# NOTES ON MEASURE THEORY. M. Papadimitrakis Department of Mathematics University of Crete. Autumn of 2004

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1 NOTES ON MEASURE THEORY M. Papadimitrakis Department of Mathematics University of Crete Autumn of 2004

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3 Contents 1 σ-algebras σ-algebras Generated σ-algebras Algebras and monotone classes Restriction of a σ-algebra Borel σ-algebras Exercises Measures General measures Point-mass distributions Complete measures Restriction of a measure Uniqueness of measures Exercises Outer measures Outer measures Construction of outer measures Exercises Lebesgue measure on R n Volume of intervals Lebesgue measure in R n Lebesgue measure and simple transformations Cantor set A non-lebesgue set in R Exercises Borel measures Lebesgue-Stieltjes measures in R Borel measures Metric outer measures Hausdorff measure

4 5.5 Exercises Measurable functions Measurability Restriction and gluing Functions with arithmetical values Composition Sums and products Absolute value and signum Maximum and minimum Truncation Limits Simple functions The role of null sets Exercises Integrals Integrals of non-negative simple functions Integrals of non-negative functions Integrals of complex valued functions Integrals over subsets Point-mass distributions Lebesgue integral Lebesgue-Stieltjes integral Reduction to integrals over R Exercises Product measures Product σ-algebra Product measure Multiple integrals Surface measure on S n Exercises Convergence of functions a.e. convergence and uniformly a.e. convergence Convergence in the mean Convergence in measure Almost uniform convergence Relations between types of convergence Exercises Signed measures and complex measures Signed measures The Hahn and Jordan decompositions, I The Hahn and Jordan decompositions, II

5 10.4 Complex measures Integration Lebesgue decomposition, Radon-Nikodym derivative Differentiation of indefinite integrals in R n Differentiation of Borel measures in R n Exercises The classical Banach spaces Normed spaces The spaces L p (, Σ, µ) The dual of L p (, Σ, µ) The space M(, Σ) The space C 0 () and its dual Exercises

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7 Chapter 1 σ-algebras 1.1 σ-algebras. Definition 1.1 Let be a non-empty set and Σ a collection of subsets of. We call Σ a σ-algebra of subsets of if it is non-empty, closed under complements and closed under countable unions. This means: (i) there exists at least one A so that A Σ, (ii) if A Σ, then A c Σ, where A c = \ A, and (iii) if A n Σ for all n N, then + n=1 A n Σ. The pair (, Σ) of a non-empty set and a σ-algebra Σ of subsets of is called a measurable space. Proposition 1.1 Every σ-algebra of subsets of contains at least the sets and, it is closed under finite unions, under countable intersections, under finite intersections and under set-theoretic differences. Proof: Let Σ be any σ-algebra of subsets of. (a) Take any A Σ and consider the sets A 1 = A and A n = A c for all n 2. Then = A A c = + n=1 A n Σ and also = c Σ. (b) Let A 1,..., A N Σ. Consider A n = A N for all n > N and get that N n=1a n = + n=1 A n Σ. (c) Let A n Σ for all n. Then + n=1 A n = ( + n=1 Ac n) c Σ. (d) Let A 1,..., A N Σ. Using the result of (b), we get that N n=1a n = ( N n=1a c n) c Σ. (e) Finally, let A, B Σ. Using the result of (d), we get that A\B = A B c Σ. Here are some simple examples. Examples 1. The collection {, } is a σ-algebra of subsets of. 2. If E is non-empty and different from, then the collection {, E, E c, } is a σ-algebra of subsets of. 7

8 3. P(), the collection of all subsets of, is a σ-algebra of subsets of. 4. Let be uncountable. The {A A is countable or A c is countable} is a σ-algebra of subsets of. Firstly, is countable and, hence, the collection is non-empty. If A is in the collection, then, considering cases, we see that A c is also in the collection. Finally, let A n be in the collection for all n N. If all A n s are countable, then + n=1 A n is also countable. If at least one of the A c n s, say A c n 0, is countable, then ( + n=1 A n) c A c n 0 is also countable. In any case, + n=1 A n belongs to the collection. The following result is useful. Proposition 1.2 Let Σ be a σ-algebra of subsets of and consider a finite sequence {A n } N n=1 or an infinite sequence {A n } in Σ. Then there exists a finite sequence {B n } N n=1 or, respectively, an infinite sequence {B n } in Σ with the properties: (i) B n A n for all n = 1,..., N or, respectively, all n N. (ii) N n=1b n = N n=1a n or, respectively, + n=1 B n = + n=1 A n. (iii) the B n s are pairwise disjoint. Proof: Trivial, by taking B 1 = A 1 and B k = A k \ (A 1 A k 1 ) for all k = 2,..., N or, respectively, all k = 2, 3, Generated σ-algebras. Proposition 1.3 The intersection of any σ-algebras of subsets of the same is a σ-algebra of subsets of. Proof: Let {Σ i } i I be any collection of σ-algebras of subsets of, indexed by an arbitrary non-empty set I of indices, and consider the intersection Σ = i I Σ i. Since Σ i for all i I, we get Σ and, hence, Σ is non-empty. Let A Σ. Then A Σ i for all i I and, since all Σ i s are σ-algebras, A c Σ i for all i I. Therefore A c Σ. Let A n Σ for all n N. Then A n Σ i for all i I and all n N and, since all Σ i s are σ-algebras, we get + n=1 A n Σ i for all i I. Thus, + n=1 A n Σ. Definition 1.2 Let be a non-empty set and E be an arbitrary collection of subsets of. The intersection of all σ-algebras of subsets of which include E is called the σ-algebra generated by E and it is denoted by Σ(E). Namely Σ(E) = {Σ Σ is a σ-algebra of subsets of and E Σ}. Note that there is at least one σ-algebra of subsets of which includes E and this is P(). Note also that the term σ-algebra used in the name of Σ(E) is justified by its definition and by Proposition 1.3. Proposition 1.4 Let E be any collection of subsets of the non-empty. Then Σ(E) is the smallest σ-algebra of subsets of which includes E. Namely, if Σ is any σ-algebra of subsets of such that E Σ, then Σ(E) Σ. 8

