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121 views316 pagesGTM018.Halmos. .Measure - Theory
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© © All Rights Reserved
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8 Springer jRiwitt
MBE, WESC TEMA
Wor 2940G OGG 1 Bupyeor day Paul R. Halmos
Measure Theory
Springer-Verlag New York: Heidelberg: Berlin Managing Editors
P. R. Halmos C. C. Moore
Indiana University University of California
Department of Mathematics at Berkeley
Swain Hall East Department of Mathematics
Bloomington, Indiana 47401 Berkeley, California 94720
AMS Subject Classifications (1970)
Primary: 28 - 02, 28A10, 28A15, 28A20, 28A25, 28A30, 28A35, 28A40,
28A60, 28A65, 28470
Secondary: 60A05, 60Bxx
Library of Congress Cataloging in Publication Data
Halmos, Paul Richard, 1914-
Measure theory,
(Graduate texts in mathematics, 18)
Reprint of the ed. published by Van Nostrand,
New York, in series: The University series
in higher mathematics.
Bibliography: p.
1. Measure theory. I. Title. ID. Series.
[Q.A312.H26 1974] 515’.42 74-10690
ISBN 0-387-90088-8
All rights reserved.
No part of this book may be translated or reproduced in
any form without written permission from Springer-Verlag.
© 1950 by Litton Educational Publishing, Inc. and
1974 by,Springer-Verlag New York Inc.
Printed in the United States of America.
ISBN 0-387-90088-8 Springer-Verlag New York Heidelberg Berlin
ISBN 3-540-90088-8 Springer-Verlag Berlin Heidelberg New York
scented jtoeteesntoaronsvenestra.anssiyctenetns anemones sretestvets, zn PREFACE
My main purpose in this book is to present a unified treatment
of that part of measure theory which in recent years has shown
itself to be most useful for its applications in modern analysis.
If I have accomplished my purpose, then the book should be
found usable both as a text for students and as a source of refer-
ence for the more advanced mathematician.
I have tried to keep to a minimum the amount of new and
unusual terminology and notation. In the few places where my
nomenclature differs from that in the existing literature of meas-
ure theory, | was motivated by an attempt to harmonize with
the usage of other parts of mathematics. There are, for instance,
sound algebraic reasons for using the terms “lattice” and “ring”
for certain classes of sets—reasons which are more cogent than
the similarities that caused Hausdorff to use “ring” and “‘field.”
The only necessary prerequisite for an intelligent reading of
the first seven chapters of this book is what is known in the
United States as undergraduate algebra and analysis. For the
convenience of the reader, §0 is devoted to a detailed listing of
exactly what knowledge is assumed in the various chapters. The
beginner should be warned that some of the words and symbols
in the latter part of §0 are defined only later, in the first seven
chapters of the text, and that, accordingly, he should not be dis-
couraged if, on first reading of § 0, he finds that he does not have
the prerequisites for reading the prerequisites.
At the end of almost every section there is a set of exercises
which appear sometimes as questions but more usually as asser-
tions that the reader is invited to prove. These exercises should
be viewed as corollaries to and sidelights on the results more
Vv vi PREFACE
formally expounded. They constitute an integral part of the
book; among them appear not only most of the examples and
counter examples necessary for understanding the theory, but
also definitions of new concepts and, occasionally, entire theories
that not long ago were still subjects of research.
It might appear inconsistent that, in the text, many elementary
notions are treated in great detail, while, in the exercises, some quite
refined and profound matters (topological spaces, transfinite num-
bers, Banach spaces, etc.) are assumed to be known. The mate.
rial is arranged, however, so that when a beginning student comes
to an exercise which uses terms not defined in this book he may
simply omit it without loss of continuity. The more advanced
reader, on the other hand, might be pleased at the interplay
between measure theory and other parts of mathematics which
it is the purpose of such exercises to exhibit.
The symbol J is used throughout the entire book in place of
such phrases as “Q.E.D.” or “This completes the proof of the
theorem” to signal the end of a proof.
