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PROBLEMS
ANoPRQQFS N 1
REAL ANALYSIS
Theory of Measure and Integration
This page intentionally left blank
PROBLEMS
ANoPRQQFSIN
REAL ANALYSIS
Theory of Measure and Integration
JYeh
University of California, Irvine, USA
9 World Scientific
NEW JERSEY • LONDON • SINGAPORE • BEIJING • SHANGHAI • HONG KONG • TAIPEI • CHENNAI
Published by
World Scientific Publishing Co. Pte. Ltd.
5 Toh Tuck Link, Singapore 596224
USA office: 27 Warren Street, Suite 401-402, Hackensack, NJ 07601
UK office: 51 Shelton Street, Covent Garden, London WC2H 9HE
All rights reserved. This book, or parts thereof, may not be reproduced in any form or by any mefJII9,
electronic or mechanical, includingphotocopying, recording or any information storage and retrieval
system now h10W11 or to be invented, without written permission from the publisher.
For photocopying ofmaterial in this volume, please pay a copying fee through the Copyright Clearance
Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, USA. In this case permission to photocopy
is not required from the publisher.
Contents
Preface . . . . . . . . . . . . . . . . . . viii
§1 Measure on a a-algebra of Sets .. . 1
§2 Outer Measures . . . . . . 43
§3 Lebesgue Measure on R . . . . 46
§4 Measurable Functions 78
§5 Completion of Measure Space 104
§6 Convergence a.e. and Convergence in Measure . 107
§7 Integration of Bounded Functions on Sets of Finite Measure . 132
§8 Integration of Nonnegative Functions .. 160
§9 Integration of Measurable Functions 192
§ 10 Signed Measures . . . . . . . . . . . . 266
§ 11 Absolute Continuity of a Measure . . . 277
§ 12 Monotone Functions and Functions of Bounded Variation . . 290
§13 Absolutely Continuous Functions . 314
§ 16 The LP Spaces . . . . . . . . . . . . . . . . . . 353
§ 17 Relation among the LP Spaces . . . . . . . . . . 386
§ 18 Bounded Linear Functionals on the LP Spaces . . 424
§22 Lebesgue-Stieltjes Measure Spaces . . . . . . . 431
§23 Product Measure Spaces . . . . . . . . . . . . . 443
§24 Lebesgue Measure Space on the Euclidean Space 466
§25 Differentiation on the Euclidean Space . . . . . . 473
viii Preface
Preface
This volume consists of proofs of the problems in the monograph Real Analysis: Theory
of Measure and Integration, 3rd Edition. Alternate proofs are included when appropriate to
show different approaches to the problem or different techniques in constructing a proof.
We hope that this volume will be helpful to those who read Real Analysis in self-study and
have no easy access to help.
J. Yeh
Corona del Mar, California
September, 2013
§1 Measure on a a-algebra of Sets 1
(1) ~~~u~~~c~~~u~c~~~u~~~
n~oc n~oo n....,..oo n~oo
n~oo
(2) ~~~n~~~c~~~n~c~~~n~~~
n~oo n.....,.oo n~oo
n~oo
n~oo
(4)
consists of every x E X such that x E An for all but finitely many n E N and ~sup An
n~oo
consists of every x E X such that x E An for infinitely many n E N. Titis is the basis for
the proof of the chain of inclusions.
1. Let us prove (1) by verifying the set inclusions one after another.
1.1. Let us prove~~ E 11 Ulim~ F11 C ~inf(E11 U Fn).
n-+ oo n-+oo n--+-00
Let x E ~inf En U ~inf Fn. Then we have x E ~inf En or x E ~inf Fn. If
,.__,..oo n....,.oo n-+oo n-+oo
x E ~ inf En then x E En for all but finitely many n E N and then x E En U Fn for all but
n~oo
finitely many n E N and therefore X E ~ inf (En U Fn). Similarly if X E lim inf Fn then
11-+00 11-+00
x E ~inf(En U Fn). Titis proves ~inf En U ~inf Fn C Iiminf(En U Fn).
n.....,.oo 11"""7-00 n-+oo n....,.oo
1.2. Let us prove ~inf(En U Fn) C ~inf En U lim sup Fn.
n-+oo n-+oo n-+oo
Let x E lim~(En U Fn). Then x E En U Fn for all but finitely many n E N. Suppose
n-+oo
x E Fn for infinitely many n E N. Then x E ~sup Fn.
On the other hand if x E Fn
n-+oo
for only finitely many n E N, then since x E En U Fn for all but finitely many n E N,
we must have x E En for all but finitely many n E N and then x E ~inf11 ~ 00 En.
Titis shows that if x E ~inf(En U Fn) then x E limsupFn or x E ~inf En so that
11-+00 11"""+00 11-+00
x E ~ inf En U ~sup Fn . Titis proves ~inf(En U Fn) C ~~En U ~sup Fn .
n-+oo n-+oo n-+oo n--+oo n-+oo
1.3. Let us prove ~~En U lim sup Fn C ~sup(En U Fn).
n-+oo 11-+00 11-+00
Since liminf En C ~sup En, we have ~inf EnU~supFn C ~supEnUlimsupFn .
n~oo n-+00 n~oo 11-+00 n~ oo n~oo
2 Problems and Proofs in Real Analysis
Since En C En U Fn for every n E N, we have lim sup En C lim sup( En U Fn). Similarly
ft..... OO 11-+00
lim sup Fn C lim sup(En U Fn)- Therefore lim sup En U lim sup Fn C lim sup( En U Fn)-
n-+<X> n-+<X> n-+<X> n-+<X> n-+<X>
This proves lim inf En U lim sup Fn C lim sup( En U Fn).
n-+oo n~oo
lA. Let us prove lim sup(En U Fn) C lim sup En U lim sup Fn.
n-+oo n-+oo n-+oo
Let x E lim sup(E11 U F 11 ). Then x E En U Fn for infinitely many n E N. If x E E 11 for
n-+oo
infinitely many n e N then x E lim sup En. On the other hand if x E En for only finitely
n-+oo
many n E N, then since x E En U Fn for infinitely many n E N, we must have x E Fn for
infinitely many n E N and thus x E lim sup F11 • This shows that if x E lim sup(En U F 11 ) ,
n.....,.oo n-+oo
then x E lim sup E 11 or x E lim sup Fn and therefore x E lim sup En U lim sup Fn. This
n-+oo n-+oo n-+ oo n-+oo
proves lim sup(En U Fn) C lim sup En U lim sup Fn.
n-+oo
2. Let us prove (2) by verifying the set inclusions one after another.
2.1. Let us prove liminf En n liminf Fn
n~oo n-+oo
c liminf(En
n-+oo
n Fn).
