MI Lecture Notes

Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 Anders Munk-Nielsen
MI notes
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Indhold
1 First lecture ............................................................................................................................................... 7
1.1 Properties of pavings ............................................................................................................................ 7
1.2 Comment on original example .............................................................................................................. 8
1.3 Sigma algebras ...................................................................................................................................... 8
1.3.1 Examples of σ-algebras ................................................................................................................ 9
1.4 Practical information............................................................................................................................. 9
1.5 Appendix B: countability (tællelighed)................................................................................................. 9
1.5.1 Counting ....................................................................................................................................... 9
1.5.2 Lemma ........................................................................................................................................ 10
1.5.3 Subsets ........................................................................................................................................ 10
1.5.4 Product sets of countable are countable ..................................................................................... 10
1.5.5 Lemma ℚ is countable................................................................................................................ 11
1.5.6 0-1 sequences are not countable (Cantor’s diagonal argument) ................................................. 11
1.5.7 Uncountablly many subsets of ℕ ................................................................................................ 11
1.5.8 ℝ is uncountable ......................................................................................................................... 12
1.5.9 Theorem: Countable set operations ............................................................................................ 12
2 Goal today: measures .............................................................................................................................. 12
1
2.1 Sigma algebras .................................................................................................................................... 13
2.1.1 Exercise ...................................................................................................................................... 13
2.2 Intersections of pavings ...................................................................................................................... 14
2.2.1 Lemma: intersections of σ-algebras is a σ-algebra. .................................................................... 14
2.2.2 Theorem: generated σ-algebra .................................................................................................... 15
2.2.3 Important problem ...................................................................................................................... 16
2.3 Part 2 of the lecture ............................................................................................................................. 16
2.4 Pavings on the real line ℝ ................................................................................................................... 16
2.5 The Borel σ-algebra on ℝ ................................................................................................................... 16
2.5.1 Exercise: generating from other sets....................................................................................... 17
2.5.2 A hierarchy of pavings on ℝ ...................................................................................................... 17
2.6 Open sets in ℝ^k ................................................................................................................................. 18
2.7 Measures ............................................................................................................................................. 18
2.8 Properties of the measure .................................................................................................................... 19
2.8.1 Finite additivity .......................................................................................................................... 19
2.8.2 Monotonicity .............................................................................................................................. 19
2.8.3 Upward continuity ...................................................................................................................... 19
2.8.4 Boole’s inequality (helpful) ........................................................................................................ 20
2.8.5 Difference ................................................................................................................................... 21
2.8.6 Downward continuity ................................................................................................................. 21
2.9 Examples of measures ........................................................................................................................ 21
2.10 Lebesgue measure........................................................................................................................... 22
2.10.1 Properties .................................................................................................................................... 22
2.10.2 Cantor set – uncountable set with measure 0.............................................................................. 23
2.11 Lebesgue measure on ℝ^k .............................................................................................................. 23
2.12 Properties of Lebesgue on ℝ^k....................................................................................................... 23
3 Recap ...................................................................................................................................................... 24
4 Today ...................................................................................................................................................... 25
4.1 New definitions ................................................................................................................................... 25
4.1.1 Unions of nullsets ....................................................................................................................... 25
4.2 More definitions.................................................................................................................................. 25
2
4.3 The uniqueness problem ..................................................................................................................... 26
4.4 The extension problem........................................................................................................................ 26
4.4.1 Dynik class ................................................................................................................................. 27
4.4.2 Dynkin’s π-λ lemma ................................................................................................................... 28
4.4.3 The uniqueness theorem for probability measures ..................................................................... 28
4.4.4 Uniqueness theorem for finite measures. ................................................................................... 30
4.4.5 Uniqueness theorem for σ-finite measures. ................................................................................ 30
4.4.6 Uniqueness of the Lebesgue measure ......................................................................................... 31
5 Goal today: construct integral ................................................................................................................. 31
5.1 Recap from last time ........................................................................................................................... 31
5.2 Function class ℳ ................................................................................................................................ 32
5.3 Liminf and limsup ............................................................................................................................... 33
5.3.1 Liminf and limsup ...................................................................................................................... 33
5.3.2 Computation rules ...................................................................................................................... 34
5.3.3 If the normal limit exists............................................................................................................. 34
5.4 ℳ is stable for limits .......................................................................................................................... 34
5.5 Sequence of ℳ functions with a limiting function ............................................................................. 36
5.6 The function class ℳ+ ....................................................................................................................... 36
5.6.1 Arithmetics ................................................................................................................................. 36
5.6.2 Function class ℳ+ ..................................................................................................................... 36
5.6.3 Simple functions ......................................................................................................................... 37
5.7 Approximation .................................................................................................................................... 37
6 CH 5 + 6.................................................................................................................................................. 38
6.1 Pre-integral ......................................................................................................................................... 38
6.1.1 Lemma 6.3 .................................................................................................................................. 39
6.2 Linearity and additivity of the pre-integral ......................................................................................... 39
6.3 Important: Lemma 6.5 (overrides previous) ....................................................................................... 40
6.3.1 Monotonicity .............................................................................................................................. 40
6.3.2 An approximation result ............................................................................................................. 40
6.4 Lebesgue integral ................................................................................................................................ 41
6.4.1 Pre-integral is an integral............................................................................................................ 41
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6.5 Recap from earlier today..................................................................................................................... 42
6.6 Lemma: monotonicity ......................................................................................................................... 42
6.6.1 Example ...................................................................................................................................... 43
6.7 Lebesgue’s monotone convergence theorem ...................................................................................... 43
6.7.1 Linearity of the Lebesgue integral .............................................................................................. 45
6.7.2 Additivity of the Lebesgue integral ............................................................................................ 46
6.7.3 Combo of infinite doom ............................................................................................................. 46
6.7.4 Can the integral be 0? ................................................................................................................. 46
6.7.5 When do two functions have the same integral .......................................................................... 47
6.7.6 Limit problem ............................................................................................................................. 48
6.7.7 Fatou’s lemma ............................................................................................................................ 48
6.8 Dominated convergence theorem ....................................................................................................... 49
6.8.1 Example ...................................................................................................................................... 49
6.9 Positive / negative part ........................................................................................................................ 50
7 Ch 6 and 7 ............................................................................................................................................... 50
7.1 Recap from last time ........................................................................................................................... 50
7.2 Dominated convergence theorem ....................................................................................................... 51
7.3 Integrating all sorts of ℝ-valued functions ......................................................................................... 52
7.3.1 Integrability ................................................................................................................................ 53
7.4 Properties of the Lebesgue integral..................................................................................................... 54
7.4.1 Linearity ..................................................................................................................................... 54
7.4.2 Additivity.................................................................................................................................... 55
7.4.3 Monotonicity .............................................................................................................................. 56
7.4.4 Triangle inequality...................................................................................................................... 56
7.4.5 Identical integrals ....................................................................................................................... 56
7.5 Dominated convergence ..................................................................................................................... 57
7.6 Integration with respect to m............................................................................................................... 58
7.7 Riemann and Lebesgue integrals ........................................................................................................ 58
8 Ch 7-9 ..................................................................................................................................................... 59
8.1 Recap .................................................................................................................................................. 59
8.1.1 Integrable ℳ functions............................................................................................................... 59
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8.1.2 Integration wrt. m ....................................................................................................................... 59
8.2 Rules ................................................................................................................................................... 59
8.2.1 Insertion rule............................................................................................................................... 59
8.2.2 Convention: wrong intervals ...................................................................................................... 59
8.2.3 Locally integrable functions ....................................................................................................... 60
8.3 Proper Riemann integrals.................................................................................................................... 60
8.3.1 Theorem: Proper Riemann and Lebesgue .................................................................................. 61
8.3.2 Improper Riemann integrals ....................................................................................................... 61
8.4 Fundamental theorem of calculus ....................................................................................................... 63
8.5 Integrals using antiderivatives ............................................................................................................ 63
8.5.1 Problem ...................................................................................................................................... 63
8.5.2 Partial integration ....................................................................................................................... 64
8.6 Functions given as integrals ................................................................................................................ 64
8.6.1 The Gamma function .................................................................................................................. 64
8.6.2 Continuity of integral functions.................................................................................................. 65
8.6.3 Application to the Γ function? .................................................................................................... 66
8.6.4 Differentiability of integral functions ......................................................................................... 66
8.7 Product measures: The product of σ-finite measures .......................................................................... 67
8.7.1 Technicality: sector functions..................................................................................................... 67
8.7.2 Return to theorem – with proof .................................................................................................. 68
8.8 Uniqueness of product measures ........................................................................................................ 69
8.9 Several factors..................................................................................................................................... 70
8.10 Existence of Lebesgue measure ...................................................................................................... 70
8.11 Tonelli’s theorem ............................................................................................................................ 70
8.12 Interchanging the order of integration ............................................................................................ 71
8.13 Fubini’s theorem ............................................................................................................................. 71
9 Image and combos .................................................................................................................................. 72
9.1 Image measures................................................................................................................................... 72
9.1.1 Example ...................................................................................................................................... 72
9.2 Successive transformations. ................................................................................................................ 73
9.3 Marginal measures .............................................................................................................................. 73
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9.3.1 Example ...................................................................................................................................... 73
9.4 Integration of M+ wrt image measures ............................................................................................... 74
9.5 Integration of ℒ functions wrt image .............................................................................................. 75
9.6 Translations on ℝ^k ........................................................................................................................... 76
9.6.1 ExampleTranslation and integrals .............................................................................................. 76
9.7 Translation invariant measures are proportional to the Lebesgue measure ........................................ 77
9.8 Isomorphisms of ℝ^k.......................................................................................................................... 77
9.9 Lemma ................................................................................................................................................ 77
9.10 Identifying Δ(A) for special cases .................................................................................................. 78
9.10.1 Invertible matrices ...................................................................................................................... 78
9.10.2 Orthonormal matrices ................................................................................................................. 78
9.10.3 Δ is multiplicative....................................................................................................................... 78
6
1 First lecture
Begin:
Counting sets
- Consider .
- Here, we have 4 jigsaw parts. , , ,
- We have 2 possibilities for each jigsaw part; should it be in or not
- We have 4 parts
- ⇒ possible sets to create: .
DEFINITION ∷ A paving (da: brolægning) on is a collection of subsets
We have seen several pavings already
he jigsaw pieces
nions of jigsaw pieces
Clearly, these pavings are different.
DEFINITION
A paving is a partition if
And
We say that sets are the atoms of the partition. They are pairwise disjoint and fill out the entire space.
REMARK
- Sometimes, some people demand (but practical to allow it?)
- Example ∷ the jigsaw pieces
- A partition is an example of a property, that a partition might have
DEFINITION
A paving is an algebra if
An algebra is stable with respect to set-theoretic operations

REMARKS
- Similar to a subspace in a vector space.
- The paving “the set of unions of jigsaw pieces” is no algebra, since the union of atoms is not an atom
itself (and the complement of an atom is no atom (unless there is only one atom)).
1.1 Properties of pavings

- The collection of jigsaw pieces was a partition but not an algebra
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- The collection of unions of pieces is an algebra but not a partition.
CATCH
The properties we have described relate to how the sets in the collection fit together
and not about whether the individual sets are nasty…
Equivallently
- The properties are most likely destroyed if we add or remove a single set.
1.2 Comment on original example

What if we have
Then the natural algebra consists of unions of atoms, namely
Generally
If we started out with sets, then the natural algebra has (at most) unions of atoms
(something weird might happen… e.g. if the sets are disjoint, etc.)
1.3 Sigma algebras

Let be a paving on a set
DEFINITION
is a -algebra if
1.
2. If then
3. If then
The pair is called a measurable space.
IT HOLDS THAT
-
- PROOF: Well, 1 states that . Then 2 gives that , but and is an algebra,
and is thus stable to complements. ∎
- ⇒
- REMARK: doesn’t follow from 3, since this only speaks about infinitely many subsets
- PROOF ∷ just add a lot of empty sets, . Now we have an
infinite sequence, and 3 applies ∎
 (we could have just said )
- ⇒
- PROOF ∷ well, we do know that
- But since is a -algebra (proved above), it’s stable under unions, so
- ⇒ but then by 2.
- But clearly, ∎
BISÆTNING
8
-
- PROOF ∷ , and by above, this means their intersection is in
If , then .
1.3.1 Examples of σ-algebras
EXAMPLE ∷ The power set

system of all su sets of
Trivially satisfies requiremens.
EXAMPLE ∷ Trivial algebra
Smallest possible sinse any σ-algebra must contain these elements.
1.4 Practical information

Deadlines will be on Monday in week 3, 5, 7
1.5 Appendix B: countability (tællelighed)

DEFINITION
A non-empty set is countable if there exists a surjective map ℕ .
KEY IDEA ∷ find an algorithm that counts all elements in
One idea: pick a point and give it . Pick a new and give it . If you get all the points, then you’re
home.
REMARKS
is countable by convention (otherwise, it doesn’t fit into the definition otherwise).
Think of countability of a measure of “how large” a set is.
1.5.1 Counting
Note: any finite set is countable.

