# and s n (x) f(x) for all x and s.t. s n is measurable if f is. REAL ANALYSIS Measures. A (positive) measure on a measurable space

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1 RAL ANALYSIS A survey of MA , UAB M. Griesemer Throughout these notes m denotes Lebesgue measure. 1. Abstract Integration σ-algebras. A σ-algebra in X is a non-empty collection of subsets of X which is closed under taking complements and countable unions. The pair (X, M) is called a measurable space and the subsets of X which belong to M are called measurable sets. Theorem. Given a collection F of subsets of X there exists a smallest σ-algebra which contains F. (The σ- algebra generated by F.) and s n (x) f(x) for all x and s.t. s n is measurable if f is. Measures. A (positive) measure on a measurable space (X, M) is a map µ : M [0, ], µ +, which is countably additive: µ( A n ) = µ(a n ) on disjoint sets A n. The triple (X, M, µ) is called a measure space. A measure space is complete if all subsets of sets of measure zero are measurable. The measure µ is σ-finite if X is a countable union of sets of finite measure. Theorem. very measure space (X, M, µ) has a smallest complete extension (X, M, µ ). A set X belongs to M if and only if there exist A, B M, s.t. A B and µ(b\a) = 0, then µ () := µ(a). Borel sets. The σ-algebra generated by the topology of a topological space is called the Borel σ-algebra. Its elements are called Borel sets. Two types of Borel sets have special names. Sets of type F σ are countable unions of closed sets and sets of type G δ are countable intersections of open sets. Measurable functions. Let X be a measurable space and Y a topological space. Then f : X Y is said to measurable if one of the following equivalent definitions is satisfied. (1) preimages of Borel sets are measurable, (2) preimages of open sets are measurable, (3) f 1 ((α, ]) is measurable for all α R (Y = R). If X is in addition a topological space and the measurable sets are the Borel sets then a measurable function is called a Borel function. In this case every continuous function is measurable. Theorem. Let f, g : X C where X is a measurable space. (1) f is measurable if and only if Re(f) and Im(f) are measurable. (2) If f and g are measurable then so are f + g, f g, and f. Theorem. If f, g, f n : X R are measurable then so are sup f n, inf f n, lim sup f n, lim inf n f n, lim f n (if it exists), max(f, g), min(f, g) and f ±. If f, g : X [0, ] are measurable then so are f + g and f g. A simple function s : X C is a function of the form s = n i=1 α iχ Ai, where the sets A i are disjoint and n <. For every function f : X [0, ] there exists a sequence s n of simple functions s.t. 0 s n s n+1 f 1 Positive measures have the following properties (1) If A n A then µ(a n ) µ(a) (2) If A n A and µ(a 1 ) < then µ(a n ) µ(a) (3) µ( A n ) µ(a n ) Theorem (gorov). Suppose f n is a sequence of complex measurable functions on a measure space (X, µ) with µ(x) <. If f n f a.e. and f is finite then for each ε > 0 there exists a X with µ(x\) < ε such that f n f uniformly on. Regularity. A measure µ whose σ-algebra contains all Borel sets is inner regular if µ() = sup{µ(k) : K, Kcompact} and outer regular if µ() = inf{µ(v ) : V, V open}. If µ is inner and outer regular then µ is said to be regular. Lebesgue measure on R k is regular. Convergence in measure. Let µ be a positive measure on X. A sequence (f n ) of complex measurable functions on X is said to converge in measure to a measurable function f (f n µ f) if for each ε > 0 Theorem. lim µ{x : f n(x) f(x) > ε} = 0. n (i) If f n (x) f(x) a.e. (µ) and µ(x) < then µ f n f. µ (ii) If f n f then there exists a subsequence fnj such that f nj (x) f(x) a.e. (µ).