Letx E liminf Ennliminf Fn. Thenx E liminf EnandthisimpliesthatthereexistsNt EN
n-+oo n-+oc n-+oo
such that x E E,. for n ~ Nt. Similarly x E lim inf F,. implies that there exists N2 E N
n-+oo
suchthatx E Fnforn ~ N2. LetN = max:{Nt,N2}. Thenx E EnnFn forn ~Nand this
implies thatx E liminf(En n Fn). This proves liminf En nliminf Fn c liminf(En n Fn).
n-HXJ n-HXJ n-HXJ n-+oo
2.2. Let us prove liminf(En n Fn) C liminf En n lim sup Fn.
n-+oo n-+oo n-+<X>
Letx E liminf(En n Fn). Thenx E E 11 n Fn for all but finitely many n EN. Thenx E E 11
n-+oo
for all but finitely many n e N so that x e liminf E,. and similarly x e liminf F,.. Thus
n~oo n-+oo
x E liminf En n liminf Fn C liminf En n limsupFn. This proves liminf(En n Fn) C
n-+oo n-+oo n-+oo n-+oo n~oo
3. Let us prove (c). Let us assume that lim E,. and lim F,. exist. Then we have
n-->oo n-->oo
!
limE,. =liminfE,. =limsupE,.,
n.....,.oo n.....,..oo ,...... 00
(5)
lim F, = lim inf F, = lim sup F,.
n....,.oo n--+oo n--+oo
which implies
This shows that lim (E11 U F11 ) exists and lim (E11 U F11 ) = lim E 11 U lim F11 •
n--+oo 11"""700 n--+oo n"""7oo
Similarly by substituting (5) into (2) we show that lim (E11 n F,.) exists and moreover
Tl-->00
lim (E, n F,) = lim E, n lim F,. 1
n--+oo n--+oo n--+oo
4 Problems and Proofs in Real Analysis
Prob. 1.2. (a) Let (An : n E N) be a sequence of subsets of a set X. Let (Bn : n E N) be a
sequence obtained by dropping finitely many entries in the sequence (An : n e N). Show
that lim inf Bn = lim inf An and lim sup Bn = lim sup An. Show that lim Bn exists if
n~oo n......,oo n__,..oo n....,.oo n...... oo
and only if lim An exists and when they exist they are equal.
n-+oo
(b) Let (A, : n e N) and (Bn : n E N) be two sequences of subsets of a set X such
that A, = B, for all but finitely many n e N. Show that liminf Bn = liminf A, and
n~oo n...,.oo
lim sup Bn = lim sup A,. Show that lim B, exists if and only if lim A, exists and when
n..... oo n~oo
n-+oo n-+oo
they exist they are equal.
Proof. 1. Let us prove (a). H x e liminf B, then x e B, for all but finitely many n e N
n-+oo
and hence x e A, for all but finitely many n e N and then lim inf A,. This shows that
n-+oo
lim inf Bn C lim inf A,. By the same argument we show that lim inf A, C lim inf Bn and
n-+oo n-+oo n-+oo n-+oo
therefore we have lim inf B 11 = lim inf An.
n......,oo n......oo
We show by the same argument as above that lim sup Bn = lim sup A,.
,. ....... 00 ,......,.00
Now lim Bn exists if and only if lim inf Bn = lim sup B 11 and when the equality holds
11-+00 11-+00 n-->oo
then lim Bn = lim inf B, = lim sup B11 • But as we showed above, we have lim inf Bn =
n.....oo 11"""'*00 n~oo n...... oo
lim inf A, and lim sup B, = lim sup An. Therefore lim Bn exists if and only if lim A,
n~oo n-+oo n-+oo ,......,.oo n......,.oo
exists and when they exist they are equal.
2. Let us prove (b). Now if An = B, for all but finitely many n e N then there exists
N E N such that A, = Bn for n ~ N. Let(~ : n E N) be the sequence obtained by
droppingtheinitialN entries in (A, : n e N) and similarly let (B~: n eN) be the sequence
obtained by dropping the initial N entries in (Bn : n e N). We have A~ = B~ for every
n e N. Then by (a) we have
Then by the same argument as in (a), lim B11 exists if and only if lim A, exists and when
n-+oo n-+oo
they exist they are equal. 1
§ 1 Measure on a a -algebra of Sets 5
Prob. 1.4. Let a E R and let (xn : n E N) be a sequence of points in R, all distinct
from a, such that lim Xn = a. Show that lim {xn} exists and lim {x,} = 0 and thus
n~oo n......,oo n-+oo
lim {xn} ¥: {a}.
n-+oo
Proof. Let En= {x11 }forn EN andconsiderthesequence (En: n EN) ofsetsin R. Since
lim Xn = a, we have
n-+oo
=0,
and
Next consider x E (-oo, a]. Since a+ 111 ~a, we have x ~En for any n E Nand thus
x ~lim sup En. This implies that
....... 00
Next consider x E (b, oo). Since b +In ~ b, we have x E [a= tn, b +In]= En for only
finitely many n E N so that x V. lim sup En. This shows that
n-+oo
(4) (b, oo) n lim sup En= 0.
n-+00
§ 1 Measure on a a -algebra of Sets 7
By (1), (2) and (4) we have lim sup E 11 = (a, b] and similarly by (1), (3) and (5) we have
n-+oo
liminf E 11 = (a, b]. Thus we have liminf E11 = lim sup E,. = (a, b]. This implies that
n.....,.oc n~oo
n-+00
lim E exists and moreover
11-+00 11
limE,.= liminf E,. = limsupE,. = (a,b].
n~oo n--+-oo
4. Let us prove (d). We have E = (a, b) and E 11 = E + t11 = (a+ t11 , b + t 11) for n E N.
By the same argument as in 3, we show that lim sup E,. = (a, b] and lim inf E,. = (a, b ].