HOWEVER ∷ you need to map all ℕ into
SOLUTION ∷ Count the last point every time once you’ve reached them all.
Counting .
NOTE
We may count the individual elements several times… e.g.
Counting ℕ ℕ
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1.5.2 Lemma
Let be surjective.
If is countable, then so is
PROOF
The composition of of the two surjective mappings
ℕ
is a surjective mapping ℕ
Argument:
- Since is surjective, we can find a point such that (surjectivity).
- But since is also surjective, we can find ℕ such that (surjectivity).
- Now we have solved the problem since the composite map will to any associate ℕ.
∎
1.5.3 Subsets
If is countable then any subset is countable

PROOF
For any non-empty settle on a fixed point and define by
Clearly, is a surjective map from (any point in can be “hit” by choosing the very same in ).
- (cleacly ok since )
Since is countable, the lemma above gives us that is countable.
1.5.4 Product sets of countable are countable
If and are countable, then is countable

PROOF
We have ℕ and ℕ .
Just define ℕ ℕ by
Will this work?

- yes (argument goes coordinate-wise)
- The reason is that ℕ ℕ is countable (proved before today)
- … and is surjective (since the coordinates are)
- and then is countable.
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1.5.5 Lemma ℚ is countable
ℚ is countable
PROOF
(recall, rational numbers = fractions)
Consider the map
ℕ ℚ
defined by
by definition of ℚ this map is surjective.

Since and ℕ are countable, then ℕ is countable.
Since is surjective, we get from a previous lemma, that ℚ is countable.
1.5.6 0-1 sequences are not countable (Cantor’s diagonal argument)
PROOF
ℕ
Assume that of 0-1 sequences is countable (proof by contradiction)
- (sequence where each coordinate is either 0 or one)
- It turns out that there are an awful lot of these sequences.
We list all the sequences
Now take the diagonal elements and flip them
can’t be in this sequence (of all sequences).

- It can’t be the first, as the first element differs.
- It can’t be equal to the second as their second term differs…
- …
CONTRADICTION
1.5.7 Uncountablly many subsets of ℕ
CLAIM ∷ the collection of all subsets of ℕ, ℕ , is uncountable.

PROOF
ℕ
There is a bijection between and ℕ . Example
ℕ
ℕ
(we choose the elements corresponding to the positions, i.e. )
11
ℕ
Hence if ℕ was countable, then so would be (and it isn’t).
1.5.8 ℝ is uncountable
CLAIM ∷ Any non-empty interval is uncountable.

PROOF
Enough to consider . Let . Denote those numbers with a decimal expansion containing only 0’s and
ℕ
1’s. Define a surjective mapping from to by
- E.g. but (must only use 1 or 0).

ℕ
BUT ∷ Bijective means that if was countable, then so would be.
∎
1.5.9 Theorem: Countable set operations
Recall,
is a -algebra if
1.
2. If then
3. If then
THEOREM
Let be a σ-algebra. If is a countable family of -sets, then
PROOF
Let ℕ be onto. Then
and similarly for ∩

∎
REMARKS
This will allows us e.g. to choose ℚ as our index set.
2 Goal today: measures

ULTIMATE GOAL TODAY
- Develop tools for assigning a measure (= size) for a lot of subsets of ℝ (or ℝ ) in such a way that
- measure of a line → length
- rectangle → area
- box → volume
- Will be possible for open sets, closed sets and a lot more… but not all!
12
Q: What kind of subsets of ℝ or ℝ can be assigned a measure?
A: : borel σ-algebra on ℝ
- nice set, will contain all such subsets of ℝ
PROBLEM ∷ difficult to verify whether a set is in
NOTATION
- means “contained in or equal to”
2.1 Sigma algebras

is a -algebra if
4.
5. If then
6. If then
Trivial examples
1)
2)
3) If then is in general not a σ-algebra but always is.
a. (note it is if )
4) either is counta le or is
We will prove that 4) is a σ-algebra as an exercise.
RECALL
A set is countable if ℕ surjection (all elements in hit)
- is countable by convention
- Finite sets
- ℕ ℕ ℚ are countable
- Subsets of countable sets (e.g. rationals in )
- is countable if and are.
- is countable if each is countable.
- countable union of countable sets is countable
Not countable
- ℝ
2.1.1 Exercise
either is counta le or is
Prove that is a σ-algebra on .
PROOF
Step 1:
- Well, is countable, and then by definition .
13
Step 2
- Let . Show .
- Then or is countable
- If is countable, then is the complement of a countable set and thus in
Step 3
- Let . To show .
- Well, either are countable or is not countable for some (but is).
- Assume are countable Aha, but we proved last time that then is countable.
- Assume ℕ such that not countable.
e organ
- .
- But is not countable, so then is countable.
- But then is a subset of a countable set and then it’s itself countable.
∎
2.2 Intersections of pavings

Let and be two pavings on .
an
Typically, will contain fewer sets than each of .
EXAMPLE
Let and assume that and . Set
Then .
2.2.1 Lemma: intersections of σ-algebras is a σ-algebra.
Let be a family of pavings on a set . If each is σ-algebra then
is also a σ-algebra.
PROOF
σ-algebra. need to check 1)-3)
1.
2. If then
3. If then
STEP 1
- Show . We know that each is a σ-algebra.
- Well since is a σ-algebra for all then
- ⇒ .
STEP 2
14
- Let . To show .
- ⇒ ⇒ ⇒
STEP 3
- Let . To show
- Let ℕ arbitrarily chosen but fixed.
- We know that ⇒ .
- Now was arbitrary, hence for any fixed , for all .
- ⇒ since is a σ-algebra.
- Since this holds for all , we get
2.2.2 Theorem: generated σ-algebra
Let be a paving on a set . Then there exists a σ-algebra on such that

1) (i.e. contains all the sets)
2) is smaller than any other σ-algebra on with property 1
a. i.e. if anyther σ-algebra does this, then .
PROOF
One can always find a σ-algebra on which contains all the -sets. for example . There are many
others. Let be the family of σ-algebras which contain all the -sets. Then
is the smallest σ-algebra on which contains all the sets.

Let’s go
Let where is a σ-alg on with all .
Have to show
a) σ-alg.
b)
c) is the smallest σ-alg. on with the above property.
PROOF
- a) follows from the lemma earlier.
- b) well each contains , so also the intersection will.
- c) Let be a σ-algebra with . we have to show that .
- Well since , for some (in the family)
- well then will be in the intersection that defines . But then,
⇒
∎
15
REMARKS
We say that is the σ-algebra generated by and write .
Note, if is itself a σ-algebra, then .
2.2.3 Important problem
If pavings on , when will ?
2.3 Part 2 of the lecture

The important problem
If pavings on , when will ?
EXAMPLE
(see the figure in the book)

CLAIM
PROOF
(without actually finding )
IDEA
- Every -set can be constructed out of -sets, namely
NOTE! but (algebras are stable to ).

NOTE! then all elements in are contained in .
⇒
Aha, but since is the smallest σ-algebra that contains , and since is a specific example of
a σ-algebra that contains , so .
- The other way around is quite similar.
2.4 Pavings on the real line ℝ

- ∷ collection of bounded, open intervals
- ∷ collection of bounded, open intervals with rational end-points.
- ∷ collection of open sets.
RECALL
- A subset ℝ is open if for all one can find an interval such that
2.5 The Borel σ-algebra on ℝ
THEOREM ∷
REMARKS ∷ tells us that we can generate from a smaller subset of
16
PROOF
By definition, is a σ-algebra which contains all open subsets of ℝ. In particular, it contains all open
bounded intervals on ℝ. By minimality, we get
Other way
CLAIM ∷ Let . Then we know that
- Take . How do we write it as , where .

- That is, we need a sequence of intervals (intervals here since we are looking at ℝ), so that they converge
to .
- But this is possible since ℚ is dense in ℝ. I.e. we can choose in ℚ so that and note that
.
CLAIM ∷
PROOF
- Take
-
- RHS is a countable union of open intervals . Hence . We conclude that
2.5.1 Exercise: generating from other sets
Other generating systems for the Borel σ-algebra on ℝ

Let be a paving on a set and let
Then .
A consequence of this will be that can begenerated by the closed sets as well (since they are the
complement of the open sets).
can also be generated by
- compact sets in ℝ
- half-open (or half-closed) intervals in ℝ
ℝ or ℝ
And .
2.5.2 A hierarchy of pavings on ℝ
DEFINITION ∷ the enlargement of a paving on ℝ

- (idea ∷ we want to create a σ-algebra by taking udgangspunkt in a certain paving on ℝ and adding some)
17
ℝ or for some
For define iteratively
Note ∷ may not be a σ-algebra

DEFINITION ∷ the constructible sets are
Clearly, . However, it can be proved that .

Also, by a counting argument, ℝ , hence completing the chain of inclusions above.
- the cardinality of a set is 2 ^{cardinality(set)}
ℝ
- cardinality{ ℝ }= (notation?)
2.6 Open sets in ℝ^k

Recall a subset of ℝ is open if we can construct a ball around any completely in
DEFINIION
The Borel σ-algebra on ℝ is the σ-algebra
DEFINITION
An open box in ℝ is a set of the form
where ℝ with for all .

The collection of all open boxes in ℝ is denoted by .
The boxes with rational end-points is denoted .
THEOREM
The proof is the same, except now you work with boxes.
2.7 Measures
Let be a measureable space (i.e. is a σ-algebra on ).
DEFINITION
A measure on is a set-function satisfying (note, allowed)
-
- is σ-additive
- i.e. for any sequence of pairwise disjoint sets (i.e. ) we have
REMARKS
18
- Why work with infinite union and not finite? Because some intervals, e.g. can’t be written in
using a finite union.
- Many sets will have measure infinity. This is allowed!
2.8 Properties of the measure
2.8.1 Finite additivity
Notes
- if for at least one , then
- If for all while , then
- If for all while , then
FINITE ADDITIVITY
LEMMA ∷ Let be a measure on a measurable space. If are disjoint then
PROOF
- Need to produce an infinite sequence of sets which are pairwise disjoint.
These are pairwise disjoint, therefore
2.8.2 Monotonicity
Let be a measure on a measurable space . If satisfy , then
- This follows from (countable) additivity

PROOF
- We if , we can write .
- Note that are disjoint. Therefore, since so that . Then
2.8.3 Upward continuity
LEMMA
19
Let be a measure on a measurable space .
Let satistfy , then
REMARKS
- We know that is an increasing sequence by monotonicity.
- That it converges to the measure of the union is our result.
- Think of it as continuity, lim lim .
PROOF
Want to use additivity
PROBLEM
- the sets are not pairwise disjoint.
- We want to use additivity so we need to create a disjoint set.
SOLUTION
- Note that .
- By induction,
The sets are pairwise disjoint. By finite additivity
By letting , we conclude that
2.8.4 Boole’s inequality (helpful)
LEMMA
Let be arbitrary sets
PROOF
Again generate and
- Note that somethin .
- Hence, .
- CLAIM
- PROOF clear
20
The sets are pairwise disjoint and satisfy for all .
Since , it follows that and therefore
2.8.5 Difference

If satisfy and , then
PROOF
We have that
subtract from both sides to obtain it.

∎
REMARKS
we need to be able to subtract it on both sides… otherwise we wind up in situations like
which we can’t determine.
2.8.6 Downward continuity

satistfy and for at least one then
(not necessarily ok if all sets have infinite measure)

why?
- if for some , then so
Remark
- since it’s increasing (we subtract a larger set)
- Then sis an increasing sequence.
2.9 Examples of measures
One-point measure
For an arbitrary set define on the one-point measure at by setting for all
Then is a measure.
- (illustration, clearly, for all since )
21
Counting measure
num er of elements in
Then is a measure
- σ-additivity is easy, if the sets are disjoint, the number of elements is the sum of the two’s
2.10 Lebesgue measure

is a measure on ℝ for which ℝ
ℝ
REMARKS
- The Lebesgue measure on ℝ should be viewed as a generalized notion of length
- NOTE! This is only the measure of an open interval!
- what the measure is on other sets of we haven’t specified yet.
- It can be proved that this measure exists.
- Unique? Yes, proved next week.
2.10.1 Properties
Measure of point is zero

LEMMA
PROOF
then downward continuity implies that (first, we need to check that at least one interval has finite measure, but
they all have measure so they are all finite)
lim lim
∎
CONSEQUENCE
All interval , , and where have the same length.
Rationals
Let be an enumeration of ℚ. Then
Could we now say ℚ ??? NOOOOO‼‼

- problem, and are the same
- hence is not necessarily disjoint.
BUT Boole gives
22
2.10.2 Cantor set – uncountable set with measure 0
Divide the unit interval into three equal parts

Remove the central open part
Repeat the procedure on the remaining two, closed intervals.
Keep going
The Cantor set is what we are left with
- At the ’th step, we have disjoint closed intervals, each of length .