9 Proof: If Σ is any σ-algebra of subsets of such that E Σ, then Σ is one of the σ-algebras whose intersection is denoted Σ(E). Therefore Σ(E) Σ. Looking back at two of the examples of σ-algebras, we easily get the following examples. Examples. 1. Let E and E be non-empty and different from and consider E = {E}. Then Σ(E) = {, E, E c, }. To see this just observe that {, E, E c, } is a σ-algebra of subsets of which contains E and that there can be no smaller σ-algebra of subsets of containing E, since such a σ-algebra must necessarily contain, and E c besides E. 2. Let be an uncountable set and consider E = {A A is countable}. Then Σ(E) = {A A is countable or A c is countable}. The argument is the same as before. {A A is countable or A c is countable} is a σ-algebra of subsets of which contains all countable subsets of and there is no smaller σ-algebra of subsets of containing all countable subsets of, since any such σ-algebra must contain all the complements of countable subsets of. 1.3 Algebras and monotone classes. Definition 1.3 Let be non-empty and A a collection of subsets of. We call A an algebra of subsets of if it is non-empty, closed under complements and closed under unions. This means: (i) there exists at least one A so that A A, (ii) if A A, then A c A and (iii) if A, B A, then A B A. Proposition 1.5 Every algebra of subsets of contains at least the sets and, it is closed under finite unions, under finite intersections and under set-theoretic differences. Proof: Let A be any algebra of subsets of. (a) Take any A A and consider the sets A and A c. Then = A A c A and then = c A. (b) It is trivial to prove by induction that for any n N and any A 1,..., A n A it follows A 1 A n A. (c) By the result of (b), if A 1,..., A n A, then n k=1 A k = ( n k=1 Ac k )c A. (d) If A, B A, using the result of (c), we get that A \ B = A B c A. Examples. 1. Every σ-algebra is also an algebra. 2. If is an infinite set then the collection {A A is finite or A c is finite} is an algebra of subsets of. If (A n ) is a sequence of subsets of a set and A n A n+1 for all n, we say 9

10 that the sequence is increasing. In this case, if A = + n=1 A n, we write A n A. If A n+1 A n for all n, we say that the sequence (A n ) is decreasing and, if also A = + n=1 A n, we write A n A. Definition 1.4 Let be a non-empty set and M a collection of subsets of. We call M a monotone class of subsets of if it is closed under countable increasing unions and closed under countable decreasing intersections. That is, if A 1, A 2,... M and A n A, then A M and, if A 1, A 2,... M and A n A, then A M. It is obvious that every σ-algebra is a non-empty monotone class. Proposition 1.6 The intersection of any monotone classes of subsets of the same set is a monotone class of subsets of. Proof: Let {M i } i I be any collection of monotone classes of subsets of, indexed by an arbitrary non-empty set I of indices, and consider the intersection M = i I M i. Let A 1, A 2,... M with A n A. Then A n M i for all i I and all n N and, since all M i s are monotone classes, we get that A M i for all i I. Therefore A M. The proof in the case of a countable decreasing intersection is identical. Definition 1.5 Let be a non-empty set and E be an arbitrary collection of subsets of. Then the intersection of all monotone classes of subsets of which include E is called the monotone class generated by E and it is denoted by M(E). Namely M(E) = {M M is a monotone class of subsets of and E M}. There is at least one monotone class including E and this is P(). Also note that the term monotone class, used for M(E), is justified by Proposition 1.6. Proposition 1.7 Let E be any collection of subsets of the non-empty. Then M(E) is the smallest monotone class of subsets of which includes E. Namely, if M is any monotone class of subsets of such that E M, then M(E) M. Proof: If M is any monotone class of subsets of such that E M, then M is one of the monotone classes whose intersection is M(E). Thus, M(E) M. Theorem 1.1 Let be a non-empty set and A an algebra of subsets of. Then M(A) = Σ(A). Proof: Σ(A) is a σ-algebra and, hence, a monotone class. Since A Σ(A), Proposition 1.7 implies M(A) Σ(A). 10

11 Now it is enough to prove that M(A) is a σ-algebra. Since A M(A), Proposition 1.4 will immediately imply that Σ(A) M(A) and this will conclude the proof. M(A) is non-empty because A M(A). Fix any A A and consider the collection M A = {B A B M(A)}. It is very easy to show that M A includes A and that it is a monotone class of subsets of. In fact, if B A then A B A and thus B M A. Also, if B 1, B 2,... M A and B n B, then A B 1, A B 2,... M(A) and A B n A B. Since M(A) is a monotone class, we find that A B M(A). Thus, B M A and M A is closed under countable increasing unions. In a similar way we can prove that M A is closed under countable decreasing intersections and we conclude that it is a monotone class. Proposition 1.7 implies that M(A) M A. This means that: i. A B M(A) for all A A and all B M(A). Now fix any B M(A) and consider M B = {A A B M(A)}. As before, M B is a monotone class of subsets of and, by i, it includes A. Again, Proposition 1.7 implies M(A) M B, which means: ii. A B M(A) for all A M(A) and all B M(A). We consider the collection M = {A A c M(A)}. As before, we can show that M is a monotone class of subsets of and that it includes A. Therefore, M(A) M, which means: iii. A c M(A) for all A M(A). It is implied by ii and iii that M(A) is closed under finite unions and under complements. Now take A 1, A 2,... M(A) and define B n = A 1 A n for all n. From ii we have that B n M(A) for all n and it is clear that B n B n+1 for all n. Since M(A) is a monotone class, + n=1 A n = + n=1 B n M(A). Hence, M(A) is a σ-algebra. 1.4 Restriction of a σ-algebra. Proposition 1.8 Let Σ be a σ-algebra of subsets of and Y be nonempty. If we denote Σ Y = {A Y A Σ}, then Σ Y is a σ-algebra of subsets of Y. In case Y Σ, we have Σ Y = {A Y A Σ}. Proof: Since Σ, we have that = Y Σ Y. If B Σ Y, then B = A Y for some A Σ. Since \ A Σ, we get that Y \ B = ( \ A) Y Σ Y. If B 1, B 2,... Σ Y, then, for each k, B k = A k Y for some A k Σ. Since + k=1 A k Σ, we find that + k=1 B k = ( + k=1 A k) Y Σ Y. 11