At the end of the book there is a short list of references and a
bibliography. I make no claims of completeness for these lists.
Their purpose is sometimes to mention background reading,
rarely (in cases where the history of the subject is not too well
known) to give credit for original discoveries, and most often to
indicate directions for further study.
A symbol such as w.v, where w is an integer and v is an integer
or a letter of the alphabet, refers to the (unique) theorem, formula,
or exercise in section « which bears the label ». ACKNOWLEDGMENTS
Most of the work on this book was done in the academic year
1947-1948 while I was a fellow of the John Simon Guggenheim
Memorial Foundation, in residence at the Institute for Advanced
Study, on leave from the University of Chicago.
I am very much indebted to D. Blackwell, J. L. Doob, W. H.
Gottschalk, L. Nachbin, B. J. Pettis, and, especially, to J. C.
Oxtoby for their critical reading of the manuscript and their many
valuable suggestions for improvements.
The result of 3.13 was communicated to me by E. Bishop.
The condition in 31.10 was suggested by J. C. Oxtoby. The
example 52.10 was discovered by J. Dieudonné.
P. R. H. Fee ee a OR EE NII III EE EAI SILI EE 9 BES ESE i EES SRE LIIE DEAS IS TESS RE URGESNEE ETSE I AN EE OE Be EN a DERE MARYS Faw me OE
OE BRT GAT pT Se RAPA
AD RE PORE SRS SEP TEE RT OS ALS EES ESS ESSE USSSA ED ab PS PT at gl RET Sin ER Be POPE
rr arnt ep ee nen a ese oharntnr on a on at dat a eS re EE CONTENTS
Preface... 2... Loe ee ee
Acknowledgments . Loe ee ee
SECTION
0. Prerequisites. 2. 2 2. 2 ee ee
CHAPTER I: SETS AND CLASSES
. Set inclusion. . . .
. Rings and algebras .
CN Un & GO bm
. Monotone classes. .
CHAPTER II: MEASURES AND OUTER
. Measure on rings. .
7
8. Measure on intervals .
9
.
+
. Properties of measures
10. Outer measures . .
11. Measurable sets .
CHAPTER fll: EXTENSION
.
. Unions and intersections
. Limits, complements, and differences
.
.
.
. Generated rings and o-rings .
.
.
*
OF MEASURES
12. Properties of induced measures. . . . . .
13. Extension, completion, and approximation.
14. Inner measures . .
+
.
*
.
.
*
15 Lebesgue measure... .-. 2-2 eee eee ee
16. Non measurable sets
.
CHAPTER IV: MEASURABLE FUNCTIONS
17. Measure spaces . .
18. Measurable functions
.
*
PAGE
vil
11
16
19
22
26
30
32
37
41
44
49
54
58
62
67
73
76 x CONTENTS
SECTION PAGE
19. Combinations of measurable functions .......... 80
20. Sequences of measurable functions... ......2... 284
21, Pointwise convergence . 2... 2 ee ee ew ee ew we) 8G
22, Convergence in measure. . 2... eee ee ee ee ee
CHAPTER V: INTEGRATION
23. Integrable simple functions . 2... 2... eee ee ee) OS
24, Sequences of integrable simple functions ......... 98
25. Integrable functions .. 2... 1 ee ee ee ew ee ws 102
26. Sequences of integrable functions. . ......-..... 107
27. Properties of integrals 2. ....-.-004022.6. 212
CHAPTER VI: GENERAL SET FUNCTIONS
28. Signed measures. 2... eee ee ee eee ee ew «27
29. Hahn and Jordan decompositions ..........+4. 120
30. Absolute continuity . . ce te ee ee ee we ew 124
31. The Radon-Nikodym theorem wee ee ee we ww 188
32. Derivatives of signed measures .......-2.2.2424. 132
CHAPTER VIII PRODUCT SPACES
33. Cartesian products... 6.6 1 ee eee ee ee ee 197
34. Sections 2... ee ee tee we ee we ee 14M
35. Product measures... ee ee te eee ee ee 143
36. Fubini’s theorem. 1 ww ee ee te eee ee we ww we 14S
37. Finite dimensional product spaces . ...-.- +++... 150
38. Infinite dimensional product spaces .......2.6.2.2.. 154
CHAPTER VIII: TRANSFORMATIONS AND FUNCTIONS
39. Measurable transformations... .....6.2..4..4.. I61
40. Measurerings . . . 1 ee ee et te ee ew ew ws 165
41, Theisomorphism theorem 2... ..00 002020 ae J7I
42, Function spaces 2. 6 6 6 ee ee ee ee ee ee ee TG
43. Set functions and point functions. . . 2... 2. 2 ee - 178
CHAPTER IX: PROBABILITY
44, Heuristic introduction . 2... 2 ew ee ee we we we «184
45. Independence... 2... 20s eee eee ee eee ee VIL
46, Series of independent functions ...-...-+-+-+-.-. 196 CONTENTS
SECTION
47.
