Study Guide - Real Analysis - Chapter 2 (Measurable Functions)
Study Guide - Real Analysis - Chapter 2 (Measurable Functions)
Study Guide - Real Analysis - Chapter 2 (Measurable Functions)
0 10-July-2020
MEASURABLE FUNCTIONS
MODULE OVERVIEW
In this module, 𝜎 −algebra and measurable functions will be defined. Proofs and discussions on
theorems on measurable functions will be discussed.
𝜎 −ALGEBRA
Given the set X, we single out a family X of subsets of X which are "well-behaved" in a certain
technical sense. To be precise, we shall assume that this family contains the empty set ∅ and the entire
set X, and that X is closed under complementation and countable unions.
An ordered pair (X, X) consisting of a set X and a 𝜎-algebra X of subsets of X is called a measurable
space. Any set in X is called an X-measurable set, but when the 𝜎-algebra 𝑋 is fixed (as is generally
the case), the set will usually be said to be measurable.
It follows from these that the intersection of a sequence of sets in 𝑋 also belongs to X.
EXAMPLES.
(a) Let Let X be any set and let 𝑋 be the family of all subsets of X.
(b) Let X be the family consisting of precisely two subsets of X, namely ∅ and X.
(c) Let X = {1, 2, 3,…} be the set N of natural numbers and let 𝑋 consist of the subsets
(d) Let X be an uncountable set and 𝑋 be the collection of subsets which are either countable or
consists of all subsets of X which belong to both X1, and X2. It is readily checked that X3 is a
𝜎-algebra
(f) Let A be a nonempty collection of subsets of X. We observe that there is a smallest 𝜎 -algebra
of subsets of X containing A. To see this, observe that the family of all subsets of X is a 𝜎-
algebra containing A and the intersection of all the 𝜎-algebras containing A is also a 𝜎-algebra
containing A. This smallest σ-algebra is sometimes called the 𝜎-algebra generated by A.
(g) Let X be the set R of real numbers. The Borel algebra is the 𝜎-algebra B generated by all
open interval (a, b) in R. Observe that the Borel algebra B is also the 𝜎-algebra generated by
all closed intervals [a, b] in R. Any set in B is called a Borel set.
(h) Let X be the set 𝑅 of extended real numbers. If E is a Borel subset of R, let
and let 𝐵 be the collection of all sets E, E1, E2, E3 as E varies over B. It is readily seen that 𝐵
MEASURABLE FUNCTIONS
Solution:
Let 𝑓(𝑥) = 4 − 𝑥 2 > 3. Hence, 4 − 𝑥 2 > 3. Solving for 𝑥, we have 𝑥 2 < 1.
Therefore, 𝐴 = {−1 < 𝑥 < 1} = (−1,1).
Looking at the graph, we can clearly see that 𝐴 = {𝑥|𝑓(𝑥) > 3} = {−1 < 𝑥 < 1} = (−1,1).
Example:
a) 𝐴 = {𝑥|𝑓(𝑥) > 4}
b) 𝐵 = {𝑥|𝑓(𝑥) ≤ 4}
Solution:
We want to find the values of 𝑥 such that 𝑓(𝑥) > 4 and then values of 𝑥 such that 𝑓(𝑥) ≤ 4. Solving
the equation 3𝑥 3 + 3𝑥 2 − 4𝑥 + 2 = 4 will give us values of 𝑥 such that 𝑓(𝑥) = 4. Hence, we find
𝑥 = −1.5773, 𝑥 = −0.4226 and 𝑥 = 1.
In the graph below, we can see the horizontal line 𝑦 = 4 and the curve 𝑓(𝑥) = 3𝑥 3 + 3𝑥 2 − 4𝑥 + 2
intersect at (−1.5773,4), (−0.4226,4) and (1,4). Thus:
a) 𝐴 = {𝑥|𝑓(𝑥) > 4} = {𝑥| − 1.5773 < 𝑥 < −0.4226 𝑜𝑟 𝑥 > 1}. That is
(−1.5773, −0.4226) ∪ (1, ∞).
b) 𝐵 = {𝑥|𝑓(𝑥) ≤ 4} = {𝑥|𝑥 ≤ −1.5773 𝑜𝑟 − 0.4226 ≤ 𝑥 ≤ 1}. That is
(−∞, −1.5773) ∪ (−0.4226,1).
belongs to X.
The next lemma shows that we could have modified the form of the sets in defining measurability.
PROOF.
1 1
Now, since (𝛼 − 𝑛) < 𝛼, if 𝐴𝛼 = {𝑥 ∈ 𝑋: 𝑓(𝑥) > 𝛼} ∈ 𝑋, then 𝐴𝛼− 1 = {𝑥 ∈ 𝑋: 𝑓(𝑥) > 𝛼 − 𝑛} is
𝑛
also in X for all 𝑛 = 1,2,3, …
⋂∞
𝑛=1 𝐴𝛼−1/𝑛 = 𝐶𝛼 .