12 Now let Y Σ. If B Σ Y, then B = A Y for some A Σ and, hence, B Y and B Σ. Therefore B {C Y C Σ}. Conversely, if B {C Y C Σ}, then B Y and B Σ. We set A = B and, thus, B = A Y and A Σ. Therefore B Σ Y. Definition 1.6 Let Σ be a σ-algebra of subsets of and let Y be nonempty. The σ-algebra Σ Y, defined in Proposition 1.8, is called the restriction of Σ on Y. In general, if E is any collection of subsets of and Y, we denote E Y = {A Y A E} and call E Y the restriction of E on Y. Theorem 1.2 Let E be a collection of subsets of and Y be non-empty. Then Σ(E Y ) = Σ(E) Y, where Σ(E Y ) is the σ-algebra of subsets of Y generated by E Y. Proof: If B E Y, then B = A Y for some A E Σ(E) and, thus, B Σ(E) Y. Hence, E Y Σ(E) Y and, since, by Proposition 1.8, Σ(E) Y is a σ-algebra of subsets of Y, Proposition 1.4 implies Σ(E Y ) Σ(E) Y. Now, define the collection Σ = {A A Y Σ(E Y )}. We have that Σ, because Y = Σ(E Y ). If A Σ, then A Y Σ(E Y ). Therefore, \A Σ, because ( \A) Y = Y \ (A Y ) Σ(E Y ). If A 1, A 2,... Σ, then A 1 Y, A 2 Y,... Σ(E Y ). This implies that ( + k=1 A k) Y = + k=1 (A k Y ) Σ(E Y ) and, thus, + k=1 A k Σ. We conclude that Σ is a σ-algebra of subsets of. If A E, then A Y E Y Σ(E Y ) and, hence, A Σ. Therefore, E Σ and, by Proposition 1.4, Σ(E) Σ. Now, for an arbitrary B Σ(E) Y, we have that B = A Y for some A Σ(E) Σ and, thus, B Σ(E Y ). This implies that Σ(E) Y Σ(E Y ). 1.5 Borel σ-algebras. Definition 1.7 Let be a topological space and T the topology of, i.e. the collection of all open subsets of. The σ-algebra of subsets of which is generated by T, namely the smallest σ-algebra of subsets of containing all open subsets of, is called the Borel σ-algebra of and we denote it B : B = Σ(T ), T the topology of. The elements of B are called Borel sets in and B is also called the σ-algebra of Borel sets in. 12

13 By definition, all open subsets of are Borel sets in and, since B is a σ-algebra, all closed subsets of (which are the complements of open subsets) are also Borel sets in. A subset of is called a G δ -set if it is a countable intersection of open subsets of. Also, a subset of is called an F σ -set if it is a countable union of closed subsets of. It is obvious that all G δ -sets and all F σ -sets are Borel sets in. Proposition 1.9 If is a topological space and F is the collection of all closed subsets of, then B = Σ(F). Proof: Every closed set is contained in Σ(T ). This is true because Σ(T ) contains all open sets and hence, being a σ-algebra, contains all closed sets. Therefore, F Σ(T ). Since Σ(T ) is a σ-algebra, Proposition 1.4 implies Σ(F) Σ(T ). Symmetrically, every open set is contained in Σ(F). This is because Σ(F) contains all closed sets and hence, being a σ-algebra, contains all open sets (the complements of closed sets). Therefore, T Σ(F). Since Σ(F) is a σ-algebra, Proposition 1.4 implies Σ(T ) Σ(F). Therefore, Σ(F) = Σ(T ) = B. If is a topological space with the topology T and if Y, then, as is wellknown (and easy to prove), the collection T Y = {U Y U T } is a topology of Y which is called the relative topology or the subspace topology of Y. Theorem 1.3 Let be a topological space and let the non-empty Y have the subspace topology. Then B Y = B Y. Proof: If T is the topology of, then T Y is the subspace topology of Y. Theorem 1.2 implies that B Y = Σ(T Y ) = Σ(T ) Y = B Y. Thus, the Borel sets in the subset Y of (with the subspace topology of Y ) are just the intersections with Y of the Borel sets in. Examples of topological spaces are all metric spaces of which the most familiar is the euclidean space = R n with the usual euclidean metric or even any subset of R n with the restriction on of the euclidean metric. Because of the importance of R n we shall pay particular attention on B R n. The typical closed orthogonal parallelepiped with axis-parallel edges is a set of the form Q = [a 1, b 1 ] [a n, b n ], the typical open orthogonal parallelepiped with axis-parallel edges is a set of the form R = (a 1, b 1 ) (a n, b n ), the typical open-closed orthogonal parallelepiped with axis-parallel edges is a set of the form P = (a 1, b 1 ] (a n, b n ] and the typical closed-open orthogonal parallelepiped with axis-parallel edges is a set of the form T = [a 1, b 1 ) [a n, b n ). More generally, the typical orthogonal parallelepiped with axis-parallel edges is a set S, a cartesian product of n bounded intervals of any possible type. In all cases we consider < a j b j < + for all j = 1,..., n and, hence, all orthogonal parallelepipeds with axis-parallel edges are bounded sets in R n. 13

14 If n = 1, then the orthogonal parallelepipeds with axis-parallel edges are just the bounded intervals of all possible types in the real line R. If n = 2, then the orthogonal parallelepipeds with axis-parallel edges are the usual orthogonal parallelograms of all possible types with axis-parallel sides. Since orthogonal parallelepipeds with axis-parallel edges will play a role in much of the following, we agree to call them, for short, n-dimensional intervals or intervals in R n. Lemma 1.1 All n-dimensional intervals are Borel sets in R n. Proof: For any j = 1,..., n, a half-space of the form {x = (x 1,..., x n ) x j < b j } or of the form {x = (x 1,..., x n ) x j b j } is a Borel set in R n, since it is an open set in the first case and a closed set in the second case. Similarly, a half-space of the form {x = (x 1,..., x n ) a j < x j } or of the form {x = (x 1,..., x n ) a j x j } is a Borel set in R n. Now, every interval S is an intersection of 2n of these half-spaces and, therefore, it is also a Borel set in R n. Proposition 1.10 If E is the collection of all closed or of all open or of all open-closed or of all closed-open or of all intervals in R n, then B R n = Σ(E). Proof: By Lemma 1.1 we have that, in all cases, E B R n. Proposition 1.4 implies that Σ(E) B R n. To show the opposite inclusion consider any open subset U of R n. For every x U find a small open ball B x centered at x which is included in U. Now, considering the case of E being the collection of all closed intervals, take an arbitrary Q x = [a 1, b 1 ] [a n, b n ] containing x, small enough so that it is included in B x, and hence in U, and with all a 1,..., a n, b 1,..., b n being rational numbers. Since x Q x U for all x U, we have that U = x U Q x. But the collection of all possible Q x s is countable (!) and, thus, the general open subset U of R n can be written as a countable union of sets in the collection E. Hence every open U belongs to Σ(E) and, since Σ(E) is a σ-algebra of subsets of R n and B R n is generated by the collection of all open subsets of R n, Proposition 1.4 implies that B R n Σ(E). Of course, the proof of the last inclusion works in the same way with all other types of intervals. As we said, the intervals in R n are cartesian products of n bounded intervals in R. If we allow these intervals in R to become unbounded, we get the so-called generalized intervals in R n, namely all sets of the form I 1 I n, where each I j is any, even unbounded, interval in R. Again, we have the subcollections of all open or all closed or all open-closed or all closed-open generalized intervals. For example, the typical open-closed generalized interval in R n is of the form P = (a 1, b 1 ] (a n, b n ], where a j b j + for all j. The whole space R n is an open-closed generalized interval, as well as any of the half spaces {x = (x 1,..., x n ) x j b j } and {x = (x 1,..., x n ) a j < x j }. In fact, every open-closed generalized interval is, obviously, the intersection of 2n such half-spaces. 14