n-+oo n-+oo
Then we have lim En = (a, b]. (Note that while b f/ E in this case we still have
n-+00
b E lim inf En c lim sup E,..)
n-+oo n-+oo
5. Let us prove (e). Since t,. E Q for all but finitely many n E N, there exists N E N
such thatt11 E Q forn ~ N. Thenforn ~ N we have En= E +t11 Q +tn Q =E. = =
Then we have lim En = E.
n-+oo
6. Let us prove (f). Let P be the set of all irrational numbers. Then we have Q n P = ~
and Q U P = JR. Let us observe that
(6) ~ E Q and Tf E P => ~ + Tf E P.
s
(Suppose not Then := ~ + 1f E Q. Then 1f = s-
~ E Q, a contradiction to 1f E P. )
To show that lim E 11 does not exist, we show that lim inf E 11 ;;/; lim sup E,.. We show
11---ii>OO n.....,..oo 11-+00
this by showing that whereas lim sup E 11 ;;/; ~ we have lim inf E 11 = ~.
n~oo
11-->00
Our sequence (tn : n E N) is such that t,. E Q for infinitely many n E N and at the same
time t11 E P for infinitely many n E N. If t 11 E Q then E 11 = E + t11 = Q + t11 = Q and
thus Q = E,. for infinitely many n E N and hence Q c lim sup E,.. Therefore we have
11-->00
(7) limsupE11 ;;/; ~.
11~00
Proof. 1. Let us prove (a). Let us assume lim An = A and prove lim 1An = 1A on X.
n-+oo n~oo
Now lim An
n-+oa
= A implies A = liminf
n.--+00
An = lim sup An. Let x E X. Then either x E A
ll-+00
orx E Ac.
Consider first the case x e A. Then 1A(X) = 1. Since x e A= liminf An. we have
n-+oo
x E An for all but finitely many n E N. Then 1 An (x) = 1 for all but finitely many n E N
and thus lim 1An(X) = 1 = 1A(X).
n-+oo
Next consider the case x E Ac. In this case we have x ¢A and then 1A(X) = 0. Since
x E Ac = (lim sup An) c, we have x ¢lim sup An and hence x e An for only finitely many
n~oo n-+oo
n e N. Thus 1A. (x) = 1 for only finitely many n E Nand consequently 1A. (x) = 0 for all
but finitely many n eN. Then lim 1An(x) = 0 = 1A(x).
n-700
Thus for every x e X, we have lim 1A. (x) = 1A (x ).
Pl-700
2. Let us prove (b). Let us assume lim 1A. = 1A on X. To show that lim An= A,
11-+00 11~00
for infinitely many n E N. Since lim 1An = 1A on X, we have lim 1A.(x) = 1A(x).
n~oo n~oo
Since 1A. (x) = 1 for infinitely many n e N, the last convergence implies that 1A (x) = 1
and hence x e A. This shows that lim sup An C A.
ll-+00
We have shown above that lim sup An c A c lim inf An. On the other hand we have
n-+oo ll~OO
lim inf A,. c lim sup An. Therefore we have lim inf An = lim sup An = A. This implies
n--+oo ll-+OO n--+oo n-+oo
that lim
n~oo
An = A. •
§ 1 Measure on a a -algebra of Sets 9
Prob. 1.7. Let Ql be a a -algebra of subsets of a set X and let Y be an arbitrary subset of X.
Let~ = {AnY : A e Ql}. Show that~ is a a-algebra of subsets of Y.
Y \ B = (X n Y) \ (An Y) = (X \ A) n Y = Ac n Y.
U Bn = U(An n Y) = ( U An) n Y.
neH neH neH
Prob. 1.8. Let Ql be a collection of subsets of a set X with the following properties:
1°. XeQ(,
2°. A, B e Q( ::::} A \ B = A n Be E Ql.
Show that Ql is an algebra of subsets of the set X.
Proof. To show that Ql is an algebra of subsets of the set X, it suffices to verify the following
conditions:
3° A E Q( ::::} Ac E Q(.
4o A, B e Ql ::::} A U B E Ql.
1. Suppose A e Ql. Then by 1o we have X, A e Ql and this implies X \ A e Ql by 2°.
Thus Ac =X\ A E Ql. This verifies 3°.
l. Suppose A, B e Ql. Now we have
Since A e Ql, we have Ac e Ql by 3°. Then Ac, B e Ql and this implies Ac \ B e Ql by 2°.
Thus (A U B)c E Q( and this implies A U B E Q( by 3°. This verifies 4 °. 1
10 Problems and Proofs in Real Analysis
Prob. 1.9. Let Ql be an algebra of subsets of a set X. Suppose Ql has the property that for
every increasing sequence (An : n E N) in Ql, we have UneH An E 21. Show that Ql is a
u -algebra of subsets of the set X.
Proof. Since Ql is an algebra of subsets of the set X, to show that Ql is a u -algebra of subsets
of X it suffices to verify the condition:
(Bn : n E N) C Qt => u
nen
Bn E Qt.
Prob. 1.10. Let (X, 2l) be a measurable space and let (En : n E N) be an increasing
sequence in Q( such that UneB En = X.
(a) Let Qln = Ql n En, that is, Qln = {An En : A e 21}. Show that Qln is a a-algebra of
subsets of En for each n e N.
(b) Does UneH 2ln = Ql hold?
Prob. 1.11. (a) Show that if (SJln : n e N) is an increasing sequence of algebras of subsets
of a set X, then UneN 2ln is an algebra of subsets of X.
(b) Show that if (Qln : n e N) is a decreasing sequence of algebras of subsets of a set X,
then nneH 2ln is an algebra of subsets of X.
Proof. 1. Let us prove (a). Let (2ln : n e N) be an increasing sequence of algebras of
subsets of a set X. To show that Uneli 2ln is an algebra of subsets of X, we verify that
Unel\1 2ln satisfies the following conditions:
1° X E UneU 2ln.
2o A E Unell Ql,. =} Ac E UneH SJln.
3° A, B E Unell 2ln =} AU B E Unerl 2ln.
Now X E Qln for every n E N. Then X E 21n C U,.en SJln. This verifies 1°.
Let A e UneF 2l11 • Then A e 2l110 for some no e N. Then since 21110 is an algebra of
subsets of X, we have Ac e 2l110 • Then Ac e 2l110 c UneH 2l,. This verifies 2°.