- Let denote the union of the closed sets.
- Then lim
- Note, since is closed for all , it follows that is closed. In particular (Borel may be
generated by closed sets)
CLAIM
PROOF
∎
REMARK
- there exists a bijective map from the Cantor set to the set of 0-1 sequences, and theeerefore is
uncountable!
- So we have an uncountable set with measure zero.
2.11 Lebesgue measure on ℝ^k

DEFINITION
Lebesgue measure on ℝ for which
for all real

REMARKS
Generalized volume
Exists! (difficult proof)
Unique, will be proved next time.
2.12 Properties of Lebesgue on ℝ^k

Hyperplanes in ℝ
23
ℝ
CLAIM ∷
PROOF
Consider ℝ , and consider ℝ ℝ (the x-axis!)
Given ℕ let’s construct the following two families of sets
- This is a very small box. It is wide (along x-axis) and tall (very thin along y-axis)
What is
Now, let’s consider
Notice that
By downward-continiuity (sequence of decreasing sets)
lim lim
Hence, for all .
On the other hand ℝ .
By upward continuity
lim lim lim
∎
REMARKS
Nice example, we use both upwards and downwards continuity
3 Recap
The pair where is a -algebra is called a measurable space.
A measure is a map satisfying and σ-additivity
( pairwise disjoint ⇒ )
The Borel algebra, , is the σ-algebra generated by the sets .
- i.e. it’s the smallest σ-algebra containing the open sets.
- i.e. we add sufficiently many sets to becomes a σ-algebra
Note, can also be generated by the open boxes, .
The -dimensional Lebesgue measure on ℝ is the measure, that satisfies
24
- existence of (i.e. the properties of the remaining sets of ) is not obvious at all.
Comment
- We can only “imagine” the constructible sets
- i.e. the ones built from “base” sets by means of set theoretic operations.
- But there are sets in which can’t be constructed form regular sets in ℝ.
4 Today
4.1 New definitions

A set is a μ-nullset if there is such that
Thus, need not be measurable (i.e. ok that ).

A set is μ-almost sure if is a nullset.
REMARK ∷
- if the measure is changed, the notion of nullsets/almost sure sets is changed.
- nullsets and almost sure sets do not have to be measurable… but of course they usually are
- Every subset of the Cantor set is an -nullset but only some of them are -measurable.
4.1.1 Unions of nullsets
LEMMA ∷
Let be a measure on and is a sequence of nullsets, then is also a nullset.
PROOF
are -nullsets.
I.e. for each ℕ, we have such that and such that .
So to we should find a larger set that is measurable with measure 0.
Now, since each and since is a σ-algebra and thus stable under countable union.
The measure? Well, we don’t know if are disjoint, but we can use Boole’s inequality
4.2 More definitions

Let be a measure on .
25
We say that is finite if .
We say that is a probability measure if
- (note, not much difference to finite measure – just multiply)
We say that is -finite if
where is an increasing sequence of -sets satisfying that .

LEMMA
- The Lebesgue measure on ℝ is σ-finite
PROOF in ℝ
- Set (box of length centered at the origo)
- Note that
- Also, note that ℝ
- And note that
ℕ
- ∎
REMARKS
- We will “pretend” that the Lebesgue measure is finite though it isn’t since ℝ … but
.
4.3 The uniqueness problem

QUESTION
Let be two measures on . Suppose that
does it then hold that
i.e. when do we stop checking for individual sets and jump to the conclusion that it’s probably true for all sets.
i.e. exactly how many sets should and have to agree on…¨
IDEA
Maybe a generator for will suffice?
4.4 The extension problem

The extension problem for sets.
Let and let . Under which conditions on and can we conclude that ?
We can formulate the uniquenesss problem in this setting:
Formulating the uniqueness problem

- Let measures on .
26
- We know that .
- I.e. .
- What we want is .
SIMPLE IDEA – is a σ-algebra
If we can show that is a σ-algebra – then by minimality.
- Because means that is the smallest σ-algebra containing
- But is a specific σ-algebra containing
- ⇒ then by the identity principle, .
PROBLEM
Often it can be quite difficult to prove that is a σ-algebra.
REASON
- Ok, so we’re considering .
- Is a σ-algebra? → let’s test countable unions
- Take (meaning that ℕ)
- Q: will ?
- A: Don’t know! We have no assumptions/axioms regarding the measures of the unions
- although we do in the special cases where
 (a) disjoint,
 (b) increasing (upwards continuity),
 (c) decreasing (downwards continuity)
- But we need knowledge for any sequence of sets.
4.4.1 Dynik class
A paving on is a Dynik class if

1)
2) If and , then
3) If and , then also
Note that 2) is stronger than that from a σ-algebra.
- Note that 1) and 2) means that ⇒
- so 1) and 2) imply stability under complements
Note that 3) is weaker than that from σ-algebras
- we only need countable union stability if the sets are growing
THEOREM
Every Dynkin class that is stable under intersection is a σ-algebra
PROOF
Let be a Dynkin class and let be stable under intersections.
i.e.
⇒
We prove that is stable under unions
27
- note, stability under unions and intersections is basically the same, we could’ve formulated the theorem
the other way if we wished.
- Take . Then (stable under complements)
- ⇒ Then .
- ⇒ then by de Morgan’s law.
To prove that is a σ-algebra ∷ Show that is stable under countable unions for arbitrary sequences of sets.
Take .
Let’s consider finite union. Take
By the above, (stability under finite union)

Note that , by construction.
But then 3) of the Dynkin class applies, and we know that
But since (we get redundant members in the union – but strictly we must show the two
inequalities). We now get that
as desired. ∎
REMARKS
- So adding stability under intersections (or unions), we get that the Dynkin class is also a σ-algebra.
4.4.2 Dynkin’s π-λ lemma
Let and let . If

1) is stable under intersection.
2) is a Dynkin class.
Then .
PROOF
IDEA ∷ show that is stable under intersection.
(not done here)
4.4.3 The uniqueness theorem for probability measures
THEOREM
Let and be probability measures on . Let be a generator for , stable under intersections, and
assume that
Then it holds that .
28
PROOF
Let .
We know that (by assumption, they agree on the generator)
Need ∷ prove that they also agree on the remaining sets in .
Dynkin’s lemma will give us the desired result if we can show that is a Dynkin class.
- I.e. we need to show that
- 1) ,
- 2) and ⇒ ,
- 3) If and , then also
1) Is ?
a. that is, is ?
b. Well this holds since they’re probability measures since
c. .
2) Let and .
a. So we know that .
b. Want to show .
c. Well,
i. this holds because by monotonicity.
d. But also .
3) Take such that and such that
a. Need to show stability under union.
b. But since the sets are increasing,
lim
c. But also
lim
d. But the sequences and are the same and thus have the same limit.
e. Thus , i.e. .
Thus, is a Dynkin class.
Then Dynkin’s lemma guarantees that it’s a σ-algebra.
Then by minimality
∎
REMARKS
We used the fact that are probability measures to get the set difference and to establish that .
Note that it is not enough to have them agree on an arbitrary generator – the generator needs to be stable
under intersections.
Q: what if it wasn’t probability measures
29
4.4.4 Uniqueness theorem for finite measures.
Let be finite measures on and let be a generator for , stable under intersections, and assume
that
If we also know that then it holds that .

SKETCH OF PROOF
We explicitly assume .
The comes from the assumption on and being finite.
4.4.5 Uniqueness theorem for σ-finite measures.
Let be finite measures on and let be a generator for , stable under intersections, and assume
that
If there exists a sequence of -sets such that

-
- for every
Then .
IDEA ∷ reduce everything to finite measures.
PROOF
The measures and are not finite themselves → let’s introduce new ones that are.
ℕ
ℕ
HOMEWORK
- check that and are in fact measures (σ-additive)
- assume it for now.
Note that for ,
BUT! Note that (generator is assumed stable under intersections),

→ and the measures agree on all sets in the generator, so in particular this one
NOW ∷ we want to use the uniqueness theorem for finite measures.

Note
Since we’ve chosen , we have that .

Furthermore, by assumption on the ’s (in the theorem)
Using the uniqueness theorem for finite measures, we obtain that the reduced measures are the same
30
Fail… we wanted …
But what we do have is (if we instead fix and let move)
ℕ
But by assumption, .
And by upwards assumption
Aha, so
But since and agree on all points up to the limit, they must agree on the limit
4.4.6 Uniqueness of the Lebesgue measure
PROOF
If we have two Lebesgue measures, then they will certainly agree on all open boxes .
BUT ∷ the open boxes form a generator for which is stable under intersections (check it!)
The boxes
is an increasing ssequence with union ℝ and every one of these boxes has a finite Lebesgue measure.
∎
5 Goal today: construct integral
5.1 Recap from last time

Measurability
is - measurable if
NOTE! It suffices to check on a generator set of .

RESULTS
Examples of measurable functions
1) If ℝ ℝ is continuous, then is - measurable.
a. In particular, the following maps on ℝ ℝ are measurable
i.
ii.
iii.
iv. max
31
v. min
vi.
vii.
viii.
2) Composition of measurable maps is measurable

a.
b. ,
c. Want map
d. If and are measurable, then is too.
5.2 Function class ℳ

Let be our measurable space.
DEFINITION ∷ the collection of all measurable functions ℝ is called the measurable functions on
, and it is denoted by ℳ .
Remark
ℳ is similar to a -algebra in that it is functions stable under the usual algebraic operations.
LEMMA ∷ if ℳ then ℳ
PROOF
The map is continuous and thus measurable.
Hence the map is the composition of two measurable maps in this way
∎
Multiplication
LEMMA ∷ if ℳ and if ℝ, then ℳ
PROOF
The map is continuous and hence - measurable.
Hence, the map (of into ℝ) is a composition of two measurable maps and hence is measurable.
Sum
LEMMA ∷ if ℳ , then ℳ .
PROOF (outline)
The map
defined on into ℝ has measurable coordinates and hence it is - measurable.

RECALL
Measurable coordinates
ℝ ℝ
ℝ
32
Result from last time
are measura le is measura le
now, the claim above claim is that is - measurable
but this is the same as knowing that each coordinate is measurable.
NOW ∷ the map is measurable,
⇒ so the composition is measurable, i.e.
Put in other words, the map is the composition of two measurable maps, so it’s good.
REMARK
Pay attention to the intermediate σ-algebra,
must be -measurable and must be -measurable
so the middle functions agree on the σ-algebra.
SIMILAR RESULTS
Similar for , min , max , … (and extended division)
LOOKING AHEAD
ℳ is also good for handling sequences of functions
5.3 Liminf and limsup

LEMMA ∷ Let be a sequence in .
If , then
sup
ℕ
If , then
inf
ℕ
PROOF
For a bounded sequence, this is well-known.
If it is increasing and unbounded means that sup ℕ and this means the lemma holds
vice versa, then inf ℕ
5.3.1 Liminf and limsup
Let in We define its running supremum by

sup
NOTE ∷ is a decreasing sequence (we take sup over a smaller number of points.
Hence, .
Therefore the sequence converges.
Its limit is denoted
lim sup lim sup lim sup
ℕ
Similarly
33
lim inf lim inf
Remark
lim sup and lim inf are accumulation points (da: fortætningspunkter) for the sequence ℕ
- (i.e. a subsequence of converges to each of these)
- (→ and lim sup is the largest such and lim inf is the smallest)
- (i.e. no sub-sequence can converge to anything smaller/greater respectively)
Example
We observe that
lim inf lim sup
5.3.2 Computation rules
1) If for all where , then

lim inf lim sup
2) If for all , then
lim inf lim inf lim sup lim sup
3) We always have
lim sup lim inf
4) For sequences in ,
lim sup lim sup lim sup
(NOTE! lim lim lim )
5.3.3 If the normal limit exists
If as , then
lim inf lim sup
5.4 ℳ is stable for limits

PURPOSE ∷ stability for limits
LEMMA ∷ If is a sequence of ℳ-functions and if
sup ℝ
ℕ
then the function sup ℕ is also an ℳ-function (i.e. it is measurable)
REMARKS
The assumption sup ℕ ℝ ∷ think: it ensures that we do indeed come from to ℝ still.
PROOF
Recall that it’s enough to check measurability on a generator for
Recall that intervals of the type form a generator for .
34
Let’s define
sup
We must check that for any ,

Then
sup
ℕ
We must check, that this set is measurable.
WE KNOW
- that is -measurable.
- I.e.
BUT NOW we see that
claim
sup
ℕ
SINCE, since is measurable

- and is a σ-algebra, so ℕ
Now we prove the claim
CLAIM sup ℕ
PROOF
“ ”
- Take . Want, sup ℕ
- ⇒ ℕ , i.e. .
- Want to show ∷ sup ℕ
- But indeed, we have sup ℕ ∎
“ ”
- Take sup ℕ .
- want,
- I.e. sup ℕ
- CLAIM ∷ But this can only happen if at least one ℕ exists such that
- PROOF
- suppose the contradiction, that for all ℕ
- but then sup ℕ
- contradiction
- then ℕ such that
- But then is in the required union.
- ∎
BACK TO THE ORIGINAL PROOF
For each construct
sup
i.e. it’s the running supremum.
35
CLAIM
- ℝ for all
“proof”
- follows from our assumptiuon that lim sup of fn is in ℝ
By the previous lemma, ℳ
Recall that
lim sup inf
invoke the infimum version of the previous lemma to obtain the required conclusion.
5.5 Sequence of ℳ functions with a limiting function

LEMMA ∷ If is a sequence of ℳ-functions, and if ℝ is yet another function such that
for every then ℳ

PROOF ∷
IDEA ∷ if a sequence converges, then limsup = liminf = lim.
Then we have
lim sup
∎
5.6 The function class ℳ+

DEFINITION ∷ the collection of all measurable functions is called the non-negative real
functions on and it’s denoted by ℳ .
In this setting, measurable means
Or equivalently it means measurability wrt the trace algebra of on ℝ.

REMARK
if , then ℳ ℳ … so to speak
5.6.1 Arithmetics
5.6.2 Function class ℳ+
If ℳ then so is for .
If is then so are all the combo functions ( min )
Lemma ∷ sequence… something
36
5.6.3 Simple functions
A function ℝ is simple if it attains only finitely many distinct values.

EXAMPLES
is not simple
is a simple function (takes only values or )
CANONICAL FORM
Any simple function can uniquely be written in the form
where and is a partition of consisting of pairwise disjoint, nonempty sets.