15 Proposition 1.11 The collection A = {P 1 P k k N, P 1,..., P k are pairwise disjoint open-closed generalized intervals in R n } is an algebra of subsets of R n. In particular, the following are true: (i) The intersection of two open-closed generalized intervals is an open-closed generalized interval. (ii) For all open-closed generalized intervals P, P 1,..., P m there are pairwise disjoint open-closed generalized intervals P 1,..., P k so that P \ (P 1 P m ) = P 1 P k. (iii) For all open-closed generalized intervals P 1,..., P m there are pairwise disjoint open-closed generalized intervals P 1,..., P k so that P 1 P m = P 1 P k. Proof: The intervals (a, b] and (a, b ] are not disjoint if and only if a < b, where a = max{a, a } and b = min{b, b }. In case a < b, then (a, b] (a, b ] = (a, b ]. Now if P = (a 1, b 1 ] (a n, b n ] and P = (a 1, b 1] (a n, b n], then P and P are not disjoint if and only if for all j = 1,..., n we have that (a j, b j ] and (a j, b j ] are not disjoint. Hence if P, P are not disjoint, then a j < b j for all j, where a j = max{a j, a j } and b j = min{b j, b j }, and then P P = P, where P = (a 1, b 1] (a n, b n]. This proves (i). If A = k i=1 P i, where the P 1,..., P k are pairwise disjoint, and A = l j=1 P j, where the P 1,..., P l are also pairwise disjoint, are two elements of A, then A A = 1 i k,1 j l P i P j. The sets P i P j are pairwise disjoint and they all are open-closed generalized intervals, as we have just seen. Hence, A is closed under finite intersections. Consider the open-closed generalized interval P = (a 1, b 1 ] (a n, b n ]. It is easy to see that P c can be written as the union of 2n (some may be empty) pairwise disjoint open-closed generalized intervals. To express this in a concise way, for every I = (a, b] denote I (l) = (, a] and I (r) = (b, + ] the left and right complementary intervals of I in R (they may be empty). If we write P = I 1 I n, then P c is equal to I (l) 1 R R I (r) 1 R R I 1 I (l) 2 R R I 1 I (r) 2 R R I 1 I n 2 I (l) n 1 R I 1 I n 2 I (r) n 1 R I 1 I n 1 I (l) n I 1 I n 1 I (r) n. Hence, for every open-closed generalized interval P the complement P c is an element of A. Now, if A = k i=1 P i, where the P 1,..., P k are pairwise disjoint, is any element of A, then A c = k i=1 P i c is a finite intersection of elements of A. Since A is closed under finite intersections, A c A and A is closed under complements. Finally, if A, A A, then A A = (A c A c ) c A and A is closed under finite unions. 15

16 Therefore A is an algebra and (ii) and (iii) are immediate. It is convenient for certain purposes, and especially because functions are often infinite valued, to consider R = R {+, } and C = C { } as topological spaces and define their Borel σ-algebras. The ɛ-neighborhood of a point x R is, as usual, the interval (x ɛ, x+ɛ) and we define the ɛ-neighborhood of + to be ( 1 ɛ, + ] and of to be [, 1 ɛ ). We next say that U R is open in R if every point of U has an ɛ-neighborhood (the ɛ depending on the point) included in U. It is trivial to see (justifying the term open) that the collection of all sets open in R is a topology of R, namely that it contains the sets and R and that it is closed under arbitrary unions and under finite intersections. It is obvious that a set U R is open in R if and only if it is open in R. In particular, R itself is open in R. It is also obvious that, if a set U R is open in R, then U R is open in R. Therefore, the topology of R coincides with its subspace topology as a subset of R. The next result says, in particular, that we may construct the general Borel set in R by taking the general Borel set in R and adjoining none or any one or both of the points +, to it. Proposition 1.12 We have and B R = B R R B R = { A, A {+ }, A { }, A {+, } A B R }. Also, if E is the collection containing {+ } or { } and all closed or all open or all open-closed or all closed-open or all intervals in R, then B R = Σ(E). Proof: The first equality is immediate from Theorem 1.3. Now, R is open in R and, thus, R B R. Therefore, from the first equality and the last statement in Proposition 1.8, we get that B R = {A R A B R }. Therefore, if A B R, then A B R. Also, [, + ) is open in R and, hence, {+ } B R. Similarly, { } B R and {+, } B R and we conclude that { } A, A {+ }, A { }, A {+, } A B R BR. Conversely, let B B R and consider A = B R B R. Then B = A or B = A {+ } or B = A { } or B = A {+, } and we conclude that B R { } A, A {+ }, A { }, A {+, } A B R. Let E = { {+ }, (a, b] < a b < + }. From all the above, we get that E B R and, by Proposition 1.4, Σ(E) B R. From Proposition 1.10, if A B R, then A Σ(E). In particular, R Σ(E) and, hence, (, + ] = R {+ } Σ(E). Thus, also { } = R \ (, + ] Σ(E) and {+, } = {+ } { } Σ(E). From all these, we conclude that B R = { } A, A {+ }, A { }, A {+, } A B R Σ(E). 16

17 This concludes the proof of the last statement for this particular choice of E and the proof is similar for all other choices. We now turn to the case of C = C { }. The ɛ-neighborhood of a point x = (x 1, x 2 ) = x 1 + ix 2 C is, as usual, the open disc B(x; ɛ) = {y = (y 1, y 2 ) C y x < ɛ}, where y x 2 = (y 1 x 1 ) 2 + (y 2 x 2 ) 2. We define the ɛ- neighborhood of to be the set {y C y > 1 ɛ } { }, the exterior of a closed disc centered at 0 together with the point. We say that a set U C is open in C if every point of U has an ɛ-neighborhood (the ɛ depending on the point) included in U. The collection of all sets which are open in C contains and C and is closed under arbitrary unions and under finite intersections, thus forming a topology in C. It is clear that a set U C is open in C if and only if it is open in C. In particular, C itself is open in C. Also, if a set U C is open in C, then U C is open in C. Therefore, the topology of C coincides with its subspace topology as a subset of C. As in the case of R, we may construct the general Borel set in C by taking the general Borel set in C and at most adjoining the point to it. Proposition 1.13 We have and B C = B C C B C = { A, A { } A B C }. Also, if E is the collection of all closed or all open or all open-closed or all closed-open or all intervals in C = R 2, then B C = Σ(E). Proof: The proof is very similar to (and slightly simpler than) the proof of Proposition The steps are the same and only minor modifications are needed. 1.6 Exercises. 1. Let be a non-empty set and A 1, A 2,.... We define lim sup n + A n = + ( k=1 + j=k A j), lim inf A n = + ( n + k=1 + j=k A j). Only in case lim inf n + A n = lim sup n + A n, we define lim A n = lim inf A n = lim sup A n. n + n + n + Prove the following. (i) lim sup n + A n = {x x A n for infinitely many n}. (ii) lim inf n + A n = {x x A n for all large enough n}. (iii) (lim inf n + A n ) c = lim sup n + A c n and (lim sup n + A n ) c = lim inf n + A c n. 17

