B, µ) be the σ-finite metric measure subspace of R as defined
in Proposition 11.29, Y be a separable normed linear space over IK, f ∈
L̄1 (E, Y), and A := { x ∈ E | x is a Lebesgue point of f }. Then, A ∈ BLm
and µLm (E \ A) = 0.
S∞
Proof Since E is σ-finite, then ∃ ( En )∞
n=1 ⊆ B such that n=1 En = E
and µ(En ) < +∞, ∀n ∈ IN. ∀r ∈ (0, ∞) ⊂ IR, ∀x ∈ E, let Bx,r :=
BIRm ( x, r ) ∩ E ∈ B. Clearly 0 < µ(Bx,r ) ≤ 4πr3 /3 < ∞. Define Tr f : E →
[0, ∞) ⊂ IR and Mr f : E → [0, ∞) ⊂ IR by
Z
1
(Tr f )(x) = k f (y) − f (x) k dµ(y), ∀x ∈ E
µ(Bx,r ) Bx,r
Z
1
(Mr f )(x) = P ◦ f dµ, ∀x ∈ E
µ(Bx,r ) Bx,r
Clearly, Tr f and Mr f are well-defined functions since f ∈ L̄1 (E, Y). Then,
Tr and Mr are functions of L̄1 (E, Y) to nonnegative real-valued functions
of E. Define T f : E → [0, ∞] ⊂ IRe and M f : E → [0, ∞] ⊂ IRe by
(T f )(x) = lim sup(Tr f )(x) (M f )(x) = lim sup(Mr f )(x); ∀x ∈ E

r→0+ r→0+
Clearly, T f and M f are well-defined functions. Then, T and M are func-

tions of L̄1 (E, Y) to nonnegative extended real-valued functions of E. Then,
S∞= {Sx∞∈ E | (T fS)(x)
A = 0 } and E \ A = { x ∈ E | (T f )(x) > 0 } =
∞ S∞
n=1 k=1 An,k := n=1 k=1 { x ∈ En | (T f )(x) > 1/k }.
We will show that µLmo (An,k ) = 0, ∀n ∈ IN, ∀k ∈ IN, which implies that
An,k ∈ BLm and µLm (An,k ) = 0, ∀n ∈ IN, ∀k ∈ IN. This further implies
that E \ A ∈ BLm , µLm (E \ A) = 0, and A ∈ BLm .
Fix any n ∈ IN and any k ∈ IN. Suppose µLmo (An,k ) > 0. By mono-
tonicity of outer measures, we have µLmo (An,k ) ≤ µLmo (En ) = µLm (En ) =
µ (A )
µ(En ) < +∞. Let ǫ0 = Lo 5kn,k ∈ (0, +∞) ⊂ IR. By Proposi-
tions 11.174 and 4.11, there exists a continuous function g : E → Y such
that g ∈ L̄1 (E, Y) and k g − f k1 < ǫ0 . Let h := f − g. Then, k h k1 < ǫ0 .
Note that (Tr f )(x) ≤ (Tr g)(x) + (Tr h)(x), ∀r ∈ (0, ∞) ⊂ IR, ∀x ∈ E.
Then, by Proposition 3.85, (T f )(x) ≤ (T g)(x) + (T h)(x), ∀x ∈ E. Since
g is continuous, we have (T g)(x) = 0, ∀x ∈ E. Then, (T f )(x) ≤ (T h)(x),
∀x ∈ E. Note that
(Tr h)(x) ≤ (Mr h)(x) + k h(x) k ; ∀r ∈ (0, ∞) ⊂ IR, ∀x ∈ E

Then, by Proposition 3.85, we have (T h)(x) ≤ (M h)(x) + k h(x) k, ∀x∈ E.

Hence, (T f )(x) ≤ (M h)(x) + k h(x) k, ∀x ∈ E. Then, An,k ⊆ x ∈

En (M h)(x) > 2k 1
∪ x ∈ En k h(x) k > 2k 1
Ã ∪ Ā. By mono-
=:
tonicity of outer measures, we have µLmo (Ā) ≤ µLmo ( x ∈ E k h(x) k >
1
R R
2k ) =: µLmo (Â) = µLm (Â) = E χÂ,E dµ ≤ E (2kP ◦ h) dµ = 2k k h k1 <
2kǫ0 , where the second equality follows from the fact that Â ∈ B since
h is B-measurable. By countable subadditivity of outer measures, we
have µLmo (An,k ) ≤ µLmo (Ã) + µLmo (Ā) < µLmo (Ã) + 2kǫ0 . Hence,
µLmo (Ã) ≤ µLmo (En ) < +∞. R
µLmo (Ã) > 3kǫ0 .nClearly,

Define I := Bx,r x ∈ Ã, r > 0, BIRm ( x, r ) ⊆ E, Bx,r P ◦ h dµ >
o
1
2k µ(Bx,r ) . Then, I covers Ã in the sense of Vitali. By Vitali’s
m̄
Lemma 12.73, there exists pairwise disjoint balls ( Bxi ,ri )i=1 ⊆ I with
Sm̄ Sm̄
m̄ ∈ Z+ such that µLmo (Ã \ ( i=1 Bxi ,ri )) < ǫ0 . Let B = i=1 Bxi ,ri ∈ B.
Then, µ(B) = µLmo (B) ≥ µLmo (B ∩ Ã) = µLmo (Ã) − µLmo (Ã \ B) >
(3k − 1)ǫ0 , where the first inequality follows from the monotonicity of
outer measures; and Rthe second equality
R follows from
P the R measurability
of B. Then, k h k1 = E P ◦ h dµ ≥ B P ◦ h dµ = m̄ i=1 Bxi ,ri P ◦ h dµ >
Pm̄ 1 1 3k−1
i=1 2k µ(Bxi ,ri ) = 2k µ(B) > 2k ǫ0 ≥ ǫ0 > k h k1 . This is a contradic-
tion. Therefore, we must have µLmo (An,k ) = 0.
12.7 Fundamental Thm. of Calculus

Definition 12.72 Let E ⊆ IR and I ⊆ A ( IR ) be a collection of nondegen-
erate intervals in IR, i. e., µL (I) > 0, ∀I ∈ I. We will say that I covers E
in the sense of Vitali if ∀ǫ ∈ (0, ∞) ⊂ IR, ∀x ∈ E, ∃I ∈ I such that x ∈ I
and µL (I) < ǫ.
Lemma 12.73 (Vitali) Let E ⊆ IR with µLo (E) < +∞ and I ⊆ A ( IR )

be a collection of nondegenerate intervals in IR that covers E in the sense
of Vitali. Then, ∀ǫ ∈ (0, ∞) ⊂ IR, there exists a finite pairwise Sn disjoint
collection {I1 , . . . , In } ⊆ I, where n ∈ Z+ , such that µLo (E \ ( i=1 Ii )) < ǫ.