1
𝐴𝛼+ 1 = {𝑥 ∈ 𝑋: 𝑓(𝑥) ≥ 𝛼 + }
𝑛 𝑛
is also in X. Getting the countable union of 𝐴𝛼+ 1 for all 𝑛 = 1,2,3, …,we have
𝑛
⋃∞
𝑛=1 𝐶𝛼+1/𝑛 = 𝐴𝛼 .
Q.E.D.
EXAMPLES
(a) Any constant function is measurable. For, if 𝑓(𝑥) = 𝑐 for all 𝑥 ∈ 𝑋 and if 𝛼 ≥ 𝑐, then
{𝑥 ∈ 𝑋 ∙ 𝑓(𝑥) > 𝛼} = ∅,
whereas if 𝛼 < 𝑐, then
{𝑥 ∈ 𝑋: 𝑓(𝑥) > 𝛼} = 𝑋.
= 0, 𝑥 ∉ 𝐸,
(c) If X is the set R of real numbers, and X is the Borel algebra B, then any continuous function f
on R to R is Borel measurable (that is, B-measurable). In fact, if f is continuous, then
{𝑥 ∈ 𝑅 ∶ 𝑓(𝑥) > 𝛼} is an open set in R and hence is the union of a sequence of open intervals.
Therefore, it belongs to B.
(d) If X = R and X = B, then any monotone function is Borel measurable. For, suppose that f is
monotone increasing in the sense that 𝑥 ≤ 𝑥′ implies𝑓(𝑥) ≤ 𝑓(𝑥 ′ ). Then{𝑥 ∈ 𝑅 ∶ 𝑓(𝑥) > 𝛼}
consists of a half-line which is either of the form {𝑥 ∈ 𝑅 ∶ 𝑥 > 𝑎} or the form {𝑥 ∈ 𝑅 ∶ 𝑓(𝑥) ≥
𝛼}, or is R or ∅.
Certain simple algebraic combinations of measurable functions are measurable, as we shall now
show.
LEMMA
Let 𝑓 and 𝑔 be measurable real-valued functions and let c be a real number. Then the functions
a) 𝑐𝑓
b) 𝑓 2
c) 𝑓 + 𝑔
d) 𝑓𝑔
e) |𝑓|
are also measurable.
PROOF.
1
(d) Since 𝑓𝑔 = 4 [(𝑓 + 𝑔)2 − (𝑓 − 𝑔)2 ], it follows from parts (a), (b), and (c) that 𝑓𝑔 is measurable.
(e) If 𝛼 < 0, then {𝑥 ∈ 𝑋 ∶ |𝑓(𝑥)| > 𝛼} = 𝑋, whereas if 𝛼 ≥ 0, then
{𝑥 ∈ 𝑋 ∶ |𝑓(𝑥)| > 𝛼} = {𝑥 ∈ 𝑋 ∶ 𝑓(𝑥) > 𝛼} ∪ {𝑥 ∈ 𝑋 ∶ 𝑓(𝑥) < −𝛼}
Thus the function |𝑓| is measurable.
Q.E.D.
The function 𝑓 + is called the positive part of 𝑓 and 𝑓 − is called the negative part of 𝑓. It is clear
that
𝑓 = 𝑓+ − 𝑓− and |𝑓| = 𝑓 + + 𝑓 −
1 1
𝑓 + = 2 (|𝑓| + 𝑓), 𝑓 − = 2 (|𝑓| − 𝑓),
Example:
In view of the preceding lemma we infer that 𝑓 is measurable if and only if 𝑓 + and 𝑓 − are measurable.
𝑓1 (𝑥) = 𝑓(𝑥), 𝑖𝑓 𝑥 ∉ 𝐴 ∪ 𝐵
= 0, 𝑖𝑓 𝑥 ∈ 𝐴 ∪ 𝐵,
is measurable.
PROOF. If 𝑓 is in 𝑀(𝑋, 𝑋), it has already been noted that A and B belong to 𝑋. Let 𝛼 ∈ 𝑅 and 𝛼 ≥
0, then
If 𝛼 < 0, then
Hence 𝑓1 is measurable.
Conversely, if 𝐴, 𝐵 ∈ 𝑋 and 𝑓1 is measurable, then
It is a consequence of two previous lemmas that if 𝑓 is in 𝑀(𝑋, 𝑋), then the functions
𝑐𝑓, 𝑓 2, |𝑓|, 𝑓 +, 𝑓−
also belong to 𝑀(𝑋, 𝑋).