18 (iv) lim inf n + A n lim sup n + A n. (v) If A n A n+1 for all n, then lim n + A n = + n=1 A n. (vi) If A n+1 A n for all n, then lim n + A n = + n=1 A n. (vii) Find an example where lim inf n + A n lim sup n + A n. (viii) If A n B n for all n, then lim sup n + A n lim sup n + B n and lim inf n + A n lim inf n + B n. (ix) If A n = B n C n for all n, then lim sup n + A n lim sup n + B n lim sup n + C n, lim inf n + B n lim inf n + C n lim inf n + A n. 2. Let A be an algebra of subsets of. Prove that A is a σ-algebra if and only if it is closed under increasing countable unions. 3. Let be non-empty. In the next three cases find Σ(E) and M(E). (i) E =. (ii) Fix E and let E = {F E F }. (iii) Let E = {F F is a two-point subset of }. 4. Let E 1, E 2 be two collections of subsets of the non-empty. If E 1 E 2 Σ(E 1 ), prove that Σ(E 1 ) = Σ(E 2 ). 5. Let Y be a non-empty subset of. (i) If A is an algebra of subsets of, prove that A Y is an algebra of subsets of Y. (ii) If M is a monotone class of subsets of, prove that M Y is a monotone class of subsets of Y. (iii) If T is a topology of, prove that T Y is a topology of Y. 6. Let be a topological space and Y be a non-empty Borel set in. Prove that B Y = {A Y A B }. 7. Push-forward of a σ-algebra. Let Σ be a σ-algebra of subsets of and let f : Y. collection {B Y f 1 (B) Σ} Then the is called the push-forward of Σ by f on Y. (i) Prove that the collection {B Y f 1 (B) Σ} is a σ-algebra of subsets of Y. Consider also a σ-algebra Σ of subsets of Y and a collection E of subsets of Y so that Σ(E) = Σ. (ii) Prove that, if f 1 (B) Σ for all B E, then f 1 (B) Σ for all B Σ. (iii) If, Y are two topological spaces and f : Y is continuous, prove that f 1 (B) is a Borel set in for every Borel set B in Y. 8. The pull-back of a σ-algebra. 18

19 Let Σ be a σ-algebra of subsets of Y and let f : Y. collection {f 1 (B) B Σ } is called the pull-back of Σ by f on. Prove that {f 1 (B) B Σ } is a σ-algebra of subsets of. Then the 9. (i) Prove that B R n is generated by the collection of all half-spaces in R n of the form {x = (x 1,..., x n ) a j < x j }, where j = 1,..., n and a j R. (ii) Prove that B R n is generated by the collection of all open balls B(x; r) or of all closed balls B(x; r), where x R n and r R (i) Prove that B R is generated by the collection of all (a, + ], where a R. (ii) Prove that B C is generated by the collection of all open discs B(x; r) or of all closed discs B(x; r), where x C and r R Let be a metric space with metric d. Prove that every closed F is a G δ -set by considering the sets U n = {x d(x, y) < 1 n for some y F }. Prove, also, that every open U is an F σ -set. 12. (i) Suppose that f : R n R. Prove that {x R n f is continuous at x} is a G δ -set in R n. (ii) Suppose that f k : R n R is continuous in R n for every k N. Prove that {x R n (f k (x)) converges} is an F σδ -set, i.e. a countable intersection of F σ -sets. 13. Let E be an arbitrary collection of subsets of the non-empty. Prove that for every A Σ(E) there is some countable subcollection D E so that A Σ(D). 19

20 20

21 Chapter 2 Measures 2.1 General measures. Definition 2.1 Let (, Σ) be a measurable space. A function µ : Σ [0, + ] is called a measure on (, Σ) if (i) µ( ) = 0, (ii) µ( + n=1 A n) = + n=1 µ(a n) for all sequences (A n ) of pairwise disjoint sets which are contained in Σ. The triple (, Σ, µ) of a non-empty set, a σ-algebra of subsets of and a measure µ on Σ is called a measure space. For simplicity and if there is no danger of confusion, we shall say that µ is a measure on Σ or a measure on. Note that the values of a measure are non-negative real numbers or +. Property (ii) of a measure is called σ-additivity and sometimes a measure is also called σ-additive measure to distinguish from a so-called finitely additive measure µ which is defined to satisfy µ( ) = 0 and µ( N n=1a n ) = N n=1 µ(a n) for all N N and all pairwise disjoint A 1,..., A N Σ. Proposition 2.1 Every measure is finitely additive. Proof: Let µ be a measure on the σ-algebra Σ. If A 1,..., A N Σ are pairwise disjoint, we consider A n = for all n > N and we get µ( N n=1a n ) = µ( n=1 + A n) = + n=1 µ(a n) = N n=1 µ(a n). Examples. 1. The simplest measure is the zero measure which is denoted o and is defined by o(a) = 0 for every A Σ. 2. Let be an uncountable set and consider Σ = {A A is countable or A c is countable}. We define µ(a) = 0 if A is countable and µ(a) = 1 if A c is countable. Then it is clear that µ( ) = 0 and let A 1, A 2,... Σ be pairwise disjoint. If all of them are countable, then + n=1 A n is also countable and we get 21