Proof Let Î := I1 ⊆ IR I1 ∈ I . Then, Î is a collection of
nondegenerate closed intervals in IR that covers E in the sense of Vitali.
We will first show that the result holds for Î. ∀ǫ ∈ (0, ∞) ⊂PIR, by Exam-
∞
ple 11.21, µLo (E) = inf (Ui)∞ are open intervals, E⊆S∞ Ui i=1 µL (Ui ) <
i=1 i=1
+∞. Then, ∃O ∈ OIR such that E ⊆ O and µL (O) < +∞. By neglect-
ing intervals in Î, we may without loss of generality, assume that U ⊆ O,
∀U ∈ Î. ∀k ∈ Z+ , assume that pairwise disjoint U1 , . . . , Uk ∈ Î has
already be chosen. We will S distinguish two exhaustive
Sk and mutually ex-
k
clusive cases: Case 1: E ⊆ i=1 Ui ; Case 2: E \ ( i=1 Ui ) 6= ∅. Case 1:
12.7. FUNDAMENTAL THM. OF CALCULUS 563
Sk Sk
E ⊆ i=1 Ui . Then, µLo (E \ ( i=1 Ui )) = 0. The result holds for Î. Case
S
2: E \ ( ki=1 Ui ) 6= ∅. Let lk be the supremum of the lengths of intervals
in Î that do not intersect U1 , . . . , Uk . Clearly, lk ≤ µL (O) < +∞. Then,
S S
∃x0 ∈ E \ ( ki=1 Ui ). Since ki=1 Ui is closed, then, by Proposition 4.10,
d := inf x∈Sk Ui | x − x0 | > 0. Then, by the assumption, ∃Û ∈ Î such
i=1
that x0 ∈ Û and 0 < µL (Û ) < d. Then, Û ∩ Ui = ∅, i = 1, . . . , k. This

shows that lk ≥ µL (Û ) > 0. Hence, ∃Uk+1 ∈ Î such that U1 , . . . , Uk+1 ∈ Î
are pairwise disjoint and µL (Uk+1 ) ≥ lk /2. Inductively, we either have the
∞
result holds for Î or ∃ ( Uk )k=1 ⊆ Î such that µL (Uk+1 ) ≥ lk /2, ∀k ∈ Z+
and the sequence is pairwise disjoint. S∞
In
S∞the latterPcase, we haveP O ⊇ k=1 Uk and +∞ > µL (O) ≥
∞ ∞
µL ( k=1 Uk ) = P µ
k=1 L (U k ) ≥ l
k=0 k /2. Hence, limSk∈IN lk = 0. Then,
∞ n
∃n ∈ IN such that i=n+1 µL (Ui ) < ǫ/5. Let R := E \ ( k=1 Uk ). Without
loss of generality, assume Uk = [xk − pk , xk +S pk ] ⊂ IR for some xk ∈ IR
n
and pk ∈ (0, ∞) ⊂ IR, ∀k ∈ IN. ∀x̄ ∈ R, since k=1 Uk is closed, then, by
Proposition 4.10, d := inf x∈Snk=1 Uk | x− x̄ | > 0. By the assumption, ∃U ∈ Î
such that x̄ ∈ U and 0 < µL (U ) < d. Then, U ∩ Uk = ∅, ∀k ∈ {1, . . . , n}.
By the fact that limk∈IN lk = 0, we have ∃i0 ∈ {n + 1, n + 2, . . .} such that
U ∩ Ui0 6= ∅ and U ∩ Uk = ∅, ∀k ∈ {1, . . . , i0 − 1}. Then, µL (U ) ≤ li0 −1 ≤
2µL (Ui0 ) = 4pi0 . Let x̂ ∈ U ∩ Ui0 . Then, | x̄ − xi0 | ≤ | x̄ − x̂ | + | x̂ − xi0 | ≤
µL (US) + pi0 ≤ 5pi0S . Then, x̄ ∈ Vi0 := [xi0 − 5pi0 , xi0 + 5pi0 ] ⊂SIR. Then,
x̄ ∈ ∞ k=n+1 Vk :=
∞
P∞k=n+1 [xk −5pk ,P xk +5pk ] ⊂ IR. Hence, R ⊆ ∞ k=n+1 Vk .
∞
Then, µLo (R) ≤ k=n+1 µL (Vk ) = k=n+1 5µL (Uk ) < ǫ. Hence, the result
holds for Î. Sn
Then, ∃n ∈ Z+ , ∃{I1 , . S . . , In } ⊆ ISsuch that µLo (E \ ( i=1 Ii )) < ǫ.
n n
Note thatSµLo (J) := µLo (( i=1SIi ) \ ( i=1 Ii )) = 0. Then, Sn J ∈ BL and
n n
µLo (E \ ( Si=1 Ii )) = µLo ((E \ ( i=1 Ii )) ∩ J) + µLo ((E \ ( i=1 Ii )) \ J) ≤
µLo (E \ ( ni=1 Ii )) < ǫ, where the equality follows from S Definition 11.15;
n
and the first inequality follows from Snfact that µ Lo ((E \Sn i=1 Ii )) ∩ J) ≤
(
µLo (J) = 0 and the fact that (E \ ( i=1 Ii )) \ J = E \ ( i=1 Ii ).
Definition 12.74 Let E ⊆ IR be an interval with µ(E) > 0, E :=

in Proposition 11.29, Y be a separable normed linear space over IK, and
f ∈ L̄1 (E, Y). A pointR x ∈ E is said to be a Lebesgue point of f if
lim supr→0+ µ(B1x,r ) Bx,r k f (y) − f (x) k dµ(y) = 0, where Bx,r :=
BIR ( x, r ) ∩ E ∈ B.
Proposition 12.75 Let E ⊆ IR be an interval with µ(E) > 0, E :=

in Proposition 11.29, Y be a separable normed linear space over IK, f ∈
L̄1 (E, Y), and A := { x ∈ E | x is a Lebesgue point of f }. Then, A ∈ BL
and µL (E \ A) = 0.
∞ S∞
Proof Since E is σ-finite, then ∃ ( En )n=1 ⊆ B such that n=1 En = E
and µ(En ) < +∞, ∀n ∈ IN. ∀r ∈ (0, ∞) ⊂ IR, ∀x ∈ E, let Bx,r :=
BIR ( x, r ) ∩ E ∈ B. Clearly 0 < µ(Bx,r ) ≤ 2r < ∞. Define Tr f : E →
[0, ∞) ⊂ IR and Mr f : E → [0, ∞) ⊂ IR by
Z
1
(Tr f )(x) = k f (y) − f (x) k dµ(y), ∀x ∈ E
µ(Bx,r ) Bx,r
Z
1
(Mr f )(x) = P ◦ f dµ, ∀x ∈ E
µ(Bx,r ) Bx,r
Clearly, Tr f and Mr f are well-defined functions since f ∈ L̄1 (E, Y). Then,
Tr and Mr are functions of L̄1 (E, Y) to nonnegative real-valued functions
of E. Define T f : E → [0, ∞] ⊂ IRe and M f : E → [0, ∞] ⊂ IRe by
(T f )(x) = lim sup(Tr f )(x) (M f )(x) = lim sup(Mr f )(x); ∀x ∈ E

r→0+ r→0+
Clearly, T f and M f are well-defined functions. Then, T and M are func-

tions of L̄1 (E, Y) to nonnegative extended real-valued functions of E. Then,
S∞= {Sx∞∈ E | (T fS)(x)
A
∞ S∞
= 0 } and E \ A = { x ∈ E | (T f )(x) > 0 } =
n=1 k=1 n,k A := n=1 k=1 { x ∈ En | (T f )(x) > 1/k }.
We will show that µLo (An,k ) = 0, ∀n ∈ IN, ∀k ∈ IN, which implies that
An,k ∈ BL and µL (An,k ) = 0, ∀n ∈ IN, ∀k ∈ IN. This further implies that
E \ A ∈ BL , µL (E \ A) = 0, and A ∈ BL .
Fix any n ∈ IN and any k ∈ IN. Suppose µLo (An,k ) > 0. By monotonic-
ity of outer measures, we have µLo (An,k ) ≤ µLo (En ) = µL (En ) = µ(En ) <
µ (A )
+∞. Let ǫ0 = Lo 5kn,k ∈ (0, +∞) ⊂ IR. By Propositions 11.174 and
4.11, there exists a continuous function g : E → Y such that g ∈ L̄1 (E, Y)
and k g − f k1 < ǫ0 . Let h := f − g. Then, k h k1 < ǫ0 . Note that
(Tr f )(x) ≤ (Tr g)(x) + (Tr h)(x), ∀r ∈ (0, ∞) ⊂ IR, ∀x ∈ E. Then, by
Proposition 3.85, (T f )(x) ≤ (T g)(x) + (T h)(x), ∀x ∈ E. Since g is contin-
uous, we have (T g)(x) = 0, ∀x ∈ E. Then, (T f )(x) ≤ (T h)(x), ∀x ∈ E.
Note that
(Tr h)(x) ≤ (Mr h)(x) + k h(x) k ; ∀r ∈ (0, ∞) ⊂ IR, ∀x ∈ E
Then, by Proposition 3.85, we have (T h)(x) ≤ (M h)(x) + k h(x) k, ∀x∈ E.

