FOUNDATIONS OF MODERN ANALYSIS AVNER FRIEDMAN Northwestern University Dover Publications, Inc. New YorkTo my father, Moshe Simcha Friedman Copyright © 1970,1982 by Avner Friedman, rights reserved under Pan American and International Copy” right Conventions, Published in Canada by General Publishing Company, Ltd., 30 ‘Kingdom by Constable and Company, L1d., 10 Orange Street, London WC2H 7EG. This Dover edition, first published in 1982, is an unabridged and ‘Manufactured in the United States of America Dover Publications, Ine. 150 Varick Street New York, N.Y. Loo1s Library of Congress Cataloging in Publication Data Friedman, Avner. Foundations of modern analysis. analysisFoundations. 1 1982] 315 ISBN 0-486 640620 (pbk.) 4523 /70 970 / PREFACE ‘This book is aimed to serve as a first-year graduate course in modern analysis. The material includes measure and integration, metric spaces, the ‘elements of functional analysis in Banach spaces, and spectral theory in Hilbert spaces, There are various books in the literature where all these topics are dealt with; however, we have not Feit that we could use any of them system- atically as a text book. They are either written at a level not consistent with that of a first-year graduate student or else they do not have the choice of topics we would like to see. In Chapters | and 2 we present the theory of measure and integration. Ithas been our experience that there are too many definitions and too many theorems for the student to memorize, and that as a result of this, he often fails to grasp what is really essential in the theory. This motivated us to cut down on many details and to give a general, yet compact, presentation, In Chapters 3 to 6 we present the most fundamental theorems of func At the same time we give some applications to important problems in ordinary and partial differential equations, and in integral equations. This, we hope, will illustrate to the student the invaluable role played by functional analysis in solving conerete problems in analysis. ‘At the end of cach section there are problems for the reader. The solu- tion of some of these problems is used in the text itself “The material of this book is somewhat more than can be covered in a one-year course, One might omit some topics that are rather independent of the fest of the material, such as Section 3,3, Theorem 3.6.3, Section 3.7, and Sections 4.2, 4.11, and 4.12 (with the exception of Theorem 4.12.3). The applications of functional analysis to differential and integral equations and. to the Dirichlet problem are given in Sections 3.3, 3.8, 4.7, 4.9, 5.4, and 6.9. They are not used in the remaini Evanston, Hinois February 1970 Avner FriedmanCONTENTS Preface, ili Chapter 1. MEASURE THEORY, 1 Rings and Algebras, 1 Definition of Measure, 4 1.3 Outer Measure, 7 14 Construction of Outer Measures, 11 15 Completion of Measures, 12 1.6 The Lebesgue and the Lebeseue-s ites Measures, 13 17 Metric Spaces, 15 18 Metric Outer Measure, 17 1.9 Construction of Metric Outer Measures, 20 10. Signed Measures, 25 Chapter 2. INTEGRATION, 29 2.1 Definition of Measurable Fuctions, 29 2.2 Operations on Measurable Funct 23. Egorofl’s Theorem, 35 24 Convergence in Measure, 37 25 Integrals of Simple Functions, 40 26 27 2.8 Sequences of Integrable Functions, $1 iv 29 2.10 241 22 213 24 248 216 CONTENTS. ¥ Lebesgut’s Bounded Convergence Theorem, 54 Applications of Lebesgue’s Bounded Convergence Theorem, 57 ‘The Riemann Integr “The Radon: Nikodymn Theorem, 67 ‘The Lebesgue Decomposition, 72 “The Lebesgue Tntegrat on the Real Line, 74 Product of Measures, 78 Fubini's Theorem, 84 Chapter 3. METRIC SPACES, 90 3 32 33 a4 38 36 37 38 Topological and Metric Spaces, 90 LE Spaces, 95 ‘Completion of Metric Spaces; H™? Spaces, 99 ‘Complete Metric Spaces, 105 Compact Metric Spaces, 107 Continuous Functions on Metrie Spaces, 6 The Stone-Weierstrass Theore ‘A Fixed-Point Theorem and Apr Chapter 4. ELEMENTS OF FUNCTIONAL ANALYSIS IN 4 42 43 44 45 46 47 48 49 BANACH SPACES, 123 Linear Normed Spaces, 123 Subspaces and Bases, 129 Finite-Dimensional Normed Linear Spaces, 132 Linear Trans ‘The Principle of Uniform Boundedness, 139 ‘The Open-Mapping Theorem and the Closed-Graph Theorem, 141 rmations, 135 ‘Applications to Partial Diterential Equations, 145 The Hahn-Banach Theorem, 150 Applications to the Dirichlet Problem, 155 ‘Conjugate Spaces and Reflexive Spaces, 159 ‘Tychonofl’s Theorem, 164 ‘Weak Topology in Conjugate Spaces, 168vi CONTENTS 4.13 Adjoint Operators, 172 414 The Conjugates of L? and C 0,1), 176 Chapter 5. SOMPLETELY CONTINUOUS OPERATORS, SL Basic Properties, 186 52 The Fredholm-Riesz-Schauder Theoty, 189 53 Elements of Spectral Theory, 194 54 Application to the Dirichlet Problem, 197 Chapter 6. HILBERT SPACES AND SPECTRAL THEORY, 6.1 Hilbert Spaces, 201 62 The Projection Theorem, 204 63 Projection Operators, 209 64 — Orthonormal Sets, 213 65 Self-Adjoint Operators, 218 64 Positive Operators, 221 6.7 Spectral Families of Self-Adjoint Operators, 226 68 The Resolvent of Self-Adjoint Operators, 233 69 Eigenvalue Problems for Differential Equations, 237 Bibliography, 244 Index, 247 CHAPTER 1 MEASURE THEORY 1.1 RINGS AND ALGEBRAS ements, We call X also a space a1 oughout the whole chapter. We shall refer to subsets sets of subsets of X also as 1¢ complement of E (in X}— ES = (xe Xi x¢ E}. tion of two sets Band Fis the set (xix €£ or F), and itis denoted oe BN oe as {xe E; x¢ F}. Note thatin this OF. The nea B theempty st defined as {x; x € E and x F), Wedenot then we say that the sets E and F are disjo Let A be any E, be a set, The which belong to ‘consi aa) (1:12) 12 MEASURE THEORY Let {Ey} be a sequence of sets (n = 1,2,...). The superior limit of {E,} is the sot consisting of those points which belong to infinitely many E,. We denote it by E* = lim sup E, = Tin E, = litt Ey, Similarly, the duferior limit Eq = lim inf E, = lim E, = lim E, nT is the set consisting of all those points which belong to all Sut finite number of the E,. If E* = Ey, then we say that the sequence {E,} has a fimit, and we denote the set E* by lim E, or fim Ey. Note that if {2} is monotone increasing (decreasing)—that E, © Eys1 (En > Ene) for all n> 1, then fim E, exists ‘The following two definitions are fundamental in measure theory. Definition 1.1.1 A class # of sets is called a ring if it has the following properties: @ Bea. (b) If 4e® and Be@, then 4~Bew. (© WAc@and Be, then AU BER. A ring & is catled an algebra if it has the additional property: @) Xee. 5 Note that if isaring andif A, B € &, then > B = A ~ (A ~ B)isin ‘%, Note also that if isa rng, then any finite union and any finite intersection of sets in R are in ®. Definition 1.1.2 Aclass 3 of setsis called a a-ring ifit has the properties (@), (b), and the additional property: (©) WaAyea forn=1,2,. then () 4ea. A o-ring is called a a-algebra if it has the additional property (4). If @ is a o-ring (o-algebra), then we can take A, = @ for #23 in (©), and thereby established the condition (c). Thus, a o-ring (o-algebra) is a ring (algebra). If @ is an algebra, then the following condition clearly holds: () Aca, then Ae. Conversely, ifthe conditions (a), (¢), and (P) hold, then @ is an algebra—that RINGS AND ALGEBRAS 3 lows from (f) with 4 = , and (b) is, (b) and (4) also hold. Indeed, (4) follows from AW B= ANB = (A UBS, ‘A disjoint union is a union of sets that are mutually disjoint. We intro- duce a condition that is weaker than (c), namely (c) AER, Be Rand ANB = ©, then AUBER. We then have: 4 class &® satisfying (a), (b), (c’) i8 a ring. Indeed, (©) follows from AU B= AU(B~ A). Next we introduce a condition weaker than (c) (©) Anycountable disjoint union of sets 4, (1 = 1,2...) which belong to @ also belongs to 2. Theorem 1-1-1 If # satisfies (a), (b), (e') land (4)}, then & is a o-ring (o-algebra). Proof. Taking, in (e’), A, = 0 for n> 3, we see that (c') holds. Hence (6) follows, and 2 is a ring. To prove (e) let {4,} be a sequence of sets in 2. Then the sets B,, defined by By= Ay, By = Aner — [ual also belong to &. Since B, 0 By = Bit nA mand (JBy = (J 4a Ce) implies that 4,68. PROBLEMS = lim £5. Eq lim Ex= U0) Be E,e@. Bea, Time? fi LIA, The intersection of any collection of rings (algebras, a-rings, or a-algebras) is also a ring (an algebra, o-ring, or o-algebra). LS. If His any class of sets, then there exists @ unique ring @o such that (i) @) > 9, and (i) any ring & containing @ contains also Ro, Ro is called the ring generated by 2, and is denoted by 22).4 MEASURE THeDRY 116. If % is any class of sets, then there exists a unique o-ring Zg such that (i) % 2%, and (ii) any o-ring containing & contains also Fo. We call 5 the a-ring generated by %, and denote it by AZ). A similar fesult holds for e-algebras, and we speak of the e-algebra generated by 2. 1.17. If Gisany class of sets, then every setin (2) can be covered by at is s Contained in) a finite union of sets of @. (Hint: The class a€ of sets that can be cov 118. by countable union of sets of 2. 1.1.9. Let & consist of those sets which are either finite or have a finite complement, Then Z is an algebra, If X is not finite, then & is not a Igebra 1110. Let @ cor sets of the form (J Jy, where the Jy are st of intervals on the real the form (:a<10, x-($00)- Fa if x <0, and so forth, The relations 00 + (00), 0-( 4:00) are not defined. A set function pis a Fanction defined extended real-valued, domain (of defini Let j: Be a set function defined on a ring #. We say additive #€ is completely o( 0 £,) = 3 ten a2) whenever the E, are mutually di sets of #@ such that (j E, is also in #, Definition 1.2.1 A measure is an extended real-valued set having the follow propertcs: (The domain @ of wis 2 o-algebra, Gi): is nonnegative on @ (iii) jis completely additive on @. fi) = 0. DEFINITION OF MEASURE 5 ‘A real-valued set function pis said to be additive if its domain & is a sing and if MEU F)= WE) + HE) (122) whenever Ee dt, Fe, EOF= 2. wis called finitely additive if, for any postive integer mm, (Oe) = 2 wer 423) = aking in (12.0) whenever E,€2 = lau), BOE =@ if j#k, Taking in CL ae @ for n> fad using (iv), we see that a measure is finitely additive. Tr p(X) < eo, we say that jis a finite measure (or & totally finite measure) 16x = {J Ey and s(E,) < co for all m, then we say that jis a o-finite measure Theorem 1.2.1 Let whe a measure with domain GQ. Then () EEG, FeG, EF, then WE) = MF). Gi) ECG, Fe@, ECR, MF) <0, then (PF — B) = oF) = oE). (1.24) Gil) 1 UE,) 8 a monotone-increasing sequence of sets of @, then om (Es) = tim (425) cl of sets of @, and if iv) If {Eg} is a monotone-decreasing sequence of sets of We) efor sme nthe 1.2.9 hale Proof. To prove (i), write F as a disjoint union F = E U(F ~ £). Then HF) = WE) + WF = B). (1.2.6) <0, then XE) Ti w(E,) provided p 29) Proof. Let 10) Then Fy © By (J Fe = {J Ex and the F, are mutually disjoint. Hence 6) (0) i We then sli) = AE.) < ME). Therefore Since (| E, Ey, Theorem 1.2 14) aves o( (lim 5) tim x Fin 1.2.9) follows by applying (1.2.8) to the sets [0 | =e, ana using Problem 1.1.1. - ‘OUTER MEASURE 7 onotary 123 Wim eit and ry) <2 he ») = fin mE. 29 PROBLEMS 12.1. IF p satisfies the prope {AE < 2 Tor at least one set E, 1.2.2. Let X bean inf ME) = 018 Bish additive but not completely ac js. measure on a o-algebra @, and if E, F are sets of @, then in Definition 1.2.1, and if is also satisfied @ be the class of all subsets of X. i Then y is finitely WE) + iF) = WE UF) + WE 2 F). 124. Let {ug} De a sequence (finite or infinite) of measures defined con the same o-algebra @. Define ¥ sa by ( 5 se)(E) = ¥: n,(6) for every Ee@.Provethat ¥ y,isa measure, 4.25. LetX nonnegative numbers, st of a sequence {x_} and fet {p,q} be a sequence of ‘Then p is a ¢-finite measure. 1.26, Give an example of a measure 4 and a monotone-decreasing sequence (E,} of @ such that x(E,) = 0 for all, and pH =0. 1.3 OUTER MEASURE ‘An extended real-valued set function v is said to be subaddi WEUF)s 16) + 4A) whenever E, F, and EU F belong to the domain of ¥. is called finitely a38 MEASURE THEORY whenever the sets E, and their union belong to the domain of v. Finally, it is called countably subadditive if (0,4) = 3 wep (132) ‘Whenever the E, and their union belong to the domain of v. ‘An extended real-valued set function vy is said to be monotone if WE) S (E) whenever £, F are in the domain of vand Ec F. Definition 1.3.1 An outer measure is an extended real-valued set function * having the following properties (i) The domain of u* consists of all the subsets of X. Gi)_p* is nonnegative, 1° is countably subadditive. (iv) ut is monotone () 2%) =0. Taking E, = Qin (1.3.2), for j> n, and using (v), we see that an outer measur, y subadditive, It is obvious that every measure whose domain consists of all the subsets of X is an outer measure, The usefulness of outer measures is primarily in the role they play in the construction of measures. On one hand, itis fairly easy (see Section 1.4) to ‘constcuct outer measures. On the other hand, one can always construct @ measure from an outer measure. The latter assertion will be proved in this section (Theorem 1.3.1). Definition 1.3.2 Given an outer measure u*, we say that a set E is -mreasurable (or, briefly, measurable) if BMA) = BA 0 B) + (A ~ B) 33) for any subset 4 of X. The (vague) motivation for this definition is that the sets we want to single out as measurable should be such that will become additive on them. jince 4." is subadditive, (1.3.3) is equivalent to the inequality: H(A) > uM ANB) + WA — EB). 