- (the increasingness of the ’s will give us the uniqueness of the expression)
Example
Suppose
and suppose that are in general position.

Canonical form:
SIMPLE AND MEASURABLE

We write for the simple, measurable functions.
If is also non-negative, then we use .
LEMMA ∷ also in
LEMMA ∷ ⇒ .
NOTE ∷ you need to remember to check measurability, not just that the new functions are simple…
(but this was given by an earlier lemma)
Indicator function
Notte that any function of th eform
will give us a simple, measurable function (?? didn’t get everything…)
5.7 Approximation
We say that if and moreover . This is called monotone convergence.
LEMMA ∷ something... (noget med at man kan approksimere med en trappe, der får flere og flere
skridt… ved hvert skridt kommer der endnu en indikatorfunktion på)
(vi konstruerer en trappe)
NB! To keep the function as a simple class type, we need to restrict it to being constantly equal to something
from a certain step and onwards… otherwise, it would take infinitely many different values…
BUT ∷ when we increase the #trappetrin, we get closer to the true function at every little interval
37
COROLLARY
Let ℳ . There exists a sequence of functions so that
6 CH 5 + 6
RECALL
measure space
ℝ is called simple if it attains only finitely many distinct values
Write if is simple and measurable
if and
PROPERTIES
- , ℝ⇒
- ⇒
- (note, then , just choose )
NOTE
Take , ⇒ , where , ℝ
- measurable since finite sum of measurable multiplied by a scalar
- simple since each term takes values so the function can at most take different values.
EXAMPLE
in general position
(last writing is actually the canonical form of )

CANONICAL FORM
of
Unique writing of in the following form:
satisfying
partition of
- recall partition: and when
6.1 Pre-integral
Let be a measure space
Let have canonical form
38
DEFINITION
We define the pre-integral of to be
re integral
REMARKS
-
- ( happens when for some )
6.1.1 Lemma 6.3
Let be on the form
where the sets are sets which constitute a partition of and

Then
POSSIBLE PROBLEMS
- may not be in increasing order
- → no problem, we could re-label them
- possible for some
- → no problem, then
- Some of the ’s might be equal
- … this is the real content of the lemma
6.2 Linearity and additivity of the pre-integral

LEMMA ∷ if (simple, measurable, non-negative) and , then
PROOF
Take on canonical form
Then has representation
By lemma 6.3 it follows that
39
- (since in the form above exactly satisfies the assumptions for lemma6.3
∎
LEMMA ∷ , then
“PROOF”
Messy… will not be shown here…
6.3 Important: Lemma 6.5 (overrides previous)

LEMMA ∷ Let be on form
where are sets and . Then under no additional assumptions on the sets, we have
PROOF
a itivity linearity
- where in the last function, we have used that has the canonical form
6.3.1 Monotonicity
LEMMA , ⇒
PROOF
- now, by additivity of
- where since function →
6.3.2 An approximation result
THEOREM Let and increasing seq with .

PROOF
Then
Let
40
(since )
Upwards continuity implies
- why? because for all

- more thoroughly
- CLAIM ∷ as
- “PROOF” ∷ use up-cont… since
- (the set increases to )
- (in other words, , and
- (but now recall that …)
- ( )
6.4 Lebesgue integral

DEFINITION
For a funcrtion ℳ we define the Lebesgue integral by
- ( and measurable)
ef
sup
REMARK
The Lebesgue integral of ℳ always exists. It can however, be
why? because sup of a non-empty set always exists‼‼ (e.g.
- is a possible simple
function)
DEFINITION
The integral of ℳ over a set is
6.4.1 Pre-integral is an integral
LEMMA function then
PROOF
By definition
sup
implies
on the other hand satisfies something…

41
blah blah didn’t have the time to write everything…
6.5 Recap from earlier today

RECALL from earlier today
measure space
For ℳ define its Lebesgue integral
sup
- where is the pre-integral (are under the graph of )
Note, in principle it was defined for on canonical form

… but we found that no matter what form
- (i.e. it turned out not to be necessary to write on canonical form)

OBSERVATION
i.e. the theory is consistent with our intuitive grasp of it…
6.6 Lemma: monotonicity

LEMMA ∷ If ℳ satisfy for all
Then
PROOF
Want to show
sup sup
Take with
⇒ since we know , we also have , so is in the set on the right side.
Ok, so any in the set on the left must be in the right set
i.e.
But then a property of sup is that when taken over a smaller set, it is smaller.
∎
MOREOVER
If , we define
42
6.6.1 Example
Consider the measurable space ℝ , where is the Lebesgue measure. Let ℝ be a

continuous (thus measurable) function. Then
for every bounded set .

PROOF
- Indeed suppose that for some ℕ.
- Since is continuous, there exists such that
-
- Then
- Why?
- On the set ,
- And since , combo
- But this is just computed as the pre-integral
6.7 Lebesgue’s monotone convergence theorem

THEOREM ∷
Let be a sequence of ℳ functions. Suppose that for all ,
Then
RECALL
means that and sup for .
PROOF
ℳ (didn’t need that as an assumption… lemma XX gives it)
So it makes sense to consider .
On the other hand,
- here, note that is an increasing sequence that lies in

- thus, it converges to something in
43
- (note the smartness, an increasing sequence will always converge to something in .
- that is
TO SHOW
How does relate to sup ?

- for all
⇒ sup
Thus we get
REMAINS TO SHOW
Well,
sup
- Suffices to show that

enough to show
Let ge given such that to show:
TRICK
- CLAIM ∷ Let . Then we have that
I large enough
- PROOF
- Let
- If for any
- If , then (since )
- … (since was chosen so that )
- … sup
- ⇒ for some (large enough @ growing sequence)
- ∎
Now, let
Note, that since

⇒
But the trick says that for any , we can find large enough so that
NOTE for all

44
- (both these functions are defined on all of (indicator just dies outside ))
- but here,
- so we’ve got
sup
CLAIM ∷ for
PROOF
- the upward continiuity theorem we saw this morning which said
- if and , we have that for any simple function
⇒
now take the limit for when
⇒
6.7.1 Linearity of the Lebesgue integral
LEMMA ∷ if ℳ and , then
PROOF
CASE 1)
suppose . Let be a sequence of functions such that for every , as .
Then and we see that as . Hence
lim lim lim
CASE 2)
If , we note that as and therefore
lim lim
claim
- proof of claim
- If ,
- If ,
- ∎
∎
45
6.7.2 Additivity of the Lebesgue integral
LEMMA ∷ if ℳ , then
PROOF
Approximate each of by simple function sequences
lim lim lim lim
6.7.3 Combo of infinite doom
LEMMA ∷ be a sequence of ℳ -functions. Then
REMARK
- both terms make sense ∷ lim where ℳ and ℳ is closed under
limits.
- NOTE that can have limit for
PROOF
for all . Note that as and therefore by the monotone convergence
theorem, we obtain
lim lim lim
6.7.4 Can the integral be 0?
sup
LEMMA ∷ Let ℳ . Then
almost surely
REMARK
This means that is a -nullset
- (it will automatically be measurable → since since is
measurable)
PROOF
“⇐”
Let and is assumed
We have
46
convention
⇒
“⇒”
Consider
We see that
Can we say something about

Well,
- since on the set ,

- How do we translate this?
- Take integrals on both sides
but
But
ℕ⇒ ⇒
∎
CONCLUSION
- a function has integral zero if and only if -almost surely
- ( only on a -nullset)
6.7.5 When do two functions have the same integral
COROLLARY
Two functions have same integral if they agree on mu-almost every point
PROOF
Let be a -almost surely set which is measurable. Then
since -almost surely.

Similarly for
Now, if
47
we get
ef
6.7.6 Limit problem
Let sequence M plus

assume
we now that ℳ
Q: will ?
NO!
But if , it holds (I think… didn’t have time)
6.7.7 Fatou’s lemma
THEOREM
Let sequence M plus
lim inf lim inf
PROOF
For all set
inf
Note that
lim inf
and therefore by the monotone convergence theorem
lim inf
Since for alle ,

- then we have two sequences where one is greater
- … then lim inf respects the inequeality
lim inf lim inf
CLAIM
lim inf lim inf
PROOF
- Note first that is a sequence of numbers
- if it converges, then liminf = lim
???
48
6.8 Dominated convergence theorem
DEFINITION
A function ℳ is a integrable majorant for a sequence if
and moreover
(for now, integrable means finite integral)

DOMINATED CONVERGENCE THEOREM (preliminary version for ℳ only)
If for all for and if has an integrable majorant , then
6.8.1 Example
Consider the measure space ℝ
proof
(the idea is that is globally defined)

For let’s consider
Then as for all and
- idea: fix and see what happens when

So now we have a sequence converging almost surely to another function (zero-function)
If only we can find an integrable majorant, we can infer, that the integral also converges to the integral of
zero.
CLAIM ∷ , .
PROOF
which is true
∎
Now we just need to establish that .
49
6.9 Positive / negative part
The positive part of a function is
max
The negative part
max
7 Ch 6 and 7
7.1 Recap from last time

We start with functions
where and .
has pre-integral
NOTE! The actual definition of the pre-integral should be unique

- some problems occurred with regard to the form os (not unique)
- turned out to be ok anyway
LEBESGUE INTEGRAL
sup
MONOTONE CONVERGENCE THEOREM

If in ℳ , then
Remarks
- Riemann has nothing equivalent.
Properties
and a lot others…

idea ∷ show the property holds for any function and use monotone convergence
GENERAL CONVERGENCE RESULTS
Here, things got more tricky
50
Q: If , , and ℳ , will then ?
- Example against: on ℝ , define , then it’s a sequence of bars moving outwards on the
-axis
- Note that since
- Hence converges to the zero function)
- However, for all (simple function, Lebesgue = pre-integral = (indicator fct)
1=1)
- But , so no convergence.
So, we need some structure on how …
FATOU’S LEMMA
- if is a sequence of ℳ functions
lim inf lim inf
- Not very strong but it doesn’t require any regularity conditions on the sequence
7.2 Dominated convergence theorem

Definition
is integrable upper bound for a sequence if and
THEOREM
Let be a sequence of ℳ functions and assume . If has an integrable
upper bound , then
PROOF
Application of Fatou’s lemma
Well, from Fatou, we know
lim inf lim inf
BUT! If is actually convergent, then lim inf lim sup lim

I.e.
lim inf
If we show
lim sup
then we could use that lim inf lim sup

BUT! Upper ineq = lower‼
→ this would then mean that lim sup lim inf .
→ but that only occurs when we have convergence and that the limit is the common value.
- and the common value is exactly .
51
Hence, the theorem is proved if holds.
- hunch; we probably need to utilize
CLAIM ∷ holds
PROOF
Consider ℳ (because )
We apply Fatou’s lemma to get
conv
lim inf lim inf
(where we used that conv ⇒ lim inf lim )

OBSERVE ∷ , where ℳ and ℳ , hence
Now, we assumed , which means that . Now we may subtract
(note that we couldn’t use additivity directly since we have a minus involved…)
Now use the ineq lim inf lim sup
lim inf
Now use that lim inf lim sup
lim sup
lim sup
lim sup
which proves .
∎
∎
REMARKS
We will be using the dominated convergence theorem extensively in this course.
7.3 Integrating all sorts of ℝ-valued functions

DEFINITION
For ℝ, we define the positive and negative parts of as
The positive part
max
The negative part
max
52
NOTE ∷ the collage construction ⇒ and is measurable.
PROPERTIES
(actually, the last (product) requirement ensures uniqueness of writing as the sum of two griners)
“proof”
if , then
if , then
DEFINITION
A function ℳ is integrable if
an
and we write ℒ
DEFINITION
The Lebesgue integral of a function ℳ that is integrable, is
Note, if ℳ ℳ , then . Hence we have two ways of integrating. However they are identical.
7.3.1 Integrability
Let ℳ. It holds that is integrable if and only if
PROOF
“⇒”
Assume ℒ.
Then
But recall,
Since ℳ is stable to sums, ℳ so
“⇐”
Assume
Use
now use monotonicity in ℳ (integrals respects inequalities)
53
Similarly with .
⇒ ℒ.
∎
7.4 Properties of the Lebesgue integral

the properties will follow from that for the positive functions with some mingling.
7.4.1 Linearity
Let ℳ and ℝ. If is integrable then is also integrable and
PROOF
Observe that then
Just insert in the collage definition and take it out of the and then out of the collage
Checking integrability (finite int)
similarly with the negative part.

Conclusion:
ℒ
an
is irrelevant
Here we need to be careful.
(proof)
Now, let’s check integrability
allowed to take outside since we know that the ℳ has the required additivity
54
since ⇒ .
∎
7.4.2 Additivity
Let ℳ. If both and are integrable, then is also integrable and it holds
PROOF
Take ℒ
First, use the ordinary triangle inequality
Note, these are all in ℳ .