Hence, (T f )(x) ≤ (M h)(x) + k h(x) k, ∀x ∈ E. Then, An,k ⊆ x ∈

En (M h)(x) > 2k 1
∪ x ∈ En k h(x) k > 2k 1
=: Ã∪ Ā. By monotonic-

ity of outer measures, we have µLo (Ā) ≤ µLo ( x ∈ E k h(x) k > 2k 1
) =:
R R
µLo (Â) = µL (Â) = E χÂ,E dµ ≤ E (2kP ◦ h) dµ = 2k k h k1 < 2kǫ0 ,
where the second equality follows from the fact that Â ∈ B since h is
B-measurable. By countable subadditivity of outer measures, we have
µLo (An,k ) ≤ µLo (Ã) + µLo (Ā) < µLo (Ã) + 2kǫ0 . Hence, µLo (Ã) > 3kǫ0 .
Clearly, µLo (Ã) ≤ µLo (En ) < +∞.
n R o
1
Define I := Bx,r x ∈ Ã, r > 0, Bx,r P ◦ h dµ > 2k µ(Bx,r ) . Then,
I covers Ã in the sense of Vitali. By Vitali’s Lemma 12.73, there exists
m
pairwise
Sm disjoint intervals ( Bxi ,r )i=1 ⊆ I with m ∈ Z+ such that µLo (Ã \
Si m
( i=1 Bxi ,ri )) < ǫ0 . Let B = i=1 Bxi ,ri ∈ B. Then, µ(B) = µLo (B) ≥
µLo (B ∩ Ã) = µLo (Ã) − µLo (Ã \ B) > (3k − 1)ǫ0 , where the first inequality
follows from the monotonicity of outer measures; andR the second equality R
follows from the measurability of B. Then, k h k1 = E P ◦ h dµ ≥ B P ◦
Pm R Pm 1 1
h dµ = i=1 Bx ,r P ◦ h dµ > i=1 2k µ(Bxi ,ri ) = 2k µ(B) > 3k−1 2k ǫ0 ≥
i i
ǫ0 > k h k1 . This is a contradiction. Therefore, we must have µLo (An,k ) = 0.
Theorem 12.76 Let I := [a, b] ⊂ IR with a, b ∈ IR and a < b, I :=

((I, | · |), B, µ) be the finite complete metric measure subspace of R, Y be a
separable Banach space over IK, f : I →R Y be absolutely integrable over
x
I, and F : I → Y be defined by F (x) = a f (t) dt, ∀x ∈ I. Assume that
f is continuous at x0 ∈ I. Then, F is Fréchet differentiable at x0 and
F (1) (x0 ) = f (x0 ). (Note that, when IK = C, I is viewed as a subset of C
in calculations of F (1) .)
Proof Clearly, F is well-defined by Proposition 11.90. Note that

span ( AI ( x0 ) ) = IK. ∀ǫ ∈ (0, ∞) ⊂ IR, by the continuity of f at x0 ,
∃δ ∈ (0, ∞) ⊂ IR, ∀x ∈ I ∩ BIR ( x0 , δ ), we have k f (x) − f (x0 ) k < ǫ. Let Ix
be the closed interval with end points x and x0 . Then,
k F (x) − F (x0 ) − f (x0 ) (x − x0 ) k

Z x Z x0 Z x

= f (t) dt − f (t) dt − f (x0 ) dt
a a x0
Z x Z x Z x

= f (t) dt − f (x0 ) dt = (f (t) − f (x0 )) dt
x0 x0 x0
Z Z

= (f − f (x0 )) dµB ≤ P ◦ (f − f (x0 )) dµB
Ix Ix
≤ ǫµB (Ix ) = ǫ | x − x0 |
where the second equality follows from Fact 12.62; the third equality and
the first inequality follow from Proposition 11.90; and the second inequality
follows from Proposition 11.76. Hence, F (1) (x0 ) = f (x0 ). This completes
Theorem 12.77 Let I := [a, b] ⊂ IR with a, b ∈ IR and a < b, I :=

((I, | · |), B, µ) be the finite complete metric measure subspace of R, Y be a
separable Banach space over IK, and F : I → Y be C1 . (Note that, when
IK = C, I is viewed as a subset of C in calculations of F (1) .) Then, F (1) :
Rb
I → Y is absolutely integrable over I and F (b) − F (a) = a F (1) (t) dt =
R b (1)
a
F dµB .
Proof Since F (1) : I → Y is continuous, then, by Proposition 11.37,

(1)
F is B-measurable.
Since I is compact, then ∃M ∈ [0, ∞) ⊂ IR such
that F (1) (x) ≤ M , ∀x ∈ I. By Proposition 11.76, we have F (1) is ab-
Rx
solutely integrable over I. Define Fa : I → Y by Fa (x) = a F (1) (t) dt =
R x (1)
a F dµB , ∀x ∈ I. By Proposition 11.90, Fa is well defined. By The-
(1)
orem 12.76, Fa is Fréchet differentiable and Fa = F (1) . Then, define
g : I → Y by g = F − Fa . Then, by Proposition 9.15, g is Fréchet dif-
ferentiable and g (1) (x) = ϑY , ∀x ∈ I. By Mean Value Theorem 9.23,
k g(x) − g(a) k ≤ 0, ∀x ∈ I. Hence, g(x) = g(a) = F (a), ∀x ∈ I.
Rb
Then, g(b) = F (a) = F (b) − Fa (b) = F (b) − a F (1) (t) dt. Therefore,
Rb
F (b) − F (a) = a F (1) (t) dt. This completes the proof of the theorem. 2
Theorem 12.78 (Fundamental Theorem of Calculus I) Let I ⊆ IR

be an interval with µB (I) > 0, I := ((I, | · |), B, µ) be the σ-finite metric
measure subspace of R, Y be a separable Banach space, f : I → Y be B-
measurable, F : I → Y, and F (1) : U → Y. Assume that f is the Radon-
Nikodym derivative of F . Then, U ∈ B, F (1) is BU -measurable, where U :=
((U, |·|), BU , µU ) is the σ-finite metric measure subspace of R, µ(I \ U ) = 0,
and F (1) = f a.e. in I.
∞
Proof Since I is an interval S with µB (I) > 0, then ∃ ( Ii )i=1 :=
∞ ∞
( [ai , bi ] )i=1 ⊆ A ( IR ) such that I = i=1 Ii and −∞ < · · · ≤ an ≤ · · · ≤
a2 ≤ a1 < b1 ≤ b2 ≤ · · · ≤ bn ≤ · · · < ∞. By Proposition 12.64,
F is absolutely continuous. Fix any i ∈ IN. Define Fi : IR → Y by
 F (ai ) x < ai
Fi (x) = F (x) ai ≤ x ≤ bi , ∀x ∈ IR. By Proposition 12.55, Fi is

F (bi ) x > bi
absolutely continuous and hence continuous. By Proposition 11.37, Fi is
(1)
BB ( IR )-measurable. By Proposition 12.50, Fi : Ui → Y is such that
(1)
Ui ∈ BB ( IR ) and Fi is BUi -measurable. 
 ϑY x < ai
Define fi : IR → Y by fi (x) = f (x) ai ≤ x ≤ bi , ∀x ∈ IR. By