3a) Theorem 1.3.1 Let u* be an outer measure and denote by @ the class of all u*-measurable sets. Then @ is a o-algebra, and the restriction of u* 10 @ isa measure. ore 7 Proof. We shall give the proof in several steps. (i) It u*(E) = 0, then £ is measurable, Indeed, for any set A we have (An E) + wh(A— EY Ss wE) + A) = WA) (4.34) holds, Hence (1.3.3) is satisfied. Be G@, since 1) = 0. If Ee @, then £°€ @. Indeed, WANE) + MA — E9) = thd = B) + WMA OE) = UA) If Ey and Ey belong to @, then alto £, UE, belongs to @. To we wine (13) for E= Ey and And for E= £3 and A~ E wa) = e409 By) + 0A ~ Ede MA ~ E) = UA ~ £) Oa] + eA ~ Ey) ~ Fad Adding these qualities and noting that (A ~ £1) E; = 4 ~ (Ey B:)- [(4 = EJ OB ULAN EE] =A NE Ba. we get, after using the subadditivity of «*, yh A) > wld OE, VEN + wTA = (E,V ED) an arbitrary set. the w*-measurability of Ey UE follows. E, belongs to @. Indeed, this Since 4 (v) WE, E; belong to @, then E; follows from the relation (REY, By- using (iii) and (iv. We have proved so far that @ is an algebra. eee! = {J Eq Then for any n>, WAS) = YHA Ew) a3 for ail sets A. The proof of (1.3.5) is by induction on n. The obvious. The passage from m to 1 + Tis given by BMA A Sy) = HMA Spo 9 S0) + HA Sess — So) HWA 8) 4H OE, =F A 6+ HAO Eee = oA Be Here we have used the measurability of Sy.10 MEASURE THEORY (vii) Let (£,} be a sequence of Then, for any set 4, sets oF @, and et $= () wo s)= ¥ wan b) (36) Indeed, by the monotonicity of w* and (1.3.5, wAnS)2 Wao S,) = wan B). Taking n> 00, we get w(AnS)> ¥ waa e,). Since the reverse inequality follows from the co age eee we countable subadditivity of 1*, (viii) A countable disjoint f sets E, | joint union of sets E, (x = in G. Indeed, by (vi), for any set A, H(A) = pA 0 S,) + BA - S,) ) of @ is again 2D MAME) + WA- 8) Taking m+ 0 and using (1.3.0), we get HMA} > uA OS) + uA — S) that is, $is measurable _ have proved that @ is an algebra and that a countable, disjoint of sets of @ is again in @. Hence, by Theorem 1.1.1, @ is a o-algebra. The restriction y of u* to @ clearly satisfies (i), (i), and (iv) of Definition It remains to prove that pis i : ois xis completely additive. But this follows from (1.3.6) PROBLEMS 413.1, Define #*(E) as the number of points in E if E is finite an ME) = co if E is infinite, Show that p* is an outer measure. Deter i te measurable sets. ‘mine te 132. Define 4MQ)=0, wME) = 1 iE N= 0, we) = 1 iC Ee @. Show that outer measure, and determine the measurable sets. wee vegies Let have a sonoutbl uber of pons is countable, y2(E) = 1 i Ei noncountable. Show that > tease, and determine the measurable set ct wX(E)=0 an outer CONSTRUC ON 134. If pi is an outer measure and B is a fixed set, then the set funotion »* given by »*(A) = u#(A 7 B) isan outer measure, Find the relation between the measurable sets of w* and ¥* Tras. If {ut} is a sequence of outer measures, hen J. HZ, defined by Qa LHe. also an outer measure. 1.36. Prove that if an outer measure is finitely additive, then itis @ measure. 1.4 CONSTRUCTION OF OUTER MEASURES Let of” be a class of sets (of X). We call 2° a sequential covering class (ot X) it @) Ge H, and (i) for every set A there is a sequence (E,} in 3 such that ac Qe For example, the bounded open intervals on the rea Hine form a sequentiat covering class of the real line Let ibe an extended real-valued, nonnegative set function, with domain 2, such that A) = 0. For each set A (of X), let HED: Eye XU E> 4} oan h(a) in Theorem I. For any sequential covering class X° and for any non- negative, extended real-valued set function bwith domain X and with M2) = 0. tthe set function y* defined by (1.4.1) is an ower measure. ion 1. Proof. ‘The conditions satisfied. The monotonicity condition (jv) is also f arn to verify i), Let {4,) be any sequence of sets. We have to prove that w(G.4) <5 eo 42) Let c be any positive number. For each positive integer » there is @ sequence {Ei} in 20 such that Are Eu F Hews wad +H (143)12, MPASURE THEORY 1¢ double sequence {Ey}. with indices » and , then satisfies Oc Be Hence, by the defi on (1.4.1) and by (1.4.3). w(U Ads % aeas S [dars| <3 way +e Since «is arbitrary, (142) fo Theorems 1.4.1 and 1,3. siven pair 4. nable us to construct a measure from any PROBLEMS T4d, Let ¥ consist of X, Gi and all the one-p. AD) = 0, Ab) = 1 if EX X, ED. Describe 14.2, Let X be untable space Let A(X) = 1, #(8) = O if E # X. Describe the 1.4.3. Show that, under the conditions of if Ee. Give an example where inequality holds. 144, Th isa a-algebra and 7 isa measure on 2, th for any Ae. (Hint: A) = inf HE); Be, E> A} 145, V0. isa o-algebra and A is a measure on 37, then every se is p*-measurable. : The last two problems show o-algebra 2, The nt sets, Let A(X) = 9, be as in Prot ter measure. corems 141, u(E) < 2(E) (4) = A) at if we begin with a measure 2 on a orem 1.41 1.5 COMPLETION OF MEASURES ‘A measure js with domain @ is said to be complete if for any two sets If NCE, Ee@ and s(£) = 0, then Ne @. Note that the measure constructed in Theorem 1.3.1 is complete. {In the next theorem it is showa that a ‘complete measure, measure can be extended into & Theorem 1.1 et w be « measure on a o-algcbra @ and let @ denote the class ofall sets of the form EN, where E-€ G and N is any subse! of a set of @ of measure zero. Then & is a cualyebra and the set function ji defined by HE ON) = hh) as.) is a complete measure on @. ‘THE LEBESGUE AND THE LEBESGUE-STIELTIES MEASURES 13 ‘We all ji the completion of 1. Proof, We first show that @ is a o-algebra. Let Ee @, No Ae @. pAya0. Then B~AaE od CE ON =(EUNY CE. Hence, (EON) = (EF = A) ON’ where N’ = A. Sinve [E— A] € @, it Follows that (EU NY €@. Since E, — Ea = (Ej U E2)* it remains to show that a countable ‘union of sets of @ is again in @. Let these sets be Ey U Ny, where Ny C Any A.) =0. Then hr 1 = (ese Ne (Jas hand (A 20 he asenion 68 ‘We shall how show that iis well defined on @ Let E,UN\= EU Ns where E,€@, Nj © Ay H(A,) = 0. Then RcE Udy Exe Bi UA 5.1) is unam ‘a complete measure. It follows that A(E,) = (E,). Hence the definition tis now easy to verify that ji satisfies all the properties PROBLEMS 15.1. Let p bea complete measure. A set for which uN) = 0 is called null set, Show that the class of null sctsis a o-ring. Is it also a o-algebra? 75. Let the conditions of Theorem 1.5.1 hold and denote by @* the class of all sets of the form £ — N where Ee@ and WN is any subset of @ having measure zero. Then G* = @. 1.6 THE LEBESGUE AND THE LEBESGUE-STIELTJES MEASURES Denote by R" the Euclidean space of dimensions. The points of R* By an oper interval we shall mean @ are written in the form x= ( set of the form + 16.1) = (xyes a; 0, the set Bhy,t) = {95 Ply) <8} is called the open ball with center y and radius e, or an e-neighborhood of y. The set By.) = Us ols) 58) is called the closed bail with center y and radius ¢, ‘A sequence {x,} is called a convergent sequence if there is a point y such that p(x,.»)-*0 as m+ co. We then say that {x,} converges ro y and write lim x= y oF yey ase We call y the limit of the sequence cannot have two 4 vergent to y if and on number of the x, A set £ is called an open serif for any y € E there is a ball B(y,6) that is contained in E. Every open ball is an open set. It is easy to verify that a finite intersection of open sets is an open set, and a union of any class of open. sets is an open set A point y is called a point of accumulation of a set D if any ball B(y,2) contains points of D other than y. Its easily seen that y is a point of accumu lation of D if and only if there is a sequence {x,} in D — {(y} that converges toy, Denote by D’ the set of all the points of accumulation of D. The set Du D’ is called the closure of D, and it is denoted by D. 1}. It is easily seen that a sequence limits. It is also clear that a sequence {%,) is cor if every e-neighdorhood of y contains afl but a METRIC OUTER MEASURE 17 ‘A set is said to be closed if its complement is an open set. Note that the closed balls are closed sets. The interior of a set E is the set of al points y in & such that there is an e-neighborhood of y contained in E. We denote the interior of E by i "A sequence {,) is called a Cauchy sequence if e(%y§q) +0 a8 1. =» 20. Note that every convergent sequence is a Cauchy sequence. Also. a Cauchy sequence cannot hav ‘an one point of accumulation. If every Cauchy ‘sequence is convergent, then we say that the metric space is complete. The Euclidean space (with the Euclidean metric) is complete, but the subset onsisting of all points with rational components forms an incomplete metric space (under the Euclidean metric) Tn the next section we shall need the following definition Definition Denote by 3 the o-ring generated by the class of all the open sets of X. The sets of @ are called Borel sets Note that of coincides with the o-algebra generated by the class of al the open sets of X. PROBLEMS LP. A sequence {xq} is convergent to y if and only if every sub- sequence {x,,} is convergent to y _ 1.7.2. "A set Dis closed if and only if B= D. 173, @)AGB= Av Bb) A= A. 17-4. Asset Bis open if and only if E = int EB. 175. Let A be any set and x,y any (wo P ply.) , then p(x,x) >a — Be. 176. Wf Aisa closed set and x ¢ A, then p(x,A) > 0. 1.77, Denote by 2 the @-ring generated by the class of all the closed sets of X. Show that J = @. 178. Denote by ? the class of all half-open intervals (a,b) on the real line. Show that the o-ring generated by # coincides with the class # of the Borel sets on the ree s. If pd) > a 1.8 METRIC OUTER MEASURE Let X beam je space with metric p. Definition 18.1 An outer measure p* on X is called a metric outer measure if it satisfies the fol property (vi) Tf p(A,B) > 0, then p*(4 UB) = n(A) + 2B).18 MeasuRE THEORY Lemma 8.1.1 Let y* be a metric outer measure and let A, B be any sets such that A&B, B open, w*(A) ¢, This shows that acU A Since 4, < A for all n, we have 4=U4, (18.2) Let G,= Ayes Ay for m1. Then (1.8.2) implies that, for any n2l, a-auv[ G6 Hence, HA) S wad) +S WMG +X WG) (18.3) FromthedefinitionofthesetsA,wehave: ifx€ Gay y € Goxs2ol © kythen 4x,B) : BS) : B)> ——, p(y.B9< ss +1 a 2k +2 Consequently (see Problem 1.7.5), METRIC OUTER MEASURE 19 Using the relation Az, oUsu and the property (vi) of metrie outer measures, we ast way = wad 2 0"(U Ga) =F wad since *(A) <-, this shows that the series Seen Jy one shows that the series is convergent. Simi 2G) is convergent. Taking nm oo in (1.8.3), we then obtain (A) s lim y"(A2,). ‘This proves (1.8.1). Theorem 1.8.2 If u* is a metric outer measure, then every closed set is measurable. Proof. Let Fbe a closed set, For any set A with j1*(A) <2, A ~ Fis containedin the open set F*. Hence, by Lemma 1.8.1, there isa sequence E, of subsets of A — F such that Eph) 24 (n= 1d), asd) fim pX(E,) = (A = F) (18.5) Using the property (vi) of a metric outer measure and (1.84), we get H(A) > WLC 0 FY Eg) = e(A 0 FY + HE Taking m-» 20 and using (1.8.5), we obtain BA) WA OF) + aA = Fe If y*(A) = @, this inequality is trivial, Since A is an arbitrary set, Fis measurable. Corollary 1.8.3 If w* is a metric outer measure, then every Borel set is measurable.20 MEASURE THEORY Proof. Denote by @ the o-algebra of all the j*-measurable sets, Every open set E has the form E = X ~ F, where X € @ and Fe @ (since F is closed). Hence £ € @. It follows that @ contains the o-ring generated by the class of al PROBLEMS 18.1. Prove the converse of Corollary 1.8.3—that is, ify is an outer measure and asurable, then j* is a metric outer measure. 18.2, Let 4 be a measure with domain @. For any two sets E and F in @, let lE,F) = ule — F) U (F — EB]. Prove that p(E.F) = p(F,E) and PAE,G) = pLELF) + plF,G), H°(E) to be the number of points x, that belong to E. Prove that outer measure 184. Let (X,p) be a metric space. Define w%E) = 1 if E# gi and s8() = 0. Is w* a metric outer measure”? 1.9 CONSTRUCTION OF METRIC OUTER MEASURES Let 2° be a sequential covering class with @ ¢ 2, and let ) { “| for any positive integer n. Then 1 © Assume that cach 2, is a sequential covering class. Let 4 be a nonnegative, extended real-valued set function defined on 2¢, with A(@) = 0, and denote by pf the outer measure defined by cach pair 27,4 (according to Theorem 1.4.1). Clearly HA) < t(D x, ex:days? [we define d(gs) = 0) for any set 4. Let Theorem 1.9.1 Let the foregoing assumptions on Ab bold. Then the set function, defined by (1.9.1), isa metric outer measure. Proof. The conditions (i), (i), (iv), and (v) in Definition 1.3.1 hold for each pf. Taking m+ 00, we sec that they hold also for 43. To prove (i we mote that 12%(4) << 4§(4). Hence. a(O a) <3 tes 3 ueo. STRUCTION OF METRIC OUTER MEASURES 21 ‘Taking + 00, we get (Ge) =m o2( 0) ) s 2, 18te 1 remains to prove the condition (vi) in Definition 1.8.1. If p(4.B) > 0. then (A.B) > I for all 2 my. Forany > Oand n 2 Mg, thereis @ sequence {Bq} in #, such 1 Av Be Ew YBa) SpA B) +e Since dE,,) < I, no set Byy can intersect both A and B. Hence the sequence {Eq} can be written as a disjoint union of two sequences (Ey }and (Fu) the first being a covering of A and the second being a covering B. It follows that HA) + WN) < EE) aU vB) ‘Taking m+ co, and then 6-+0, we get H(A) + H5(B) 5 HELA vB). ‘Since the reverse inequality is obvious, the proof is complete. Theorem 19.2 Let the assumption on 2h made in Theorem 1.9.1 hold, Assume further that for each set Ae X, for any ¢>0, and for any positive integer n, there exists a sequence {E,} in X°, such that ac % £ Meds HA +e. ‘Then the outer measure u* defined by 141) coincides withthe metric outer measure constricted 9 (13.1, Proof, Since X72 7, we have WMA) eQA) forany set Aand n= L292) From the definition of y* it We shall now prove the reverse inequal22 MEASURE THEORY follows that for each set A and 6 > 0, there exists a sequence (E;) in 36 such that ‘ Ac v p oe x HE) SH) +5 By one of the hypotheses of the theorem, for each set E, w theorem, for each set E, there is a sequi (By) of sets of 27, such that ; Sa ssanense UB y) 0) the open interval determined by ta — Oy (byt iba + Eyeeeby + 2). Then AUyc.nse) — Alaa) x= 0,4 16; , 19.1, Dad, ). Tt remains to show that, fe 7 to show that, for any ¢>0, each set Jared, 17,3 can be covered by a finite number of intervals CONSTRUCTION OF METRIC OUTER MEASURES 23 E, with diameter < 3/m, such that J, 1(E,) 0. Use Problem 1.9.2 to deduce waa) s T] b:— 40: To prove the converse inequality, take any covering of 1, by intervals By the Heine-Rorel theorem, a finite umber, say of Fay» It suffices to show that, for any € > 0, I Write Ey =Jq.ey: Divide R" by hyperplanes G4, ogers, Let J, be as in Problem 1.9.4, and choose r so large that mC/r fos follows that every term /{f,,,) that occurs in the last sum must also occur in at least one of the sums 5! This Temas $ tess F lam tem $i) +0) 196, Let fa be an open bounded interval in R', Show that Hag) = Woo) = Hag) = na) = [] (c= a0. 1.9.7. If a set F in RY is Lebespue-measurable and if y(F) < oo, then for any © > O there exists an open set E such that E> F and s(E) < w(F) + 1.98. Maset F in Ris Lebespue-measurable, then there exists a Borel set £ such that E> F and j(E — F) = 0. [Hint: Consider first the case where HF) < 2.) 