22 µ( + n=1 A n) = 0 = + n=1 µ(a n). Observe that if one of the A n s, say A n0, is uncountable, then for all n n 0 we have A n A c n 0 which is countable. Therefore µ(a n0 ) = 1 and µ(a n ) = 0 for all n n 0. Since ( + n=1 A n) c ( A c n 0 ) is countable, we get µ( + n=1 A n) = 1 = + n=1 µ(a n). Theorem 2.1 Let (, Σ, µ) be a measure space. (i) (Monotonicity) If A, B Σ and A B, then µ(a) µ(b). (ii) If A, B Σ, A B and µ(a) < +, then µ(b \ A) = µ(b) µ(a). (iii) (σ-subadditivity) If A 1, A 2,... Σ, then µ( + n=1 A n) + n=1 µ(a n). (iv) (Continuity from below) If A 1, A 2,... Σ and A n A, then µ(a n ) µ(a). (v) (Continuity from above) If A 1, A 2,... Σ, µ(a N ) < + for some N and A n A, then µ(a n ) µ(a). Proof: (i) We write B = A (B \ A). By finite additivity of µ, µ(b) = µ(a) + µ(b \ A) µ(a). (ii) From both sides of µ(b) = µ(a) + µ(b \ A) we subtract µ(a). (iii) Using Proposition 1.2 we find B 1, B 2,... Σ which are pairwise disjoint and satisfy B n A n for all n and + n=1 B n = + n=1 A n. By σ-additivity and monotonicity of µ we get µ( + n=1 A n) = µ( + n=1 B n) = + n=1 µ(b n) + n=1 µ(a n). (iv) We write A = A 1 + k=1 (A k+1 \ A k ), where all sets whose union is taken in the right side are pairwise disjoint. Applying σ-additivity (and finite additivity), µ(a) = µ(a 1 )+ + k=1 µ(a k+1 \A k = lim n + [µ(a 1 )+ n 1 k=1 µ(a k+1 \A k )] = lim n + µ ( A 1 n 1 k=1 (A k+1 \ A k ) ) = lim n + µ(a n ). (v) We observe that A N \ A n A N \ A and continuity from below implies µ(a N \ A n ) µ(a N \ A). Now, µ(a N ) < + implies µ(a n ) < + for all n N and µ(a) < +. Applying (ii), we get µ(a N ) µ(a n ) µ(a N ) µ(a) and, since µ(a N ) < +, we find µ(a n ) µ(a). Definition 2.2 Let (, Σ, µ) be a measure space. (i) µ is called finite if µ() < +. (ii) µ is called σ-finite if there exist 1, 2,... Σ so that = + n=1 n and µ( n ) < + for all n N. (iii) µ is called semifinite if for every E Σ with µ(e) = + there is an F Σ so that F E and 0 < µ(f ) < +. (iv) A set E Σ is called of finite µ-measure if µ(e) < +. (v) A set E Σ is called of σ-finite µ-measure if there exist E 1, E 2,... Σ so that E + n=1 E n and µ(e n ) < + for all n. For simplicity and if there is no danger of confusion, we may say that E is of finite measure or of σ-finite measure. Some observations related to the last definition are immediate. 1. If µ is finite then all sets in Σ are of finite measure. More generally, if E Σ is of finite measure, then all subsets of it in Σ are of finite measure. 2. If µ is σ-finite then all sets in Σ are of σ-finite measure. More generally, if E Σ is of σ-finite measure, then all subsets of it in Σ are of σ-finite measure. 3. The collection of sets of finite measure is closed under finite unions. 4. The collection of sets of σ-finite measure is closed under countable unions. 22

23 5. If µ is σ-finite, applying Proposition 1.2, we see that there exist pairwise disjoint 1, 2,... Σ so that = + n=1 n and µ( n ) < + for all n. Similarly, by taking successive unions, we see that there exist 1, 2,... Σ so that n and µ( n ) < + for all n. We shall use these two observations freely whenever σ-finiteness appears in the sequel. 6. If µ is finite, then it is also σ-finite. The next result is not so obvious. Proposition 2.2 Let (, Σ, µ) be a measure space. If µ is σ-finite, then it is semifinite. Proof: Take 1, 2,... Σ so that n and µ( n ) < + for all n. Let E Σ have µ(e) = +. From E n E and continuity of µ from below, we get µ(e n ) +. Therefore, µ(e n0 ) > 0 for some n 0 and we observe that µ(e n0 ) µ( n0 ) < +. Definition 2.3 Let (, Σ, µ) be a measure space. E Σ is called µ-null if µ(e) = 0. For simplicity and if there is no danger of confusion, we may say that E is null instead of µ-null. The following is trivial but basic. Theorem 2.2 Let (, Σ, µ) be a measure space. (i) If E Σ is null, then every subset of it in Σ is also null. (ii) If E 1, E 2,... Σ are all null, then their union + n=1 E n is also null. Proof: The proof is based on the monotonicity and the σ-subadditivity of µ. 2.2 Point-mass distributions. Before introducing a particular class of measures we shall define sums of nonnegative terms over general sets of indices. We shall follow the standard practice of using both notations a(i) and a i for the values of a function a on a set I of indices. Definition 2.4 Let I be a non-empty set of indices and a : I [0, + ]. We define the sum of the values of a by { } a i = sup a i F non-empty finite subset of I. i I i F If I =, we define i I a i = 0. Of course, if F is a non-empty finite set, then i F a i is just equal to the sum N k=1 a i k, where F = {a i1,..., a in } is an arbitrary enumeration of F. We first make sure that this definition extends a simpler situation. Proposition 2.3 If I is countable and I = {i 1, i 2,...} is an arbitrary enumeration of it, then i I a i = + k=1 a i k for all a : I [0, + ]. 23

24 Proof: For arbitrary N we consider the finite subset F = {i 1,..., i N } of I. Then, by the definition of i I a i, we have N k=1 a i k = i F a i i I a i. Since N is arbitrary, we find + k=1 a i k i I a i. Now for an arbitrary non-empty finite F I we consider the indices of the elements of F provided by the enumeration I = {i 1, i 2,...} and take the maximal, say N, of them. This means that F {i 1, i 2,..., i N }. Therefore i F a i N k=1 a i k + k=1 a i k and, since F is arbitrary, we find, by the definition of i I a i, that i I a i + k=1 a i k. Proposition 2.4 Let a : I [0, + ]. If i I a i < +, then a i < + for all i and the set {i I a i > 0} is countable. Proof: Let i I a i < +. It is clear that a i < + for all i (take F = {i}) and, for arbitrary n, consider the set I n = {i I a i 1 n }. If F is an arbitrary finite subset of I n, then 1 n card(f ) i F a i i I a i. Therefore, the cardinality of the arbitrary finite subset of I n is not larger than the number n i I a i and, hence, the set I n is finite. But then, {i I a i > 0} = + n=1 I n is countable. Proposition 2.5 (i) If a, b : I [0, + ] and a i b i for all i I, then i I a i i I b i. (ii) If a : I [0, + ] and J I, then i J a i i I a i. Proof: (i) For arbitrary finite F I we have i F a i i F b i i I b i. Taking supremum over the finite subsets of I, we find i I a i i I b i. (ii) For arbitrary finite F J we have that F I and hence i F a i i I a i. Taking supremum over the finite subsets of J, we get i J a i i I a i. Proposition 2.6 Let I = k K J k, where K is a non-empty set of indices and the J k s are non-empty and pairwise disjoint. Then for every a : I [0, + ] we have i I a i = ( ) k K i J k a i. Proof: Take an arbitrary finite F I and consider the finite sets F k = F J k. Observe that the set L = {k K F k } is a finite subset of K. Then, using trivial properties of sums over finite sets of indices, we find i F a i = ( ) k L i F k a i. The definitions imply that i F a i ( ) k L i J k a i ( ) k K i J k a i. Taking supremum over the finite subsets F of I we find i I a i ( ) k K i J k a i. Now take an arbitrary finite L K and arbitrary finite F k J k for each k L. Then ( ) k L i F k a i is, clearly, a sum (without repetitions) over the finite subset k L F k of I. Hence ( ) k L i F a i i I a i. Taking supremum over the finite subsets F k of J k for each k L, one at a time, we get that ( ) k L i J k a i i I a i. Finally, taking supremum over the finite subsets L of K, we find ( ) k K i J k a i i I a i and conclude the proof. After this short investigation of the general summation notion we define a class of measures. 24