ϑY x > bi R
Proposition
R 11.41, f iRis B B ( I
R )-measurable.
R Note that IR P ◦ Rfi dµB =
(−∞,ai )
P ◦ fi dµB + [ai ,bi ] P ◦ fi dµB + (bi ,∞) P ◦ fi dµB = 0 + [ai ,bi ] P ◦
f dµB +0 < +∞, where the first equality follows from Proposition 11.87; the
second equality follows from Proposition 11.73; and the inequality follows
from the assumption. Hence, fi ∈ L̄1 (R, Y). By Proposition 12.75, Ai ∈ BL
and µL (IR \ Ai ) = 0, where Ai := { x ∈ IR | x isR a Lebesgue point of fi }.
x
∀x ∈ IR, if x < ai , Fi (x) = F (ai ) = Fi (ai ) + ai fi dµB , where the sec-
ond equality follows from Proposition 11.73; R x if ai ≤ x ≤ bi ,R xFi (x) =
F (x) = F (ai ) + F (x) − F (ai ) = Fi (ai ) + ai f dµB = Fi (ai ) + ai fi dµB ,
where the third equality follows from the assumption; if x > bi , Fi (x) =
Rb Rx
F (bi ) = F (ai ) + F (bi ) − F (ai ) = Fi (ai ) + aii f dµB + bi fi dµB =
Rb Rx Rx
Fi (ai ) + aii fi dµB + bi fi dµB = Fi (ai ) + ai fi dµB , where the third equal-
ity follows from Proposition 11.73 and the assumption, R x and the last equality
follows from Fact 12.62. Hence, Fi (x) = Fi (ai ) + ai fi dµB , ∀x ∈ IR, and
fi is the Radon-Nikodym derivative of Fi . R
∀x ∈ Ai , by Definition 12.74, we have lim supr→0+ µB (B1 x,r ) Bx,r k fi (y)−
fi (x) k dµB (y) = 0, where Bx,r = BIR ( x, r ). Then, by Proposition 3.85,
0 ≤ lim inf k (Fi (x + h) − Fi (x))/h − fi (x) k
h→0
≤ lim sup k (Fi (x + h) − Fi (x))/h − fi (x) k
h→0
Z x+h Z x+h

= lim sup fi (y) dµB (y) − fi (x) dµB (y) / | h |
h→0 x x
Z x+h

= lim sup (fi (y) − fi (x)) dµB (y) / | h |
h→0 x
Z

= lim sup (fi (y) − fi (x)) dµB (y) / | h |
h→0 I
Z x,h
≤ lim sup k fi (y) − fi (x) k dµB (y)/ | h |
h→0 Ix,h
Z
≤ lim sup k fi (y) − fi (x) k dµB (y)/ | h |
h→0 B ˛ ˛
˛ ˛
x,˛˛h˛˛
Z
= lim sup k fi (y) − fi (x) k dµB (y)/r
r→0+ Bx,r
Z
2
= lim sup k fi (y) − fi (x) k dµB (y) = 0
r→0+ µB (Bx,r ) Bx,r
where the first equality follows from Fact 12.62 and Proposition 11.73; the
second equality follows from Proposition 11.90; the third equality follows
from Definition 12.61 and the assignment that Ix,h is the interval with end
points x and x + h; the third inequality follows from Proposition 11.90; and
the fourth inequality follows from Proposition 11.87. By Proposition 3.85,
Fi (x+h)−Fi (x) (1) (1)
we have limh→0 h = fi (x), x ∈ dom Fi and Fi (x) =
fi (x).
(1)
By Fi being BUi -measurable
and fni being BB ( IR )-measurable, we
(1) (1)
have Ui := dom Fi ∈ BB ( IR ) and x ∈ Ui Fi (x) − fi (x) >
o n o
(1)
0 ∈ BB ( IR ). Then, Ē := (IR \ Ui ) ∪ x ∈ Ui Fi (x) 6= fi (x) =
n o
(1)
(IR\Ui )∪ x ∈ Ui Fi (x)−fi (x) > 0 ∈ BB ( IR ). Clearly, Ē ⊆ IR\Ai .
(1)
Then, 0 ≤ µB (Ē) = µL (Ē) ≤ µL (IR \ Ai ) = 0. Hence, Fi = fi a.e. in R.
(1)
Clearly, F (1) (a ,b ) = Fi . Then, F (1) (a ,b ) is BÛi -measurable,
i i (ai ,bi ) i i
where Ûi := (ai , bi ) ∩ U = (ai , bi ) ∩ Ui ∈ BB ( IR ). By Proposition 11.41,


we have F (1) S∞ = F (1) I ◦ is BÛ -measurable, where Û := I ◦ ∩ U ∈
i=1 (ai ,bi )
BB ( IR ). Note that F (1)
I
= F (1) and (I ∩ U ) \ (I ◦ ∩ U ) ⊂ IR is a set with
at most two points. Then, U ∈ BB ( IR ) and F (1) is BU -measurable.

(1) (1)
∀i ∈ IN, by Fi = fi a.e. in R, this implies that Fi =
(ai ,bi )
fi |(ai ,bi ) a.e. in Îai ,bi , where Îai ,bi := (((ai , bi ), |·|), B̂ai ,bi , µ̂ai ,bi ) is the finite

metric measure subspace of R. Then, F (1) (a ,b ) = f |(ai ,bi ) a.e. in Îai ,bi .
n i i o
(1)
Let Ei := ((ai , bi ) \ Ûi ) ∪ x ∈ Ûi F (x) 6= f (x) . Then, Ei ∈ BB ( IR )

and µB (Ei ) = 0. Let E := (I \ U ) ∪ x ∈ U F (1) (x) 6= f (x) . Then,
S∞
E = i=1 Ei ∪ Ẽ, where Ẽ ⊂ IR contains at most two points. Then, E ∈ B
P
and 0 ≤ µ(E) = µB (E) ≤ ∞ i=1 µB (Ei ) + µB (Ẽ) = 0. This shows that
F (1) = f a.e. in I. Clearly, 0 ≤ µ(I \ U ) ≤ µ(E) = 0.
Theorem 12.79 (Fundamental Theorem of Calculus II) Let I ⊆ IR

be an interval with µB (I) > 0, I := ((I, | · |), B, µ) be the σ-finite met-
ric measure subspace of R, Y be a separable reflexive Banach space with
Y∗ being separable,
and F : I → Y be absolutely continuous. Then,
U := dom F (1) ∈ B, µ(I \ U ) = 0, and F (1) : U → Y is BU -measurable,
where (U, BU , µU ) is the measure subspace of R. ∀g : I → Y, which is B-
measurable and g = F (1) a.e. in I, we have g is the Radon-Nikodym deriva-
tive of F .
Proof By Proposition 12.66, there exists f : I → Y that is the Radon-

Nikodym derivative of F . Then, by Fundamental Theorem of Calculus I,
Theorem 12.78, we have U := dom F (1) ∈ B, µ(I \ U ) = 0, F (1) :
U → Y is BU -measurable, and F (1) = f a.e. in I. Fix any g : I → Y,
which
is B-measurable and g = F (1)
a.e. in R. Let E f := (I \ U ) ∪ x∈

U F (1) (x) 6
= f (x) . Then, E ∈ B and µ(E ) = 0. Let E := (I \ U )∪
(1) f f g
x ∈ U F (x) 6= g(x) . Then, Eg ∈ B and µ(Eg ) = 0. Let E :=
{ x ∈ I | f (x) 6= g(x) }. By f and g being B-measurable and Lemma 11.43,
E ∈ B. Clearly, E ⊆ Ef ∪ Eg . Then, µ(E) = 0. Hence, f = g a.e. in I. By
Theorem 12.67, g is the Radon-Nikodym derivative of F . This completes
Theorem 12.80 (Integration by Parts) Let b, c ∈ IR with b ≤ c, I :=