1.9.9. A straight line in R* (n> 2) has Lebesgue measure zero. More generally, a k-dimensional planein R? (n = k + 1) has Lebesgue measure zero. 1.9.10. The boundary of a ball in R" has Lebesgue measure zero. 19.11. Consider the transformation Tx = Ax + k in R*, where 4 is a nonsingular n x n matrix and x, k are column r-vectors, T maps sets E onto sets TUE). Assume that 2[7(,,)] = ldet 4\a(,,). (This will be proved in Problems 2.16.7 and 2.16.8) Prove that T*satisfies the properties (a)(c) of Problem: 1.6.5, with [2] replaced by [det 4 1.9.12, Exteact from the interval (0,1) the middle third—that is. the terval 1, = (4,3). Next extract from the two remaining intervals, (0,4) and (Gul)s the middle thirds /, and 1, Us = (4:8). 4 = (@B)). and so on, Let T=LULU hue, The set C= [01] - 1 is called Cantor's ser. Prove ‘that the Lebesgue measure of Cis zero. (It can be shown that Cis not count- able; in fact, it has the cardinal suum.) 1.9.13. The Lebesgue-St tone function f (continuous on the right), satisfies Hab] = f(b) - fla). 1.9.14, ‘The Lobesgue-Stieltjes outer measure is a metric outer measure. 19.15. Let fix) =0 if x <0, fx) =1 if x20. Prove that is{(=1,0)} <0) ~f(-D. induced by a mono- As we have seen, every Borel set in R" is a Lebesgue (measurable) set. From Problem 1.9.8 it also follows that every Lebesgue set has the form E —N, where £ is a Borel set and N is a mull set [that is, n(N) = 0}. Thus SIGNED MEASURES 25 (compare Problem 1.5.2) the Lebesgue measure is the completion of its restriction to the Borel set. ‘We conclude this section with a few results that we sl will not be used in the sequel.) coesais known that not every Lebeseue set i a Borel set. tn fact, the two classes of sets have different cardinal numbers. ‘Denote by j1* the Lebesgue outer measure on R*. Then for any bounded interval , the following is true: a set E < J,» is measurable if and only if not prove. Hlys) = WCE) + Ue — Ee ‘The inner measure ita is defined by pa(E) = sup (MAF); F< E, F Lebesgue-measurable} vis known that HAE) = Ug) ~ "Uae ~ ED for any subset E of fay. Consequently, £ is measurable if and only if HME) = 1) 1.10 SIGNED MEASURES Definition An extended ceal-valued set function 1 is called a signed measure if it assumes at most one of the values +00 and oo, and if it satisfies the conditions (i), Gil), (iv) of Definition 1.2. The motivation for this notion comes by looking at the differen p= my — 1 of two measures j1,.s12, one of which is finite, defined by HE) = (BE) hE) (E€ @), 4.103) where ji.yty have the same domain @. It is clear that jis a signed measure, More generally, any linear combination (with real coefficients) of measures having the same domain, defined in the obvious way (analogously to 1.10.1) isa signed measure, provided all but one of the measures are finite. In this section we shall prove that every signed measure is necessarily of the form (1.10.1) Let je a signed measure with domain G. A measurable set E is called positive (negative) with respect to pit (E © A) 0 (<0) for any measurable set 4 Theorem 1.10.1 Ify isa signed measure, then there exist two measurable sets A and B such that A is 70% with respect £0 1, and X=AUBANB=@.26 MEASURE THEORY We say that 4 and B form a Hahn decomposition of X with respect to 1. The decomposition is not unique, in general. ‘We shall need the following temma. Lemma 1.10.2 Let y be a signed measure. If E and F are measurable sets such that E F, |W(F)| < 00, then |p(E)] < 02. ‘The proof follows easily from the relation ME) = WF ~ £) + WE) To prove Theorem 1.10.1 we shall assume that —w< MES oO for all Ee @. (1.10.1) The case where —o0 < «(E) < 0 for all Ee @ can be treated by looking at He ‘Observe that the difference of two negative sets is again a negative set and that the union of two negative sets is @ negative set. Since also the count- able disjoint union of negative sets is a negative set, we conclude (by Theorem 1.1.1) that any countable union of negative sets is a negative set. Define B= inf (B,), Bg varies over all the negative sets. Then there is a sequence (B,} of negative sets such that (B,) — f. The set B “0 B, is then a negative set and, therefore, 4) < n(B,). It follows that B= HB). (1.10.2) Note, by (1.10.1), that p> — ‘We shall show that the set 4 =X — B is positive: this the proof of the theorem If A is not positive, then there is a measurable set Ey c A such that HE») <0. Eo cannot be a negative set, for otherwise BU Eo is a negative set and thus It complete BS WB Eo) = WB) + HE) = B+ MES) <8. ‘Therefore Eo contains a set E, with j(E,) > 0. Let m, be the smallest positive integer for which such a set £, exists with x(E,) 2 1/m,. By Lemma 1.10.2, ME.) < 2. Since ME, ~ Ey) = Ha) ~ HE) $ (E) ~ > <0, we can apply to Ey ~ Ey the argument that has just been apptied to Ey. ‘Thus there is a smallest positive integer mz with the property that Ey — E, SIGNED MEASURES 27 contains a measurable subset E; with (E;)2 I/m,, Continuing this con- struction step by step indefinitely, we obtain at the Ath step an integer m, with the property that m, is the smallest positive integer for which there exists a subset £, of Eo -|U « such that HED= (1.10.3) We fix asa subset of Ey ~ [Ui] for which (1103) hols. it follows that p(E,)-+0 as k -+ 00. Hence ‘ Fim — = 0. It follows that every measurable subset F of Fy = Eo 1 30 ifk+@ mS WAYS that is, «/E) = 0. Thus Fy is a negative set. Since WE) = ws) ~ 3, HE) < HE) <0. we get p(B U Fo) = w(B) + pF) < 1B). Since 4(B U F,)z B {for BL Fo is fa negative set), we get a contradiction to (1.10.2) Set WE) =ME OA), R(ED= ~ EO BD, 0.10.4) Then * and ware measures, and at feast one of them is finite, They are inependent of the particular Hahn decomposition (sez Problem 1.104) known Also, u(E) = °(E) — #”(E). We can now state the following re as the Jordan decomposition of a signed measure. Theorem 1.10.3 Let be a signed measure. Then at least one of the measures * 27, given by (1.10.4), is finite, and wep me (10.5) 10 a difference of is a particular Note that the decomposition of a signed measur two measures is not unique. The Jordan decompo decomposition.28 MEASURE THEORY ‘The measures 1*2~ given by (1.10.4) are called ¢1 n by led the upper and lower ition ofp (especie) The measure al sven DY bee hae called the total eariation of jt. Note that |ni(E) = u*(E) + ”(E) is generatl different {Yom |u(E)| = |p"(E) = w-(E. a“ A signed measure is said to be finite (a-finite) if |! is finite (o-finite), PROBLEMS Lod. 1 x= (A, and pis a signed measure with |n(Ay < eo for all, then 4* and 4” are c-finite, (Hence, by lence, by definition, is o-inite.) 4.10.2. Let z bea signed measure and let (E,} be a monotone sequence of measurable sets [with |}(E,)| < «0 if {E,} is decreasing]. Then {lin £,) = tim 6). 1.10.3. Give an example of a signed measure for whic! decomposition is not unique. For whieh the Hahn LIOA, WX = Ay By, X = A, By are 0 By, X= Ay U By are two Hahn decomposii of a signed measure 1, then for any measurable set E, ponons MEN A)= MED A) — MEO B,) = ME 0 By) 410.5. complex measure is, by defi 0 omplex measure is, by definition, a finite complex-valued set function satistying the properties (i), (Hii), (iv) of Definition 1.2.1, Prove that jx is a complex measure with domain @ if and only if their exist finite ‘measures i, ,245,ég With the same domain @ such that = By Ha + ity — tte. CHAPTER 2 INTEGRATION 2.1. DEFINITION OF MEASURABLE FUNCTIONS By a measure space we mean a triple (X,G,y#) where X is a space, Gis a o-algebra of subsets of X, and x is a measure with domain @. When there is no confusion about @ and jz, we refer to (X.@), of just to X, as the ‘measure space. The sets of @ are called prmeasurable (or just measurable) ets, The Lebesgue measure space (Borel measure space) R* is the triple (X.@,y) where X = R",@ is the class of the Lebesgue (Borel) sets, and y is the Lebesgue measure. The measure space is said to be finite (or totally finite) if w(X) <2, and o-finite if 5. is o-finite. The measure space is complete if pis u complete ‘Let f be a real-valued function defined on # measurable set Xo of @ measure space. We say that f is.a measurable function (on Xq, or in Xo) if the inverse image ofany open set in R? is mcasurable—thatis, for any open set M in Ri the set. f-"(M) = (3 © Xo; f) € M} is a measurable set. When X is the Lebesgue space (Borel space), then we say that fis Lebesgue-measurable (Borel-measurable) 07 Xo need the concept of measurability also for extended real- this case we add the requirement that the sets "(+ 90), Theorem 2.1.1 Let f be an extended real-valued function defined on a measurable set Xi 0, Pea Zo Similaely, the negative part f~ offs defined by sey al EFG)>0. rena, isose Prove that fis measurable if and only iff* and f~ are measurable. 219. Ifismeasurabl, thea |/| and [faze measurable 2110, A monotone function defined on the real line Lebesgue- measurable 21-11. A function f(X), defined in a upper semicontinuous (lover semi tric space X, is said to be lim f(v) < fO932 INTEGRATION Prove that upper (or lower) semicontinuous functions in a metric measure space as in Corollary 2.1.2 are measurable. 21.12. A complex-valued function fis said to be measurable if, for any open set M in the complex plane, ~(M) is a measurable set. Prove that fis measurable if and only if both its real and imaginary parts are measurable (real-valued) functions. 2.2 OPERATIONS ON MEASURABLE FUNCTIONS In this section and in the following ones, X is a fixed measure space. Furthermore, unless the contrary is explicitly stated, all measurable functions. are defined on the whole space and are extended real-valued functions. Lemma 2.2.1 If { and g are measurable functions, then the set E= {x5 f(x) < g(x) is a measurable set. Proof. Let {rg} be a sequence of all the rational numbers. Then. E= (x5 $09) <9) = U [05 £0) rad] Since each set on the right is measurable, F is also measurable. When we consider the sum f+ g of two measurable functions f and g, we always tacitly assume that at_no point x, f(x) = 00, g(x)=—00 oF J(8) =~, g(x) = 00. Similarly, when We consider the product fg, we always assume that at no point x, f(x) = 0, g(x) = £00 or f(x) = 400, g(x) = 0. Theorem 2.2.2 If £ and g are measurable functions, then {+ ¢ and fg ‘are measurable functions. Proof. Using Problem 2.1.5, we easily verify that, for any real number ¢,€~ g(x) is a measurable function. We next have Ew (x5 f(0) + 900) 1 and for each xe X, let int 7 ea S/O) fox) Ata point x where f(x) = 00, f(x) =m. This shows that, for any point XSAN) > SU) aS > oD, PROBLEMS 2.2.1. If gis an extended real-valued Borel-measurable function on the real line and if fis a real-valued measurable function on a measure space X, then the composite function A(x) = g[ f(2)] is a measurable function on X. EGOROFF’S THEOREM 35 22.2, Let altiy.ata) be a continuous function in RF, and let Piy-nMe be measurable functions. Prove that the composite function A(x) = gle.Ge)--9,(0)] is a measurable Function. Note that as a special case we may conclude that MAX (Piya) ANA MIN (Pyy.-Pa) are measurable functions. 2.2.3. Let f(x) be a measurable function and define 1 gee [Tos *F00 40. ot f(y =0. Prove that g is measural 2.2.4. Thenth Baire class @, is a class of functions f defined as follows: ‘fe A, if und only if fis the poinowise limit everywhere of a sequence of functions belonging to @,_;, and By is the class of all continuous functions. Prove that all the functions of @, are measurable. 72.2.5. Show that the characteristic function of the set of rational numbers in R' belongs to a 2.26. Let fbea measurable function, and define (0, if f(x) is rational HO) =|t EZ is ieational Prove that g is measurable. 2.2.7. A measurable fune! sequence of simple functions 2.28. (ff is a bounded measurable function, then f'is the uniform limit of a sequence of simple functions. jintwise limit everywhere of a 23 EGOROFF'S THEOREM A measurable function f is said to be qe. real-valued if the set {5 L/09| = «@) has measure zero, Definition sequence (fy) of ac. real-valued, measurable functions, in a measure space (X,G,4), is Said to converge almost wniforrily to a measur- able function f if for any e> 0 there exists a measurable set £ such that ME) < cand (f,} converges to funiformly on X —£, Note that fis neces-36 INTEGRATION Theorem 2.3.1 If a sequence {f,} of ae. real-valued, measurable functions converges almost uniformly to a measurable function £, then {f,) ‘converges tof ae. itive integer m there is a measurable set Eq such that j(E,) <1/m and {f,} converges uniformly to f on Ex= X — Eq. The sequence {J,) is then convergent to f on the set ro Q ee (G Hence {/,} converges to fac. PX isa finite measure space, then the following converse of Theorem 2.31 is aso trac, and is known as Egordff's theorem Theorem 2.3.2 Let X be a finite measure space. If a sequence {f,) of ae. realvalued, measurable functions converges a.e. to an ae, real-valued, measurable function f, then (E,) concerges to { almost uniformly. Proof. We may assume that f and the f, are real-valued everywhere. For any two positive integers k and m, let Bim 8 {sitet £001 < 7} ES = E, where E is a set Then Ej & Ey, ,. Since {f,) converges a. to. with w(X — B) = 0, By Theorem 1.2.14v), Jim g(X — BS) = w(x ~ B)~0. Hence, for any ¢ > 0 there is an integer nm such that WX ED< 5 ifn em. Let F = (BA, This is « measurable set, and MX Fa “(G, (xe | 5 3 ux-ehy WOI- ON <_ IKE PCE. mem. ‘The proof is thereby completed. CONVERGENCE IN MEASURE 37 PROBLEMS 2.3.1. Let X be the Lebesgue measure space on the real Line and let J, be the characteristic function of (1,20). Show that {f,) is convergent to zero &.,, but not almost uniformly. 