The only comment that need be made is that we adopt the convention that 0(±∞) = 0 so that 𝑐𝑓
vanishes identically when 𝑐 = 0. If 𝑓 and g belong to 𝑀(𝑋, 𝑋), then the sum f + g is not well-defined
by the formula (𝑓 + 𝑔)(𝑥) = 𝑓(𝑥) + 𝑔(𝑥) on the sets
𝐸1 = {𝑥 ∈ 𝑋 ∶ 𝐹(𝑥) = −∞ 𝑎𝑛𝑑 𝑔(𝑥) = +∞} ,
𝐸2 = {𝑥 ∈ 𝑋 ∶ 𝐹(𝑥) = +∞ 𝑎𝑛𝑑 𝑔(𝑥) = −∞} ,
result.
{𝑥 ∈ 𝑋 ∶ 𝑓(𝑥) ≥ 𝛼} =∩∞
𝑛=1 {𝑥 ∈ 𝑋 ∶ 𝑓𝑛 (𝑥) ≥ 𝛼}
{𝑥 ∈ 𝑋 ∶ 𝐹(𝑥) ≥ 𝛼} =∪∞
𝑛=1 {𝑥 ∈ 𝑋 ∶ 𝑓𝑛 (𝑥) > 𝛼}
Q.E.D.
PROOF. In this case 𝑓(𝑥) = 𝑙𝑖𝑚 𝑓𝑛 (𝑥) = 𝑙𝑖𝑚 𝑖𝑛𝑓 𝑓𝑛 (𝑥). Q.E.D.
We now return to the measurability of the product 𝑓𝑔 when 𝑓, 𝑔 belong to 𝑀(𝑋, 𝑋). If 𝑛 ∈ 𝑁, let
𝑓𝑛 be the "truncation of 𝑓" defined by
Let 𝑔𝑚 be defined similarly. It is readily seen that 𝑓𝑛 and 𝑔𝑚 are measurable (see Exercise 2.K). It
follows from Lemma 2.6 that the product 𝑓𝑛 𝑔𝑚 , is measurable. Since
it follows from Corollary 2.10 that f gm, belongs to M(X, X). Since
another application of Corollary 2.10 shows that f g belongs to M(X, X). It has been seen that the
limit of a sequence of functions in M(X, X) belongs to M(X, X). We shall now prove that a
nonnegative function f in M(X, X) is the limit of a monotone increasing sequence (𝜑n) in M(X, X).
Moreover, each 𝜑n can be chosen to be nonnegative and to assume only a finite number of real
values.
LEMMA. If 𝑓 is a nonnegative function in 𝑀(𝑋, 𝑋), then there exists a sequence (𝜑𝑛 ) in 𝑀(𝑋, 𝑋)
such that
PROOF. Let 𝑛 be a fixed natural number. If 𝑘 = 0,1,2,3, … , 𝑛2𝑛 − 1, let 𝐸𝑘𝑛 be the set
𝐸𝑘𝑛 = {𝑥 ∈ 𝑋| 𝑘2−𝑛 ≤ 𝑓(𝑥) < (𝑘 + 1)2−𝑛 }
and if 𝑘 = 𝑛2𝑛 , let 𝐸𝑘𝑛 be the set {𝑥 ∈ 𝑋|𝑓(𝑥) ≥ 𝑛}. We observe that the sets {𝐸𝑘𝑛 |𝑘 =
0,1,2,3, … , 𝑛2𝑛 } are disjoint, belong to 𝑋, and have union equal to 𝑋. If we define 𝜑𝑛 to be equal to
𝑘2−𝑛 on 𝐸𝑘𝑛 , then 𝜑𝑛 belongs to 𝑀(𝑋, 𝑋). It is readily established that the properties (a),(b), (c) hold.
Q.E.D.
f = f1 + 𝑖 f 2 .
(Indeed, f1(x) = Re f(x) , f2(x) = Im f(x) , for x ∈ X.) We define the complex-valued function f to be
measurable if and only if its real and imaginary parts f1 and f2, respectively, are measurable. It is
easy to see that sums, products, and limits of complex-valued measurable functions are also
measurable.
In the sequel we shall require the notion of measurability only for real- and complex-valued
functions. In some work, however, one wishes to define measurability for a function f from one
measurable space (X, X) into another measurable space (Y, Y). In this case one says that f is
measurable in case the set
f -1(E) = {x E X : f(x) ∈ E}
belongs to X for every set E belonging to Y. Although this definition of measurability appears to
differ from Definition 2.3, it is not difficult to show (see Exercise 2.P) that Definition 2.3 is equivalent
to this definition in the case that Y = R and Y = B.
This definition of measurability shows very clearly the close analogy between the measurable
functions on a measurable space and continuous functions on a topological space.
LEARNING ACTIVITY
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Ltd., 2003.
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2016.
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