2 2 RAL ANALYSIS Integration. Let s = n i=1 α iχ Ai 0 be a measurable simple function and let f 0 be measurable. Then s dµ := f dµ := n α i µ(a i ) i sup 0 s f s dµ where M. The sup is taken over measurable simple functions. One has f dµ = χ f dµ. Theorems. Let f n : X R be a sequence of measurable functions with f n 0. (1) (Monotone convergence) If f n f then f n dµ f dµ. (2) f n dµ = f n dµ. (3) (Fatou) lim inf f n dµ lim inf f n dµ. Integration of complex functions. A measurable function f : X C is said to be (Lebesgue-) integrable if f dµ <. The set of these functions is denoted L 1 (X). Suppose f is measurable and real-valued. Then f = f + + f and hence f L 1 (X) if and only if f ± L(X). If at least one of the functions f ± is integrable then the integral f dµ := f + dµ f dµ exists. If f L(X) is complex valued one defines f dµ := Re(f) dµ + i Im(f) dµ. A property P (x) is said to hold almost everywhere w.r.t. µ (a.e. (µ)) if it hold everywhere except for a set of measure zero. For instance, if f 0 is measurable then f dµ = 0 if and only if f = 0 almost everywhere. This example shows that integration is not sensitive for sets of measure zero, which allows one to strengthen the above theorems. Theorems. Suppose f n, n = 1, 2,... are measurable functions on a measure space X and φ L(X). (1) (Monotone convergence) If f n f a.e. and f n φ for all n then f n dµ f dµ. (2) (Fatou) If f n φ for all n then lim inf f n dµ lim inf f n dµ. (3) (Dominated convergence) If f n f a.e. and if f n φ for all n then f L(X) and f n dµ f dµ. (4) If f n dµ < then f n converges a.e., is integrable and f n dµ = f n dµ. 2. Lebesgue Measure and Outer Measure Intervals. An interval in R n is a set of the form I = {x R n a i x i b i } where < a i b i <. Its volume is by definition v(i) = n i (b i a i ). Two intervals are said to be non-overlapping if there intersection has no inner points. Parallelepipeds. n + 1 vectors x 0, e 1,..., e n in R n span a parallelepiped P with edges parallel to e 1,..., e n and one corner at x 0. Its volume v(p ) is by definition v(p ) = det where is the n n matrix with components ik = (e k ) i (= ith component of e k w. r. to the standard basis). This generalizes the above definitions for intervals. Basic facts about volume. We take the following basic facts about volume for granted without proof. If P is a parallelepiped and I k, k = 1,..., N < are intervals then (1) P I k implies v(p ) v(i k ). (2) If I k P and the intervals are non-overlapping then v(i k ) v(p ). Lebesgue outer measure. Given an arbitrary subset R n its (Lebesgue-) outer measure is defined as m () = inf v(i k ) where the infimum is take over all countable collections of intervals I k such that I k. Theorem. m is an outer measure on R n, i.e., (1) m ( ) = 0. (2) If A B then m (A) m (B). (3) m ( n 1 n) n 1 m ( n ). For a finite collection {I n } N n=1 of non-overlapping intervals it follows from the Heine-Borel theorem and basic facts about volume that m ( I n ) = v(i n ). It is also straight forward to prove that given R n and ε > 0 there exists an open set G such that (1) m (G) m () + ε. Lebesgue measurable. A set R n is said to be Lebesgue measurable if given ε > 0 there exists an open set G such that m (G\) ε. Theorem. The collection of all Lebesgue measurable subsets of R n is a σ-algebra (containing al Borel sets) and m restricted to this σ-algebra is a (positive) measure, called Lebesgue measure. We use m to denote Lebesgue measure. From (1) it follows that every set of outer measure zero is Lebesgue measurable. I.e. Lebesgue measure is complete. In fact, Lebesgue measure on R n is the completion of Lebesgue measure restricted to the Borel-sets of R n.

3 RAL ANALYSIS 3 Characterizations of measurability. The following three statements are equivalent. (i) is Lebesgue measurable. (ii) There exists a set H of type G δ with H and m(h\) = 0. (iii) There exists a set H of type F σ with H and m(\h) = 0. Translation invariance. It is easy to show that Lebesgue measure is translation invariant. This is a property which characterizes Lebesgue measure up to an over all constant. More precisely, if µ is a positive Borel measure on R k which is translation invariant and finite on compact sets then there exists a constant c 0 such that µ = cm. Theorem (Vitali). There exists a subset of R which is not Lebesgue measurable. The proof is based on the axiom of choice, the