232. Let {f,} be a sequence of measurable functions in a finite measure space X. Suppose that for almost every x, {f,(4)) is a bounded set Then for any > 0 there exist a positive number ¢ and a measurable set E with u(X — E) 0, tim wl; [fa — (8) 2 6] = 0. Q41) We then say that {f,} conterges in measure t0 f. It is easily seen that if {f,} converges in measure to two functions, fand g, then f= g ac. Also, if {/,} converges to fin measure, then fis a.c. real-valued. Theorem 24.1 If a sequence {f} of ae. reakvalued, measurable Functions converges almost uniformly 10 4 measurable function £, then {fq} converges in measure 10 f. Proof. For any ¢> 0, 6 >0, there is a set E with j(£) <6 such that {fs) —fa\ 0, HELE: [LC — So2)] = AF] + 0 a8: myn —+ 0.38 INTEGRATION easily seen that if {f,} converges to fin measure, then {/,} is Cauchy in measure, The converse will be proved later We have seen so far that orm convergence implies both convergence ac. and convergence in measure. Furthermore, if ji(X) < then almost uniform convergence is equivalent to convergence a.e. We sha now prove that convergence in measure of a sequence implies almost uniform convergence of some subsequence. In fact, the following theorem gives a somewhat stronger result, Theorem 24.3 If a sequence {f,) of ae. rea-tahed, measurable Junctions is Cauchy in measure, then there is a measurable function { and a subsequence {f,} such that {fy} converges tof almost uniformly. Proof. For any positive integer k there is an integer m, such that ffs t6ce~ fa zall 0 there is a positive number b and a ‘measurable set E, such that [f,(2)| = 6 0n E,, and (Es) <€. [Hint: Prove the assertion first for f.] 24.2. Let X be a finite measure space. Let of ac. real, measurable functions that converge respectively. Let a and f be any real numbers. Then: and {g,} be sequences measure to f and g, (a) {af, + Bo,} converges in measure to af + a (b) {Lf} converges in measure to [f| (©) {fg} converges in measure (0 fo (@)_{fege} converges in measure to fg. (Hint: Consider first the case £=9¢=0) (©) If, #0ae. and if f# 0-a.c,, then {1/f,} converges in measure to Lif. (Hint: Use Problem 2.4.1,] 24.3. Prove the following result (which immediately yields another proof of Corollary 2.4.2): Let f, (n= 1,2...) and f'be a.¢, real-valued measur able functions in a finite measure space. For any ¢ > 0, > 1, let £0) = £55 1409 — £0) = 2). Then {/,} converges ac. to fif and only if tin [eo] =0 formes aay (Hint: Let F = (0; (9) is not convergent tof(x)}. Then F = (Tim E,(4/). Show that 4(F) =0 if and only if 24.2) holds] 244, Let X be the set of all positive integers, @ the class of all subsets of X, and (E) (for any E € @) the number of points in E. Prove that in this measure space, convergence in measure is equivalent to uniform convergence.40. INTEGRATION 245. Define functions/2x) on (0,1) by fx) = Lif.xe [(m — 2) min) and /2(0) = 0 otherwise. Enumerate the /2 and call the sequence thus obtained {g,}. For instance, @, =f, 02 = S303 =fi, Ge = Sh Prove that {;} converges in measure to zero, but lim @4x) does not exist for any x€ [0,l) 246. If {f,} is a sequence of a., reai-valued measurable functions in_X, and if ¢(X) 0. © I tzeae, thenf fdp>fe du. (a) |f| is an integrable simple function, and |r ae]s furie © fit eldes Sitio + Sis du Cee ne stutter Eth) <2 m WE) S if dp < M WE). (© If f20 ae, and if E and F are measurable sets with EF, then f fae fF ae (0) IF 8 ia disjoint ion (JE naf measurable ses, then {fau= Xf Fae is said to be Definition A sequence {f,} of integrable simple fu 4 Cauchy sequence in the mean if Ji Subde 20 asm 2.53)42 inTeGRaTiON Lemma 25.2 if {f,) is a sequence of integrable simple functions that is Cauchy in the mean, then there is an a.e. real-valued, measurable function € such that {f} converges in measure to f. Proof. For any ¢>0, let fam = E82 LC) — fg] > Since f, —f is integrable, Fy has finite measure. From Theorem 2.5.1 we then get [ifs Sal dn > ep It follows that (Ey,) +0 measure. The assert if mm oo, Thy PROBLEMS 25.1. If and g are integrable simple functions, then gis also an integrable simple Furi 2.5.2. An integrable simple function fis equal ac. to zero if and only if fe. dy = 0 for any measurable set E. 25.3. Iffis a nonnegative integrable simple fanction and if [fd = 0, then f= 026 2.6 DEFINITION OF THE INTEGRAL Definition 2.6.1 An extended real-valued, measurable function f, on a measure space (X,G,u) is said to be integrable if there exists a sequence {f)} of integrable simple functions having the following properties fa) {f,} is a Cauchy sequence in the mean, (©) lim Aa) =f) ae. We shall compare this definition with another one whereby (b) is replaced by (b)) UG} converges in measure (0 f Theorem 2.6.1 A function { is integrable according to the first definition vith (a), (b)] if and only [oith (a), (69) Proof. Suppose f is integrable according to the first definition. By Lemma 2.5.2, {4} converges in measure to an ae, real DEFINITION OF THE INTEGRAL 43 function g. Theorems 2.4.3 and 2.3.1 imply that there is « subsequence Usa) of Uf) that converges a.c. to g. Since (b) holds, g = fae. Hence {f,} converges in measure to f—that is, (a) and (b') hold. ‘Suppose conversely that f is integrable according to the definition (a), (b’). That means that there is a sequence {g,) of integrable simple functions ‘such that {94} is Cauchy in the mean and {gq} converges in measure to f By Theorems 2.4.3, 2.3.1 there is a subsequence {9,,} of {gq} that is convergent to f ac. Denote this subsequence by {f,}. Then {/} satisfies (a) and (b). ‘Thus fis integrable according to the first definition [with (a), ()]. From (b') we conclude: If fis integrable, then fis ae. real-valued, Definition 2.6.2 ct fbe an integrable function and let (a), (b) hold. “The integral of f is defined to be the number lim § , du, and is denoted by JAG) datz) oF ffdy. Thos Jf) due = au = tim ff, ds (2.6.1) Note that, |Jeade— [fade] s fis —falee+0 itmn-+e so that the limit on the right-hand side of (2.6.1) indeed exists. Theorem 2.6.2 The definition of the integral, as given by (26.1), is independent of the choice of the sequence {fy} (satisfying (a), (b)]. The proof depends upon two lemmas. Lemma 2.6.3 Let {fy} be a sequence of integrable simple functions satisfying (a), (b), and let HE) tim [fee tion ‘for any measurable set E. Then M(B) is a completely additive set fi Proof. The limit defining A(E) exists uniformly with respect to E. Indeed, this follows from = Ialdus [Ue feldn 26.2)44 wvrecration (a), Note also 1 AEVis ion ; of measurable sets £,. Then bis z For any ¢> nd third terms on the right are tess than c/2 for all 21> ig, Whete ny is sufficiently large, depending on ¢, but not on m. Hence, (E) E an|set Taking m+ o> and using Theorem 2.5.1(h), we get ae) — ae) se Since ¢ is arbitrary, the assertion foltows. Lemma 264 Let ify) and (gy) be to C rences in the mean of integrable simple functions, such that im f,rlimg,=f ae. For any measurable set E, let ME) = tim IF E is o-finite, then ME) = vB) iedp. WE) case where 4(E) < oo. By the proof of {f,} and {g,} converge in measure to f. For Proof. Consider first u Theorem 26.1 we have thal any e>0, Ey = 685 800 = 900] 2} < fas Lid SOMz 5 Ufa tas — F912 Hence y(E,) + Oit'm + a2, Next, fiemadduss fe addne [alder fe lad dn. 2.63) DEFINITION OF THE INTEGRAL 45 ‘The first integral on the right is less than sy(E). The second integral is estimated by f Wildes f Ue tobe f set] Mald iff ng is sufficiently large and n 2 tig. With np fixed, we have [ful Sc ac., Where ¢ is a finite number. Since p(E,)»0'as n> a0, we can choose m Sulfciently large so that J, pal deS EOE) <6 ifm zm. ‘We conclude that Jere. ‘The third integral on the right-hand side of (2.6.3) is estimated in the same way. Combi (2.63), we get Vildus2e ifn 2nz [mz = mex (Mm,)] 12 the estimates for the integrals on the right-hand side of Jar oul dis aE) + 4 Hence AE) - v(B)| < Tim [ fa — Gal dst < en(E) + 40, Since ois arbitrary, 4(E) = WE) provided (6) < «0. Consider now the case where £ is o-finite, Then we can write E as @ countable union (JE, of sets with finite measure. Taking F, = Ey we see that £ is a countable union of the sets F), which P=, -[ } are mutually disjoint and have a finite measure, By what we have already Proved, AUF) =F) for all j. Since 2 and v are completely additive (by Lemma 2.6.3, it follows that (E) = E). We shall now complete the proof of Theorem 2.6.2. We introduce the sets NU) = (25 flx) #0}, NGG.) = (85 g(x) 40), v(m46 INTEGRATION Since each of the sets. NU,). N(gs) has a finite measure, N is o-finite. Lemma 2.6.4 then gives lim f Sue tim f Gd. (2.6.4) But, clearly, fe = XwSas Iu = kw 9p everywhere on X. Hence, Jaen [ted fondu fondu ‘Combining this with (2.6.4), we get This completes the proof of Theorem 2.6.2. Definition 2.6.3 Let f be an integrable function and let E be any ‘measurable set. The integral of f over E is defined by JS dum ref du 2.6.5) Note that 7./ is integrable, so that the expression on the right is well defined. Definition 2.6.4 Lot E be a measurable set and let f'be a measurable function on E. If zpf is integrable, then we say that f'is integrable on E. We define the integral of f over E by (2.6.5). Definition 2.6.5 Mf (X,G,u) is the Lebesgue measure space, then we say that f is Lebesgue-integrable (on E) if and only if fis integrable (on E). “The integral {pf da is then called the Lebesgue integral of f over E. Its often denoted by fef(x) dx Similarly we define the Lehesgue-Stlelies integral over E, when jt Lebesguc-Sticltes measure j, induced by a monotone-incceasing functi Its denoted by the {fae orf fer datny We finally give the following useful definition, m 2.66 If f is a nonnegative measurable function (on a set E) and if f is not integrable (on £), then we say that the integral of f (over E) is equal to infinity, and write [sauce (f fdn~ eo). DEFINITION OF THE INTEGRAL 47 Ie fand g ate integrable functions, then they are a. real-valued. Hence +9 and fog are defined a. In what follows we shall think of f+ g and ‘fog as everywhere defined measurable functions. All we have to do is define f(2) + g(x) Lor f)-a(x)} on the set E= (f(a) ng (~ ay) v LF "(-) 9g (I) for B= LPO) og {o,- a} 0 Lo, 0} 9g 4@)]) such that the resulting function f+ @ (or f-g) is measurable. This can be done, for instance, by setting f + g = 0 (or f:g =0) on E. Theorems concerning con- vergence ac. almost uniformly, and in measure are obviously unaffected by the particular definition of f+ g (or f-g) on E. ), by Problem 2.6.1, the ntegrals { (7 + 9) dj, | (/°9) ds ate independent of the definition of f+ 9, 1g on E. In fact, none of the results given in this book will depend on the ‘particular definition used for f+ 9, f-g on the sets E. PROBLEMS 26.1. If fis integrable and if g is measurable and g =f'ac., then g is integrable and J fds = [9 de 26.2. If fis integrable, then the set N(f) = (x;f(3) # 0} is o-finite. 263. Let f be a measurable function, Prove that f is integrable if + and f~ are integrable, or if and only if|/|is integrable. 264. Let X be the measure space described in Problem 24.4. Then {is integrable if and only ifthe series $° |/(n)] is convergent. If fis integrable, then ff an= Xf. 26.5. A function g on a real interval (a,b) is called a step function if there exist points x, (= I,...) and real numbers ¢, (FL...) Such that = hy SH, oo Kyay 0, 6>0, there exists a continuous function g in [a,b] such that (g(x) - f(a) Oae,, then ff dy >0. © Ufzgae. then jfduz fed. (@)_ IE | és integrable and [fra < fl du (©) [if+sl des § itl du + {isi de. () Ifm0 ona measurable set E, then WE) < oo. Proof. (a) follows from Theorem 2.5.1 by taking limits. To prove (@), let {f,} be a sequence of integrable simple functions that is Cauchy ELEMENTARY PROPERTIES OF INTEGRALS 49 in the mean and that satisfies: lim f, = /'a.e. Then {\f\} is also a Cauchy sequence in the mean, and lim |f,| = fac. Hence {c) follows from (b). The integrability of |f| follows from Problem 2.6.3. The inequality in (4) follows from (c). Next, ()-(g) follow easily from (@. Finally, to prove (h), suppose u(E) = 2. By Problem 26.2, Bis o-nite, Hence there exists a monotone-incteasing sequence of sets Ey having finite measure, such that lim E, = E. By (g), (f), ff duz J Sue mate) 20 as j-+ co—a contradiction, Definition 2.7.1 A sequence {f,) of integrable functions {f,) is said to be a Cauchy sequence in the mean it [l= Sol dur0 asym +o. If there is an integrable function f such that Jif Sidu+0 asnso, then we say that {f,} converges in the mea tof. tis clear that if a sequence {/} is convergent in the mean (to some integrable function f), then it is also Cauchy in the mean. The converse is also true and will be proved in Section 2.8. Theorem 2.7.2 If tf) is @ sequence of integrable functions that con terges in the mean to an integrable function t, then {{} converges in measure tof, Proof. For any ¢ > 0, let Ey = 06 AC) — SO 2 a) By Theorem 2.7.)(h). s(E,) < 20. Applying Theorem 2.7.1(g) and (f), we get = Sidne | ie Fide > eH) Hence j(E,) +0 as + 20. This proves the assertion,50. INTEGRATION Theorem 2.7.3 If { is an ae. nonnegative, integrable function, then Jfdy =0 ifand only iff = 0a Proof. If f=0 as, then, by Problem 26.1, ffde=0. Su conversely that [fd = 0. There ex ence {Jf,} that is Cauchy ‘mean and that is convergent in measure to f. Since f & 0, the same is true of }. Hence du=ffdu=0. It follows that {f,} converges in the mean to zero, Theorem 2.7.2 then implies that {J,} converges in measure to zero. Since this sequence is also convergent c, we get f= 0.8. Theorem 2.7.4 Let { be a measurable function and let E be a set of ‘measure zero. Then { is integrable on B and { fdn=o. Proof. xef— Ose. By Problem?.6.1, zefisinteprable and J ze/dh = 0 Now use Definition 2.64 Theorem 2.7.5 Let { be an integrable fu a measurable ser E. If jy f dt = 0, then WCE) ion that is positive everywhere 0. Proof. Let E,= {xe E;f(x) > lin}. ‘Then {E,} is an increasing sequence of sis an = (JE, has mess ro, Hens HE) =H Since 1(E,) < oe. faux f fdu2 i Wed e0. so that p(E,) = 0 for all ». Hence 2(E) = Theorem 2.765 Let € be an imegrable function. If |_ fd = 0 for every measurable set ¥, then { = 0-40. Proof. By Theorem 2.7.5, the set E where f(x) > 0 has measure zero. Similarly, the set E where f(x) < has measure zero. Hence f= 0.a.e. PROBLEMS 27d be two measure spaces, and jet SEQUENCES OF INTEGRABLE FUNCTIONS $1 (b) A simple function fis ycintegrable (that is, integrable with respect to ja) for i= Land i= 2 if and only if f is y-integrable, and we then have ft dum ff dis + fF das 7) (©) A measurable function f'is acintegrable for i= 1 and i=? if and only if fis wrintegrable, and then (2.7.1) hotds, 2.7.2. if f is an integrable function, g is a simple function, and [fo = Jal), then g is integrable. 