Thus, using monotonicity
a it of ℳ ℒ
so ℒ since ℒ ℒ.
NOW WE NEED TO COMPUTE IT
First, note that unfortunately
Instead, first note
But also
Then we must have
Note that both sides are in ℳ and we are just adding (got rid of the minus’es)
⇒ hence we may integrate (in ℳ manner and use the nice additivity that prevails there)
Rearrange again, (which is ok since all integrals are finite (recall, need to check that we avoid )
and use definitions
∎
REMARKS
- The IDEA was ∷ convert to ℳ function and use additivity here.
55
- Note that we needed to get rid of all minuses
- and note that when rearranging we need to make sure that no could occur.
7.4.3 Monotonicity
If ℒ and for every then
PROOF
write
POINT ∷ is integrable (since are) and (assumption), so

ℳ
But then
a itivity ℳ
since ℳ .
∎
7.4.4 Triangle inequality
If ℒ it holds that
PROOF
We know
triangle ineq
(where we have used ℳ )
7.4.5 Identical integrals
If ℒ satisfies that -almost surely, then
PROOF
We observe that
56
As ℳ which equals 0 almost everywhere,
But we have a nice result for ℳ functions, that their integral is zero if they are 0 almost everywhere-
functions.
Hence,
7.5 Dominated convergence

Let be ℳ-functions and assume that
almost surely
If the sequence has an integrable upper bound, , then all functions are integrable and
PROOF
Assumptions:
1)
2)
3)
Since , then
- (this is because the fct. “positive part” is continuous and thus preserves limits)
and
So dominated convergence on ℳ guarentees that
Similarly, we can get it to work on the negative parts of and .

∎
DETAILS
We only assumed that the convergence worked -almost everywhere, and dominated convergence needs
convergence everywhere
What do?
→ we make it happen.
If convergence only happens on an almost sure set , use the above on ,…
but…
What then about for a point ?
BUT ?? i.e.
But then the sequence
57
and
so we have already proved that
But now use that we proved that -almost surely implies
7.6 Integration with respect to m

Let’s integrate on ℝ with respect to
because singleton sets are -nullsets

(so the functions (i.e. integrals) are the same except on -nullsets.
We will write
for the common value of the four integrals.
7.7 Riemann and Lebesgue integrals

THEOREM
If ℳ ℝ is Riemann integrable over , then ℒ and
where means the Riemann integral.

REMARKS
For the known functions, the Lebesgue integral is just the Riemann integral.
i.e. we can do antiderivatives etc.
58
8 Ch 7-9
8.1 Recap
8.1.1 Integrable ℳ functions
DEFINITION
ℳ is integrable if
both are satisfied. We write ℒ.

If ℳ is integrable, we define the Lebesgue integral as
Let ℳ. It holds that
integra le
8.1.2 Integration wrt. m
Note that
but note that , because

which is a e esuge nullset
so the functions and are equal -almost everywhere
8.2 Rules
8.2.1 Insertion rule
LEMMA
Let ℳ ℝ or ℒ ℝ and . Then
PROOF
8.2.2 Convention: wrong intervals
If we introduce the convention
59
8.2.3 Locally integrable functions
The integrable functions on
ℒ ℳ ℝ
Whereas ℒ means the globally integrable functions, i.e.
Hence, ℒ ℒ .
The locally integrable functions on
ℒ ℳ ℝ for every
NOTE ∷ if is continuous on the closed interval , then ℒ .

Why?
Let’s take the integral and show that it’s finite
For this, we’ll use that a continuous function is bounded on a compact interval!
I.e. on for some constant .
simple fct
where we’ve used that is a simple function
8.3 Proper Riemann integrals

Recall that a lower Riemann sum and an upper Riemann sum for on a partition are
sums of the form
where
(i.e. are the upper/lower bound correspondingly in the relevant intervals.)
If is bounded on , then
sup lower sums inf upper sums
PROBLEM:
- What if sup{lower}↛inf{upper}?
- It could be that there was an interval between them such that they didn’t get closer.
BUT IF they approach each other, so that , we can get sup inf , then is
Riemann integrable
We use the notation Riemann integral of on .
60
8.3.1 Theorem: Proper Riemann and Lebesgue
THEOREM
if ℳ ℝ is Riemann integrable over , then ℒ and
PROOF
The upper and lower sums are integrals of simple functions and such that .
So
Monotonicity implies
Also, (if it exists, it’s defined as the deviding line between and .
Now we have
- (so far we just now that they are caught somewhere inside both of them)
NOW ∷ we can get
But this will imply what we want
8.3.2 Improper Riemann integrals
Many integrals won’t fit into this picture.

- Integrals of ounbounded functions (which some times exist)
- E.g. , unbounded integral.
- But as the function is unbounded, we can’t really find an upper sum!
- Integrals over infinite intervals (unbounded domains)
- Defeats the idea of upper/lower intervals
- … because the intervals should be infinitely long…
- Here, we would instead be defining improper Riemann integrals.
lim
- (assuming that the limit exists)
 (ahem, no general formulas for when such a limit exists)
 (in practice, compute anti-derivative and see if its limit exists)
THEOREM
If has an improper Riemann integral over , and if ℒ , then
61
PROOF
Consider , i.e.
We assume that
- (NOTE! Non-trivial assumption‼ see warning later)

Idea ∷ along same lines as improper Riemann
Fix attention to , since .
Will this converge??

YES! @ dominated convergence theorem!
- Note that for any ,

But is dominated by which is integrable by assumption
NOW
Note that is a compact interval.
So
But
ef
if the limit exists.

But it does!
SO we have two sequences which are the same at each point, then they must have the same limit
Warning!
The theorem only says that Lebesgue = (improper) Riemann if we know that they both exist!
- Sometimes, one may exist without the other.
The function
sin
has an improper Riemann integral over the entire real line ℝ but it is not Lebesgue integrable!
Note if
62
then
(dominated convergence)
BUT POSSIBLY converges even if …
SO WE HAVE TO KNOW THAT THE LIMIT INTEGRAL EXISTS‼
8.4 Fundamental theorem of calculus

Let ℒ . Choose and define ℝ by
It holds that is continuous on . If is continuous in a point , then
TERMINOLOGY ∷ If is continuous, then is an antiderivative of .
8.5 Integrals using antiderivatives

Let ℳ ℝ be continuous on If is an antiderivative of on , then
PROOF
Let
so
It follows that
8.5.1 Problem
Show that (using antiderivatives)
Antiderivative of is , where is assumd (here antiderivative is the logarithm)
no problem in the limit 1, since is continuous here.

Bypass the other by taking a limit
lim
by the monotone convergence theorem
63
- Note, namely, that ℳ
- and that
- (where the “monotonously increasing” goes on , nothing with there)
BUT NOW we have an integral over a compact set
lim lim lim
IMPORTANT
Remember to go from an infinite to a finite domain.
8.5.2 Partial integration
Let be continuous on and let be an antiderivative. Let be on . For we

have
Partial integration all the way to and may and may not be legal!
8.6 Functions given as integrals

Let be a measure space and ℝ and open interval.
Let ℝ.
The section functions are the maps

ixe
ixe
If every section function is -measurable and -integrable, we can define ℝ by
8.6.1 The Gamma function
Note that for all .

Function
map ℝ ℝ
- why is the natural range for the ’s?
- this is where the function is integrable
Why?
Fix
Consider
64
note, non-negative.
Trick: find a majorant (?)
Easiest to do in two steps:
- use that ⇒
First term smart, second term?

- will be bounded
- AND is integrable (example in the book)
Lemma: Neat result

One can prove by partial integration, that
But then we can easily get the integers

See that . So for ℕ
SO – the Gamma function can be seen as an extension of the faculty operator to all real numbers…
Stirling’s formula says that
it is a very good approximation.
8.6.2 Continuity of integral functions
Let as before
THEOREM
Assume that all section functions
are continuous in the point . If there exists an integrable function ℳ so that
then is continuous in .
PROOF
To show that is cont in , we take and show that .
Let’s insert
if ominate
65
- (the convergence theorem guarantees the convergence if we have pointwise convergence and domination
by an integrable upper bound)
Well, we know that is continuous at .
… this implies that
ixe
so this gives pointwise convergence.

Now we just need the domination.
But that is exactly what we assumed:
Hence, we may use the dominated convergence theorem.
8.6.3 Application to the Γ function?
LEMMA ∷ the Gamma function is continuous on all of

PROOF
Take . An integrable upper bound on is
(where we’ve switched from the λ’s earlier to a choice that holds for any λ)
ALTHOUGH: we had to choose …
Then, by the theorem above, is continuous for every and .
Æv, we got continuity on but wanted on .
Here’s how to think about it
- Suppose we are given a and should prove continuity here.
- But just choose and (always possible), we have continuity on and in
particular at .
8.6.4 Differentiability of integral functions
Let as before
THEOREM
Assume that all section functions
are differentiable in every . If there exists an integrable function ℳ such that
then is differentiable in every and
66
PROOF
The question is whether the Newton quotient will converge
convergent for
Ok with convergence of the integrand since we assumed that the sector functions are differentiable.
QUESTION ∷ sufficiently dominated?
But we did indeed assume that an integrable existed so we’re done.
∎
Application
Can be shown for Γ function.
8.7 Product measures: The product of σ-finite measures

Let and be two σ-finite measure spaces.
THEOREM
There exists a measure λ on the product space
- (recall is the smallest σ-algebra making the coordinate projections measurable)
satisfying that
Let
SOMETHING….
Let be a measure on . We consider
8.7.1 Technicality: sector functions
THEOREM for any -measurable function it holds that
is a -measurable function
PROOF
HIGHLY difficult. See section 8.1
∎
REMARKS
This is useful as it allows us to integrate out one variable at the time
It ensures that the double integral makes sense
67
this will e measura le
8.7.2 Return to theorem – with proof
THEOREM
There exists a measure λ on the product space
- (recall is the smallest σ-algebra making the coordinate projections measurable)
satisfying that
Let
PROOF
We check properties for σ-something…
1) The empty set has measure 0. We will use that no points are in , hence indicator .
2) is -additive. Take pairwise disjoint.

hmm, pairwise disjoint ⇒
Hence, due to pairwise disjointness, we have the following formula:
But then
Here, we’d like to switch to ∑ ∫ .

This is allowed whenever things are positive, corollary 6.20 on ℳ functions (non-negative since
indicator functions and measurable by the technical lemma from before)
- for general ℳ functions, it is not right
Apply corollary 6.20 again
68
as should be shown.
3) Additivity
Take , . Want to show
Then
Now, in the inner integration, is just a constant
∎
REMARKS
σ-finite is still needed because it is needed for the technical lemma…
we will usually call it
8.8 Uniqueness of product measures

THEOREM
There exists exactly one measure on the product space satisfying
PROOF
We have already proved the existence. The paving of product sets
is a generator for , stable under intersection.

So, if we had two measures, then they would at least (by definition) have to agree on .
BUT ∷ since they would then agree on a generator which is stable under intersection, it would then follow
from (Dynkin?) that they would agree on the whole set .
HOWEVER ∷ we know that there are in such that
and
Now,
and the point is, that
69
since and by above.
8.9 Several factors

Let be a σ-finite measure spaces for
THEOREM
There exists exactly one measure on the product space
satisfying
PROOF
Uniqueness is proved as before. Existence by induction after .
:
ef of tensor in uction ass
8.10 Existence of Lebesgue measure

THEOREM
Let be the Lebesgue measure on ℝ . It holds that
on ℝ .
PROOF
The product measure on ℝ satisfies that
for every open box. aha but this is exactly grinner

(see book, I missed the end of it.
8.11 Tonelli’s theorem

Let and
THEOREM
For every function ℳ it holds
PROOF
STRATEGY ∷ show that it’s true for
1) Indicator functions
2) Simple functions (use above)
70
3) ℳ functions (this was the statement)
Ad 1)
Take
Let’s compute the integral of an indicator function
→ that’s easy, integral of indicator = measure of set.
but we originally (with ) defined such a product measure as a double integral
okay, so that was easy. It holds “by construction”

Ad 2)
A simple function
can be written
a an lin
a an lin
Ad 3)
For ℳ find such that . Use monotone convergence.
8.12 Interchanging the order of integration

COROLLARY
For every function ℳ , it holds that
8.13 Fubini’s theorem

(really hard to write down – see book)
The whole thing is meant to take care of not writing …
71
9 Image and combos
9.1 Image measures

Let be a measure space. Let be a measurable space (with no measure so far) and let
be a - measurable map.
DEFINITION
We define the image measurek as the measure on given by
(note that since is measurable)

LEMMA
The image measure is a measure on
PROOF
since
Net, pairwise disjoint
rule for preimages
and hence
rule for preimages
is a measure an
∎
LEMMA
Proof
which wnsures that if it’s a probability space then is a probability measure.

∎
9.1.1 Example
Let be the equidistribution on

Every point has prob
INTERPRETATION
- has to do with the rolling of two dice.
Consider transformation given by
72
so is the difference between the eyes.
The image measure
Similarly
Final conclusion
0 1 2 3 4
something.
9.2 Successive transformations.