translation invariance of Lebesgue measure and the fact that (+d) for d small enough if R is measurable and has positive measure. Lipschitz transformations. If R k is Lebesgue measurable and T : R k R k is continuous then T () does not need to be measurable (the Cantor-Lebesgue function provides a counter example). However if T is locally Lipschitz then T () is Lebesgue measurable. If T is even linear then m(t ) = det(t ) m(). It follows that Lebesgue measure is invariant under arbitrary motions in R k. The following theorem thus implies the existence of non-measurable sets in R k, k 3. Theorem (Banach & Tarski 1924). Suppose k 3 and A, B R k are bounded sets with non-empty interior. Then there exist disjoint subsets C 1,..., C m of A and disjoint subsets D 1,..., D m of B, m being finite, such that A = m i=1 C i, B = m i=1 D i and C i is congruent to D i for all i = 1,..., m. 3. Riemann versus Lebesgue Integral Theorem. Suppose f : [a, b] R R is a bounded, Riemann integrable function and let b f(x) dx denote its a Riemann integral. Then f L 1 ([a, b]) and b f dm = f(x) dx. [a,b] 4. Integration on Product Spaces Let (X, S) and (Y, T ) be measurable spaces. Then S T denotes the smallest σ-algebra in X Y witch contains all measurable rectangles. In this way X Y becomes a measurable space. It is important that S T is also the smallest monotone class which contains all finite unions of disjoint measurable rectangles (elementary sets). a If X Y let Theorems. x = {y Y : (x, y) } y = {x X : (x, y) }. (i) All sections x and y of a measurable set X Y are measurable. (ii) If f : X Y C is measurable then the maps x f y (x) = f(x, y) and y f x (y) = f(x, y) are measurable for all x X and all y Y. Theorem. If (X, µ) and (Y, λ) are σ-finite measure spaces and Q X Y is measurable then the mappings x λ(q x ) and y µ(q y ) are measurable and (2) λ(q x )dµ = µ(q y )dλ =: (µ λ)(q). Theorem. spaces. (3) Let (X, µ) and (Y, λ) be σ-finite measure (i) (Tonelli) If f : X Y [0, ] is measurable then the maps x f x dλ and y f y dµ are measurable and dλ dµ f y = dµ dλ f x = d(µ λ)f. In particular if f : X Y C is measurable then f L 1 (X Y ) if and only if one of these three integrals for f is finite. (ii) (Fubini) If f L 1 (X Y ) then f y L 1 (X) for almost every y, f x L 1 (Y ) for almost every x, x f x dλ and y f y dµ are integrable and (3) holds. Let B k and M k denote the σ-algebras of the Borel and the Lebesgue measurable sets in R k respectively. Then B r B s = B r+s. However M r M s M r+s and equality does not hold. Theorem. If m k denotes the Lebesgue measure in R k, then m r+s is the completion of m r m s. In this context it is also useful to know that given a Lebesgue measurable function f : R k C there exists a Borel function g : R k C such that f = g a.e. The Distribution Function. Let (X, µ) be a σ-finite measure space and suppose f : X [0, ] is measurable. Then the set = {(x, t) X [0, ) : f(x) > t} is measurable in X [0, ), where [0, ) is equipped with the Borel σ-algebra. Hence by (2) f dµ = (µ m)() = µ{x : f(x) > t}dt. 0

4 4 RAL ANALYSIS Theorem. Let (X, µ) and f be as above and suppose ϕ : [0, ] [0, ] is non-decreasing, AC on compact intervals, ϕ(0) = 0 and ϕ(t) ϕ( ) as t. Then ϕ f dµ = µ{x : f(x) > t}ϕ (t) dt. 0 A nice application of this theorem is the proof of the next theorem. Theorem (Hardy-Littlewood). If f L p (R k ) and 1 < p < then the Hardy-Littlewood maximal function Mf of f is also in L p (R k ). 5. L p Spaces Let (X, µ) be a measure space. For each p > 0 we denote by L p (X, µ) the set of all measurable functions f : X C with f p < where ( 1/p f p = f dµ) p (p < ) f = esssup f Suppose f, g : X C are measurable, 1 p and p 1 + q 1 = 1. Then we have Hölder s inequality and Minkowski s inequality fg 1 f p f q f + g p f p + g p. In particular fg L 1 if f L p and g L q, and L p is a complex linear space. Once one identifies functions in L p which differ only on a sets of measure zero (L p, p ) for p 1 becomes a normed linear space. Theorem (Fischer-Riesz). If 1 p then L p (X, µ) is a complete normed space. Moreover, if f n f in L p then there exists a subsequence which converges pointwise almost everywhere. Lemma. The set of complex-valued, measurable, simple functions on X with support of finite measure is dense in L p (X, µ) if 1 p <. This theorem together with Urysohn s lemma implies following theorem. Theorem. Let µ be a measure on a locally