Let A, B E Unel<l '11n. Then A E m,, for some nt E N and B E '11,2 for some n2 E N.
Let no = max{nt. n2}. Then since (Ql,. : n e N) is an increasing sequence, we have
SJ(,.1 , Ql112 C Ql110 • Then A e SJl,.1 C SJ(110 and B e SJl,.2 C SJl110 and thus A, B e SJl110 •
Then since Ql110 is an algebra, we have A U B e 21110 C Unefl Q(,.. This verifies 3°. This
completes the proof that UneH Ql11 is an algebra of subsets of X.
Prob.l.ll. Let (X, Ql) be a measurable space. Let us call an Ql-measurable subset E of X
an atom in the measurable space (X, 21) if E i= 0 and 0 and E are the only 21-measurable
subsets of E. Show that if Et and E2 are two distinct atoms in (X, Ql) then they are disjoint.
Proof. Let Et and E2 be two distinct atoms in (X, 21). Then Et i= E2. To show that Et
and E2 are disjoint. that is, Et n E2 = 0, let us assume the contrary, that is, Et n E2 i= 0.
Now Et n E2, being a Ql-measurable subset of an atom Et, must be either equal to 0 or
equal to Et. Since we are assuming Et n E2 i= 0, we must have Et n E2 = Et. Similarly
Et n E2, being a Q(-measurable subset of an atom E2, must be either equal to 0 or equal
to E2. Since we are assuming Et n E2 i= 0, we must have E1 n E2 = E2. Then we have
Et = Et n E2 = E2. This contradicts the assumption that Et i= E2. Therefore we must
haveEt nE2 = 0. I
Prob. 1.13. For an arbitrary collection ~ of subsets of a set X, let a(<!:) be the algebra
generated by \f., that is, the smallest algebra of subsets of X containing ~.and let u(\f.) be
the u -algebra generated by ~. Prove the following statements:
(a) a(a( <E)) =a(<!:),
(b) u (u(<E)) = u(<E),
(c) a(<!:) c u(<E),
(d) if<.!: is a finite collection, then a(<!:) = u(<!:),
(e) u(a(<!:)) = u(~).
(Hint for (d): Use Prob. 1.18 below.)
Proof. (a) a(a(\f.)) is the smallest algebra containing a( \f.). Then since a(\f.) is itself an
algebra we have a(a(~)) =a(~).
(b) u (u(<E)) is the smallest u-algebra containing u(<E). Then since u(<E) is itself a
u-algebra we have u(u(~)) = u(\f.).
(c) u(<E) is the smallest u-algebra containing <E and hence an algebra containing <.!:.
Then since a(<E) is the smallest algebra containing<.!: we have a(~) c u(\f.).
(d) (d) is (e) of Prob. 1.18.
(e) Since~ c a(~). we have u(\f.) c u(a(<E)). On the other hand by (c) we have
a(~) c u(<E). Then u(a(<!:)) c u(u(<!:)) = u(~) by (b). Thus we have u(a(<E)) =
u(<E). I
§ 1 Measure on a a -algebra of Sets 13
Proof. 1. Let us prove (a). Now if (~ln : n e J\!) is a decreasing sequence then we have
~( = lim ~ln = nneH ~( 71 • A a-algebra is necessarily an algebra. Thus nneT:J 2ln is an
n-+oo ·
algebra by Prob. 1.11. To show that nneLI 2ln is a a -algebra, it remains to prove
Let (A; : i EN) C nneiJ 2ln. Then (A; : i EN) C 2ln for every n E N. Then since 2tn is
a a-algebra, (A; : i E N) C 2ln implies Uiell A; e 2l71 • Since this holds for every n e N,
we have U;ell A; E nneF 2tn. This proves that nnei'! 2tn is a a-algebra.
2. Let us prove (b). Assume that (2tn : n e N) is an increasing sequence. Then we
have 'll = lim 2ln = UneH 2l71 • A a-algebra is necessarily an algebra. Thus UneH Qln
n-+oo
is an algebra by Prob. 1.11. However Unel1 2tn need not be a a-algebra. Let us construct
two examples to show this.
Example 1. Let X = [0, oo). For each n e N, decompose [0, oo) into disjoint intervals
ln,k =
k-1 k)
[----zil'n fork E N,
2
and let
Jn = {In,k: keN}.
Let 2tn be the collection of all arbitrary unions of members of :Jn (including 0 as the union
of zero members of :Jn) .
Let us show that ~ln is a a -algebra of subsets of X. To start with, we have X = Ukelc' In,k
and therefore X e 2tn. Next let A e 2(.,. Then A is a union of members of :Jn which is
a disjoint collection. Then since X is the union of all members of :J.,, Ac = X\ A is a
union of members of :J71 and hence Ac e 2ln. Finally let (A; : i e J\!) C 2!,.. Since A; is
a union of members of :J71 for every i E N, Uiel'' A; is a union of members of :J71 and thus
Uiell A; e 2!.,. This completes the proof that 2171 is a a-algebra of subsets of X.
The fact that ('ll,. : n e N) is an increasing sequence (that is, ~l,. c ~ln+l for every
n e N), is shown as follows. Let A E 2tn. Then A is a union of members of :J,.. But every
member of J 71 is the union of two members of J n+l· Thus A is a union of members of J n+l
and therefore A e Ql.,+l. This shows that 2l., C 2ln+l·
Now (2!11 : n e N) is an increasing sequence of a -algebras of subsets of X. According
to Prob. 1.11 this implies that UneiJ 2(., is an algebra of subsets of X. Let us show that
14 Problems and Proofs in Real Analysis
h = [ 0, D E Jl c 11lt,
h = [ 1, ; 2 ) e Jz c 2lz,
Then(/,. : n E N) is a sequence in UneH 11l,.. But UiefT I,. ¢ Q(,. for any n E N and
therefore we have UieH I,. ¢ Uner! Ql,.. This shows that Unef! Q(,. is not a a-algebra of
subsets of X.
Example 2. Let X= (0, 1]. For each n e N, decompose (0, 1] into disjoint intervals
ln,k = (k~·
-1 k]
2
, fork= 1, ... ,2",
and let
J,. = {In,k :k= 1, . . . ,2"}.