LEMMA
Let and , where
Let be a measure on , then
REMARKS
- We can construct measures and
- The lemma says that they are equal
Proof (by book keeping)
Let
To show: .
Let’s go along the lines of
- Let . and define
9.3 Marginal measures

If is a measure on , then the image measures
(coordinate mappings) are called the marginal measures of .
9.3.1 Example
If and are probability measures, then the marginal measures of are
“Proof”
Look ath the probability spaces and .
73
Consider .
To show: and same for
Consider , measure on .
Let , and consider that
This shows that and agree on every set in the σ-algebra

⇒ hence the functions are equal.
∎
LOOK AT EXAMPLE 10.6 IN THE BOOK
9.4 Integration of M+ wrt image measures

Recall once again,
THEOREM
Let be a measurable map. Let be a measure on . Then
for all ℳ .
PROOF
Strategy
We show that the formula holds for
1) indicator functions
2) Simple functions (lincomb of indicator)
3) ℳ -functions
(stepping 2 to 3 uses monotone convergence and that all ℳ -fucntions can be approx by simple)
1) Indicator functions
- First, we will need this claim
- CLAIM
- PROOF
o Show equal at every point
o But
- Let
2) Simple function
- Consider .
- Then
74
lin an a
3) Arbitrary in ℳ
- Let ℳ and choose function such that . Then and therefore we have
lim lim
9.5 Integration of ℒ functions wrt image

Let measure
A function ℳ is integrable wrt if and only if
In affirmative case
PROOF
e know that g is interable if and only if .
But we just saw how to compute this wrt since it is a ℳ function
since
CLAIM ∷
PROOF
- See
Further
ℳ
CLAIM ∷ and for minus
∎
REMARKS
Notice the technique here – we know that something holds for ℳ functions so we decompose an arbitrary
ℳ function into it’s positive and negative part – since each of these is an ℳ function, the general result will
hold if we can do the small trick we did (that )
75
9.6 Translations on ℝ^k
We define a translation by ℝ as the mapping
ℝ
Definition: a measure on ℝ is translation invariant if
ℝ
THEOREM
The Lebesgue measure is translation invariance
Proof
Choose ℝ . Consider translated measure .
Want to show equal on generator
Take an open box
Want .
For this, take (generator for
So
ef
We have, that
Therefore
Since this happens for every .

Since they agree on all sets in the generator for ,
⇒
WHY?
Hence, both are -finite measures and they agree on a generator, stable under intersections
→ for the uniqueness theorem for σ-finite measures, we need to find an increasing sequence of sets in the
generator (σ-algebra?) such that they have finite measure each but their union gives the entire
9.6.1 ExampleTranslation and integrals
If ℳ ℝ or if ℒ ℝ then
PROOF
Let’s suppose ℳ ℝ .
Take ℝ .
where the last equality comes since the measures are the same, i.e. .
76
Everything is the same when ℒ.
9.7 Translation invariant measures are proportional to the Lebesgue measure

THEOREM
Let be a measure on ℝ wich is finite on all bounded sets. If is translation invariant, then there is a
constant such that
PROOF
First consider for ℕ
Confused? See here

- . we consider , where the intervals in the union are disjoint…
It follows that
Arbitrary open boxes with 0 at lower left and rational side lengths ⇒ can be obtained as increasing uinions of
the boxes above (e.g. )
The theorem will hold with .
see book for further details.
∎
9.8 Isomorphisms of ℝ^k

DEFINITION
An isomorphism of ℝ is a mapping of the form
ℝ
where is an invertible matrix
(or, a linear map which is bijective)
Here, we won’t distinguish between matrices and the corresponding linear maps and we use the same letter to
denote them.
9.9 Lemma
For every isomorphism ℝ ℝ , there exists a number such that
(i.e. a multiple of the Lebesgue measure)

((so think of it in the context of the previous theorem))
PROOF
77
Show that the image measure is finite on bounded sets and that it is translation invariant.
9.10 Identifying Δ(A) for special cases
9.10.1 Invertible matrices
LEMMA
Let be a diagonal matrix
Then
(if it is invertible, et
9.10.2 Orthonormal matrices
A maatrix is called orthonormal if
Question: Suppose . Does it follow ?

- First: What is et ?
- Well, ⇒ et et but also et et et and since et
et , we have et ⇒ et
So, we have
LEMMA ∷ orthonormal ⇒ et
LEMMA
orthonormal ⇒
9.10.3 Δ is multiplicative
invertible matrices.
Show that
- recall that is the number so that (the proportionality factor to the Lebesgue
measure)
PROOF
(since invertible ⇒ invertible (since et et et ))

On the other hand
(by the theorem from earlier about successive transformation)
78
so we’ve written
both of them so they must be equal
10 Density
TODAY ∷ constructing new measures from a given one on the same measure space.
10.1 Measures with density

Let be a measure space. Let ℳ
THINK ∷ … the density under the function, .

NOTE ∷ Although , could easily be such that .
LEMMA
is a measure
PROOF
Need to prove: measure of emptyset is 0 and behaves nicely under countable unions
Now take pairwise disjoint -sets

monotone conv
10.1.1 Discrete example
Let be a countable set and take to be the counting measure on

Let be a mapping. The measure be written as
Confused? see here

- Take a singleton,
- since is the counting measure.

- Now see a general set . Since is countable, so is , and hence we can write it as a countable
union of the members in ,
79
- since is -additive.
10.1.2 Another example: Restriction measure
Take .
Note that for all , we have
Hence, is the so-called restriction of to (as we saw in problem 2.3)

REMARK
- the restriction measure of to has density with respect to .
- although we say “restriction”, we still think of it as defined on the whole space .
- so it’s also defined outside (although it has measure zero there??)
10.2 Uniqueness
Let be a σ-finite measure space (increasing sequence, union creates , measure of each element is finite
– allows us to approximate any set in ), and let ℳ . If
then μ-almost surely (they disagree only on a μ-nullset).

REMARK ∷ (almost-sure) uniqueness of the density, not measure (??)
PROOF
Consider the sets
We want to prove, each of these has μ-measure zero.

That will give us the conclusion since
Denote the common measure by ν
To show, .
First: show . How? → approximate (using σ-finiteness of )
Let sequence of -sets, , and .
Now define .
Actually, (since is finite and )
(ok since , in other words )
80
since all by assumption.

Now we may write something which would not have been ok if ,
ℳ
Since a.e., we get that a.e., but on we have , so the
only way this can happen, is if a.e., i.e. is a -nullset.
Now use upwards continuity

⇒
NOW
Consider where for all
Now
so the measure is finite on .

ON THE OTHER HAND
So we have a quantity that must be finite and equal to something times infinity
⇒ this something must be equal to zero:
Similarly for and .

∎
10.3 Integration with respect to measures that have density

Let on . For all ℳ we have
REMARK ∷ in other words, the density comes inside the integral

PROOF
Show that it holds for
1) Indicator
2) Simple (by 1 and linearity of the integral)
3) ℳ (use )
INDICATOR
Let .
Rest follows by the scethced approach..

81
∎
10.4 Arbitrary ℳ functions

THEOREM
Let on . A function ℳ is -integrable if and only if
In the affirmative case, we have
PROOF
Integrability
The statement on integrability is trivial.
ℳ is integrable
But by the theorem above, since ℳ ,
but is a density so we must have ℳ . Therefore, so
Integral formula
since ℳ means that .
10.5 Successive densities

Let ℳ . Then
PROOF
For any , we have
ℳ
10.6 Transformation problems

Another method for constructing measures.
Let and be measure spaces. We think of and as being two basic measures.
Let be - .
82
PROBLEM
Let be yet another measure on
1) (exist) Does the image measure have a density with respect to ?
a. i.e. can we write for some ℳ ?
2) (unique) If yes, how many such densities can one find?
Recall, for we have , where by measurability of .
NOTE ∷ very important problem in probability theory
10.6.1 Example: marginal measures
Let and be σ-finite measure

Let ℳ and consider the measure on .
Then where
PROOF
Let , and think about the image measure of under
now we’ve seen that since ,
and here we use Tonelli since the integrand is ℳ , ℳ
Now use that (agree on every point)
Now use that constant wrt y
set
∎
REMARKS
- σ-finiteness was needed in Tonelli’s theorem
- WE ARE TO SHOW THIS IN THE ASSIGNMENT
83
10.7 Special transformations
THEOREM
Let be a measure space, a measurable space and be a measurable map.
Further, let ℳ and set then
REMARKS
We find somehow that ℳ and any M+ function can be used as a density, so is
a measure on
then let’s transform this measure to to be a measure on
PROOF
For all
suppose we may write

a stract change of vars prove to ay
Now we prove the suppose

CLAIM
PROOF
∎
∎
10.7.1 Corollary
DEFINITION ∷ is bi-measurable if both and are measurable.
COROLLARY ∷
Let be a bijective and bi-measurable map. If is a measure on , then
PROOF
Follows from the theorem with ℳ
∎
REMARKS
We need to assume bi-measurability
… but is this a trivial assumption?
84
Example
Let and take to be the identity map
- (note that is the smallest possible σ-algebra on any space)
Hence, for all
CLAIMS
- is bijective (in fact, , so
- is measurable, but is not.
o is measurable
 We check for all sets


o is not
 Take so that and .
 Then .
- ∎
10.8 Conventions
If a function ℝ is defined on an interval then without further mentioning, we extend it to the whole ℝ by
setting
The restriction of the Lebesgue measure to an interval will be denoted by . It is a measure on the whole
ℝ defined by
NOTE ∷ for all we have
so that although we can compute on any set in , we only get a positive measure for the part that is in
common with .
10.9 Transformations on ℝ
Consider a mapping ℝ ℝ, and assume there exist open intervals and such that
1) maps bijectively onto
2) is on
(recall, { fct.s differentiable with continuous derivative })
Confused?
- Consider , ℝ open intervals.
- bijective ⇒
o (1) is monotonously EITHER increasing OR decreasing
85
 Increasing: ⇒ (normally but is also injective)
o (2) is continuous
10.10 Theorem: transformation of Lebesgue measure

THEOREM
Let ℝ ℝ be a Borel measurable mapping such that
4) is on
Then where is given by
REMARKS
is a map in the first space (on “ ”)
Then we fire it over into the second ℝ space (“ ”)
We claim that it will have density
PROOF
ASSUME is increasing (together with injective: ⇒ )
we are trying to show that two measures are equal
⇒ they must agree on any set.
we proceed in some way:
CLAIM ∷ and coincide on all closed and bounded intervals
- so we are looking at intervals subset of , specifically the closed and bounded
PROOF
First we check for
ok, by definition of image measure of a mpa
we now claim
why? since is increasing monotonously
Now for
is increasing ⇒
Hence,
fun amental theorem of calculus
since the integrand is continuous

But,
86
so we may conclude that

an coinci e on
∎
So they agree on all closed, bounded subsets
Now let
closed bounded intervals in ℝ such that
Then for any ℝ, we have
but both and are closed and bounded, then so is

By claim, for all
ℝ
NOTE
Restriction of and to are finite measures.
By the uniqueness theorem for measures we conclude that
- (since they coincide on every member of a generator stable under intersections)

Now, obtain lulz by seing that
and
by upwards continuity of the measures.

(since outside )
∎
10.11 General substitution theorem

THEOREM
Let ℝ ℝ be a Borel measurable mapping such that
6) is on
7) is on
Then for ℳ and a measurabl set
(or what?? didn’t get it
87
10.12 Transformation of densities
(missed something… a whole slide)
Assume that is such that

NOTE
since we use
Hence, we have achieved that we may write
instead of .
- so already, we are using the restriction of the Lebesgue measure for something.
Let ℝ ℝ be an extension of to a globally defined Borel measurable mapon ℝ.
- ( is only defined on , but we can always extend it to a function defined on the whole line, putting
zero on the complement.)
NOTE
furthermore
almost surely
- because for all except for but for all by construction of
the restricted measure
So we may write
lemma 12.4
⇒
now write , where is given as
by the Lebesgue measure theorem.

So
where
(didn’t get it)
88
10.13 Non-bijective mappinsg
If a mapping is not a diffeomorphism on , then we can typically partition into several smaller intervals on
which is a diffeomorphism.
Let
THEOREM transformation of densities
Borel measurable on each of pairwise disjoint open intervals
For every set and let be the inverse of the resetriction of to .
Let be a probability measure on ℝ and suppose that
- (so ’s don’t partition necessarily, but almost )

- Then
- where
didn’t get it
10.13.1 Example
and transformation , which is not bijective globally

But if we consider and and
And
We have
and it follows that
didn’t get it
Q: is ?
10.14 Back to linear algebra from last time – isomorphisms on ℝ^k

LAS TIME – recapping
For every isomorphism ℝ ℝ (that is is an invertible matrix
There exists a number such that
89
- i.e. the image measure is proportional to the Lebesgue measure
- in other words (using stuff) it says that must be translation invariant.
LEMMA
given two invertible matrices
LEMMA
if is a diagonal matrix, then , where iag
THEOREM
For all invertible matrices we have
et
PROOF
for symmetric, posdef matrices
Use spectral theorem to write
iag
But
but we know
but also
But
et et et et et et et
since et
hence
et
∎
11 Lp spaces
11.1 Seminorm
Let be a measure space. Thm. 7.3 says that ℒ ℒ is a vector space over ℝ.
We define
(so is integrable, i.e. makes sense (is finite))

NOTE ∷ it’s not a norm but a seminorm.
We have
90
1)
2) , ℝ
3)
4) -a.s. (cf. lemma 6.22 for ℳ -fct’s)
REMARKS
- 4) is why it’s just a seminorm
- In fact, it will never be a norm as long as has nullsets that are not .
- PROBLEMATIC CASES ∷ Think of ℚ -a.s. and -a.s. ( Cantor set)
- NICE CASE ∷ ℕ ℕ , where is the only nullset.
11.2 Conv. in ℒ1 sense

DEFINITION ∷ convergence in ℒ
ℒ converges to ℒ if and only if
REMARKS
- pointwise ⇏ ℒ -conv
- ℒ -conv ⇏ pointwise
EXAMPLES
-
- pointwise but not in ℒ -sense.
- (see example 1.3 for a weird example with ℒ -conv. but not pointwise conv.
BUT ∷ in some special cases there will be a relationship.
11.3 Vector spaces with seminorms

A seminorm on a vector space gives rise to a pseudo-metric defined as
NOTE ∷ not a metric, since that requires (we only get this -a.s.)
Example
- ℚ but ℚ only -a.s.
SEQUENCE
A sequence converges to a limit point if and only if
WARNING ∷ the limit may not be unique.