compact Hausdorff space X. If Borel sets are measurable, µ is regular and compact sets have finite measure, then the set C c (X; C) of compactly supported continuous functions on X is dense in L p (X, µ) if 1 p <. In particular C c (R n ; C) is dense in L p (R n, m) for 1 p <. Convolutions. The convolution f g of two measurable functions f and g on R k is defined by (f g)(x) = f(x y)g(y) dm provided that y f(x y)g(y) is integrable. In this case f g = g f. If f and g are integrable then so is f g and f g 1 f 1 g 1. Theorem (Young). Suppose f L p (R k ), g L q (R k ), 1 p, q and 1/p + 1/q 1. Define r 1 by 1/p + 1/q = 1 + 1/r. Then f g L r and f g r f p g q. In particular if 1 p, f L p (R k ) and g L 1 (R k ) then f g L p and f g p f p g Convexity If ϕ : (a, b) R R is convex then ϕ is continuous and for each x (a, b) there exists a constant c R such that ϕ(y) ϕ(x) + c(y x) for all y (a, b). This elementary fact immediately implies Jensen s inequality. Theorem (Jensen). If (Ω, µ) is a measure space with µ(ω) = 1, f L 1 (Ω, µ) and ϕ is convex on (a, b) range f, then ( ) ϕ f dµ ϕ f dµ. Ω Ω 7. Complex Measures A complex measure is a countably additive set function µ : M C defined on the measurable sets of a measurable space (X, M). A complex measure which is actually real-valued is called a signed measure. The set of complex measures on a given fixed σ-algebra is a complex linear space. Total variation. The total variation (measure) µ of a given complex measure µ is defined by µ = sup n µ( n ) where the supremum is taken over all countable collections of disjoint measurable sets ( n ) n 0. Theorem. The total variation measure of a complex measure is a finite, positive measure. If µ is a signed measure it follows that the positive and negative variations µ ± = 1 2 ( µ ± µ) of µ are finite positive measures. They give rise to the Jordan decomposition µ = µ + µ of a signed measure. Correspondingly there exists a partition of the measurable space on which µ is defined.

5 RAL ANALYSIS 5 Theorem (Hahn-decomposition). If µ is a signed measure on X then there exist disjoint measurable sets X + and X such that X = X + X and µ + = µ( X + ), µ = µ( X ). Absolute Continuity. Suppose λ is an arbitrary measure defined on the same measurable space as a given positive measure µ. Then λ is absolutely continuous w.r. to µ (λ µ) if µ() = 0 implies that λ() = 0. If λ is a complex measure then this is equivalent to the condition that for every ε > 0 there exists a δ > 0 such that µ() < δ implies λ() < ε. Two arbitrary measures λ 1 and λ 2 defined on the same measurable space are mutually singular (λ 1 λ 2 ) if there exists a measurable set A such that λ 1 (A c ) = 0 and λ 2 (A) = 0. Theorem (Lebesgue-Radon-Nikodym). Suppose µ is a σ-finite positive measure on a measurable space (X, M) and λ is a complex measure on the same space. Then there exists a unique decomposition λ = λ a + λ s λ a µ, λ s µ, and furthermore there is a unique h L 1 (X, µ) such that (4) λ a () = h dµ. Remark. Note that, since λ s µ, there exists a set Z of µ-measure zero such that λ a () = λ(\z), and λ s () = λ( Z). Corollary. If both λ and µ are σ-finite measures on the same measurable space, then there exists a unique pair of σ-finite measures λ a and λ s such that λ = λ a + λ s, λ a µ and λ s µ. Furthermore there is a non-negative measurable function h such that (4) holds. As a consequence from the Radon-Nikodym theorem every complex measure µ can be represented as µ() = h d µ where h is a measurable function with h 1. This immediately implies that Hahn-decomposition for signed measures. 8. Differentiation Derivatives of measures. Suppose µ is a Borel measure on R k, that is a measure defined in the sigma-algebra of Borel sets, and B r (x) = B(x, r) denotes the open ball in R k with center at x and radius r. Then µ(b r (x)) Dµ(x) = lim r 0 m(b r (x)), if it exists, is called the symmetric derivative of µ at x. An important tool in the study of the Dµ(x) is the Hardy-Littlewood maximal function M f of a measurable function fon R k. By definition 1 Mf(x) = sup r>0 m(b r ) B(x,r) f dm. Its distribution function satisfies the bound m{x : Mf(x) > λ} 3 k λ 1 f 1. Lebesgue points. Suppose f L 1 (R k ), x R k and 1 lim f f(x) dm = 0. r 0 µ(b r ) B(x,r) Then x is called a Lebesgue point of f. It is easy to see that if dµ = fdm, f L 1 and x is a Lebesgue point of f, then Dµ(x) = f(x). However much more is true. Theorem. If f L 1 (R k ) then almost every x R k is a Lebesgue point of f. Theorem. If µ is a complex Borel measure on R k and dµ = fdm + dµ s is its Lebesgue decomposition w.r. to m, then Dµ(x) = f(x) a.e. (m). In particular µ m if and only if Dµ = 0 a.e.