48.
49,
50.
. Borel sets and Baire sets . 2... 1... 2... ee ee ee
52.
53.
54,
. Classes of continuous functions ...........04.4-.
56.
57.
. Existence... 0. 0 ee ee
59.
60.
él.
62.
. Quotient groups . 2...
64,
The law of large numbers... 2 1. 1. eee ee
Conditional probabilities and expectations ........
Measures on product spaces... 2 2. 1 ee ee ee
CHAPTER X: LOCALLY COMPACT SPACES
Topological lemmas . . 1... ee ee ee ee ee
Regular measures... 2. 1. 2 ee
Generation of Borel measures . . 2... 1. 1 ww ee
Regular contents . 2...) ee ee ee ee
Linear functionals .. 0.0.0.0 ee ee ee ke
CHAPTER XI: HAAR MEASURE
Full subgroups 2... 6... ee ee
Measurable groups... 6 1. 6 6 ee ee ee
Uniqueness . 2... ee
CHAPTER XII: MEASURE AND TOPOLOGY IN GROUPS
Topology in terms of measure . 2. 2 1 2 ee ee es
Weil topology . 2 6 6 6 ee es
The regularity of Haar measure . . 2... 2... wwe
References 2... 1 2. ee ee ee
Bibliography 2... ee ee ee ee
List of frequently used symbols . 2... 2... eee
Index ....... +8008 De ke ke ew ee I Be OT Re
eG eR Ee TR Ny Re EE EN Ee
PR Ig NRE EI IES III EAI pags RES EE ENE IAI IRE EER eae EE aha bE Mee ERE wag a §0. PREREQUISITES
The only prerequisite for reading and understanding the first
seven chapters of this book is a knowledge of elementary algebra
and analysis. Specifically it is assumed that the reader is familiar
with the concepts and results listed in (1)-(7) below.
(1) Mathematical induction, commutativity and associativity
of algebraic operations, linear combinations, equivalence relations
and decompositions into equivalence classes.
(2) Countable sets; the union of countably many countable
sets is countable,
(3) Real numbers, elementary metric and topological properties
of the real line (e.g. the rational numbers are dense, every open
set is a countable union of disjoint open intervals), the Heine-
Borel theorem.
(4) The general concept of a function and, in particular, of a
sequence (i.e. a function whose domain of definition is the set of
positive integers); sums, products, constant multiples, and abso-
lute values of functions.
(5) Least upper and greatest lower bounds (called suprema and
infima) of sets of real numbers and real valued functions; limits,
superior limits, and inferior limits of sequences of real numbers
and real valued functions.
(6) The symbols + and —», and the following algebraic rela-
tions among them and real numbers x:
(zee) + (sho) = x + (sb) = (0) 4 # = 00;
zo ifx > 0,
x(0) = (+0)¥ = 10 ifx = 0,
Fo ifx <0;
(200) (choo) = fo,
(+00)(Fo) = —0;
x/(t0) = 0;
~o