[b, c] ⊂ IR, I := ((I, |·|), B, µ) be the finite complete metric measure subspace
of R, Y be a separable Banach space over IK, Z be a separable reflexive Ba-
nach space over IK with Z∗ being separable, and W := B ( Y, Z ) be separable,
A : I → W admit Radon-Nikodym derivative a : I → W, and F : I → Y
admit Radon-Nikodym derivative f : I → Y. Then, H : I → Z defined by
H(x) = A(x)F (x), ∀x ∈ I, admits Radon-Nikodym derivative h : I → Z
defined by h(x) = A(x)f (x) + a(x)F (x), ∀x ∈ I. As a consequence,

Z c Z c
A(x)f (x) dx + a(x)F (x) dx = A(c)F (c) − A(b)F (b)
b b
where Af , aF , and h are absolutely integrable over I.
Proof ∀E ∈ B, let (E, BE , µE ) be the finite measure subspace of

I, which is then a measure subspace of R. By Proposition 7.66, W is
a separable Banach space. By Proposition 12.64, F and A are absolutely
continuous and therefore continuous. By Proposition 12.53, H is absolutely
continuous. The result is trivial if b = c ∈ IR. Consider the case b < c. By
Fundamental Theorem of Calculus I, Theorem 12.78, F (1) : UF → Y and
A(1) : UA → W are such that UF , UA ∈ B, µ(I \ UF ) = 0 = µ(I \ UA ),
F (1) is BUF -measurable, A(1) is BUA -measurable, F (1) = f a.e. in I, and
A(1) = a a.e. in I.
∀x ∈ UF ∩ UA , by Propositions 9.17 and 9.19 and Chain Rule, The-
orem 9.18, we have H (1) (x) = A(x)f (x) + a(x)F (x) = h(x). By Funda-
mental Theorem of Calculus II, Theorem 12.79, H (1) : UH → Z is such
that UH ∈ B, µ(I \ UH ) = 0, and H (1) is BUH -measurable. By Proposi-
tion 11.37, F and A are B-measurable. By Propositions 7.23, 7.65, 11.38,

and 11.39, Af , aF and h are B-measurable. Then, E := (I \ UH ) ∪ x ∈

UH H (1) (x) 6= h(x) ∈ B and E ⊆ (I \ UF ) ∪ (I \ UA ). Hence, µ(E) = 0
and h = H (1) a.e. in I. By Fundamental Theorem of Calculus II, Theo-
rem 12.79, h is the Radon-Nikodym derivative
Rc of H. Then, h is absolutely
integrable over I and H(c) − H(b) = b h(x) dx.
By the continuity of A and F and the compactness of I, ∃MA , MF ∈
[0, ∞) ⊂ IR such that k A(x) k ≤ MA and k F (x) k ≤ MF , ∀x ∈ I.
Then, k A(x)f (x) k ≤ k A(x) k k f (x) k ≤ MA k f (x) k and k a(x)F (x) k ≤
k a(x) k k F (x) k ≤ MF k a(x) k, ∀x ∈ I. Then, Af and aF are abso-
lutely integrable over I by Proposition 11.76.R By Proposition
R c 11.90, we
c
have A(c)F (c) − A(b)F (b) = H(c) − H(b) = b h(x) dx = b (A(x)f (x) +
Rc Rc
a(x)F (x)) dx = b A(x)f (x) dx + b a(x)F (x) dx.
Chapter 13
Numerical Methods
13.1 Newton’s Method

Let X and Y be Banach spaces and F : X → Y. To solve the equation
F (x) = ϑY , we may use Newton’s method. Assume that F is twice Fréchet
differentiable, we set xn+1 = xn −(F (1) (xn ))−1 F (xn ), ∀n ∈ IN. Then, when
∞
x1 is sufficiently close to a solution, the sequence ( xn )n=1 converges to a
solution xopt with F (xopt ) = ϑY . This result is formalized in the following
proposition.
Proposition 13.1 Let X and Y be Banach spaces over IK, D1 ⊆ X, F :

D1 → Y, and x1 ∈ X. Assume that ∃β1 , η1 , h1 , K ∈ [0, ∞) ⊂ IR such that
(i) h1 := β1 η1 K ≤ 12 ;

(ii) dom F (2) ⊇ BX x1 , 2−2h 1
2−3h1 1η =: D ⊆ BX ( x1 , 2η1 ) and, ∀x ∈ D,
(2)
F (x) ≤ K;

(iii) F (1) (x 1 ) is bijective, (F (1) (x1 ))−1 ≤ β1 , and (F (1) (x1 ))−1 ·
F (x1 ) ≤ η1 ;
Then, ∃ ( xn )∞
n=1 ⊆ D, defined by xn+1 = xn −(F
(1)
(xn ))−1 F (xn ), ∀n ∈ IN,
that converges to xopt ∈ D with F (xopt ) = ϑY .
Proof We will use mathematical induction to prove the following

claim.
Claim 13.1.1 ∀n ∈ IN, we have
βn−1
(a) F (1) (xn ) is bijective and (F (1) (xn ))−1 ≤ βn := 1−h n−1
∈ [0, ∞) ⊂
IR;
hn−1 ηn−1
(b) (F (1) (xn ))−1 F (xn ) ≤ ηn := 2(1−h n−1 )
∈ [0, ∞) ⊂ IR;
571
572 CHAPTER 13. NUMERICAL METHODS
n
2−2h1 h1
(c) xn+1 ∈ BY x1 , 2−3h 1
1 − 2(1−h 1 ) η1 ;
(d) 0 ≤ hn := βn ηn K ≤ hn−1 ≤ 12 .
Proof of claim: 1◦ Clearly, (a) – (d) are satisfied for n = 1.

◦
2 Assume that (a) – (d) are satisfied for n ≤ k ∈ IN.
3◦ Consider the case of n = k + 1. By Mean Value
Theorem 9.23,
∃t0 ∈ (0, 1) ⊂ IR such that F (1) (xk+1 ) − F (1) (xk ) ≤ F (2) (t0 xk+1 + (1 −
(2)

k+1(1)− xk ) −1≤ F(1) (t0 xk+1 + (1
t0 )xk )(x − t0 )x
k ) k xk+1 − xk k ≤ Kηk .

Then, (F (xk )) (1)
F (xk+1 ) − F (xk ) ≤ βk ηk K = hk < 1. By
Proposition 9.55, F (1) (xk+1 ) is bijective and
(1)
(F (xk+1 ))−1 − (F (1) (xk ))−1
(1)
(F (xk ))−1 2 F (1) (xk+1 ) − F (1) (xk )
≤
1 − (F (1) (xk ))−1 F (1) (xk+1 ) − F (1) (xk )
βk2 Kηk h k βk
≤ =
1 − βk ηk K 1 − hk