(m). This theorem still hold if the balls in the definition of Dµ(x) are replaced by Borel sets { n } that shrink to x nicely in the sense that there exists an α > 0 and a sequence of balls B(x, r n ) such that (i) r n 0 (ii) B(x, r n ) n (iii) m( n ) αm(b(x, r n )). Here α, n and r n will depend on the x where Dµ(x) is evaluated. The Fundamental Theorem of Calculus. The function f : [a, b] C is said to be absolutely continuous (AC) if for every ε > 0 there exists a δ > 0 such that n f(β i ) f(α i ) < ε i=1 for every finite collection of disjoint intervals {(α i, β i )} i=1..n in [a, b] with (β i α i ) < δ. Theorem. If f : [a, b] C is absolutely continuous then f is differentiable a.e., f L 1 and (5) f(x) f(a) = x a f dm x [a, b]. Conversely, the antiderivative of every integrable function is absolutely continuous. Functions of bounded variation. A function f : [a, b] C is said to be of bounded variation if n V (f) = sup f(t i ) f(t i 1 ) < i=1

6 6 RAL ANALYSIS where the sup is taken over all partitions of [a, b]. If f is AC the V (f) [a,b] f dm by the fundamental theorem of calculus and hence f is of bounded variation. On the other hand if f is of bounded variation then f is differentiable a.e. and f L 1. However (5) will not hold unless f is AC. The cantor Lebesgue function is a nice example. Differentiable Transformations. A mapping T : V R m R n, V open, is said to be differentiable at x if there exists a linear transformation A : R m R n such that lim h 0 T (x + h) T (x) Ah h = 0. Then T (x) := A is called the derivative of f at x. Theorem. If T : V R k R k, V is open and T is continuous on V and differentiable at x then m(t (B r (x))) lim = det T (x). r 0 m(b r (x)) Theorem. Suppose T : V R k R k, V is open and T is continuous on V and one-to-one and differentiable on a measurable subset X V for which m(t (V \X)) = 0. Then for every measurable function f : R k [0, ] f dm = (f T ) det T dm. T (X) X 9. Hilbert Space Theory Terminology. Inner product space, unitary space, Hilbert space, linear subspace, orthogonality, continuous linear functional, isomorphism. The inner product (x, y) of two vectors x and y is linear in the first and antilinear in the second argument. x = (x, x) 1/2 defines a norm. Theorem. If M is a closed linear subspace of a Hilbert space H then for each x H there is a unique decomposition x = x 1 + x 2, x 1 M, x 2 M and x 1 is characterized by x x 1 = min x y. y M Theorem (Riesz). To every continuous linear functional f on a Hilbert space H there exists a unique vector x such that f(x) = (x, x ), all x H. Orthonormal systems. A countable family of vectors (u n ) n 1 in a inner product space is called an orthonormal system (ONS) if (u n, u k ) = δ nk. It is maximal if (x, u n ) n 0 implies x = 0. An ONS (u n ) n 1 is called an orthonormal basis (ONB) if x = (x, u n )u n for all x. (i) (Bessel s inequality) (x, u n ) 2 x 2 n 0 and equality holds if and only if (x, u n )u n = x. (ii) If is complete then (x, u n )u n = x 1 n 0 where x 1 is the orthogonal projection of x onto span{u n }. Parseval s Identity. If (u n ) n 1 is an ONB in a Hilbert space H then for all x, y H (x, y) = n 1(x, u n )(y, u n ). Theorems. (i) An ONS in a Hilbert space is a ONB if and only if it is maximal. (ii) very separable inner product space has a countable ONB. (iii) very Hilbert space with a countably infinite ONB is isomorphic to l 2. Remark. L 2 (R n ) is separable. 10. Appendix Let (A α ) α I, B be subsets of a set X, where I is an arbitrary index set. Distributive laws. B ( α I A α ) = α I (B A α ) B ( α I A α ) = α I (B A α ) De Morgan s Laws. ( α I A α ) c = ( α I A c α) ( α I A α ) c = ( α I A c α) For any map f : X Y and sets A α X and B, B α Y where α I f 1 (B c ) = f 1 (B) c f 1 ( α B α ) = α f 1 (B α ) f 1 ( α B α ) = α f 1 (B α ) f( α A α ) = α f(a α ) f( α A α ) α f(a α ). 11. References (1) W. Rudin: Real and Complex Analysis, 3rd d., McGraw-Hill. (2) R.L. Wheeden, A. Zygmund: Measure and Integral, Marcel Dekker Inc. Theorem. Suppose (u n ) n 0 is an ONS in an inner product space. Then for each x we have:

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