273. Let f be an integrable function. Prove: (a) if fefdn = 0 for all measurable sets E, then f'> 0-a.c.; (b) if H(X) < @ and if fpf dy < aE) for all measurable sets E, then f < 1 ae. 2.74, Show that the function f(x) = integrable on the real line. 27.5. Show that the function f(x) = (sin 2} integrable over the interval (1,00) 2.7.6. Show that the function /(x) = I/x is not Lebesgue-integrable in the interval (0,1), 277. Prove that Theorem 2.7.1(f) is valid for any measurable set E, provided m > 0. + c0s.x is not Lebesgue- fx is not Lebesgue- 28 SEQUENCES OF INTEGRABLE FUNCTIONS We begin with a lemma that is concerned with Definition 2.6.1 Lemma 28.1 If is an integrable function and if {f,} i a sequence of integrable simple functions satisfying (a),(b) [or (a),{b')] then tim [if - fl dn =0. Proof. For each fixed positive integer n, the sequence {fz —fal} is Cauchy in the mean, since {lf — fal — Us —fill dS §Ufu~ fide 0 if m,j-+ «0. It also converges a. (or, in measure, if (b’) holds] to 1f, ~. Hence, by Definition 2.6.2, Jil Sedu = bi J fy fal From this the assertion follows. “The following theorem shows that if we try to extend the definition of the integral by star with integrable functions (instead of integrable Simple functions), then we do not get anything nev.52 INTEGRATION there is an integrable simple Function j, ; 1 [fa th dn 0 there exists a number 5 > 0 such that, for any measurable set E with (E) <6, |A(E)| no, where ny is a number depending on ¢, bt not on E. The simple function fog satisfies [fa(2)] se ae., where ¢ is a finite number. Taking Sz ede, we thus find that frase tues This completes the proof. “Theorem 2.84 shows that if f is an iptegrable function, then 4(E) is a finite signed measure. A Hahn decomposition for 7 is given by A= (xflx) 20}, B= (xf) <0}. Applying Corellary 1.2.3 to the measures 2*,2”, we conclude: Corollary 2.8.5 If is integrable and {E,} is a sequence of measurable sets with lim E, = E, w(B) = 0, then lim Jf dx=0 ‘We conclude this section with a few definitions that will be needed in Section 2.14. ‘A function g(x) defined on a real interval (a,8) is said to be absolutely continuous if for any €>0 there is a 6 > 0 such that for any sequence of mutually disjoint intervals (a,b,) in (a,b), with (6, ~ a) <8, Llob)— ga Fy, lim Fy = ©, we ean apply Corollary 2.8.5 and con clude that, for any n > 0, J a Sildu hoy 292) where fy is a large positive integer that depends on 9 but not on mn. For any € > 0, introduce the sets Gym = {5 fal 2) — F420 2 8) We have fa Sdn= fo Mam Aldus fe Na Sadi be an eon < ME) +2, gdp. Since (f,} converges to fin measure, 4{Gy,) 0 if m,n—> 00. Theorem 2.8.4 ‘then gives 2f gdus2| gde ke56 INTEGRATION ‘Taking m,n oo, we get Tim fifa ~ Su iusto + eutE,). Since e is arbitrary, we get +e is arbitrary, we find that {,) is indeed a Cauchy sequence in the mean, ‘We now use Theorem 2.8.3, We conclude that there exists an integrable function A such that lim [ lf, Al du =0. ‘Theorem 27.2 shows that {/;} converges in measure to h limit in measure of {f,}, we get f= a.c. Thus, f is integrable. Final 23911) follows from (295). Suppose next that {/q} converges ac. to f (instead of in measure). If ove that {,} converges to fin measure, then the proof of the theorem. is completed, by the previous part. Denote by N the set of points for which either 1/(3)] > 9(x) 0F [/xG0'> 9(2) for some n. Then, for any «> 0, £,= U bs f@- flee frawegluN, mayo ceo nepal, E;)< (by Problem 2.72) The hypothe at lier ae implies at (6) 0 Hee, by Therm 12:10, lim p(E,) = 0. Since 455 1Al2) — £00) > e) it follows that (/} converges to fin measure. PROBLEMS 294. Let f(xdan if 0s x<1/n, ffx) =0 if L>x2l/a. Then limf(x)=0 ae. on [0,(], but lim ff, d= (x the Lebesgue integra). This example shows that the boundedness condition [f.| < g in Theorem 2.9.1 is essential 2.9.2, Let (X,@,x) be the measure space introduced in Problem 2.4.4 Let 1 [Lo iticesn Salk) = \ lo. itk>m, ‘Then {f,} is a sequence of integrable functions that converges rmiy to f0, but lim jf, dj # §f du, This example again shows that the bounded- ‘ness condition |f,| 00, we get f.dus | f de. (210.3) Kt remains to show that if Ii Sfadu nv Cauchy sequence inthe mean and fg». By Theorem 2.8.2 integrable and (2.10.1) holds. . known as Fatou's lemma, is very useful The next res Theorem 2.105 Let (f,) be a sequence of nomegative integrable functions, and let {x) = Tim 1,00. Then APPLICATIONS OF LERESGUE'S ROUNDED CONVERGENCE THEOREM 59 [fan < tim [f, du. 2.104) 1 im particular, tim § fd < co, then Cis integrable. Proof. WF lim Jf, de =o, then (2.10.4) is obviously true, It thus remains to consider the case where lim [f, di < 00. Let 9,(x) = inf fx) : ‘Then {g,) is a monotone-increasing sequence of nonnegative integrable functions, and g, = fy It follows that lim f fy du < 2. 2.10.5) tin fondu Since lim 9, = f, the Lebesgue monotone convergence theorem implies that fis integrable and Gy d= i fog the inequality (2.10.4). the last equality with (2.10.5), we obtai PROBLEMS 2.0.1, Let fand g be measurable fun grable iff? + g2)!"? is integrable. (b) If f? and g? are is integrable. 2.10.2. Derive the Lebesgue monotone convergence theorem from, Fatou's lemma. 2.10.3. Ina finite measure space, a sequence {/,} of ac. real-valued. measurable functions is convergent in measure to zero if and only (Ll T+ hl 2104. Denote by Z the space of all classes f of ac. real-valued measurable functions f on a finite measure space (X,@), with f = 9 if and only iff =9 ae. (ef. Problem 2.8.1). Define, on Z, (a) and g are iegrable, then {9 dO asn>o. > f= al = oth) = fe ay, alfa) = ett) = fap a Prove that Z is a complete metric space with the metric p. 2103, Let wiX) < 00 ad let flat) ea function of x6 X, 1€ (4b), Assume that for each fixed t, /(a,t)is integrable, and that the partial derivative60 stecRaTiON afx,nyer Fe (ab), FH ists and is uniformly bounded for x €X, 1 (a8). Then, for each integrable, § fl) d(x) is differentiable, and 4 2 FJ fe dicey = [5 $0.9 duce). 210.6. Let f(x) be Lebesgue-measurable on the real line, and let S(x) =O, { (oe) flx) dx < op. Prove that the function aon, eeods O tm [fa = f (1.1) 2.10.10, Extend the result of Problem 210.9 to the case where Mal $f) a. finstead of O-< f) s fla) ae.) 24011. Let X =(JEy Ey.© Eye, for all n. Let f be 2 nonnegative measurable function. Prove tha [a dum tien fF a 210.12. Let fbea nonnegative measurable fun _[f@). iff) Sp, Definition f is said to be Darboux-integrable if lim Sq and lim sq exist as {M| — 0, and if lim, Sn= ims any ‘The common limit is then denoted by f 109 ae is called u integral off from a tob, in the sense of Darboux. Definition Consider the Riemann sums T= SF sokm— 2-1) forany ye brond Lis said to be Riemann-integrable on (a, b) if there exists a number K such that er Kis then called the integral of f from a to b in the known that fis Riemann-integrable if and only if its Darboux- integrable, and then the (wo integrals coincide. From now on we shall refer to the common integral as the Riemann integeal The Lebesgue integral of / over [@,6] will be denoted in this section by [ feoae. toon We shall prove th wing two theorems, Theorem 2.11.1 A bounded function € on the bounded interval [a,b) is Riemann-integrable if and only if itis continuous ae. Theorem 2.11.2 If a bounded function { over a bounded intercal [a,b] is Riemann-integrable, then itis also Lebesgue-integrable and the two integrals agree—that is, [ foac=f soodn (2.11.2) eat ‘THE RIEMANN INTEGRAL 63 Proof of Theorem 2.11.1. Suppose f is Riemann-integrable, For each ve integer k, let B= (esti sun 170) s01> 7} eels ‘The set By where fis not continuous coincides with (J Fy. If is not con- tinuous ac., then ¢*(E,) > 0. Therefore also WE) =2>0 for some k is now fined. Take any partition [sa =p 1 n= FM ma DE TM = mdb Had > GE Hence (2.11.1) is not satisfied, We have thus derived a contradiction to our assumption that J is Riemann-integrable ‘Suppose now that / is continuous a.¢., and let |f(x)| < M fora sx <6. For any ¢ > 0, cover the st By of discontinuities of fby an open set E with 1 < 5, e213) (On the closed set F = [a6] — E, f is continuous and, therefore, uniformly continuous. Hence there exists a 6 > 0 such that Vey =fWl0, Similarly lim sq exists as (IT| -+0, Next take 1], = IT; and choose the y} such that |S, —Sqyl 0 there is a8>0 such that |s|(E) <& for any ‘measurable set E for which Iwl(E) <8. Proof. \f the assertion is false, then there is an 2 > 0 and a sequence {E,} for measurable sets such that |ul(E,) <1/2" and WvI(E,) =e for ail n=l. Let £=TiinE,, Then Wie) s Wiens for any n> 1. Hence |y\(E)=0. On the other hand | Ej) < & (since I LE whe s 0 ana, therefore, by Theorem 1.22, ICE) 2 fim PCED This contradicts the assumption ¥ ¢ From Theorem 2.12.2 und the fact (soe Theorem 2.74) that Jef du = 0 if p(E) = 0, we immediately obtain the following generalization ofthat part of Theorem 2.84 which is concerned with absolute co Corollary 2.12.3 If fis a measurable function, integrable on every ‘measurable set E of finite measure (u is assumed to be a measure), then the set THE RADON-NIKODYM THFOREM 69° “function 0(E) defined by (2.8.1) is absolutely continuous in the sense of Definition 28. We now state the theorem of Radon-Nikodym, Theorem 2.12.4 Let (X.G.q1) be a o-finite measure space with wa measure, and let v be a 6-finite signed measure on @, absolutely continuous with respect to w. Then there exists a real-valued measurable function f on X such that Es [Sau (212.0) sh WWE) < co. If g is another function such KB) <0, then for every measurable set E for that ME) ~ fe gdh for any measurable set E for which $= gate. wth respect 1p. Note that fis not asserted to be integrable, 1n fact, itis clear that fis integrable if and only if (X) < oo. Thus if ¥ < wand |yi(X) < @, then v is the indefinite integral of some y-integrable function f Note also that if fis any measurable function, thea, by Theorem 2.7.4 the set function x(E), defined for all measurable sets E for which fx fe < tisies [(E) = 0 if {ul(E) = 0. Uf, further, fi integrable on any measurable set E with |jl(E) < 00, then (by Corollary 2.12.3) s(E) is absolutely contin~ ‘uous in the sense of Definition 2.8.1. Definition The function f occurring in (2.12.1) is called the Radon- Nikodym derivative of v with respect to yt, and one writes dy 2, f ordy =f dy. (212.2) Proof. We can write X as a countable disjoint union of sets X,, each having a finite -measure [that is, u4X,) < co]. We can also write each set X, as a countable disjoint union of sets ¥;», each having a finite »measure Uthat is, i(¥)) < co]. Write the double sequence {Yq} as @ sequence 4Z,]. Suppose We can prove the existence part of the theorem for each sub- space Z,. Then on each Z, we have a jrintegrable function f, such that WEZ =f fede, Eee. Define f(x) = f(s) if « € Zy. Sis clearly a measurable function. If |{E) <0, then Ef Vide Een 2) =70. INTEGRATION 1 follows (by Problem 2.10.7 with f, = fyznz,) that fis p-integrable on E and (by Theorem 2.8.4) that (2.12.1) holds, As for uniqueness ifg isa function asin the last part of Theorem 2.12.4, then f, @ du = Jy fajefor any measurable subset of each set Z,. Hence, by Theorem 2.7.6, g =f ac. in Z,. Therefore also g = fae. in X, We have thus shown that it suffices to prove the existence part of the theorem in each subspace Z,, where jt and v are both finite. Thus, without loss of generality we may assume that j(X) ffx) for m 2s jcm; xB) if x46, and if f(x) 2 ff) for 3. 0. By absolute continuity of 2 with respect to 1, we also have wo) > 0. Hence p(4,) > 0 for at least one m. Denoting I/m by ¢ and Aq by A, we then have [by the positivity of 4, with respect to A — (I/mn)]: eu AVS MED A= HEN AY |S dat for any measurable set E. Consider the function g = f+ ez. It satisfies adum | SauraEras | Sdureod) SE ~ A) + (Eo A)=E) for any measurable set E. Hence g € 2. However, by (2.12.4), Jadu [IF du+ cua) >a thereby contradicting (2.12.3), We have thus proved that 2 = 0. Let (X,@,u) be a measure space, with 4 a signed measure, and let p= y* —p~ be the Jordan decomposition of u. A measurable function fis said to be integrable (on E) if itis integrable (on E) with respect to the measure lal. The integral off (over E) is then defined by frac frau fran (fran frau =f rar). ears PROBLEMS 2U2L. Prove that if fis integrable with respect to 1 then it is also integrable with respect to * and 4~. [Therefore the integrals in (2.12.5) are well defined.)72 recRaTion 2.12.2, The Radon-Nikodym theorem remains true in case pis a e-finite signed measure. 2.12.3. Mf and jare o-finite signed measures and ¥ < , then the set {3 (@v/du(x) = 0} has measure zero. 2.124. Let ¥ and ys be o-fnite signed measures and let v «jz. For any Y-integrable function @, the function o(dv/dy) is urintegrable and Joar=Jo Mau 2.26 (Hint; Consider first the case where jx and v are measures and 9 is a simple function.) 2125. Let iq be a-finite measures and let v be a o-fii measure, Assume that v < y, 4-2. Then dy dvdg die du da signed ‘ae. with respect to 2. 2.126. Let p be a o-finite measure and let y4,¥, be o-finite signed ‘measures such that y, 0 ac. with respect to v, we must have (E - B) = O—that is, ¥4(E) = 0.74 INTEGRATION To prove uniqueness, suppose v = iq +, is another decomposition of » with fp Ly, i: on F or f <0 on F. It is enough to consider the first ease. ul(a.b) ~ F] 0, Since f>0 on G, we get (by Theorem 27.5) Jo F(x) dx > 0,a contradiction. Lemma 2.14.3 If t(x) is bounded and Lebesgue-integrable on (a,b), then the assertion of Theorem 2.14.1 is valid. Proof. Write a= sod—f sma. (2.14.2) Each of the indefinite integrals is a monotone-increasing function. But it is Known (the proof, which is rather involved, is omitted) that monotone functions are differentiable a.e. Hence g/(x) exists ae. Let [f(2)! b and g(x) = ola) if x 0 ae., for otherwise we can treat each of Since gx) is monotone, g(x) exisls ae Then f(x) — fo) = 0. It We may suppose ¢ indefinite integrals { (fay Sng de fe (which exists a.c.) is 20. This gives a fo dee & J ode By Lemma 2.14.3, the expression on the right is equal to f(x) ae. Hence THE LEBESGUE INTEGRAL. ON THE REAL LINE 77 98) > f(x) a. 11 follows that g(x) = f(x) a. Therefore, Using Lemma 2.14.4, we get the reverse inequality. Consequently. [ o' - Sonl ax =o. Since, however, (x) > fl) a. we get 92) = fla) 2 Recall (see Problem 2.8.2) that the indefinite integral is an absolutely continuous function. The converse is also true, namely, if g{x) is an absolutely continuous function in (a,b) then there exists a Lebesgue-integrable function f(x) such that ax) = gla) + [ feat. We shall briefly indicate the proof. From Problems 2.8.3 and 2.8.4 we know that g(x) can be written as a difference of two monotone-increasing, continuous functions, say g(x) = g(x) ~ 93(). Lemma 2.14.4 shows that 94(8) and g(x) are integrable. Hence g(x) is integrable, Consider the function oo = 09 f at @ is absolutely continuous and g(x) = 0 a.e. But it can be shown (we omit the proof, which is rather involved) that such a function is necessarily a constant PROBLEMS 2.4.1. To every function f, monotone-increasing and continuous (aj), there corresponds a Lebesgue-Stielties measure, which we denote by ,- Every function fof bounded variation and continuous from the right can be written in the form f= f, ~ fs, where fy and f, are monotone-inereasing and continuous from the right. We write i= ts, big,. Prove that the function f(x) is ebsolutely continuous if and only if the signed measure j1y is absolutely continuous with respect to the Lebesgue measure (Which we shall denote by) ie 214.2. Let f(x) be absol invous on (a,b). Prove that dhty{dye, =f'(%) a.8., and that for any sty integrable function 9, from the right {pdf =f of dx or) 5 Here we use the notation: df= dit.78 INTEGRATION 2.143. Lat f(x) be Lebesgue-integrable on (a,b) and let g(x) be absolutely continuous on (4,5). Then the following integration-by-parts formula holds: f° fo dx ~ F(b)9(6) — Fada(a) - |” Fa! where F(x) is any indefinite integral of f(x). 