Let Q(, be the collection of all arbitrary unions of members of J,. The fact that (2(, : n e N)
is an increasing sequence of a-algebras of subsets of X is proved by the same arguments as
in Example 1 above. Then Unen 2(, is an algebra of subsets of X by Prob. 1.11.
To show that Unen 2(1J is not a a-algebra, we show that there exists a sequence (A, :
n E N) in Unei'.l 21, such that nneH A, f/ UneH 21,. For each n E N, let
A, = ( -2"- 1, -2"]
2" 2"
E J, C Q(, C u
neH
11l,.
Then we have
n A, = {1} ¢ Ql, for any n E N
§ 1 Measure on a a -algebra of Sets 15
Prob. 1.15. Let Q:: = {At, ... , An} be a disjoint collection ofnonempty subsets of a set X
such that U~=l Ai = X. Let ~ be the collection of all arbitrary unions of members of C:.
(a) Show that~= a(<E), the smallest a-algebra of subsets of X containing Q::.
(b) Show that the cardinality of a(C:) is equal to 2n.
Proof. 1. Let us show first that '& is a a -algebra of subsets of X. For this purpose we verify
the following conditions:
1° X E ~-
20 F E ~ ::::} Fe E '8.
3° (Fk : k E N) C '8 => UkeJr Fk E '8.
To start with, we have X = U~=t ~. Thus X is a union of members of Q:: and therefore
X E ~-This verifies 1°.
Let Fe l$. Then F is a union of members of the disjoint collection <E ={At, ... , An}.
Then since X = U?=l Ai, Fe = X \ F is a union of members of <E and hence Fe E ~
This verifies 2°.
Let (F~; : k E N) c 'lf. Then F1c is a union of members of Q:: for every k E Nand then
Ukeil F" is a union of members of <E and therefore Utel·l Fk E 6. This verifies 3° and
completes the proof that i5 is a a -algebra of subsets of X.
l. Let us show that Q:: c '8. Now i5 is the collection of all arbitrary unions of members
ofthecollection <E ={At, ... , An}. ThusAi E ~foreveryi = 1, ... , n andhenceC: c ~-
3. Let us show that'& = a(C:), the smallest a-algebra of subsets of X containing IE.
We showed above that 6 is a a-algebra of subsets of X containing <E. To show that 6 is
the smallest a -algebra of subsets of X containing Q:, let us assume the contrary. Then there
exists a a-algebra <5 of subsets of X containing <E such that <5 c ~and 15 #:- 'lf. Then there
exists Fo E i5 such that Fo ¢ 15. Now our F E '8 is a union of members of the collection
<E. Since 15 is a a-algebra of subsets of X containing (!;, 15 contains every finite union of
members of C:. Since <E is a finite collection, an arbitrary union of members of <E is a finite
union of members of Q::. Thus 15 contains every union of members of Q::. Then 15 contains
our Fo. This is a contradiction. Therefore 6 must be the smallest a-algebra of subsets of
X containing C:.
4. Since a (<E) = 6, to show that the cardinality of a (<E) is equal to 2", we show that the
cardinality of 6 is equal to 2". Now ~is the collection of all arbitrary unions of members
of the disjoint collection C: ={At, ... , An} of non-empty subsets of X. Th form a union
of members of Q::, we either select At or we do not select At and then we either select A2
or we do not select A2 and so on until we either select An or we do not select An. Thus
there are 2n ways of forming a union of members of C:. Any 2 different ways of forming a
union result in 2 distinct unions since <E is a disjoint collection of non-empty sets. Thus the
cardinality of ~ is equal to 2". 1
16 Problems and Proofs in Real Analysis
Prob. 1.16. Let <E = {Ai : i E N} be a disjoint collection of nonempty subsets of a set X
such that U; ei'l ~ = X. Let ~ be the collection of all arbitrary unions of members of <!:.
(a) Show that 6 = u(<E), the smallest u-algebra of subsets of X containing <E.
(b) Show that the cardinality of u(<E) is equal to 2Mo.
Prob.1.17. Show that a a -algebra of subsets of a set cannot be acountably infinite collection,
that is, it is either a finite or an uncountable collection.
Proof. Let Ql be a a -algebra of subsets of a set X. Then Ql may be a finite collection. For
instance the collection {0, X} is trivially a a-algebra of subsets of X and it consists of 2
members. We show below that if a a -algebra Ql of subsets of a set X is an infinite collection
then it is an uncountable collection.
1. We show first that if~( is an infinite collection then there exists a strictly decreasing
sequence (An : n E N) of non-empty members of ~l, strictly decreasing in the sense that
An :::) An+1 and A,. ¥- An+t for n E N.
Let A E ~(. We say that A is divisible if there exist A', A'' E ~( such that A' ¥- 0,
A" ¥- 0, A' n A'' = 0 and A' U A" = A. When A is divisible, we call the collection
{A', A''} a division of A.
Observe that A e mis divisible if and only if there exists B e msuch that A n B ;;/; 0
and An Be¥- 0. In this case, {An B, An Be} is a division of A and we say that B divides
A into {An B, An Be}.
Let us write [A : At, ... , Anl to indicate that {At, ... , An} is a disjoint collection of
non-empty members of Q( such that X = U~=t Ai:.
Let us show that X E Ql is divisible. Since Ql is an infinite collection, there exists
At E Ql such that At #- 0 and At ¥- X. Let A2 =A~. Then we have A2 ¥- 0, At n A2 = 0
and At U A2 =X. This shows that X is divisible and {At, A2} is a division of X. Then we
have [X : At. A2].
Let us show next that at least one in the collection [X: At, A2] is divisible. Since Ql is
an infinite collection, there exists B E Q( such that B ¥- 0, B ¥-X, B ¥- At and B ¥- A2.
Since X= At UA2, such BE~( divides atleastoneofthecollection {At, A2}. If B divides
At into {At,t. At,2} then we have [X : At,t, At,2. A2] and if B divides A2 into {A2,1, A2,2}
then we have [X : At, A2,1, A2.2l.
Let us showthatifwehave [X : Au, At,2. A2] thenatleastonememberofthecollection
[X : At,t, At,2. A2l is divisible. Consider the collection:
Since Ql is an infinite collection there exists B E Ql that is not any in the finite collection
above. Such B E Ql divides at least one of the collection [X : At, t, At,2, A2].