This leads to (F (1) (xk+1 ))−1 ≤ (F (1) (xk ))−1 + (F (1) (xk+1 ))−1 −
(F (1) (xk ))−1 ≤ βk + hk βk /(1 − hk ) = βk /(1 − hk ) = βk+1 . Hence, (a)
holds.
Note that F (xk+1 ) = F (xk+1 ) − F (xk ) − F (1) (xk )(xk+1 − xk ). By Tay-
Theorem 9.48, ∃t1 ∈ (0,
lor’s
1 (2)
1) ⊂ IR such 2
that k F (xk+1 ) k ≤
F (t x + (1 − t )x ) k x − x k ≤ Kηk2 /2. Then,
2 (1) 1 k+1−1 1 k k+1 k
(F (xk+1 )) F (xk+1 ) ≤ βk Kη 2 /(2 − 2hk ) = hk ηk = ηk+1 . Hence,
k 2(1−hk )
(b) holds. (1)
Note that k xk+2 − xk+1 k = (F (xk+1 ))−1 F (xk+1 ) ≤ ηk+1 =
k
hk h1 h1
2(1−hk ) ηk ≤ 2(1−h1 ) ηk ≤ 2(1−h1 ) η1 . Then, k xk+2 − x1 k ≤ k xk+2 −
k k
h1 2−2h1 h1
xk+1 k + k xk+1 − x1 k ≤ 2(1−h 1)
η1 + 2−3h1 1 − 2(1−h1 ) η1 =
k+1
2−2h1 h1
2−3h1 1 − 2(1−h 1 ) η1 . Hence, (c) holds.
h2k
Note that hk+1 = βk+1 ηk+1 K = 2(1−hk )2 . Since 0 ≤ hk ≤ 1/2, then
hk
0 ≤ ≤ 1. This implies that 0 ≤ hk+1 ≤ hk ≤ 1/2. Hence, (d)
2(1−hk )2
holds.
This completes the induction process and the proof of the claim. 2
∞
Then, the sequence ( xn )n=1 ⊆ D is well-defined.
∀n ∈nI
N, k xn+2 −
(1)
−1
xn+1 k = (F (xn+1 )) F (xn+1 ) ≤ ηn+1 ≤ h1
η1 . Then,
2(1−h1 )
∞ h1
( xn )n=1 is a Cauchy sequence since 0 ≤ 2(1−h 1)
≤ 1/2 < 1. It then
converges to xopt ∈ D since D is closed and X is complete. Note that
F (xn ) = F (1) (xn )(xn − xn+1 ), ∀n ∈ IN. By Proposition 9.7, we have
13.1. NEWTON’S METHOD 573
F and F (1) are continuous at xopt . Then, F (xopt ) = limn∈IN F (xn ) =

limn∈IN F (1) (xn )(xn − xn+1 ) = F (1) (xopt )(xopt − xopt ) = ϑY , where the first
equality follows from Proposition 3.66; and the third equality follows from
Propositions 3.66, 3.67, 7.23, and 7.65. This completes the proof of the
proposition. 2
It is numerically expensive to use Newton’s Method due to the neces-
sity of inverting F (1) (xn ) at each step of the iteration. But the benefit
of this method is the quadratic convergence of ( xn )∞ n=1 to xopt , which is
summarized in the following proposition.
Proposition 13.2 Let X and Y be Banach spaces over IK, D1 ⊆ X, F :

D1 → Y, and x1 ∈ X. Assume that ∃β1 , η1 , h1 , K, M1 , M2 , M4 ∈ [0, ∞) ⊂ IR
such that
(i) h1 := β1 η1 K ≤ 21 ;

(ii) dom F (3) ⊇ D2 ⊇ BX x1 , 2−2h
2−3h1
1
η1 =: D, where D2 ⊆ D1 is
an
(2)open set in X, ∀x ∈ D2 , F (1) (x) is bijective,
and, ∀x ∈ D,

F (x) ≤ K, (F (1) (x))−1 ≤ M1 , F (3) (x) ≤ M2 , and
k F (x) k ≤ M4 ;
(1)
(iii) (F (x1 ))−1 ≤ β1 and (F (1) (x1 ))−1 F (x1 ) ≤ η1 ;
∞
Then, ∃ ( xn )n=1 ⊆ D, defined by xn+1 = xn − (F (1) (xn ))−1 F (xn ), ∀n ∈
IN, that converges to xopt ∈ D with F (xopt ) = ϑY . Furthermore, ∀n ∈
IN, k xn+1 − xopt k ≤ c k xn − xopt k2 , where c := (M1 K + 2M13 K 2 M4 +
M12 M2 M4 )/2.
∞
Proof By Proposition 13.1, ( xn )n=1 ⊆ D is well defined and con-
verges to xopt ∈ D with F (xopt ) = ϑY . Define T : D2 → X by T (x) =
x−(F (1) (x))−1 F (x), ∀x ∈ D2 . Then, by Propositions 9.34, 9.44, 9.45, 9.41,
9.40, and 9.55, T is twice Fréchet differentiable. This leads to T (1) (x)(h1 ) =
h1 − (F (1) (x))−1 F (1) (x)(h1 ) + (F (1) (x))−1 F (2) (x)(h1 )((F (1) (x))−1 F (x)) =
(F (1) (x))−1 F (2) (x)(h1 )((F (1) (x))−1 F (x)), ∀x ∈ D2 , ∀h1 ∈ X. Then,
T (1) (xopt )(h1 ) = ϑX , ∀h1 ∈ X, since F (xopt ) = ϑY . This implies that
T (1) (xopt ) = ϑB(X,X) . The second order derivative of T is given by, ∀x ∈ D2 ,
∀h1 , h2 ∈ X,
T (2) (x)(h2 )(h1 )

= −(F (1) (x))−1 F (2) (x)(h2 )((F (1) (x))−1 F (2) (x)(h1 )((F (1) (x))−1 ·
F (x))) + (F (1) (x))−1 F (3) (x)(h2 )(h1 )((F (1) (x))−1 F (x)) +
(F (1) (x))−1 F (2) (x)(h1 )(−(F (1) (x))−1 F (2) (x)(h2 )((F (1) (x))−1 ·
F (x)) + (F (1) (x))−1 F (1) (x)(h2 ))
= −(F (1) (x))−1 F (2) (x)(h2 )((F (1) (x))−1 F (2) (x)(h1 )((F (1) (x))−1 ·
F (x))) + (F (1) (x))−1 F (3) (x)(h2 )(h1 )((F (1) (x))−1 F (x)) −
574 CHAPTER 13. NUMERICAL METHODS
(F (1) (x))−1 F (2) (x)(h1 )((F (1) (x))−1 F (2) (x)(h2 )((F (1) (x))−1 F (x))) +
(F (1) (x))−1 F (2) (x)(h1 )(h2 )

Then, ∀x ∈ D, T (2) (x) = suph1 ,h2 ∈X, kh1k≤1, kh2k≤1 T (2) (x)(h2 )(h1 ) ≤
2M13 K 2 M4 + M12 M2 M4 + M1 K = 2c. ∀n ∈ IN, by Taylor’s Theorem 9.48,
∃t0 ∈ (0, 1) ⊂ IR such that k xn+1 −xopt k = k T (xn )−T (xopt ) k = T (xn )−
T (xopt ) − T (1) (xopt )(xn − xopt ) ≤ 1 T (2) (t0 xn + (1 − t0 )xopt ) k xn −
2
xopt k2 ≤ c k xn − xopt k2 . This completes the proof of the proposition. 2
Bibliography
Bartle, R. G. (1976). The Elements Of Real Analysis. 2nd ed. John Wiley
& Sons, New York, NY.
Luenberger, D. G. (1969). Optimization by Vector Space Methods. Wiley,
New York.
Maunder, C. R. F. (1996). Algebraic topology. Dover Publications, Mineola,
N.Y.
URL: http://www.loc.gov/catdir/description/dover031/95051359.html
Royden, H. L. (1988). Real Analysis. 3rd ed. Prentice Hall, Englewood
Cliffs, NJ.
Williams, D. (1991). Probability with Martingales. Cambridge University
Press, New York, NY.
575
Index
Absolute continuity of measure, Bijective, 19