2144. Wf f(x) and g(x) are absolutely continuous functions on (2), then [fda g df = f(b)a(b) — fladg(a). (This is actually true if f and g are just assumed to be continuous and of bounded variation.) 2.14.5, A function f(x) is called singular if f'(x) =0 ae. Show that every function g of bounded variation in (a,b) can be written as a sum 9 = 0: +92. where g, is absolutely continuous and 9, is singular. Show also that this decomposition is unique, except for an additive constant, 2146. Let 9.91.2 de as in Problem 2.14.5. Show that in the de- composition 4, = 1), + ys Hy, is absolutely continuous with respect to bs and 4,, is singular relative t0 sy 2147. If f(x) is a continuous function in (a/b) and if f"(x) exists everywhere in (a,6) and is bounded, then [3 f(s) dt = f(x) - f(a) for any acx tly > A(R). To prove the A is a ass ¥', of all sets E for which E — F, in Mo, Note that E¢.'y if and only if F ety ince, for any monotone sequence {E,) in 'p, ring, we introduce for each set F th F-E, and Eu F are lim £, - F =1 (E,- Fle My, E,=lim(F— Ee Mo, Fut in E,) =lim(F UB) eM. JE Fe &, then Ee 2 implies Ee wy. Hence ® c ¥',. Therefore Mo © Xp. This implies that if Ee Mo, Fe #, then Fe X's. Thus A’, > @. From the PRODUCT OF MEASURES 81 lows that 2, 2 flo, Since t s true for all Ee Moy definition of A it My isa ring. Il @ is a class of scts and A is any set, we denote the class of all sets Eo A, where Be %, by 27 A. Lemma 2.15.6 Let % be any class of sets and A any subset of X. Then ¥¢ )O d= HEA) Proof. Since AB) 0 A is a e-ting containing 2 7 A, it contains also AG r A). To prove the converse, denote by a the class of all form Bu(C—A), where Be Wn A) and COMP (En AU (E~A) for any Ee, we see that Dex. Sin verified, 2 is a a-ring, we find that (2) © Hence 12) 9 Ac 2 0 A Noting, however, that 6) A = AZ 0 Awe gel HZ) VA CABO AY and (Y,#.v) be orfinite measure spaces and by fx) = v(E,) for all nd g are measurable functions, and Theorem 2.15.7 Let (X,G.4 [sdu= [oa sa) Proof. Note that, by Lemma 2.15.1, fand g are well defined. We shal break up the proof into several steps. by @ the class of all the sets Ein @ x @ for which the of the theorem ig true. It is clear that if @ contains a sequence of disjoint sets, then 7 cont @ contains all the rectangles F = Ax B of @x # wil measure, Indeed, in this case f= (Bix4.g = Aye. Ht that fand g are measurable and fF du = wane) = faa (©) Lot Fy = Ay % By de 4 rectangle of Ax # with (Ay) <0, Wp) < 00, Lat {E,} be a monotone sequence of sets in @ x such that E, © Ep if n> 1, We claim that if fe forall a I, then also £ = lim Ey is'in 2. Since @ x is a a-algebra, E belongs to @ x. The sequence of X-sections £,, of E, (for cach fixed x) clearly converges monotonically to the corresponding X-section E, of E. Similarly, (£5) converges to ”. Denote by fraud g, the fanctions f and g corresponding to E,. Then (f,} and {ge} Con Verge monotonically to/andg, respectively, and O AL o B). By Lemma 2.15.6, the latter class coincides with (20) « E—that th (Gx A) OE. Thus, 93 9,>(@ x BNE. (©) Let F be any set of @ x. By Lemma 2.15.3, F is countable disjoint union UE, of rectangles E, of @ x & having sides of ined in a finite measure, By (d), each set Fo E, is in @. Hence. by (a), the disjoint union {J (F 4 E,) is also in @—that is, F € 9. This completes the proof. Theorem 215.8 Let (X,@,n) and (¥,2,v) be oefinite measure spaces. Then the set function ). defined for every set E in @ x & by ™ HE) = [ ME.) das) = j (2) av(») (2.45.4) is @ o-fnite measure on Gx B, having the property that, for any rectangle Ax BofQxe propery el or any esc AEA x B) = WA) (B), (2.15.5) This last property determines > yniguely: Definition The measure 2 is called the product of the measures pt and v, and we write i= x ». The measure space (Xx ¥, @ xB, 4X ¥) is called the Cartesian product of the measure spaces (X,@,s) and (Y,2,). Proof. Since WE, ACE) is either a nor real number or +00. The complete additiv of 4 follows from the complete additivity of v and from the Lebesgue mono- tone convergence theorem (compare Problem 2.10.7). Since X x Y ean be covered by a countable class of rectangles of @ x whose sides have finite measure, 2 is c-finite. 1t thus remains to prove uniqueness a PRODUCT OF MEASURES 83 Suppose 1 is another measure satisfying (2.15.5). By Lemma 2.153, wwe can write Xx Yas a countable disjoint union of rectangles E, of x a with sides having finite measure. Denote by %, the class of all sets in (@ x #) o£, on which 4 and 4 agree. Denote by %, the class of all finite disjoint unions of rectangles of @ x contained in Eq, Clearly Xq <%q and 2, is a monotone class (by Theorem 1.2.1 (ii)). Since, by Lemma 2.15.2, X» is a ing, Lemma 2.15.5 implies that 2, contains the class XE, where X is the class of all the rectangles of @ x 2. It follows (using Lemma 2.15.6) that 2, = (@ x &) m E,, Writing any set Fin @ x # inthe form F =|(J(F 0 E,)andusing the last result, it follows that (F)= 1(F). Thus 4= 4. ‘The rectangles of @ x # are also called measurable rectangles. The reason for this name is that if a rectangle A x B is a set in @ x @, then (by Lemma 2.15.1), 4€@, Be. PROBLEMS 215.0. Prove that By X Be = By ok . 2U5.J. A Borelset Ein R'is called a G, set iit has the form E = (Ay From Problems 1.9.7, 19.8 we have chat every bounded Lebesgue set F in R" has the form F = £ — N, where E is a Gy set and y(N) =O. Verify (2.15.1) for m= 0, for otherwise we write h = h* — and consider each of the functions h*,h- separately. The integrability of f and g follows from (2.16.3) and the fact that [di < co. Since f and g are then finite-valued a.e., it follows that almost all sections of # aré integrable, We give another version, perhaps the m« one, of Fubini's theorem. Theorem 2.16.4 If h is a measurable function on X x Y and if either {fh du dv < oo or [f hl dv du < 20, then h is integrable on X x Y and the ‘assertions of Theorem 2.16.3 are valid, Proof. By Theorem 2.16.2, applied to {hl it follows that fA] du, J JAl dv are measurable functions, so that the integrals, Idee, fia Fupmv'’s THEOREM. 87 are indeed defined. Furthermore, fit diy v= [fie duds = ff Hence f Aj d(u x ») <0, We conclude that {f| is integrable on X x ¥. It follows that his also integrable. Now apply Theorem 2.16.3. Theorem 2.162 for ha characteristic fonction of a measurable set E, or Theorem 2.15.8, gives i dy. HE) = | XE) dix) = | n(E?) dv05) (2.16.5) Corollary 2.16.5 A measurable set E of X x ¥ has measure zero if and only if almest every X-section (or almost every Y-section) of E has measure Indeed, if E,) =0 ae, then 26) =0 by (2.165). Conversely, if AXE) =0, then f ME.) dx) = 0 and »(E,) = O ace. imply that ¥E,) = 0 a6 The Cartesian product of n measure spaces (X ,@y) can be defined by induction, It obeys the associate law. The product Ha wy Ko y= TT is uniquely determined by the requirement that for any mrectangle Ay Ro Ay Of Gy x0 G, Ay xm x AD = FL wad. ‘The Lebesgue measure space of R" coincides with the completion of the pro- duct of m measure spaces, each being the Lebesgue measure space of Rt Fubin’s theorem also extends to the case of a product of measure spaces, PROBLEMS 26.1. If E and F are measurable sets of X x ¥ such that (E,) = WEF) for almost all xe X, then 4E) = 2(F)(2 = 1x »). 216.2. Let f(x) and g()) be integrable functions on X and ¥, re- spectively. Then the function h(x,)) = f(3)9() is integrable on X x ¥, and frau v= fF du [adr 2.16.3. Show that [fraael (rad itfo= So oe yy88 inTEGRATION 2164. IE fl, (we RY ye RY), ther is a nonnegative Bore-measurable function in R'** (x,y) dx, [ f(x,y) dy are Borel-measurable and Psapp dx dy = fay [ foxy) dx = fax | sony dy, Here dx dy is the product of the Lebesgue measures dx and dy. 2.16.5. Let E be a planar domain bounded by two continuous curves Y=), Y= Oya) for asx, where ax) 2. [Hint: Proceed by induction, and assume that the assertion is true for n — 1. Write A= By B, do, where the By are elementary matrices and Ag is the unit matrix. Use Problem 2.16.1 and the inductive assumption to prove that ALB{E)] = det B,|A(E) for any interval £; hence, by Problem 1.9.11, also for any Lebesgue set £.] 216.9. Let @ be a bounded open set in RY. Let Te= Ax +k bea linear map of R" into itself with det 4 # 0. Denote by Q the image of 2 under the map 7. Prove: If f(y) is Lebesgue-integrable for ye’, then S(T») is Lebesgue-integrable as a function of x in, and J, Lo) dv = | $7%) Net Al ae [int Use Problem 1.9.11.) 2.16.10. Let G be a bounded open set in R® and RY. Let f(x,y) be a function of (x,y) € 2 x G, and ass Let g(») be a Lebesgue-integrable function in G. Prove that the funetion Way = J, Soma) dy FUBIN'S THEOREM 89 has continuous derivatives of all orders in ©, and Drh(x) = f DEFCsu)-a0) 4s. Here D7 denotes any partial derivative of order m. Note that the assertion for m= 1, = Lis similar to the assertion in Problem 2.10.5. 26.11. Let © be a bounded open set in R", Let f(x) and g(x) be functions having continuous derivatives in x €Q, of all orders < mi. Assume further that (x) =0 outside a compact subset of Q. Prove that for any partial derivative Dy of ordet m1 f SeaDza(s) dv = (—D" | DEFI-ate) dx 1, DL = @1Ax,. Replace @ by an interval containing it Hint: Suppese ae X =R', ¥ = R*' and Problem 2.14.3.] and use Fubini’s theoremCHAPTER 3 METRIC SPACES 3.1. TOPOLOGICAL AND METRIC SPACES, Let X be a set, We call X also a space and we call its elements also Let © be a class of subsets of X having the following properties: @ and X belong to *. The intersection of any finite number of s The union of any class of sets of 2 is in oF. ‘We then say that 2 defines a topology on X, and we call the pair (X,4°) a topological space and the sets of 2 open sets. For brevity, we often denote the topological space by X. A set Bis called a closed set if its complement X — Bis.an open set. of # isin x, A topological space is called a Hausdorff topological space if it satisfies disjoint open sets A and B such ‘Note that (&)_ Sets consis 8 of single points are closed. A Hausdorff topological space is called normal fit satistes the following property }) For any pair of disjoint closed sots E and F there exist disjoint open sets A and B such that B= A and Fe B, [Note that (v) and (vi) together imply (iv). TOPOLOGICAL AND METRIC SPACES 91 Let X be a topological space. A neighborhood of a set B (point x) is any open set 4 containing B(x), It is easily verified that the intersection of any class of closed sets is a 5 closed set. Given a set A, containing 4. It ing 4, The closure we define the closure coincides with the intersection of. of 4 is denoted by A. of 4 that easily verified that A. Furthermore, x€ A if and only if every neighborhood of x inters If Ais closed and Bis open, then A — Bis cl (© ~ 4) Bis open, Let ¥ be a subs since X — (A = B)= ith the aid ogy of on X we can yws: a subset B in oy (thal of such that B= Do ¥. We c by (XP) (or, ‘An open cocering forms a covering of X. A subset Yof X is a compact space inthe induced topology. This is the case if and only -vety open covering of ¥ by sets of X contains a finite subclass that forms a covering of ¥, In a topological space one defines concepts such as convergence, ion 17 the concept of a open set. It is seen that the class of open sets defines a topology. Moreover, metri spaces are normal, Indeed, c < dots, Bm 12: 62,7) < Joley)). To A= (5 POE) < ax, B= (x: put) < pl, where, by defi ACD) = ink pls ex.) =92 METRIC SPACES {tis easily seen that 4 and Bare open seis, and, obviously (see Problem 1.7.6), ECAFCBANB=Q, A subset Y of a metric space X is called bounded if sup plx.y) < 2c. [Note that a set is hounded if and only if itis contained in some bal If Yis a subset of a metric space X, then we can make Y into a metric space (called a metric subspace of X) by taking its metric to be the restriction of the metric p of X to ¥. We calt this metric the one induced by the met of X. A subset ¥ of a metric space X is sequence {14} in ¥ has a subsequence Yh is, PCa!) +0 as mc. A subset Y of X is called dense if Y =X. ¥ is called nowhere dense if ¥ has no interior points, A space X is called separable iit co We finally recall that a metric space is called complete if any Cauchy € {x4} (that is, ph %gatq) > 0 as mn 00 is convergent We shall derive later on various rclations between some of the concepts defined above, In particular, it will be shown that a set Y is compact if and only if itis sequentially compact. f every sequi Example 1. R’, the n-dimensional Euctidean space, is a metric space with moa =fS Gar), BLD, Ris 1. The Heine-Bor theorem asserts that subsets of R® are compact sets. R" co is also separable, since the points x = (x,,....%,) With rational components x, (I 0, we get lat bi. {OL I++ oi~ + a Example 6. Let —co 0). G24) To prove it, consider the function A(t) = fp + 17g. It (strictly) decreases from to I in the interval (0,1], and it (strictly) increases from 1 to a9 in the interval [1,c0), and A(1) = I. Hence wore tty po @ for all> 0. Suppose a>0, 6>0. Taking ¢ and multiplying the resulting inequality by ab, (3.24) follows for a> 0, b> 0. The general case a2 0, b = 0 follows immediately by continuity We may assume that [ftp #0, igty #0, for otherwise the assertion of the theorem is trivially rue. We then take UO, lal 6 in (3.2.4). We get oe 4 tiseor 4 25) Since each of the two terms on the rightis in 24(X,4), the same is true of | Further, by integrating both sides of (3.2.5) we obtain (3.2.3) We shall use Hélder’s inequality to derive Mirkowski's inequality Theorem 3.2.2 Let 1S psc. If f and g belong to SAXH), then also £ + g belongs 10 2*X,y), and IS + ally < AFI + 62.6), L? spaces 97 Proof. ‘The assertions for p= \ and for p= co are rather obvious, We shall therefore assume that 1 < p < 0. From vg (ZU. if FG 2 Ol, I+ HS LarigiyP, iflaG1= LFODh it follows that {f+ gl? 5 21/)? + Mal”. Hence f+ 9 belongs 19 24K). ‘Nex, using Holders inequality, we can From this (3.2.6) imme ‘We say that fis equivalent to g if f= g a.c. For any measurable function f, we denote by f the class of al yns equivalent to f. ‘Note that it fand g beione to 2A(X.y), then g @ Fit and only if | — gl, =0. We denote by 1°(X,u) the space of all classes f of functions f of £°(X,30) and define oP.a) = eLfa) = Uf ~ ally G27 Theorem 3.23 If 1S p< co, then L"Xu) is a complete metric space. If pffig) =O, then = 9. Also, p{F.9) = pldj). Finally, the ws from Minkowski's inequality. Thus, }(X.x) . We shall prove complete- left to the reader, Let {fu} is a metric space {wil ness in case 1