Similarly if we have [X: At, A2,t. A2,2l then, by the same argument as above, at least
one member of the collection [X : At, A2,t, A2,2l is divisible.
Let us show that this process of division can be repeated indefinitely. Suppose that after
dividing k times we have a collection:
This is a finite collection of members of 2(. Then since 2( is an infinite collection, there
exists B E 2l that is not any in the finite collection above. Such B E 2l divides at least one
member of the collection [X : At, ... , A.t+l ]. This shows that the process of division can
be repeated indefinitely. This then implies the existence of a strictly decreasing sequence
of non-empty members of2(, (Ail' Ai 1,i2 , A; 1,i2 ,i3 , . . . ), where i,. assumes the values {1, 0}
for11E N.
2. We showed above the existence of a strictly decreasing sequence (An : 11 E N) of
non-empty members of 2(. For 11 E N,let B,. = A,. \ An+1· Then {B,. : 11 E N} is a disjoint
collection of non-empty members of 2t. Let us define
Let J.. = (J..,. : n E N) where J..,. assumes the values {1, 0} for 11 E N. Let A be the collection
of all sequences J... Then the cardinality of A is equal to 2~0 . Corresponding to}.. E A given
by J.. = (J..,. : 11 E N) define a subset EA. of X by setting
E A. -- BA.l
1 U BA.2
2 U BA.3
3 U · · · -- u
neH
BJ.~
n E "'
:.a.
Let us show that the mapping qJ is one-to-one. Suppose J..', J.." E A and J..' ;f. J..". Now
J..' ;f. J.." implies that there exists no E N such that 1..:.0 ;f. 1..::0. There are two possible cases:
Case 1 with 1..:.0 = 1 and J..::O = 0 and 1..:.0 = 0 and 1..::0 = 1. In Case 1, the 11o-th component
of the union EJ.' is B110 and the 11o-th component of the union EJ." is 0. Since {B,. : 11 E N}
is a disjoint collection of non-empty members of 2(, this implies that E),! ;f. EA."· In Case
2, the no-th component of the union EA.' is 0 and the no-th component of the union EA." is
B 110 and this implies that EJ.' :f. EJ."· Thus we have shown that if J..' :f. J.." then EJ.' :f. EJ."·
This proves that the mapping qJ of A into 2t is one-to-one. Then since the cardinality of
A is equal to 2~0 , the cardinality of 2( is at least equal to 2~0 • This shows that 2( is an
uncountable collection. 1
§ 1 Measure on a a -algebra of Sets 19
Prob. 1.18. Let ([ = {Et. · · · , En} be a finite collection of distinct, but not necessarily
disjoint, subsets of a set X. Let :D be the collection of all subsets of X of the type:
Proof. 1. Let us prove (a). Let D', D" E :D. Then we have
Every D E :Dis given by D = Ei1 n Ei2 n · · · n E!". With),= (At, ... , An), we have
rp (A) = D. This shows that rp maps A onto :D. However the mapping rp need not be one-to-
one. Consider an example in whichn = 4andEt c E2 andE3 c E4. Let>..'= (1, 0, 1, 1)
and A11 = (1, 1, 1, 0). We have)..' of:. A11 • However we have
x E E~ 1 n Ei2
n · · · n E!" = D E :D.
Thus every x E X is contained in some D E :D. This implies that X = Une:D D E '&.
This verifies 1°.
LetF e if. ThenFisaunionofmembersof:D. WeshowedabovethatX = Une:D D,
that is, X is the union of all members of :D. Now :D is a disjoint collection as we showed
in (a). Then Fe = X\ F is a union of members of :D and thus Fe E ~- This verifies 2°.
Let F1, F2 e 'lf. Then F1 is a union of members of :D and so is F2. Then F1 U F2 is
a union of members of :D and therefore F1 U F2 e ~. This verifies 3 o and completes the
proof that'& is an algebra of subsets of X.
3.2. Let us show that If C ~- Since If= {E1, · · · , En}, it suffices to show that E; E if
for every i = 1, ... , n . We showed in 2 above that ~(A) =:D. For/.. = 0~-1. ... , An) e A
having Ai = 1, we have
~(A) = E~ 1 n ... n E; n ... n E!n c E;,
and for A = (Al, ... , An) e A having Ai = 0, we have
~(A) 1
= E~ n ... n Ef n · · · n E!• c Ef.
Thus we have
U ~(/..) c E;,
>.eA witlU;=l
(1)
{ u ~(A) C Ef.
>.eA with .1.;=0
Now
(2) { u
J..eA withJ..1=1
~(A)} U { u
J..eA withJ..1=0
~(A)} = U~(A) = U D =X.
J.eA De:D
u ~(/..) = E;,
{
J.eA with .l.1=l
(4)
u
J.eA with J.1=0
~(A)= Ef.
§ 1 Measure on a a -algebra of Sets 21
Since q~(A.) is a member of :D for every;.. E A as we pointed out in 1, (4) shows that E; is
a union of members of :D and therefore E; E ~. This completes the proof that <E c ~.
3.3. Let us show that'S= a( <E), the smallest algebra of subsets of X containing <E. We
have shown in 3.1 and 3.2 that 'S is an algebra of subsets of X containing <E. Let ~ be an
algebra of subsets of X containing <E. Let us show that~ c ~- Since <E c 15, we have
E1, ... , E,. E 15. Then since 15 is an algebra, we have Ef, ... , E~ E ~- Then again since
Ei
15 is an algebra, we have E~' n 2 n · · · n E!~ E 15. This shows that every member of :D
is in 15 and hence we have :D c 15. Then since 15 is an algebra and :D is a finite collection
so that an arbitrary union of members of :D is necessarily a union of finitely many members,
the algebra 15 contains every arbitrary union of members of :D. Therefore we have 'S c 15.
This shows that 'S is the smallest algebra of subsets of X containing <E.
4. Let us prove (d). By (c), we have a( <E) = ~- Thus to show that the cardinality of
a (<E) is at most 22n, we show that the cardinality of~ is at most 2 2". Now ~ is the collection
of all arbitrary unions of members of :D = {Dt, . .. , Dm} where m :::=: 2" by (b).