SOLUTION
11.3.1 From seminorm to norm
THEOREM
91
A vector space with a seminorm gives rise to a normed vector space when the elements of are
gathered in equivalence classes according to the equivalence relation
EQUIVALENCE CLASSES
- Elements of are equivalence classes (sets) defined as
OPERATIONS
EXAMPLE
- We looked at ℒ
- The normed space given by the theorem is denoted
- The equivalence relationbehind it is -a.s. equal functions
as
REAULT
- Now we have uniqueness of limits.
11.4 Definition of an ℒp seminorm
ℳ is -integrable wrt if
The set of -integrable functions is denoted by ℒ . Note that ℒ ℒ from before.

THEOREM
ℒ is a vector space
PROOF
. To show:
- ℝ ℒ , show that ℒ
- since .
- ℒ , show that ℒ
- Use
ℝ⇒ max max y z
- And apply inside to get the conclusion
∎
THEOREM
Define
92
It defines a seminorm on ℒ .
11.4.1 Dual (/conjugate) exponents
are dual if
Every has precisely one dual exponent, namely
If and are dual, then
- proof, ⇒ . then above becomes

YOUNG’s INEQUALITY
Let be dual (trivial for 1). Then
PROOF
- (not shown here)
- exploits stuff about convexity.
11.4.2 Hölder’s inequality
THEOREM
Let be dual exponents. If ℒ and ℒ , then ℒ and the
following inequality holds.
PROOF
Recall Young’s ineq.: for all
We have , ℒ , ℒ
Want: ℒ and .
ASSUME ∷ and (then -a.s. and then ineq. becomes , ok)
ASSUME further that
- Otherwise note that , i.e. , where and ℝ.
- (remember similar shit from analyse 2)

By Young,
93
Both sides are integrable (??) so
∎
COROLLARY, CAUCHY SCHWARZ (particular case where )
If ℒ , then ℒ and
(only one extra step from Hölder of moving the abs.val. outside the integral.)
11.4.3 Minkowski’s inequality
THEOREM
Let . If ℒ , then ℒ and
This gives us that defines a seminorm on ℒ !

PROOF of Minkowski
Recall
oung
l er
Just use Hölder

For ⇒ proved already ( proved on first slide)
.
Hence, dual exponent .
Let’s look at
want to use Hölder here, so we need a product of functions
Now we apply Hölder to each of these integrands

we note that ℒ
→ need to show that ℒ
- CLAIM ∷ ℒ
- PROOF
- since ℒ (vector space).
Now we need the -norm of the sum
94
By Hölder’s ineq applied for ℒ ℒ , we get

l er
ℒ ℒ
(by the calculations above in )

And the other,
l er
By adding up, and recalling
If , divide by to get conclusion.

∎
11.4.4 Convergence in the normed vector space based on the seminormed
THEOREM
with the norm is a normed vector space when the functions in ℒ are collected in equivalence classes.
- where , -a.s
11.5 Pointwise implies ℒp conv when int upper bound

INTUITION
Although none implies the other, we get one way if we have an integrable upper bound.
THEOREM
Let ℒ and . Suppose there exists ℝ such that
If there is an integrable upper bound ℳ for the sequence , then ℒ and
PROOF
FIRST SHOW ℒ ℒ ℒ.
“⇒”
We know pointwise and int.up.bound.
Since also ,
Then ⇒ ℒ.
“⇐”
The sequence of functions
converge to the null function on with an integrable upper bound given by

- (since and )
95
NOW we use the Lebesgue dominated convergence theorem to get the result.
lim lim
11.6 Relationship p-norms for different ps

THEOREM
Assume .
If then ℒ ℒ and moreover
ℒ
PROOF
Want to use Hölder, so we need to obtain an integral of a product.
Note, ℒ ⇒ ℒ .
- Why? simple. consider since ℒ .
Now, note that ℒ
- Why? Well since
- Aha, so the constant function 1 is only integrable in this case because we assumed …
Ready to apply Hölder
ℒ ℒ
CLAIM and are dual

PROOF add them
Then Hölder gives
you o the math
∎
REMARKS
- If we have
ℒ
WARNING
- If , there is no general relationship between and .
11.7 Simple ℒp functions are dens in ℒp

PROOF
If ℒ with , then we can find in so that
As , ℒ , and since pointwise, and is an integrable upper bound for the sequence ,
we deduce that lim .
If ℒ arbitrary, we write .
As above find ℒ so that and in ℒ sense.
96
… DIDN’T GET THE LAST PART …
11.8 Completeness
Let be a pseudo-metric space.
in is Cauchy if ℕ ⇒ .
Any conv is Cauchy
is complete if every Cauchy is convergent.
11.8.1 (infinite) Series in spaces with seminorms
vector space with seminorm .

is convergent with sum if and only if
The series is absolutely convergent if
CONVERGENCE PRINCIPLE
- an absolutely convergent series is always convergent.
- Holds true in many vector spaces (but fails in some).
- Which class of vector spaces does it hold for?
THOEREM
(seminorm) is complete if and only if the convergence principle for infinite series holds true.
11.8.2 Riesz-Fischer completeness theorem
The normed spaces are complete (Banach)

In particular, is a Hilbert space.
12 Probability theory
12.1 Measure theoretic view on an experiment.

An experiment is described using a probability space .
12.1.1 Representation sets,
The set is the representation space.

Most often is the potential outcomes of the experiment.
- (typically represented by numbers)
97
- (sometimes extra points are added for mathematical convenience, e.g. heights measured on ℝ althougn no
one has height < 0)
The outcome of the experiment is a point .
EXAMPLES
- ℝ (or perhaps just ℝ ) if the outcome is a single real number (e.g. height)
- ℝ if we measure the height of individuals
- ℝ if the outcome of the experiment is numbers, each with a decoration (0 or 1)
- E.g. with mortality, ℝ time until death and death not observed.
- Time to the first of two events; death and censoring.
Jander’s ant experiment
- Ants placed in the centre of a circle – start walking towards the edges “in a random direction”
- Ants tend to walk away from light and towards to the plate that looks like their nest.
- Representation set; points on the circle → since we have ants; ( copies of the circle)
- Note, more natural to take the circle itself, not the angle (since for the ant but “not
as a number”)
12.1.2 σ-algebra,
is the σ-algebra on
Sets in are called events.
One event could be all ants go irectly towar s the plate
SMART ∷ non-measurable sets can be thought of as “so ugly that we can’t decide if they’ve occurred or not”.
12.1.3 Probability measure, ν
The probability measure represents …

(hard to say – has to do with interpretations)
1) The behavior of the experimental system in a large number of replications
a. Frequentist view!
b. is a property of the coin.
c. Probabilities are objective
2) Our expectations to what will happen
a. Bayesian view!
b. is a property of the mind of the experimenter.
c. Probabilities are subjective.
12.2 Frequentistic thinking

In a representation space, , consider a set . With respect to , there are two events.
1) occurs
2) doesn’t occur.
98
In independent replications of the experiment, sometimes will occur and other times not. After
replications with outcomes , the empirical frequence of occurrences is
EMPIRICAL EXPERIENCE
- For any “reasonable set” , the empirical frequence will converge to some limiting value as
.
POSTULATE ∷ The limiting set-function converges to a limiting function that is a probability function.
EXAMPLE
Let’s make draws from a Cauchy distribution and consider the event .
We look at plots of .
12.3 Transformation of an experiment
12.3.1 Example: dice roll
Consider the map
In essence, we reduce a dice roll to a coin flip.

Questions
If the dice is symmetric, will the virtual coin also be symmetric?
- We will argue on the virtual coin by arguing on the transformation
12.3.2 Formally
Let be the experiment

Let be another measurable map and let be measurable.
OBSERVATION
If we forgot the original outcome and focus on the transformed result ,
→ then the relevant representation space is
FREQUENTIST ARGUMENT
replications with results becomes with . If ,
WOW!
This is why we learnt about image measures!
99
12.4 Stochastic variables
Can we always think of some larger experiment behind what we observe?
YES! We can think of as the large, background experiment.
Consider the map such that .
INTERPRETATION
is the space of potential world destinies.
The Goddess of Fortune drew a world destiny at the dawn of time
→ the dice throw earlier (just as everything else) is just a function of .
The stochastic variable represents the translation from world destiny to the outcome of the actual
experiment .
The common storyline

In the framework with the background experiment and our actual experiment .
We describe the experiment by explaining
1) where has values
2) what the distribution of is (i.e. the image measure )
12.5 Notation
CONVENTION ∷ write instead of .
Consider an event in .
We are interested in the probability
12.6 Distributions on ℕ0
Let’s look at distributions on ℕ
Any probability measure ν on ℕ has density with respect to the counting measure , since
counta le isjointness ℕ counta le int of a fct
meaning presicely that has a density wrt. .

HENCE ∷ it’s enough to specify the density wrt. the counting measure.
12.6.1 Bernoulli distribution
The Bernoulli distribution has probability function

for
where .
If we use stochastic variables for the formulation;
100
INTERPRETATION
Urn with red and black balls. The fraction of red balls is .
The Bernoulli distribution describes the random draw of one ball, where
if the all is lack
if the all is re
12.6.2 Other distributions
Hypergeometric
Drawing balls from an urn without replacement.
Setup;
re alls
lack alls
⇒ alls in all
We pick balls without replacement from the ball.
re alls picke
Then
It’s an association of point masses that sum to one.
Binomial
Drawing balls from an urn with replacement.
Negative binomial
(bad word)
Waiting time to the ’th red ball in drawings with replacement.
→ so we keep picking until we see the ’th.
(also a negative hypergeometric
Polya
Urn draws with complicated rules for replacement
Poisson
Lives on the entire ℕ
CHECK ∷
101
power series for
12.7 Densities on ℝ wrt. the Lebesgue measure

Suppose distr of has density ℳ wrt
Probability measure if
NOW ∷ think ℝ ℝ
- But in fact, we look at ℝ ℝ

- and will land in almost surely.
THEOREM
Let be a real-valued stoch var. Assume the distribution of has density wrt . Let ℝ ℝ be a Borel
measurable map. If and are two open intervals such that
1) maps bijectively to
2) is a map on
3) ,
Then the stoch var has density wrt. where
12.7.1 Examples
Densities are typically given in a basic form
(where is a normalization constant so that the density integrates to one (i.e. we get a prob.measure))
Here, is a shape parameter and an etended form is
where ℝ and are position and scale parameters.

EXAMPLE
Let’s first forget about normalization
Assume has density wrt.
Transformation ℝ .
→ NOTE! is bijective ℝ ℝ (when )
102
Hence, we may take ℝ.
Let’s see if is invertible
Hence,
and
So
12.7.2 Elementary distributions on ℝ
Uniform
In other words, (the restriction of the Lebesgue integral to )

With scale and placement:
Exponential distribution
No memory!
Radioactive decay.
Good distribution for describing surviving times when no reason for the death is present.
Cauchy
Relation between these?

If is uniformly distributed on then
log
is exponentially distributed.
log
is not globally bijective but maps bijectively to .

Starting to look like the theorem… we need the inverse:
103
log
log
Now, has density wrt.

What will the density of the transformed variable be? has density
wrt. , in other words

since
hence
For Cauchy
uniform
tan
has Cauchy
Hundreds of others can be seen in the book

… look them up when needed…
13 Probability theory cont’d
13.1 Motivation: need for a descriptive theory

Want to address
- How do we attach numbers to a probability measure which in some sense characterizes the behavior of
the measure?
- What can we say about the differences (not subtracted) between two probability measures?
Moments will say something about that
13.2 Moments of a prob measure

We say that has ’th moment for some ℕ if the function ( ℝ) is -integrable.
If this is the case, then is the ’th moment (with | | it’s the absolute moment)
104
13.2.1 Moments of a stochastic variable
Recall
ℝ
real-valued stochastic variable, where is -measurable.
We can use to create a measure,
istri ution of
- It is a prob measure on ℝ
- → in fact, it’s the image measure of under the measurable map
- because
- (where measurability of ensures that so that we can let work on it)

According to Theorem 19.8 (abstract change of variable formula), we get
- (last rewriting just suppresses the argument)

Hence, has ’th moment if and only if
EXPECTATION
For Stoch var, we talk about expectations
13.2.2 Linearity of the expectation operator
LEMMA
If has first moment, then has first moment for any ℝ and
- (note that since is a probability measure, integrates to 1)

PROOF
(has first moment)
First, we see that
so has first moment ( ℒ ℒ)

Alternatively:
is a vector space!
(the formula)
105
13.2.3 Central moments
If has ’th moment, we define its ’th moment around by
Note that is a polynomial in of degree , so we know that this moment exists

WHY?
BECAUSE
If has ’th moment for some ℕ, then has ’th moment for all .
Proof:
has k’th moment for some k ℕ
has m’th moment for all m k .
Why? because
ℒ ℒ
when is a finite probability measure.
Central moments
… easier to interpret than “raw” moments
’th central moment
In particular the second is interesting
13.2.4 Variance computation
LEMMA
Assume that has second moment, then
PROOF
Now use, that has second moment ⇒ has first moment

and that has first moment and ℝ is constant (thus has first moment)
Then use linearity:
∎
LEMMA
If has second moment, then ℝ,
PROOF
has second moment.
To show:
106
13.2.5 Variance and degenerate distributions
LEMMA
Assume has 2nd moment. Then . Moreover, equality -a.s.
PROOF
has 2nd moment ⇒ has 1st moment, call it .
The rest is proven by int = 0 f = 0 a.s.