25 Proposition 2.7 Let be non-empty and consider a : [0, + ]. define µ : P() [0, + ] by We µ(e) = x E a x, E. Then µ is a measure on (, P()). Proof: It is obvious that µ( ) = x a x = 0. If E 1, E 2,... are pairwise disjoint and E = + n=1 E n, we apply Propositions 2.3 and 2.6 to find µ(e) = x E a x = ( ) n N x E n a x = n N µ(e n) = + n=1 µ(e n). Definition 2.5 The measure on (, P()) defined in the statement of the previous proposition is called the point-mass distribution on induced by the function a. The value a x is called the point-mass at x. Examples. 1. Consider the function which puts point-mass a x = 1 at every x. It is then obvious that the induced point-mass distribution is { card(e), if E is a finite, (E) = +, if E is an infinite. This is called the counting measure on. 2. Take a particular x 0 and the function which puts point-mass a x0 = 1 at x 0 and point-mass a x = 0 at all other points of. Then the induced point-mass distribution is { 1, if x0 E, δ x0 (E) = 0, if x 0 / E. This δ x0 is called the Dirac measure at x 0 or the Dirac mass at x 0. Of course, it is very easy to show directly, without using Proposition 2.7, that these two examples, and δ x0, constitute measures. 2.3 Complete measures. Theorem 2.2(i) says that a subset of a µ-null set is also µ-null, provided that the subset is contained in the σ-algebra on which the measure µ is defined. Definition 2.6 Let (, Σ, µ) be a measure space. Suppose that for every E Σ with µ(e) = 0 and every F E it is implied that F Σ (and hence µ(f ) = 0, also). Then µ is called complete and (, Σ, µ) is a complete measure space. Thus, a measure µ is complete if the σ-algebra on which it is defined contains all subsets of µ-null sets. 25

26 Definition 2.7 If (, Σ 1, µ 1 ) and (, Σ 2, µ 2 ) are two measure spaces on the same set, we say that (, Σ 2, µ 2 ) is an extension of (, Σ 1, µ 1 ) if Σ 1 Σ 2 and µ 1 (E) = µ 2 (E) for all E Σ 1. Theorem 2.3 Let (, Σ, µ) be a measure space. Then there is a unique smallest complete extension (, Σ, µ) of (, Σ, µ). Namely, there is a unique measure space (, Σ, µ) so that (i) (, Σ, µ) is an extension of (, Σ, µ), (ii) (, Σ, µ) is complete, (iii) if (, Σ, µ) is another complete extension of (, Σ, µ), then it is an extension also of (, Σ, µ). Proof: We shall first construct (, Σ, µ). We define Σ = {A F A Σ and F E for some E Σ with µ(e) = 0}. We prove that Σ is a σ-algebra. We write =, where the first belongs to Σ and the second is a subset of Σ with µ( ) = 0. Therefore Σ. Let B Σ. Then B = A F for A Σ and F of some E Σ with µ(e) = 0. Write B c = A 1 F 1, where A 1 = (A E) c and F 1 = E \ (A F ). Then A 1 Σ and F 1 E. Hence B c Σ. Let B 1, B 2,... Σ. Then for every n, B n = A n F n for A n Σ and F n of some E n Σ with µ(e n ) = 0. Now + n=1 B n = ( + n=1 A n) ( + n=1 F n), where + n=1 A n Σ and + n=1 F n + n=1 E n Σ with µ( + n=1 E n) = 0. Therefore + n=1 B n Σ. We now construct µ. For every B Σ we write B = A F for A Σ and F of some E Σ with µ(e) = 0 and define µ(b) = µ(a). To prove that µ(b) is well defined we consider that we may also have B = A F for A Σ and F of some E Σ with µ(e ) = 0 and we must prove that µ(a) = µ(a ). Since A B A E, we have µ(a) µ(a ) + µ(e ) = µ(a ) and, symmetrically, µ(a ) µ(a). To prove that µ is a measure on (, Σ) let = as above and get µ( ) = µ( ) = 0. Let also B 1, B 2,... Σ be pairwise disjoint. Then B n = A n F n for A n Σ and F n E n Σ with µ(e n ) = 0. Observe that the A n s are pairwise disjoint. Then + n=1 B n = ( + n=1 A n) ( + n=1 F n) and + n=1 F n + n=1 E n Σ with µ( + n=1 E n) = 0. Therefore µ( + n=1 B n) = µ( + n=1 A n) = + n=1 µ(a n) = + n=1 µ(b n). We now prove that µ is complete. Let B Σ with µ(b) = 0 and let B B. Write B = A F for A Σ and F E Σ with µ(e) = 0 and observe that µ(a) = µ(b) = 0. Then write B = A F, where A = Σ and F = B E where E = A E Σ with µ(e ) µ(a) + µ(e) = 0. Hence B Σ. To prove that (, Σ, µ) is an extension of (, Σ, µ) we take any A Σ and write A = A, where Σ with µ( ) = 0. This implies that A Σ and µ(a) = µ(a). 26