Th form a union of members of :D, for every i = 1, ... , m, we have 2 choices, that is,
we either select D; or we do not select D;. Thus we have 2m different choices in forming a
union of members of :D. Since :D is a disjoint collection, two different choices among the
2m choices result in two distinct unions. Thus the cardinality of ~ is equal to 2m ::::=: 2 2".
5. Let us prove (e). Now a( <E) is an algebra of subsets of X containing <E. According
to (d), a( <E) is a finite collection. Thus a( <E) is trivially a a-algebra of subsets of X .
Let us show that a(<E) = a(<E), the smallest a-algebra of subsets of X containing <E.
Let 15 be a a-algebra of subsets of X containing Q:. Then we have :D c 15. Since :Dis a
finite collection, a union of members of :D is necessarily a union of finitely many members
of :D. Then the a -algebra 15 contains every union of members of ::D. Thus we have~ c 15.
But we have ~ = a(<E) by (c). Thus we have a( <E) c 15. This shows that a( <E) is the
smallest a-algebra of subsets of X containing <E, that is, a(<E) = a(<E). 1
22 Problems and Proofs in Real Analysis
Prob. 1.19. Let <E be an arbitrary collection of subsets of a set X. Consider a( <E), the
smallest algebra of subsets of X containing<!.:. Show that for every A e a(<!:) there exists
a finite subcollection <E A of IE depending on A such that A e a ( <E.4.).
Proof. Let~ be the collection ofevery A e a(<!:) such that there exists a finite subcollection
lEA of IE such that A E a(lEA.).
1. Let us show that ~ ;;f. ~ and indeed we have IE c ~. Select E e IE arbitrarily. Then
E e a(IE). Moreover with the finite subcollection {E} of IE, we have E e a({E}). Thus
E e ~- Since this holds for an arbitrary E e <!:,we have IE c ~.
2. Let us show that ~ is an algebra of subsets of X. For this purpose we verify that .~
satisfies the following conditions:
1° X E 'S.
2° A E ·~ =} Ac E 'S.
3° A, B E ~ =} AU B E ~.
For every E e <!:we have E e a({E}). Then since a({E}) is an algebra of subsets of
X, we have X E a({E}). Thus X E ;)'. This verifies 1°.
If A E ~.then A e a(<!:A) where <!:A is a finite subcollection of<!:. Then since a( lEA)
is an algebra of subsets of X, A e a(IEA.) implies Ac e a(<!:A.). Then Ac e ;)'.This verifies
20.
Suppose A, B e ~. Then A e a( lEA) where lEA is a finite subcollection of IE and
B e a(IEB) where IEB is a finite subcollection of <!:. Let IEA.uB = lEA U IEB, a finite
subcollection of IE. Then since lEA c IEAuB and IEB c IEAuB, we have
A E a( lEA) C a(IEAuB),
B E a(IEB) C a(IEAuB).
Prob. 1.20. Let <E be an arbitrary collection of subsets of a set X. Consider a(<E), the
smallest a-algebra of subsets of X containing <E. Show that for every A e a(<E) there
exists an at most countable subcollection <fA of <E depending on A such that A e a( <fA).
Proof. Let ~be the collection of every A e a (<E) such that there exists an at most countable
subcollection lEA of <E such that A e a(f.EA).
1. Let us show that lS of. 0 and moreover we have <E c lS. Pick E e <E arbitrarily. Then
E e a(r.E). Furthermore with the finite subcollection {E} of r.E, we have E e a({E}). Thus
E e ~- Since this holds for an arbitrary E e IE, we have IE c i5.
l. Let us show that.~ is a a-algebra of subsets of X. Thus we are to verify that lS
satisfies the following conditions:
1° X E ~-
20 A E lS ==} Ac E 75.
3° (An : n E N) C lS =* Unen A" E l$.
(2)
This shows that U11e t'J An E ~and verifies 3°. Thus lS is a a-algebra of subsets of X.
3. In 1 and 2, we showed that lS is aa-algebraofsubsets of X containing IE. Then since
a(<E) is the smallest a-algebra of subsets of X containing IE, we have a(IE) c ~- Then
every A E a(<E) is in lS and thus for every A E a(r.E) there exists an at most countable
subcollection lEA of <E such that A e a(f.EA). 1
24 Problems and Proofs in Real Analysis
Prob. 1.21. Let p, be a measure on a a-algebra Ql of subsets of a set X and let Q(o be a
sub-a-algebra of Qt, that is, 2lo is a a-algebraof subsets of X and 2lo c 2L Show that the
restriction of IL to Q(o is a measure on 2lo.
Prob.1.22. Let (X, Qt,p,) be a measure space. Show that for any Et. Ez E Qt we have the
equality: /L(Et U Ez) + !L(Et n E2) = !L(Et) + !L(Ez).
Proof. Let us write
p,(Et U Ez) = p,(Et n Ez) + p,(Et \ (E1 n Ez)) + p,( E2 \ (Et n Ez) ).
Then adding p,(E 1 n E2) on both sides of the last equality, we have
Prob. 1.23. Let (X, S1l) be a measurable space. Let JLk be a measure on the a-algebra Ql
of subsets of X and let at ~ 0 for every k e N. Define a set function f.L on S1l by setting
f.L = LteH akf.Lk· Show that f.L is a measure on Ql.
Proof. To show that f.L is a measure on m, we verify that f.L satisfies the following conditions:
1° f.L(E) e [0, oo] for every E e 2{.
2° f.L(0) = 0.
3° (En : n E N) c m. disjoint::::} f.L( Unell En) = Lnel l JL(En).
Now for every E e 2l, since wt(E) e [O.oo] and ak ~ 0 for every k e N, we have
f.L(E) = Lket.l atf.Lk(E) E [0, oo]. This verifies 1°.
Secondly we have f.Lk(0) = 0 for every k E Nand then f.L(0) = LteF akf.Lt(llJ) = 0.
This verifies 2°.
Let (En : n e N) be a disjoint sequence in 2(. Then we have
= L {L ak f.Lt(En)} = L f.L(En).
neTT keF neH
Prob. 1.24. Let X = (0, oo) and let 3 = {h : k E N} where h = (k- 1, k] fork E N.
Let 2t be the collection of all arbitrary unions of members of J. For every A E 2t let us
define JL(A) to be the number of elements of J that constitute A.