445 Bolzano-Weierstrass property, 102
Absolute integrability, 385 Borel sets, 343
Banach space valued measure Borel-Cantelli Lemma, 333
space, 417 Borel-Lebesgue Theorem, 106
Adjoint operator, 201 Bound
Admissible deviation, 249 Greatest lower, 23
Alaoglu Theorem, 210 Least upper, 23
Alexandroff One-Point Compact- Lower, 23
ification, 118 Upper, 23
Algebra, 166 Bounded
Boolean, 21 Function, 151
Generated by, 21 Linear operator, 173
Alignment, 192 Set, 151
Almost everywhere, 352 Bounded Convergence Theorem,
Banach space valued measure, 371
398 Bourbaki, 110
Banach space valued pre-measure,
394 Carathéodory Extension Theorem,
Antisymmetric, 18 338, 502
Ascoli-Arzelá Theorem, 109 Cartesian metric, 78
Cartesian product, 31
Baire, 84 Normed linear space, 154
Category Theorem, 84 Vector space, 134
Ball Category
Closed, 71 First, 46
Open, 71 Second, 46
Banach measure space, 347 Everywhere, 46
Banach space valued, 482 Cauchy
Banach space, 156 Net, 85
Basis Sequence, 74
Topological space, 39 In measure, 359
Vector space, 143 Cauchy-Schwarz Inequality, 148,
Bernsteı̌n Approximation Theo- 470
rem, 496 Chain Rule, 257
Bernsteı̌n function, 495 Change of Variable, 531
576
INDEX 577
Characteristic function, 360 Contraction mapping, 285

Choice, 24 Contraction Mapping Theorem, 285
Closed Graph Theorem, 199, 200 Convergence in measure in X
Commutative Banach space valued measure,
Ring, 131 398
Compact, 95, 161 Convergence in meausre in X , 357
Countably, 101 Convex
Locally, 112 Functional, 221
Sequentially, 102 Mapping, 240
σ-, 121 Convex combination, 140
Complete, 74 Convex hull, 139
Banachspace valued measure Coset, 163
space, 398 Countability
Banachspace valued pre-measure First axiom of, 39
space, 394 Second axiom of, 39
Measure space, 333 Countable, 21
Metric measure space, 347 Covering, 40
Banach space valued, 482 Cube, 90
Completely regular, 56 Hilbert, 91
Completion of a Banach space val- Cumulative distribution function,
ued measure space, 400 532
Completion of a Banach space val- Curve, 52
ued pre-measure space, Closed, 52
395
Completion of a measure space, Dense, 46
334 Nowhere, 46
Component, 49 Derivative
Composition, 19 Directional, 250
Concave functional, 221 Fréchet, 250
Cone, 141 Higher-order, 263
Conjugate, 239 Partial, 251
Negative, 239 Higher-order, 269
Positive, 239, 240 Dimension, 143
Conic segment, 141 Dini’s Lemma, 104
Conjugate Directed system, 57
Group, 130 Distance, 73
Connected, 48 Domain, 19
Arcwise, 52 Dual functional, 243
Locally, 50 Dual space, 177
Simply, 52 Second, 190
Continuity, 36
Absolute, 548 Egoroff’s Theorem, 356
Semi-, 38 Eidelheit Separation Theorem, 217
Continuum, 100 Empty set, 17
Contraction index, 285 Epigraph, 221
578 INDEX
Equicontinuity, 78 Hahn-Banach Theorem

Equivalence, 18 Extension form, 183
Equivalent Complex, 185
Metric spaces, 73 Geometric form, 216
Normed linear spaces, 161 Simple version, 186
Essential supremum, 466 Hausdorff
Exhaustion, 121 Maximal Principle, 24
Extensionality, 17 Space, 45
Extreme point, 310 Heine-Borel, 97
Extreme subset, 310 Hölder’s Inequality, 147, 469
Homeomorphical isomeasure, 527
Fσ , 486 Homeomorphism, 38
Fatou’s Lemma, 374, 438 Homomorphism, 130
Fenchel Duality Theorem, 232 Ring, 131
Field, 132 Vector space, 136
Sub-, 132 Homotopic, 52
Finite, 21 Hyperplane, 213
Banach space valued measure, Supporting, 217
398
Banach space valued pre-measure, Ideal, 131
394 Identity element, 131
Locally, 122 Image, 19
Measure, 333 Implicit Function Theorem, 292,
Star, 124 294
Finite intersection property, 95 Increment on semi-open rectan-
Fubini Theorem, 519, 525 gle, 531
Function, 19 Induced measure, 527
Linear, 136
Infinity, 17
Measurable, 350
Injective, 19
Of bounded variation, 531
Injective Mapping Theorem, 286
Functional, 136
Integral
Sublinear, 182
Finite Banach space valued
Fundamental Theorem of Calcu-
measure space, 408
lus, 566, 568
Finite measure space, 365
Gδ , 486 Infinite Banach space valued
Generation process, 405 measure space, 408
Graph, 19 Infinite measure space, 365
Greatest element, 23 Integration by Parts, 568
Group, 129 Integration system, 363
Albelian, 130 Interval, 341
Semi, 130 Inverse Function Theorem, 289
Albelian, 130 Global, 301, 302
Inverse image, 19
Hahn Decommposition Theorem, Invert, 296
450 Invertible, 19
INDEX 579
Isomeasure, 527 Co-, 46

Isometry, 73 Non-, 46
Isomorphism, 130 Mean Value Theorem, 49, 259,
Isometrical, 155 260
Ring, 131 Measurable
Vector space, 136 Set, 331
Iterated Limit Theorem, 92 Space, 331
With respect to an outer mea-
Jensen’s Inequality, 392 sure, 337
Joint Limit Theorem, 91 Measure, 331
Jordan Decomposition Theorem, Banach space valued, 398
450, 451 Induced outer, 338
Outer, 337
Krein-Milman, 311
Product, 511
Kuhn-Tucker Theorem, 323
Space, 331
Lp (X , Y), 465, 468 Measure on algebra, 338
Lagrange multiplier, 245, 318, 319 Banach space valued, 501
Lattice, 166 Metric, 71
L̄p (X , Y), 465, 468 Pseudo-, 87
Least element, 22 Metric measure space, 347
Lebesgue Decomposition Theorem, Banach space valued, 482
463 Metric space, 71
Lebesgue Dominated Convergence Product, 78
Theorem, 381, 385, 416, Metrizable, 90
419, 439, 440 Minimal, 22
Lebesgue measure, 342 Minkowski functional, 214
Lebesgue number, 105 Minkowski’s Inequality, 149, 465
Lebesgue outer measure, 343 Monotone class, 507
Lebesgue point, 561, 563 Monotone Class Lemma, 508
Lebesgue-Stieltjes integral, 547 Monotone Convergence Theorem,
Limit, 57, 61 375
Inferior, 65, 66 Mutually singular measures, 445
Joint, 69
Superior, 65, 66 Natural mapping, 190
Linear combination, 138 Natural metric, 152
Linear variety, 138 Negative definite, 310
Generated by, 138 Negative semi-definite, 310
Closed, 154 Net, 57
Linearly independent, 142 Joint, 69
Vectors, 142 Sub-, 60
Lipschitz continuity, 550 Newton’s Method, 571
Norm
Maximal, 22 Pseudo, 165
Mazur’s Theorem, 216 Normal
Meager, 46 Subgroup, 130
580 INDEX
Normal space, 45 Proper, 119

