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    Uniform Integrability - Pages From Royden-Fitzpatrick 92-95

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    trussell
    This document discusses uniform integrability and the Vitali convergence theorem. It begins by defining uniform integrability and providing an example. It then states and proves propositions about uniform integrability of finite collections of functions and uniformly integrable sequences where the functions converge pointwise almost everywhere. The Vitali convergence theorem is presented, stating that if a sequence of functions is uniformly integrable and converges pointwise almost everywhere, then the limit function is integrable and the integral converges. The theorem is proved. The document concludes by stating and proving a theorem characterizing when the integral of a sequence converges to zero in terms of uniform integrability.

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    Uniform Integrability - Pages From Royden-Fitzpatrick 92-95

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    trussell
    78 views4 pages
    This document discusses uniform integrability and the Vitali convergence theorem. It begins by defining uniform integrability and providing an example. It then states and proves propositions about uniform integrability of finite collections of functions and uniformly integrable sequences where the functions converge pointwise almost everywhere. The Vitali convergence theorem is presented, stating that if a sequence of functions is uniformly integrable and converges pointwise almost everywhere, then the limit function is integrable and the integral converges. The theorem is proved. The document concludes by stating and proving a theorem characterizing when the integral of a sequence converges to zero in terms of uniform integrability.

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    Uniform integrability - Pages from royden-fitzpatrick 92-95

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    This document discusses uniform integrability and the Vitali convergence theorem. It begins by defining uniform integrability and providing an example. It then states and proves propositions about uniform integrability of finite collections of functions and uniformly integrable sequences where the functions converge pointwise almost everywhere. The Vitali convergence theorem is presented, stating that if a sequence of functions is uniformly integrable and converges pointwise almost everywhere, then the limit function is integrable and the integral converges. The theorem is proved. The document concludes by stating and proving a theorem characterizing when the integral of a sequence converges to zero in terms of uniform integrability.

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    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    78 views4 pages

    Uniform Integrability - Pages From Royden-Fitzpatrick 92-95

    Uploaded by

    trussell
    This document discusses uniform integrability and the Vitali convergence theorem. It begins by defining uniform integrability and providing an example. It then states and proves propositions about uniform integrability of finite collections of functions and uniformly integrable sequences where the functions converge pointwise almost everywhere. The Vitali convergence theorem is presented, stating that if a sequence of functions is uniformly integrable and converges pointwise almost everywhere, then the limit function is integrable and the integral converges. The theorem is proved. The document concludes by stating and proving a theorem characterizing when the integral of a sequence converges to zero in terms of uniform integrability.

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    92 Chapter 4 Lebesgue Integration

    4.6 UNIFORM INTEGRABILITY: THE VrrALI CONVERGENCE THEOREM


    We conclude this first chapter on Lebesgue integration by establishing, for functions that are
    integrable over a set of finite measure, a criterion for justifying passage of the limit under
    the integral sign which is suggested by the following lemma and proposition.

    Lemma 22 Let E be a set offinite measure and I) > O. Then E is the disjoint union of a finite
    collection of sets, each of which has measure less than I).

    Proof By the continUity of measure,

    lim m(E"'[-n,n])=m(IiJ)=O.
    n~OO

    Choose a natural number no for which m(E"'[-no, no]) < I). By choosing a fine enough
    partition of [-no, no], express En [-no, no] as the disjoint union of a finite collection of sets,
    each of which has measure less than I). 0
    Proposition 23 Let f be a measurable function on E. If f is integrable over E, then for each
    f > 0, there is a I) > 0 for which

    if A r; E is measurable and m(A) < I), then i IfI < f. (26)

    Conversely, in the case m( E) < 00, iffor each f > 0, there is a I) > 0 for which (26) holds, then
    / is integrable over E.

    Proof The theorem follows by establishing it separately for the positive and negative parts
    of f. We therefore suppose f 2: 0 on E. First assume f is integrable over E. Let f > O.
    By the definition of the integral of a nonnegative integrable function, there is a measurable
    bounded function ff of finite support for which

    o~ ff ~ f on E and 0 ~ l -l f ff < f/2.

    Since f - ff 2: 0 on E, if A r; E is measurable, then, by the linearity and additivity over


    domains of the integral,

    But ff is bounded. Choose M > 0 for which 0 ~ ff < M on Eo. Therefore, if A r; E is


    measurable, then
    i f < i ff +f/2 ~ M ·m(A)+f/2.
    Define I) = f/2M. Then (26) holds for this choice of I). Conversely, suppose m(E) < 00 and
    for each f > 0, there is a I) > 0 for which (26) holds. Let 80 > 0 respond to the f = 1 challenge.
    Since m( E) < 00, according to the preceding lemma, we may express E as the disjoint union
    Section 4.6 Uniform Integrability: The Vitali Convergence Theorem 93

    of a finite collection of measurable subsets {Ek}f=l' each of which has measure less than 8.
    Therefore
    f ( I<N.
    k=l JEk
    By the additivity over domains of integration it follows that if h is a nonnegative measurable
    IE
    function of finite support and 0 ::: h ::: Ion E, then h < N. Therefore I is integrable. 0

    Definition A family :F of measurable functions on E is said to be unifonnly integnIbIe


    over9 E provided for each € > 0, there is a 8 > 0 such that for each I E :F,

    if A k E is measurable and m{A) < 8, then L III < €. (27)

    Example Let g be a nonnegative integrable function over E. Define

    :F = {t I I is measurable on E and III::: g on E}.


    Then:F is uniformly integrable. This follows from Proposition 23, with I replaced by g, and
    the observation that for any measurable subset A of E, by the monotonicity of integration,
    if I belongs to :F, then

    Proposition 24 Let Uk}k=l be a finite collection offunctions, each of which is integrable over
    E. Then (!k}k=l is uniformly integrable.