(a) Show that 2t is a a-algebra of subsets of X.
(b) Show that JL is a measure on the u-algebra 2£.
(c) Let (A, : n E N) c 2t where A, = (n, oo) for n E N. Show that for the decreasing
sequence (A,: n EN) we have lim JL(An) 'I- JL( lim A,).
n-+oo n-+oo
lim JL(A71 )
n.....,.oo
= oo 'I- 0 = JL( n.....,.oo
lim An)·
Prob. 1.25. Let (X, Ql, IL) be a a-finite measure space so that there exists a sequence
(E, : n E N) in Ql such that Unef.·' E, = X and ~L(E,.) < oo for every n E N. Show that
there exists a disjoint sequence (F,. : n e N) in Ql such that UneH F,. = X and fJ.(F,.) < oo
for every n e N.
Proof. Let us define a sequence (F,.: n eN) in Ql by setting
n-l
F1=E1 and F,.=En\UEj forn~2.
j=l
Then (F, : n e N) is a disjoint sequence in Ql and moreover Unel" F,. = Unell E,. We
also have F, c E, and therefore ~L(F,) ::s ~L(E,) < oo for every n e N. 1
Prob. 1.26. Let 5.8 1-i be the Borel a -algebra of subsets of IR, that is, the smallest a -algebra
of subsets of IR containing the collection of all open sets in JR. The Lebesgue measure ILL
is a measure on 5.BH· with the property that for every interval I in IR, ILL (I) = l(I) where
l(l) is the length of I. The Lebesgue measure ILL on 5.8::~: will be constructed in §3. Here
we assume its existence and pose the following problems:
(a) Construct a sequence (E,. : n e N) of sets in 5.BR such that lim E,. exists but
n~oo
(b) Construct a sequence (E,. : n e N) of sets in 5.BIR such that lim 1-1-L(E,.) exists but
n~oo
(c) Construct a sequence (E, : n e N) of sets in 5.8 ~~ such that both lim E, and
11~00
does not exist. On the other hand, disjointness of the sequence (E,. : n e N) implies that
lim E, exists and lim E,. = Ill by Prob. 1.3.
n~oo n~oo
(b) LetA, BE~~~ besuchthatA o:/= Ill, B o:/= Ill, AnB = lllandiLL(A) = ILL(B) = c >
0. (For instance, let A = (0, 1) and B = (1, 2). Then we have 1-1-L (A) =ILL (B) = 1 > 0.)
Let E, = A for odd nand E,. = B for even n. Then we have iLL (E,) = c for every n e N
and lim ILL(E11 ) =c.
n~oo
»Kun!» Röstin sävyssä oli häive, joka nosti pilven von Lepelin
kasvoille.
»Mikä sinua tänä iltana riivaa, Carl?» kysyi hän ärtyneesti. »Puhut,
ikäänkuin epäilisit, pääsemmekö lainkaan kotiin.
Mutta Saint Hubert oli heti arvannut, että kadonnut tyttö, Caryllin
mielenkiinnon herättäjä, oleili nyt El-Hassissa. Ja Pojun saapumisen
jälkeisenä päivänä hän oli mutkattomasti kajonnut tapahtumaan ja
suoraan tiedustanut Caryllilta tytön ryöstäjää. Tähän kysymykseen
hän oli saanut vain happamen vastauksen: »En tiedä. En tuntisi sitä
kirottua raakalaista, jos hänet näkisinkin.» Mutta Saint Hubert oli
lukenut totuuden hänen punehtuneista kasvoistansa ja hänen
silmiinsä välähtäneestä vihan leimahduksesta.
Isäin synnit.
Jollei Ahmed olisi ottanut häntä niinkuin otti, jollei hän olisi
pakottanut häntä tunnustamaan naisellisuuttansa, ei hän olisi
milloinkaan saanut tuntea syvää onnea, jonka hän Ahmedin toimesta
oli saanut vaimona ja äitinä. Pitikö Ahmedin rääkätä itseänsä
jatkuvasti muistelemalla sellaista, minkä hän, Diana, oli aikoja sitten
unohtanut? Eikö Ahmed ollut sovittanut, enemmänkin kuin
sovittanut, noita muutamia lyhyitä onnettomia kuukausia
vuosikausien uskollisella rakkaudella ja huomaavaisuudella, joka oli
käynyt yli hänen odotustensa ja tehnyt heidän yhdyselämänsä
ihanteelliseksi kumppanusliitoksi? Ja totisesti oli Ahmed saanut
maksaa hinnan siitä surusta silloin, aikanansa, kestämällä murhetta,
suurempaa kuin hänen, Dianan, oli koskaan tarvinnut kestää.
Kärsimysten kautta oli rakkaus tullut heille molemmille, sellainen
rakkaus, joka oli liian ylevä jättääksensä sijaa pahoittelulle, liian
täydellinen turmeltavaksi katkerilla muistoilla.
Siten oli hän vetoavasti puhellut Ahmedille, kuten hän oli tehnyt
lukemattomia kertoja ennenkin, kun katumus oli masentanut miestä,
niin että hänen sydäntänsä vihloi.
Vain hän yksin näki Ahmedin silloin, kun häneltä oli kiskaistu pois
luonteenomainen kopean ylpeyden naamari, vain hän näki sheikin
syvän nöyrtymyksen, jota hän tuskin jaksoi kestää.
Eikä Ahmedin kalvava katumus ollut edes heidän avioelämänsä
alkuaikoina pukeutunut niin katkeriin muotoihin kuin neljänä viimeksi
kuluneena päivänä; sen jälkeen, kun Ahmed oli ensiksi tajunnut
rakastavansa vaimoaan, ei hän koskaan ollut osoittanut
kiintymystään niin avoimesti ja pidättymättä. Hän oli aina Dianaa
kohtaan huomaavainen ja lempeä, mutta Pojun paluun jälkeen oli
hänen hellä huomaavaisuutensa ollut suurempi kuin Diana oli
koskaan ennen kokenut. Hänen kaikki tekonsa, kaikki sanansa ja
eleensä ja kaikki ajatuksensa näyttivät keskittyvän Dianaan.
Mutta Saint Hubert, joka tunsi asiat paremmin kuin hän, ei voinut
muuta kuin toivottomasti kohauttaa olkapäitänsä.