Normed linear measure space, 347 Countably, 119
Banach space valued, 482
Null space, 136 Quotient, 18
Quotient space, 87, 163–165
Open mapping, 197
Open Mapping Theorem, 198, 287 Radon-Nikodym derivative, 454,
Operator 558
Affine, 136 Radon-Nikodym Theorem, 457, 460
Linear, 136 Range, 19
Order Range space, 136
Group, 130 Rectangle in IRn , 531
Ordering Refinement, 98
Partial, 22 Reflexive, 18
Total, 22 Regular point, 318
Orthogonal, 192 Regular space, 45
Orthogonal complement, 192 Regularity, 17
Pre-, 192 Relation, 18
Replacement, 17
Pairing, 17 Residual, 46
Paracompact, 123 Restriction, 19
Partition of Unity, 116 Riesz Representation Theorem, 478,
π-system, 507 489, 499, 500
Point Ring, 131
Accumulation, 33 Sub-, 131
At infinity, 118
Beginning, 52 Semialgebra, 348
Boundary, 33 Separable, 46
Cluster, 57 Separation, 48
End, 52 Set
Exterior, 33 Boundary, 33
Interior, 33 Closed, 33
Relative, 154 Closure, 33
Of closure, 33 Relative, 35
Point of minimum, 309 Complement, 33
Point of relative extremum, 309 Convex, 139
Point of relative minimum, 309 Exterior, 33
Positive definite, 309 Interior, 33
Positive linear functional, 488 Negative, 449
Positive semi-definite, 310 Open, 33
Power set, 17 Relative, 154
Pre-measure Positive, 449
Banach space valued, 393, 506 σ-algebra, 21
Primal functional, 241 Generated by, 21
Projection, 31, 41 σ-finite
INDEX 581
Banach space valued measure, Total variation, 393, 398, 501, 506
398 Of function, 531
σ-finite Totally bounded, 77
Measure, 333 Transitive, 18
Simple function, 360 Tychonoff
Banach space valued measure Space, 45
space, 410 Theorem, 110
Stationary point, 319
Stone-Čech compactification, 126 Uniform
Subordinate, 115 Boundedness Principle, 48
Subset, 18 Cauchy sequence, 78
Subspace, 135 Continuity, 76
Banach space valued measure Convergence, 78
space, 402 Equivalent
Banach space valued pre-measure Metric spaces, 76
space, 397 Homeomorphism, 76
Generated by, 138 Union, 17
Measure space, 336 Urysohn Metrization Theorem, 91
Proper, 135 Urysohn’s Lemma, 53
Topological measure space, 348
Vector space, 132
Support
Vitali, 559, 562
Of a convex set, 218
Vitali’s Lemma, 559, 562
Of a function, 115, 488
Support functional, 219 Well-ordering, 25
Surjective, 19 Principle, 25
Surjective Mapping Theorem, 286
Symmetric, 18 Zero-element, 130
Zorn’s Lemma, 25
Taylor’s Theorem, 282
Tietze’s Extension Theorem, 54
Tonelli Theorem, 517
Topological measure space, 347
Banach space valued, 482
Product, 522
Topological space, 33
Topology, 33
Generated by, 36
Natural, 71
Of pointwise convergence, 55
Product, 40
Stronger, 36
Subset, 35
Weak, 55, 204
Weak∗ , 207
Weaker, 36

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Reading Notes of “Real Analysis” 3rd Edition

February 17, 2012

5 Compact and Locally Compact Spaces 95

6 Vector Spaces 129

7 Banach Spaces 145

8 Global Theory of Optimization 213

9 Differentiation in Banach Spaces 249

10 Local Theory of Optimization 309

11 General Measure and Integration 331

12 Differentiation and Integration 501

12.5 Absolute and Lipschitz Continuity . . . . . . . . . . . . . . 548

13 Numerical Methods 571

IN, Z, and Q the sets of natural number, integers, and rational

{x, y} an unordered pair; See Page 17.

T3 regular space; See Page 45.

lp (X) the normed linear space of X-valued sequences with

K supp the support of a convex set K; See Page 218.

Cb (X , Y) the normed linear space of bounded continuous Y-

Mσ (X, B, Y) the vector space of σ-finite Y-valued measures on

2.1 Axiomatic Foundations of Set Theory

Axiom 1 (Axiom of Extensionality) A = B if ∀x ∈ A, we have x ∈ B;

Axiom 2 (Axiom of Empty Set) There exists an empty set ∅, which

Axiom 4 (Axiom of Regularity) Any nonempty set A 6= ∅, there exists

Axiom 5 (Axiom of Replacement) ∀x ∈ A, let there be one and only

Axiom 6 (Axiom of Power Set) The collection of all subsets of A is a

Axiom 7 (Axiom S of Union) For any collection of sets ( Aλ )λ∈Λ , where

Axiom 8 (Axiom of Infinity) There exists a set A such that ∅ ∈ A and

defines a set as long as A is a set and p(x) is unambiguous logic expression.

2.2 Relations and Equivalence

dom ( R ) := { x ∈ A | ∃y ∈ B, such that x ∼ y }

which are well-defined subsets.

Definition 2.2 Let A be a set and R be a relation on A. ∀x, y, z ∈ A,

Let ≡ be an equivalence relationship on A, then, it partitions A into

Let f : D → Y and g : Y → Z be functions, we may define a function

We have the following result concerning the inverse of a function.

x1 = idX (x1 ) = ψ2 (φ(x1 )) = ψ2 (φ(x2 )) = idX (x2 ) = x2

which is a contradiction. Hence, φ is injective. This proves that φ is

Let ψ1 and ψ2 satisfy the assumption of the proposition, and φinv be

ψ1 = idX ◦ ψ1 = (φinv ◦ φ) ◦ ψ1 = φinv ◦ (φ ◦ ψ1 ) = φinv ◦ idY = φinv

This completes the proof of the proposition. 2

2.4 Set Operations

We have the following results.

Proposition 2.5 Let A, B, D, Aλ ∈ X2, f : D → Y , C, E, Cλ ∈ Y 2, where

2. A ⊆ A ∪ B and A = A ∪ B if, and only if, B ⊆ A;

5. The De Morgan’s Laws:

9. f inv(C \ E) = f inv(C) \ f inv(E), f (f inv(C)) = C ∩ range ( f ), and

2.5 Algebra of Sets

Definition 2.7 Let X be a set and A ⊆ X2. A is said to be an algebra of

A is said to be a σ-algebra on X if it is an algebra on X and countable

Let M ⊆ X2, where X is a set, then, there exists a smallest algebra on

Proposition 2.8 Let X be a set, E be a nonempty collection of subsets of

Proof ∀E ∈ E, let n = 1, m = 1, and F1,1 = E. Then, E =

Fix E ∈ E = 6 ∅. E ⊆ X. Let n = 1, m = 2, F1,1 = E, F1,2 = E, e

2.6 Partial Ordering and Total Ordering

As an example, the set containment “⊆” is a partial ordering on any

Definition 2.10 Let A be a set with a partial ordering “”.

4. a ∈ A is said to be the greatest element if, ∀x ∈ A, x  a, and a  x

Definition 2.11 Let A be a set with a partial ordering “”, and E ⊆ A.

Definition 2.10 Let A be a set with a partial ordering “”.

4. a ∈ A is said to be the greatest element if, ∀x ∈ A, x a, and a x

Definition 2.11 Let A be a set with a partial ordering “”, and E ⊆ A.

x z. This shows that is transitive. Hence, is a partial ordering on

Theorem 2.13 (Hausdorff Maximal Principle) Let be a partial or-

Theorem 2.14 (Zorn’s Lemma) Let be an antisymmetric partial or-

Lemma 2.17 Let E be a nonempty set and is an antisymmetric partial

f (B0 ) = { f (x) ∈ E | a x f (x) } ⊆ B0

since f satisfies x f (x), ∀x ∈ E.

Claim 2.17.2 (v) ∀x ∈ P , ∀z ∈ A, then z x or f (x) z.

there are two exhaustive scenarios. If y x, then y x. If f (x) y, then

E := { A ⊆ E | defines a total ordering on A }

Then, E = 6 ∅. Define an ordering on E by ∀(A1 , 1 ), (A2 , 2 ) ∈ E, we say

is maximal in E with respect to , we must have (H, H ) (F, F ), and