0, GLa) S OS Im) + PU Snarfa) S& if m & my > P(e). Fixing my > ile), we get elisa) < & if 2 > my. This shows that pJ,f} +0 as n> 00, The completeness part of Theorem 3.2.3 is sometimes called the Riesz-Fischer theorem, Notation For simplicity we shall refer from now on to the elements of (Xu) as Fanetions f(insizad of classes). Equality between functions f and g of L(X,n) then means that f= g ac. If the functions are all extended real- valued (complex-valued), then we speak of the real space 1*(X) {the complex space I°X,3)) _ , Definition The real (complex) 1* is the space of sequences ¢ = (Gre$ay-eug--) With real (complex) components, suck that Wig (E tear)" fo in LX) 3.3 COMPLETION OF METRIC SPACES; H™? SPACES Let (Xp) and (8,2) be two metic spaces. A map o hom X into 2 is called isometric if flox.oy) = pix.s) for all x,y in X. We call ¢ also an imbedding of (X,p) into (X,p), If @is onto. then we say that «isan isomorphic imap and the two metric spaces are said to be isomorphic to each other.100 metRIC spaces The following theorem shows that any m in a complete metric space such thai space can be imbedded age is dense. Theorem 3.3.1 Let (X,p) be a metric space, Then, there exists a metric space (,p) with the following properties. (i) Bb) is complete. (ii) There is an imbedding o from X into &. ii) 0X) is dense in X ¥f RD) te another metric space with these thee properties, then I 1s isomorphic 10 (R,8). We call (&,A) the completion of the metric space (X,p). Proof. We divide the proof into several steps. (a) Two Cauchy sequences {x,} and {y,} in X will be called equivalent if p(x,.)4) +0 as m+ ce. This relation is reflexive, symmetric, and teansitive, ‘We can therefore form classes © of Cauchy sequences, each class containing only mutually equivalent Cauchy sequences, such that sequences of different classes are not equivalent to each other. We take the space X to consist of these classes ¥, and we define 2,3) = Lim ply) 31) where (x) €%, (J € 5. Since ax, wwe have (ty) inequality but S Pl nr%m) + Pend + Pandas Aint) S PLaakn) + (PUY) Writing also th mand m interchanged, we see that lent) — PR medal S PX) + ol It follows that the limit in (3.3.1) exi (0) We shall show that the definition of f is unambiguous—that is, if Aq} €X. {Fa} © F, they, Fim p(x.) = lim pC 3). 32) Since MEI S LED + Eid + Pata we get COMPLETION OF METRIC SPACES; H™” SPACES 101 (©) pis ametric. Indeed, clearly p27) 20. Next, if ME,7)=0. then there are Cauchy sequences {x,}in and {y,}in fsuch thatlion pl yy¥x) = (0, But this implies that ¥= J. The symmetry of p is obvious. Thus it remains to prove the triangle inequality. Let {x} €X, {4} € Jy {29} € 2. Then CRE) = Firm 4) < Lim py ob) + Ltn AU a) = EP) + V2 (@)_ Denote by 3 the class containing the eonstant Cauchy sequence {ox opts}, Where xe X, Then Gt 3") = o(x.y). Hence the map 0: x ¥ is an isometry of X into &. (c) We shall prove that (2,8) is a complete space. Take a Cauchy sequence {¥,) inX. In each class 3,, choose a Cauchy sequence {x5,1.%,20-- }. Then, for each positive integer m there is a positive integer ky such that Pte rton,) $2 ifm hye Consider the sequence (5a pykaage anges 033 We claim that this is a Cauchy sequence in X. Indeed, if 8, is the class of the constant sequence of 4, then 1 PRE) = Tim Py, p% ne.) S (3.3.4) Hence, Al, tn) = PR oF) < MBM) + Gia) + PRS) pe \ $ Bika tT It follows that plty2ec%msn)—*0 if mn 0, {f) Denote by ¥ the class containing the Cauchy sequence of (3.3.3) Then ‘ PER) S PERI) + DEE) S PRR) + by (3.3.4), Since also, for any ¢ > 0. BRL) = Him pCtsay aad <6102 wrrRic sracts, ‘ently large, we conclude that im fR,%,) = 0. ‘Thus the given Cauchy sequence {%,} converges to & Those sequence {8,} converges to &. This proves that (X,f) (2) We next show that o(X) is dense in &. Let 8. Take (x,} €% Then cach class 3, conteining the constant seque We O(X), and AGRE) lim ploy xq) +0 if 2» 20, a t bey c. finally, that (2,4) is another meu jer metric space satisfying ling imbedding from x ry peta | bea sequence in X such that é(x,) +4. Since is an iso: 4) is a Cauchy sequence. Denote by # a class containing it. We the a correspond Sud ch oy then, by Problem 3. Thus » is am isometry. y is a i y. 7 is also an isomorphy. Indeed, every £€X cou- tains a Cauchy sequence {x,). The sequence {2} ‘ ; he sequence {@x,) is a Cauchy sequenc in &. It we denote by its lit in Bs then clearly 38) = 8. This completes the proof of the theorem. “then cleanly 3) = 3. This comlees Theorem 3.3.1 shows that metric spaces can be completed. However elements of the completed space are more complicated entities than those iia sae any states when his competion ees fo te Problem urises of giving a simple characteriz : clement ofthe completed space. Wesall he une inportant eagle in RY. We denote by C*(A) the set of jous in © together with all ther fist m doriva- scl consisting of the functions that have a compact support (that is, that vanish outside a compact subset of ) is denoted by C3O). The corresponding spaces of tafinitly diferemiable functions are denoted by CUM) and C$(0) We also write C() = C%M) and C4) = CAO). We write D? = DP~ Di", where D, = é/éx, and let . [ira as} ’ (isp 0 sufficiently small. Use Problems 2.16.9, 2.16.10] 33.2, We denote by 1G) (I< p <0) the space LX), where (4) fs the Lebesgue measure space corresponding to an open set 0 in R° Let ue 240), and define aanoo=e* | oor We call Jge a mollifier of w. Prove that @ Javisin CR. Gi) Iu vanishes outside a subset A of ©, then J,u vanishes outside fan eneighborhood of A {that is, outside the set (x3 p(x,4) <6}. (iit) If Kis a closed subset of © with p(K,R" ~ 9) 2 5 > 0, then cayenne fo S*won dy Pema for any xe K, provided e <6. 3.33, Ifwe INO) and K, are as in Problem 3.3.2, then ttle ru S Hl rior 4. (Hint: Use Holder's Here we have used the notation: [hls »co) = inequality.) 3.34. Ifwe 1Q) and K,e are as in Problem 3.3.2, then er ere ee Hint: Prove it frst for continuows functions. Then approximate u by con tinuous functions, using Problem 3.2.3.)104 METRIC SPACES 3.3.5. C§(Q) is dense in (2). 3.36, Let fe INO). If fq fo dx =0 for all 9 C(O), then f= 0 ae Hint: Prove thai Ja fte dx = 0, E any compact subset of 2] Denote by C™(0) the subset of C(O) consisting of those functions for which ul,» < co. Then C%0) is a metric space with the me Put) = ||w ~ Clay 3.3.8) Note that the triangle inequality follows from Problem 3.2.8. Let {ug} be a Cauchy sequence in C™(Q) with respect to the metric 8.3.8)-that is, i ° " Zafira Palas 10 asmi cw, 33.9) By Theorem 3.2.3 there exist functions u* (0 < |x| < m) in I%(9) such that Ef iO attex +0 asm eo. 3.3.10) Any two equivatent Cauchy sequences give the same u* [as elements of 17(0)]. Thus, each class of equivalent Cauchy sequences gives a unique vector (14; 0 < [al < m} with components in £0) Lemma 3.3.2 For any @¢C°(Q), Jwede= (4 Juve dx G31) Proof. Integration by parts gives [Prag 9 de = (0 fag dro ds Now take m+ 00 Corollary 3.3.3 If u =0, then u* =0 for all 0 < {al 0, and F,=@. (Hint: Let {y;} be any bounded sequence with no points of i r - COMPACT METRIC SPATS 107 accumulation (compare Problem 3.1.7). Write it as a double sequence (qq) and take F, = (qj 1S m< wo, xand [f(x )I < ¢. 3.5 COMPACT METRIC SPACES A subset ¥ of a subset Z of a space X is called dense in Z if ¥ > Z. 1fZhas.a countable subset that is dense (in Z) then we say that Z is separable. Theorem 3.5.1 A sequentially compact subset of a metric space is a closed set. subset of a metric space X. Proof. Let K be a sequentially compact subset ; We hav to show that if if any sauce in that conver 0.2 Pook in -X, then y € K. By assumption, {x,} has a subsequence (x,,} that con- see nt rin Ke Since, clearly, j= x weconelude that y@ verges to a point x in K. § Theorem 35.2 A sequentially compact subset of a metric space is bounced Proof, \f-a sequentially compact subset K of a metric space X is not bounded, then it contains a sequence {x,} such that p(x,,2)—r 99 as A+ 00, where zis any given fixed point, But then, for any point y and for any sub~ sequence {Xq} of (4), pqs}) + 00 as kr 26. Thus {x4} does not have a ‘convergent subsequence, Theorem 3.5.3 A sequentially compact subset of a metric space is separable, ric space X. Take any Proof. Let K be a compact subset of a metric space point xp and let dy = sup p(xo,x). By Theorem 3.5.2, do < 00. Now choose108 Metric sPaces x in K such that p(x, in K such that 4) dy/2. Proceeding by induction, we choose x4 n,then no subsequence of {x,} is a squence, This, however, contradicts the ussumption that K is ly compact. Hence d,-+0 as +00. But this implies that {x} is dense in K—that is, A is separable. Theorem 3.5.4 A subset of a metric space is compact if and only if it is sequentially compact. Proof. Suppose K is # compact subset of a metsic space X. If it is not sequentially compact, then there exists a sequence {x,} in K having no points of accumuk ‘K. This sequence contains an infinite subsequence of ‘mutually distinct elements. Denote this subsequ Jn is not a limit point of the sequence {y,}, and isa ball B(q.fq) SUch (hat BC ytq) 0 K does not contain any of the points yy 2 {BUY mirn) Ky the set K— {y,},form nite subclass of these open sets can cover the assumption that K is compact. show first subclass of open ing. Suppose that for Suppose converse that any countable open (in X) covering of K has @ sets that cover XK, Let {E,} be the oper sets of the cov does not cover K. Then there exists a sequence {x4} in K such E, isa closed set containing all the points x, with » 2 7, ¥ belongs to this set. But then y-€(X — (J £,)-—that #0) Ey Thus y #K, which is impossi ____Now take any coveri ss (E,} of op 3.5.3. thereisa dense sequence {1',) in K. The sequence of be X, By Theorem 1 a}. where mn = 12. GBs.) ‘then has the ‘of the bal 3016. K 9 BUines!/n') Inde yg such that pq.x) < Now denote by Bt, varies in G0 K. ‘COMPACT METRIC SPACES 109 Let ,,Bp,... be the sequence of all the balls B(y1/n') that occur in the above way when G varies over the sets E,. Each B, is contained in some set E,,. The sets {E,, form an open covering on K. We can now apply the result of the last paragraph. Coinbining Theorems 3.5.1-3.54, we get Corollary 38.5 A compact subset of a metric space is closed, bounded, ‘and separable. Definition A subset K of a metric space X is called totally bounded if for any ¢>O there is a finite number of bails B(x,e), with x;¢X, that cover K. These balls are said to form an e-cocering. Theorem 3.5.6 Let X be a complete metric space. A closed subset K is compact if and only if it is totally bounded. Proof. Suppose K is compact, For any 6>0, the class of ball {B(x,2); x € K} forms an open covering'of K, Hence there is a finite subclass, say (Blxe); i= L,...m}, that covers K. Thus K is totally bounded. Conversely, let K be closed and totally bounded, We shall prove that K is sequentially compact. Let {»,} be a sequence of points in K. Take a finite I-covering of K: {B(%,1),~.B(ql)}. At Teast one of the balls B(x!) contains an infinite subsequence {7} of {¥q}- Next, take & }-covering of K by a finite number of balls, and extract a subsequence {4.2} from (¥.} that is completely contained in one of the balls of radius $. Proceeding in this ‘way step by step, we extract in the mth step a subsequence {Ym} Of {ma ich is contained in a ball of radius In. The diagonal sequence {)n,9) then a Cauchy sequence. Since X is complete, Hi ymm exists in X. This limit also belongs to K, since Kis closed. Thus K is sequentially compact. PROBLEMS 3.5.1. A subset ¥ of a metric space X is separable if there exists a sequence of points in X whose closure contains ¥. 3.5.2. A subset K of a metric space X is totally bounded if for any > O there is a finite covering of K by open balls with centers in X. 3.5.3. Let ¥,Z, Ube subsets of a metric space X. If Yis dense in Zand Zis dense in U, then Yis dense in U. 3.54. A subset F of a compact metric space is compact if and only if itis closed. 3.5.5, A subset Yof a metric space is totally bounded if and only if its closure ¥ is totally bounded.110 METRIC SPACES 3.56. The interse space is a compact set. 3.5.7, A subset of a separable metric space is a separable space. 3.5.8. Show that a metric space is compact if and only if it has the following property: for every collection of closed subsets {F,}, if any finite subcollection has a nonempty lection has a nonempty interse 3.5.9. Prove that a closed set K of points x= (x,.