    Proof Let € > O. For 1 ::: k ::: n, by Proposition 23, there is a 8k > 0 for which

    if A k E is measurable and m{A) < 8k, then L Ilkl < €. (28)

    Define 8 = min {81, ... , 8n }. This 8 responds to the € challenge regarding the criterion for the
    collection {!k}k=l to be uniformly integrable. 0

    Proposition 25 Assume E has finite measure. Let the sequence offunctions Un} be uniformly
    integrable over E. If Un} -+ I pointwise a.e. on E, then I is integrable over E.

    Proof Let 80 > 0 respond to the € = 1 challenge in the uniform integrability criteria for the
    sequence Un}. Since m{E) < 00, by Lemma 22, we may express E as the disjoint union of a
    finite collection of measurable subsets (Ek}f=l such that m{ Ek) < 80 for 1 ::: k ::: N. For any
    n, by the monotonicity and additivity over domains property of the integral,

    { Ilnl
    JE
    = f lllnl <
    k=l Ek
    N.

    9What is here called "uniformly integrable" is sometimes called "equiintegrable."


    94 Chapter 4 lebesgue Integration

    We infer from Fatou's Lemma that

    L III ~ liminf L Ifni ~ N.


    Thus III is integrable over E. o
    The Vitali Convergence Theorem Let E be of finite measure. Suppose the sequence of
    functions Un} is uniformly integrable over E.

    II Un} ~ I pointwise a.e. on E, then I is integrable over E and lim f In = f I.


    n-+ 00 lE lE
    Proof Propositions 25 tells us that I is integrable over E and hence, by Proposition 15, is
    finite a.e. on E. Therefore, using Proposition 15 once more, by possibly excising from E a set
    of measure zero, we suppose the convergence is pointwise on all of E and I is real-valued.
    We infer from the integral comparison test and the linearity, monotonicity, and additivity
    over domains property of integration that, for any measurable subset A of E and any natural
    number n,

    ~ Llln - II
    (29)
    = f lin - II + f lin - II
    lE-A lA
    ~ f lin - II + f Ifni + fill.
    lE-A lA lA
    Let f > O. By the uniform integrability of Un}, there is a 8 > 0 such that fA lin I < f/3 for any
    measurable subset of E for which m(A} < 8. Therefore, by Fatou's Lemma, we also have
    fA III ~ f/3 for any measurable subset of A for which m(A} < 8. Since I is real-valued and
    E has finite measure, Egoroff's Theorem tells us that there is a measurable subset Eo of E
    for which m( Eo} < 8 and Un} ~ I uniformly on E ~ Eo. Choose a natural number N such
    that lin - II < f/[3· m( E)] on E ~ Eo for all n ~ N. Take A = Eo in the integral inequality
    (29). If n ~ N, then

    f In - f II ~ f lin - II + f Ifni + f Ifni


    IlE lE lE-Eo lEo lEo
    < f/[3· m(E)]. m(E~ Eo) + f/3 + f/3 ~ f.
    This completes the proof. o
    Section 4.6 Uniform Integrability: The Vitali Convergence Theorem 95

    The following theorem shows that the concept of uniform integrability is an essential
    ingredient in the justification, for a sequence {h n } of nonnegative functions on a set of finite
    measure that converges pointwise to h a 0, of passage of the limit under the integral sign.

    Theorem 26, Let E be offinite measure. Suppose {h n } is a sequence of nonnegative integrable


    functions that converges pointwise a.e. on E to h a O. Then

    lim
    Jf hn = 0 if and only if {h n } is uniformly integrable over E.
    n-+ 00 E

    Proof If {h n } is uniformly integrable, then, by the Vitali Convergence Theorem, limn -+ 00


    IE =
    hn O. Conversely, suppose limn -+ 00 hn IE =
    O. Let E > O. We may choose a natural
    IE
    number N for which hn < E if n ~ N. Therefore, since each hn ~ 0 on E,

    if A k E is measurable and n ~ N, then i hn < E. (30)

    According to Propositions 23 and 24, the finite collection {hn}:::l


    is uniformly integrable
    over E. Let 8 respond to the E challenge regarding the criterion for the uniform integrability
    of {hn}:,:-l.
    We infer from (30) that 8 also responds to the E challenge regarding the criterion
    for the uniform integrability of (hn}:'l. 0

    PROBLEMS
    40. Let I be integrable over R. Show that the function F defined by

    F(x) = Eoo IforallxeR


    is properly defined and continuous. Is it necessarily lipschitz?
    41. Show that Proposition 25 is false if E = R.
    42. Show that Theorem 26 is false without the assumption that the hn's are nonnegative.
    43. Let the sequences of functions {h n} and (gn} be uniformly integrable over E. Show that for
    any a and {3, the sequence of linear combinations (aln + {3gn} also is uniformly integrable
    over E.
    44. Let I be integrable over R and E > O. Establish the following three approximation properties.
    (i) There is a simple function 71 on R which has finite support and IR II -711 < E (Hint: First
    verify this if I is nonnegative.]
    (ii) Jbere is a step function s on R which vanishes outside a closed, bounded interval and
    IR II - sl < E. (Hint: Apply part (i) and Problem 18 of Chapter 3.)
    (iii) There is a continuous function g on R which vanishes outside a bounded set and
    IRI/-gi <E.
    45. Let I be integrable 'over E. Define J to be the extension of I to all of R obtained by setting
    JaO outside of E. Show thatJis integrable over R and I = IE IRJ. Use this and part (i) and
    (iii) of the preceding problem to show that for E > 0, there is a simple function 71 on E and a
    IE IE
    continuous function g on E for which 1/-711 < f3nd II - gl < E.

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