27 Now suppose that (, Σ, µ) is another complete extension of (, Σ, µ). Take any B Σ and thus B = A F for A Σ and F E Σ with µ(e) = 0. But then A, E Σ and µ(e) = µ(e) = 0. Since µ is complete, we get that also F Σ and hence B = A F Σ. Moreover, µ(a) µ(b) µ(a) + µ(f ) = µ(a), which implies µ(b) = µ(a) = µ(a) = µ(b). It only remains to prove the uniqueness of a smallest complete extension of (, Σ, µ). This is obvious, since two smallest complete extensions of (, Σ, µ) must both be extensions of each other and, hence, identical. Definition 2.8 If (, Σ, µ) is a measure space, then its smallest complete extension is called the completion of (, Σ, µ). 2.4 Restriction of a measure. Proposition 2.8 Let (, Σ, µ) be a measure space and let Y Σ. If we define µ Y : Σ [0, + ] by µ Y (A) = µ(a Y ), A Σ, then µ Y is a measure on (, Σ) with the properties that µ Y (A) = µ(a) for every A Σ, A Y, and that µ Y (A) = 0 for every A Σ, A Y =. Proof: We have µ Y ( ) = µ( Y ) = µ( ) = 0. If A 1, A 2,... Σ are pairwise disjoint, µ Y ( + j=1 A j) = µ ( ( + j=1 A j) Y ) = µ ( + j=1 (A j Y ) ) = + j=1 µ(a j Y ) = + j=1 µ Y (A j ). Therefore, µ Y is a measure on (, Σ) and its two properties are trivial to prove. Definition 2.9 Let (, Σ, µ) be a measure space and let Y Σ. The measure µ Y on (, Σ) of Proposition 2.8 is called the Y -restriction of µ. There is a second kind of restriction of a measure. To define it we recall that, if Y Σ, the restriction Σ Y of the σ-algebra Σ of subsets of on the non-empty Y is Σ Y = {A Y A Σ}. Proposition 2.9 Let (, Σ, µ) be a measure space and let Y Σ be non-empty. We consider Σ Y = {A Y A Σ} and define µ Y : Σ Y [0, + ] by (µ Y )(A) = µ(a), A Σ Y. Then µ Y is a measure on (Y, Σ Y ). Proof: Obvious. Definition 2.10 Let (, Σ, µ) be a measure space and let Y Σ be non-empty. The measure µ Y on (Y, Σ Y ) of Proposition 2.9 is called the restriction of µ on Σ Y. 27

28 Informally speaking, we may describe the relation between the two restrictions of µ as follows. The restriction µ Y assigns value 0 to all sets in Σ which are included in the complement of Y while the restriction µ Y simply ignores all those sets. Both restrictions µ Y and µ Y assign the same values (the same to the values that µ assigns) to all sets in Σ which are included in Y. 2.5 Uniqueness of measures. The next result is very useful when we want to prove that two measures are equal on a σ-algebra Σ. It says that it is enough to prove that they are equal on an algebra which generates Σ, provided that an extra assumption of σ-finiteness of the two measures on the algebra is satisfied. Theorem 2.4 Let A be an algebra of subsets of and let µ, ν be two measures on (, Σ(A)). Suppose there exist A 1, A 2,... A with A n and µ(a k ), ν(a k ) < + for all k. If µ, ν are equal on A, then they are equal also on Σ(A). Proof: (a) Suppose that µ(), ν() < +. We define the collection M = {E Σ(A) µ(e) = ν(e)}. It is easy to see that M is a monotone class. Indeed, let E 1, E 2,... M with E n E. By continuity of measures from below, we get µ(e) = lim n + µ(e n ) = lim n + ν(e n ) = ν(e) and thus E M. We do exactly the same when E n E, using the continuity of measures from above and the extra assumption µ(), ν() < +. Since M is a monotone class including A, Proposition 1.7 implies that M(A) M. Now, Theorem 1.1 implies that Σ(A) M and, thus, µ(e) = ν(e) for all E Σ(A). (b) The general case. For each k, we consider the A k -restrictions of µ, ν. Namely, µ Ak (E) = µ(e A k ), ν Ak (E) = ν(e A k ) for all E Σ(A). All µ Ak and ν Ak are finite measures on (, Σ), because µ Ak () = µ(a k ) < + and ν Ak () = ν(a k ) < +. We, clearly, have that µ Ak, ν Ak are equal on A and, by the result of (a), they are equal also on Σ(A). For every E Σ(A), using the E A k E and the continuity of measures from below, we can write µ(e) = lim k + µ(e A k ) = lim k + µ Ak (E) = lim k + ν Ak (E) = lim k + ν(e A k ) = ν(e). Thus, µ, ν are equal on Σ(A). 2.6 Exercises. 1. Let (, Σ, µ) be a measure space and Y Σ be non-empty. Prove that µ Y is the only measure on (, Σ) with the properties: (i) µ Y (E) = µ(e) for all E Σ with E Y, (ii) µ Y (E) = 0 for all E Σ with E Y c. 28

29 2. Positive linear combinations of measures. Let µ, µ 1 µ 2 be measures on the measurable space (, Σ) and κ [0, + ). (i) Prove that κµ : Σ [0, + ], which is defined by (κµ)(e) = κ µ(e), E Σ, (consider 0 (+ ) = 0) is a measure on (, Σ). This κµ is called the product of µ by κ. (ii) Prove that µ 1 + µ 2 : Σ [0, + ], which is defined by (µ 1 + µ 2 )(E) = µ 1 (E) + µ 2 (E), E Σ, is a measure on (, Σ). This µ 1 + µ 2 is called the sum of µ 1 and µ 2. Thus, we define positive linear combinations κ 1 µ κ n µ n. 3. Let be non-empty and consider a finite A. If a : [0, + ] satisfies a x = 0 for all x / A, prove that the point-mass distribution µ on induced by a can be written as a positive linear combination (see Exercise 2.6.2) of Dirac measures: µ = κ 1 δ x1 + + κ k δ xk. 4. Let be infinite and define for all E { 0, if E is finite, µ(e) = +, if E is infinite. Prove that µ is a finitely additive measure on (, P()) which is not a measure. 5. Let (, Σ, µ) be a measure space and E Σ be of σ-finite measure. If {D i } i I is a collection of pairwise disjoint sets in Σ, prove that the set {i I µ(e D i ) > 0} is countable. 6. Let be uncountable and define for all E { 0, if E is countable, µ(e) = +, if E is uncountable. Prove that µ is a measure on (, P()) which is not semifinite. 7. Let (, Σ, µ) be a complete measure space. If A Σ, B and µ(a B) = 0, prove that B Σ and µ(b) = µ(a). 8. Let µ be a finitely additive measure on the measurable space (, Σ). (i) Prove that µ is a measure if and only if it is continuous from below. (ii) If µ() < +, prove that µ is a measure if and only if it is continuous from above. 29

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