¥20..) in 7? Sp <2) is compact if ()) ¥ xP < C for all xe K, where C is a con n of any number of compact subsets of a metric stant, and (ii) for any ©>0 there is an ny such that ¥° |xyP'< e for al _ ea 4.540. ‘The Cartesian product of a countable number of comy 3.6 CONTINUOUS FUNCTIONS ON METRIC SPACES A function f (reul- or complex-valued) defined on a subset Y of a etic space is said to be continvous at a point sp of Yif for any 6 > 0 there is a 6 > 0 such that |/(x) — f(y) < efor all xe ¥ 7 Blyd). If fis comtine tuous at each point of ¥, then we say that fis continuous on Y. This definitios is equivalent to the one given in 2.1. A function f is said to be uniformly continyous on Yif for uay > 0 there is a 5 > 0 such that [/(y) — FI < € whenever y and x belong to Yund p(x) < 4. Theorem 3.6.1 If is a continuous function on a compact subset Y of a metric space X, then fis uniformly continuous on Y. Proof. if the assertion is false {va} (4) im ¥ such that here is an ¢ > 0 and sequences 10) = fol 2 e G6.) Ua.) +0, There exist subsequences {y,,) and fx.) that converge to Points » and x, respectively, belonging to ¥. Since JS # Parka) FAA) 40 aK +0, we have p(y,x) = 0—that 8, y= x. Hence (CONTINUOUS FUNCTIONS ON METRIC SPACES | 16m) — F001 S$ FO) — £091 +O) — LE I1-+ 0 as k + &, which contradicts (3. Theorem 3.6.2 A real-valued continuous function on a compact subset Y¥ ofa metric space X is bounded and has both maximum and minimum, Proof. Let M-=sup f. Then there exists a sequence {y,} in ¥ such that /(),) + M. Let {ya} be a convergent subsequence of {y,}, and denote its limit by y. Then /(y,,) -+/(2) as 2-00. This shows that M < 00 and that {(9) = M. Thus f has a maximum on ¥. The proof that fhas a (finite) mini- ‘mur is similar. The following result is usually called the Tietze extension theorem. Theorem 3.6.3 Let { be a hounded, real-valued, continuous function on. a closed set Y of a metric space X, Then there is a continuous function F defined on X with F(o) = f(x) for xe Y, and 3.62) fF mint f, sup F = sup f Proof, Suppose first that > 0. Consider the function MD = sup f For each x6 X, M,(r) is bounded at easing, in r. Hence it js integrable on finite intervals, We define F by F(x) = f(a) ifxe Yeand Fax) = Mn) dr 3.63) 1 a) pbx). Note that (x) > 0 if. xg ¥, since Yis closed. if x ¢ ¥. where 32) inuous at any point y'€ ¥. Since, for x ¢ ¥, We first prove that F is co! nh fsh(xys max f, where d = p(x), 2>0,1F) — FOI On the other hand, where is sufficiently and since 35+ Qas x+y (EY) it < cif xg Yand d(x) < do, where d JF) — FO)! = FG) - $0) 0, we have Fox) FG) _ a pke 1 pw = Fan MO 4-55), » Minder 1 ode pm 18 Finan Mae Dee 1 80-38 au 55! » MAodre Doan MC) dr _t nae serhh, Meas pane 1 2K my BREA ay MOPS yeas MOMS Fe where M=sup/ A similar inequality holds with x and z interchanged Hence F(x) + Fle) as plx.z)-+0. 11 is now easy to complete the proof of the theorem. Let ¢ = inf and consider the function f=f—c. Then O 0 there exists a 6>0 such that LQ) -LO)) <2 if play) <8, for all x.y in Z and for all, We can now state the following result known as the lemma of Ascoli- Arzela. aa CONTINUOUS FUNCTIONS ON METRIC SPACES 113 Theorem 3.64 Let be a family of functions, uniformly bounded and equicontinuous on a compact metric space X. Then any sequence {f,} of functions of H has a subsequence that és uniformly convergent in X to a continuous function. Proof, Let {xq} be a dense sequence in X. Since the sequence {f0%1)} is bounded, there is a subsequence {/,,(,)} that is convergent. Next, the sequence (J,.(%)} is bounded. Hence it has a subsequence {f,a(%,)} that is convergent. We proceed in this way step by step. In the kth step, we extract fa convergent subsequence {f,4(%)} of the bounded sequence {fa1-1(%)} Consider now te diagonal sequence {J} of the double sequence { aand write 4, = Jaye Then {40%} i8 convergent for every k, since, except the frst k terms, it isa subsequence of (/, (4%) We shall prove that {g,} is uniformly convergent in X. Since the family (44) is equicontinuous, for any ¢ > 0 there is a 5 > 0 such that lg) — 9.9 <6 whenever p(x,y) <6, for alt x,y in X and | nz A, where R= max (a4s..n#t4). Thus {gq} is uniformly convergent. Denote by f(x) the uniform limit of {g,(x)}. Then, for any &> 0, LAG) = | SFC ~ BAI + Lal) ~ HII + 196) FO} << 2e + baglx) — GAl9) is su large. We now fix. The uniform continuity of g, shen implies that 19,00 - a4) <6 if ply) <4. Hence [f@) — sO) <3e if p(x,y) < 6. Thus, f(x) is continuous, and the proof of the theorem is complete.14 Metric spaces For any compact metric space X, we denote by C(X) the space of all functions /(x) that are continuous on X. We introduce in this space the uniform metric CS.G) = max | f(x) — 9(%). (3.6.5) C(X) is then a metric space. It is easily seen that C(X) is also complete, Definition A subset K of a metric space is called relatively compact (or conditionally compact) if its closure K is compact. ‘We can now state criterion for relative compactness of subsets of C(X). Theorem 3.6.5 Let X bea compact metric space. A family X of functions eof CCX) is relatively compact in C(X) if and only if is both uniformly boua and equicontinuous, Yantents orniy bounded Proof. The lemma of Asci bounded and ¢ a subsequence that From this i-Arzela shows that if 2 is uniformly ‘ontinuous, then any sequence of functions {/,} in 2” has Gonverges in the metre of C(x) to an element of C(X), easily follows that the closure of 2 is sequentially compact and, hence, compact, Thus is relatively compact, uppose conversely that 2” is relatively compact. By Theorem 3.5.2, 21 isa bounded set in C(X), But this is equivalent to 2” being a uniformly bounded family of functions. To prove that the family 2” is equicontinuous, take an e-covering of by a finite number of balls whose centers ate func. tions fiyofe Then, for any fe 20 there is an f,, with 1 O such that * ym VO-HOI 0. Take fy >0 such that |\J,,u— ullzre <6)2 for all we Z. It suffices (0 find a finite (6/2)-covering of W = {J,, 4; we Z). Show that Wis uniformly bounded and equicontinuous and use Theorems 3.5.4, 3.5.6, and 3.6.4.] 36.6. Let Z be a set of functions u in LQ), 1 < p<, where 2 is a bounded open set in R*, and extend each u into R"—O by 0. Prove that if Z is relatively compact, then the conditions (}) and (ji) of Problem 3.6.5 are satisfied. 3.6.7. In every infinite metric space thee is an infinite sequence such of accumulation of the sequence is @ point of the sequence. act metric space X is such that bounded closed s ‘of CCX) are compact, then X consists of a finite number of points. (Hint Use Problem 3.6.7 and the Tietze extension theorem. 3.6.9. If F is a Lebesgue-measurable bounded set then for any > 0 there exists a closed set Gc F such that 4G) > WCF) ~ &, (Hint: Use Problem 1.98]116 METRIC SPACES 36.10, Prove Lusin’s theorem: let f(x) be an sue. real-valued Lebesgue. measurable function on a Lebesgue-measurable and bounded set Ee R° en, for uny 6 > 0, there is a continuous funetion (x) in RY such that HX /00) # OCD} 0 there exists a ial (A) such that §R| — pO)| < efor -1S i < 1 ‘THE STONE-WEIERSTRASS THEOREM 117 Proof. One can easily check that the function (te? +1)" has a uniformly convergent Taylor series (about ¢ =4) for 0 = 1 < 1. Hence there is polynomial q(#) such that Ide +91? — a) Now, if -l<4s 1, Al —g(22) < [Al — Ge? +8] + de? + PY? - gi <8. ‘Thus, the assertion follows with p(A) = (42). Proof of Theorem 3.7.1. We first prove that if fe@, then [le @. Suppose first that max |f| <1. Let p(2) =, py}! be the polynomial oc- curring in Lemma 37.2, and let pif)=Sp,f% Then pfje@ and fesit~pL fs) e efor all x¢X. This shows that [belongs to @—that is, t0@. Mf max [/] > L.thenyufe @, where = Umax if). Hence alsol/ie @. ‘The function min (f,9) defined by {min (fa) ]G8) = min [7,960] can be written in the form min (9) = 4+ 9) ~ Hal Hence, if f and g belong to @, then also min (fg) belongs to @. Similarly, the function max (f,g) defined by {max (fa)kx} = max (fs), 960)) belongs to @, since it can be written inthe form 4(f +0) + 41 — ‘We shall now approximate any function f of C(X) by functions in @. Let xyeX with xy. By assumption, there is a function he @ with ‘He # Hs). But then one can find real numbers 2,u such that the funct fg Ih wh satisfies: fils) =f), ff0) = J). Note that J, € @. Tet ¢’be any postive number. Then there i ball B, with center y such that f(2) < fle) + ¢ for all z €B,, Since X is compact, we can cover it by a finite narnber of such balls; call them B,y.Byqs Let Fe Min (Soy) By that which was proved above, f,¢@. Note that f,(x)=/(x) and faz) < fa) + @ for all ze X. There is a ball D, with center x such that f,(z) > /(2) — ¢ for all z¢ D,- Since X is compact, we can cover it by a finite number of such balls; call them D,yvomsDay. The Function 9 = MAX FayerSud)118 METRIC spaces belongs to @, and it satisfies o(2) > flz) — efor all z¢ X. it also satisties 9) Lim When m= 1,2,.... Let @ = (gq, where I< < 20,1 0 there is a 5 > O such that for all xe Xo with p(x.y) <9, the inequality aE fl) fo] < ¢ holds. IF/ continuous at each pointy of Xo then we say that fis continuous an Xq, and if, furthermore, 8 can be taken to be independent of j, then we say that fis uniformly continuous on Xo The following result is very useful [A FIXED-POINT THEOREM AND APPLICATIONS 119 Theorem 3.8.1 Let X and Y be metric spaces and let Y be complete. If fis @ uniformly continuous function from a dense subset Xp of X into Y, then { has a unique continuous extension j from X into Y. This extension is uniformly continuous on X. Proof. For any xe(X —X,), take a sequence {x,} © Xo such that lim x, = x. Define f(x) = lim f(s). It is easly seen that the limit exists and the choice of the sequence. The uniform continuity of fe ity of f Finally it is clear that there can be no other continuous extension of f ‘A map T from a subset X, of a metric space (X,p) into X is called a contraction (on X,) if there is a number 0,0 <9 <1, such that ATH.TY) S OPL%,9) G8.1) for all x,y in Xo. Here, and in what follows, we often write Tx instead of Tx), Theorem 3.8.2 Let T be a map of a complete metric space X into itself. If Tis a contraction, then there exists a unique point 2 such that Tz = 2, int of T. Theorem 3.8.2 A point z for which Tz = z is called a fixed J is fixed-point theorem. Fixed-point theorems are very importai nalysis. They are used to prove the existence of solutions of differential equations, integral equations, and so on. We shall give some such applications later on. Proof. Fix a point xo in X and define inductively x,., = T(x) for m= O41,2,.04 Then Pas 1289) = Ty Xa 1) S OPC %mXe—3) SFP ha) SS OKO) Hence PUpepXe) S PUXapr%ne pt) + + PSqe 1%) SPE + OMX) S KON, where K = p(x,.X9)/(1 — 6). We conclude that {x,} is a Cauchy sequence. Since X is complete, there is a point z€ X such that p(xqz)>0 as n> 2. ‘We claim that Tz = s—that is, a(z,T2) = 0. Indeed, AZT 2) S ple) + PCT 2) = PCzKe) + (TH 1,72) SA2%,) + Opn) +0 ifn +o. It remains to show that 2 is the unique fixed point of T. Suppose then that y is also a fixed point of T. Then Pa) = plT9.Te) S Op) Since 0 # 1, we conclude that p(y,2) = 0—thatis, y =z.120. METRIC spaces ‘We restate Theorem 3.8.2 in a form that is often more convenient: Theorem 3.8.3 Let Y be a closed subset of a complete metric space X. IFT is a map from Y into itself, and if T is a contraction (on Y), then there exists @ unique point 2 in ¥ such that Tz = 2. In applying this theorem one has to v ‘maps Yiato itself, and (ii) Tis a contraction on ¥. Let f(x,y) be a real-valued function defined on an open set 2 of the Euclidean plane R*. We say that f(x,y) is uniformly Lipschitz continuous with respect to y in Qi there isa constant K such that two facts about +i) T May) —f.y2)| < Kis — yal (3.8.2) forall (x,y) and (x,y3) in @. Consider the ordinary differential equation ay Fafa) 683) with the initial condition 0) = Yor G84) ‘where (9,70) is a fixed point in . Denote by f, the interval xy — 5 0. (a ere exist numbers 2... such that (4.1.1) holds, then we say that .% are linearly dependent, We can then express any one of inearly independent elements X is not infinite-dimensional, is easily seen that there is a po properties (2) there is a set of elements that are linearly indep (b)_ if m > n, then any m clements are linearly dependent, We call the dimension of X. Any set ¢,,...¢, 0f linearly indepen elements is said to form a basis. The elements x of X can be representa a unique way in the form xe hey bt Ante The numbers Ayy..-dq are called the coordinates of x with respect to the basis LINEAR NORMED SPACES 125 The vector sum A + Bof twosets A and Bistheset {a +6;a¢€ 4, be B}. We also define 24 = (dx; x€ A}. Definition 4.13 normed linear space is a Ninear vector space X on which there is defined a function x -+ |x|, called a norm, having the following, properties . (a 6, and [x] = 0 if and only {b) [ax] = lil Fx © bxtyisixl+ yl =0; Definition 4.1.4 A metric linear space is a linear vector space X that is tric space, with metric 9, having the following additional property Xa t Hada AX + HY. also a TH Ay by Hg ¥ Hy Xp, Ya > Ye ther The last property is equivalent to the statement that the maps (s, x+y and (1.x) + Ax are continuous maps from the metric spaces X x X and ¥ xX, respectively, into X. Definition 4.1.5 A Fréchet space is a metric linear space X having the additional properties: @ plxy) = als — 20; (B) X is complete Given a normed linear space we introduce on it a func plxa) =I (6.12) ‘We then have Theorem 4.1.1 A normed linear space is metric linear space [with the metric p defined by (4.1.2)) Proof. Wis easily seen that p satisfies the metric conditions. T remains to show that if Ay —> 2, tH ‘y+, then jo (ay ed sequences, and making use of , one can easily verify (4.1.3). ‘A metric linear space with metric p is said to be a if there exists a I] such that p(x,p) = [kx — of course, A, + gh) — GX + 1 med linear space is the case, then, xy) = ale — 3.0), 1.4) plixdy) = lalo(xy). 1.9)126 ELEMENTS OF FUNCTIONAL ANALYSIS IN BANACH SPACES (4.1.4), (4.1.5), then xl] = px incar space. The metric space corr the originally given metric linear space. ince (by Theorem 4.1.1) a normed linear space is also a metric space, s also a metric space, ory of Chupter 3 applies to it. We recall that x, x if lx, — xl] +0: a Cauchy sequence if jx, —x_l +0 as nmr cn; if every Cauchy nce is convergent, then X is called complete, Ne x, 7x, then Ix}, and if {x4} is a Cauchy sequence, then is’a Caue pale 4 i Cauchy @ norm and the ronding to it by Definition 4.1.6 real (complex) normed linear space that is compl is called u real (complex) Banach space. ed [Note that Banach spuces are Fréchet space Theorem 3.3.1 implies that every normed linear space X can be com- pleted as a metric space. But actually the completed space & can be made into a linear vector space by defining Rep=% Wma fx) € and fy.) € {xq} and iis the ol space with the norm given by hen ? is the class containing the sequence ing the sequence {ix,}. X is a normed iia) es. ‘Thus, for every normed linear space X there isa Banach space & such that X is isomorphic to a dense subset o(X} of X: the map o from X into X preserves the algebraic operations of addition and of multiplication by scalars. Definition 4.1.7, Let (x,} be a sequence in a normed linear space ¥ snvergent and its sum is s. We then write series Fx, 8 absolutely convergent Theorem 45.2 Let X be a Banach space and tet {x4} © X. If the series 3s vabsoluely convergent, then its also convergent. ? x LINEAR NORMED SPACES 127 Proof Since << Rforall xe A. Defaition 4.1.8 Two norms || andj llz ona linear veet X are said to be equivalent if there exist positive numbers « and such that WxeX. if given by = [fra ” itisp

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