∎
13.3 Convex functions

Convex
DEFINITION
ℝ ℝ is conved on an interval if
for all and .

THOEREM
Let be differentiable on the open interval ,.
If is increasing on then is convex on
If is strictly increasing then is strictly convex.
REMARK
Normally, if is twice diff, if then is convex ( ⇒ strictly convex)
BUT ∷
- the theorem works for as well
- also, while ⇒ strictly convex, but strictly convex, but .
- however, strictly convex
PROOF
Let , (always possible to chose like that when )
diff ⇒ such that
But, is increasing on and (by the intervals they are chosen from),
107
⇒
But then
now, was arbitrarily chosen in .

so we can always write
Use this and rewrite
It may be shown as well for strict inequality by employing stricts through the proof
∎
REMARKS
Consider
since ,
⇒ exp is (strictly) convex
13.3.1 Application: proof of Young’s inequality
Let be dual exponents , the following holds
PROOF
Follows from convexity of the exponential function
exp ℝ
applied to
log log
so the ineq for exp becomes, by using
exp exp exp log
13.3.2 Stability of the space of convex functions
If convex, then max convex.

proof, write
max
max
… something
108
EXAMPLE
The function
max
as the maximum of two affine functions is convex on the whole ℝ.
Similarly
max
and are convex.
13.3.3 More on convexity
Convexity can be rephrased in terms of quotients
something holds
ALSO
convex on interval ⇒ continuous on interior of .
(⇒ every convex function is measurable)
THEOREM
Let be diff from both left and right at every point , furthermore in then
where
lim
and similarly with .

It follows from the lemma with inequalities on fractions.
13.3.4 Separation
THEOREM
Let be convex on .
For every interior point , there exists ℝ such that
If is strictly convex on then can be chosen so that the inequality above is strict for all .
INTUITION ∷ i.e. a line (hyperplane) can be constructed going through a point on the graph of where the
function is above the line (strict for strict convexity)
PROOF
By replacing with its interior, we may assume that is open.
Given , we know that and exist
Let
Let . Suppose that .

109
There exists with . We get
Multiply by and rearrange terms to get the conclusion;

⇒
(similarly if )
∎
13.4 Jensen’s inequality

THEOREM
Let be real-valued stochastic variable defined on prob space and let ℝ ℝ be measurable.
If is convex on an interval with the property that and if both and have first
moments, then
Moreover, if is strictly convex, the inequality above is strict unless is degenerate ( -a.s)
PROOF
If , and , then by lemma 16.4,
⇒ is an interior point of .
- INTUITION ∷ If is bounded, then . Show that .
But then se separation theorem can be applied – when we have an interior point, we can create a line with the
graph above it.
- i.e. interior ⇒ ℝ so that .
Let’s use it on the interior point .
convex on so by separation theorem, ℝ so that
as
- (note, should be read -a.s. – think of both sides as functions of
, although e.g. is just a constant, but we may think of that as a constant function)
Then take expectations on both sides:
13.4.1 Application of Jensen’s inequality
Let’s apply Jensen’s on , which is strictly convex.
for any non-degenerate stochastic variable . It follows that
‼‼‼‼‼‼
110
HUSKEREGEL!
This should help remind which way Jensen’s inequality goes (otherwise we’d get negative variances;)
13.4.2 Arithmetic vs. geometric mean value
Jensen gives that

on log well defined and convex on
log
blah blah either is greater than the other
13.4.3 Small and large moments
THEOREM
If has ’th moment, it follows that
PROOF
Since , the function is convex on the whole ℝ.

Therefore by Jensen
REMARK
rephrasing of why larger ℒ spaces are contained in smaller (for finite measures??)
13.5 Distribution functions

DEFINITION
Let be prob measure on ℝ .We define the distribution function of as the function
ℝ
THEOREM
A probability measure on ℝ is uniquely determined by its distribution function.
PROOF
Suppose are probability measures with the same distr.fct., i.e. so that
ℝ
claim
Now, note that

ℝ
is an intersection-stable generator of ,
hence, the uniqueness theorem for probability measures gives the desired conclusion.
111
13.5.1 Characterization
THEOREM
The distribution function of a probability measure on ℝ has the following properties
1) is increasing
2) F
3) as
4) as
REMARK
The Lebesgue-Stieltjes theorem: A function which satisfies the above four conditions is the distribution
function of a (uniquely determined) probability measure on ℝ
PROOF
1) Take in ℝ, show . But , and by monotonicity
.
2) Show: right-cont at every ℝ.
a. Consider s.t. as . To show: .
b. Well, that it decreases follows from 1).
c. Since , we get
d. and
e. Downward continuity of implies the desired.
f. NOTE ∷ downward.cont requires finite measure of the intersection (i.e. just finite of one of the
members) → but ν is that since prob
14 Prob cont’d
14.1 Distribution functions

We wanted to characterize measures
- Numerically @ moments
- As a function: distribution functions;
some properties
5) is increasing
6) is continuous from the right at every point
7) as
8) as
She proves continuity
COMPUTING general intervals
is inite
112
where we define
lim
14.1.1 Jump points
We’ve seen that for all ℝ
Since is right-continuous at every ℝ, it follows that

is iscontinuous at
We call a jump point of . Denote
ℝ
LEMMA
is a countable set
PROOF
We can express it as
CLAIM ∷ , ℝ
PROOF
See that ℝ ℝ
woah…
∎
∎
14.1.2 Support of a probability measuer
First we need to think of cont vs. discrete distributions

1) is a continuous distribution if , that is, is continuous at every point ℝ.
a. E.g. all distributions with density wrt. Lebesgue
b. NOTE ∷ there exist a few pathological examples of continuous distributions which don’t have
density wrt. Lebesgue.
2) is a discrete distribution if .
a. All distributions concentrated on ℕ , empirical measures.
DEFINITION
- ℝ is a point of increment for if
- The set of points of increments for , denoted is called the support of .

THEOREM
- The support is the smallest closed subset of ℝ having -measure equal to .
113
Examples
Computing distribution functions
Continuous distr
If has density wrt. , then
Why?
Discrete
loor
14.1.3 Distr.functions and transformations
THEOREM
prob distr fct . ℝ ℝ measurable continuous and strictly increasing on an interval . Set . If
then
where is the unique element in mapped by to .

NOTE
→ this theorem addresses all sorts of measures, not just those with densities (which was the case in §12.2)
EXAMPLE
Let , ℝ
ℝ
14.2 Joint and marginal distributions – multidim distr
14.2.1 Setup
Background and two measurable spaces ,

and stochastic variables and (stoch var = measurable)
Product space
Consider the product/whatever
- will be measurable by the pipeline lemma.
- Hence, is a new stochastic variable taking values in the product space.
The marginal distributions are the image measures and
The joint distribution is the image measure .
LEMMA
114
The marginal distributions of and can be recovered from the joint distribution
PROOF
Joint distribution of is .
RECALL
… but we already know this last measure

NOW
We know, we can find all
Then for all we have
has full measure
but the last one is an example of , hence we already know how to measure .
… similarly for .
14.2.2 Marginals
Let and be two σ-finite measure spaces

prob measure on
LEMMA
If for som e ℳ then the marginal satisfies where
PROOF
Let . By Tonelli
as we wanted.
Similarly, has density wrt. , where
THIS IS (like in) LEMMA 12.2‼

∎
14.2.3 Marginals of joint distributions with densities
Where and and , we obtain the following result
115
LEMMA
Suppose
Then
where
14.3 (regular) Multivariate normal distribution

A regular normal distribution on ℝ has density wrt. Lebesgue given by
exp
et
- Where vectors as usual are column so that exp scalar
- (non-regular normal distributions are pathological and do not have a density wrt Lebesgue)
EXAMPLE
For ℝ
⇒ et ⇒ is inverti le
So for ℝ let’s compute
so the density has the form
14.4 Independence
Let and be stochastic variables defined on the same prob space taking values in the measurable
spaces and
DEFINITION
and are independent if and only if
One writes (OBS! Skal være med to lodrette streger (på én vandret))
Probabilistic formulation
why?
116
14.4.1 Indep for two or more stochastic variables
DEFINITION
are independent if and only if
One write .
PROBABILISTIC formulation
14.5 Product of measures with densities

Let and be σ-finite measure spaces.
Let be σ-finite measures on hver sit space
LEMMA
If and , then where
PROOF
Take sets and . Want to show: agree on which is a generator for stable under
intersection
By Tonelli
(inserting definition and using Tonelli to convert to iterated integrals (since ℳ ))
so we’ve shown that the measures agree on a generator for stable under intersection, so they are the
same.
14.5.1 Independence and densities
Let and be σ-finite measure spaces.

Let and be stoch var
LEMMA
117
Suppose that
(i.e. that has density wrt and has wrt )

If and are independent, then
“INTUITION”
- RECALL ∷ Previous lemma ∷ conclusion was
- NEW setting
istr of
- Well, in general, the tensor need not have to do with their product
- But when they’re independent, then (by definition)
14.5.2 Independence and generating systems
Let and
THEOREM
If
Then and are independent

REMARKS
Not proved here.
Idea ∷ we don’t need to check product-shit from indep.definition for every set in the σ-algebra
→ again, we can focus on the generator.
14.5.3 Independence and permutations
RECALL
- An -permutation is a bijective map
THEOREM
Let
and if is an -permtation then
PROOF
118
Key observation: both sides of the relation
since
- is a product and order doesn’t matter (invar to permutations)
- , and intersections are invariant to permutations
- (recall, underneath lies )
REMARKS
tells us: they’re stoch.vars. defined on the same probability space
14.5.4 More on indep
THEOREM
If ,
then .
PROOF
For this, take .
To show:
Need to extend somehow to be able to exploit assumption
as required.
∎
COROLLARY
IF are independent,
then for any indices ,
the stoch vars are indep.
THEOREM
If
Then
(where is the bundled variable (function))

PROOF
We have two variables – to show: they are independent
Take and .
To show:
BUT ∷ It suffices to take

- , ,
- , ,
119
- BECAUSE is an intersection-stable generator for
so
so by independence of the set altogether
But now we use the theorem from before

- since , we get that (and for the rest).
- Hence
which is what we wanted

∎
14.5.5 More on independence
WARNING!
Let
If for all , then it does not necessarily follow that
‼‼
THEOREM
Let be stochastic variables on common space
IF
an
then .
PROOF
Let , , .
To show
BUT let’s look at
as desired
∎
REMARKS
(first step: think:
120
14.6 Separate transformations and indep
and for
THEOREM
if , then
PROOF
Let and then
hurray, ,
∎
APPLICATION
independent ⇒ independent…
hard to prove otherwise.
14.7 Covariance
Let and be real-valued stochastic variables defined on and assume that both have 1st moment
(i.e. ℒ , i.e. )
DEFINITION
We say that the joint variable has covariance if and only if the product has 1st moment. In the
affirmative case, the covariance is given by
we obtain
(the requirement that has first moment ensures )

LEMMA
If both and have 2nd moment, then has covariance.
PROOF
use Hölder (or, rather, Cauchy-Schwarz)
For direct proof
121
from which we deduce that
14.7.1 Covariance and independence
If and are independent real-valued stoch var both having 1st moment
then has 1st moment and
Inparticular, has covariance and .

PROOF
This is an application of Tonelli and Fubini.
Suppose: have 1st moment ( )
moreover,
⇒
Let’s estimate
hm a str chg var
we want to get to iterated integrals,

for this, we exploit independence ∷
Now use Tonelli, since “ ℳ ”
HURRAY, done!
By using Fubini instead of Tonelli, we get
∎
INTERPRETATION
Covariance means “lack of independence”
WARNING
Certain kinds of dependence are not reflected in the covariance. By this we mean to say that does not
necessarily give that
(example something)
122
14.7.2 Bilinearity
Let be stoch
THEOREM
If has covariance, then
Furthermore, ℝ,
PROOF
∎
THEOREM
If both and have covariance,
then has covariance and
PROOF
has covariance ℒ
has covariance ℒ
⇒ ℒ since ℒ is a vector space
but so we have that has covariance.
…
show the rest for yourself
∎
14.7.3 Variance and covariance
If has 2nd moment

then has covariance and
LEMMA
If both and have 2nd moment, then
(note 2nd moment ⇒ variance exists)
PROOF
(by the shit just shown above)
123
∎
REMARK!
From this it follows that
⇒
15 Distr fcts and multivariate fun
15.1 Quantiles
Can more or less be understood as the inverse of a probability function.
15.1.1 Recall: distribution functions
For a measure on ℝ we define the distribution function as

ℝ
THEOREM ∷ a prob measure on ℝ is uniquely determined by its distribution function.
THEOREM ∷ a distribution function satisfies that
1) is increasing
2) is right-continuous
3) for .
PATHOLOGIES
- Jumps in the graph of
- (then the value will be what comes from the right)
- An interval where for all (flat graph)
15.1.2 Quantiles
We want to take the inverse of .

⇒ need to establish when will be bijective.
When is bijective we may define the -quantile as .
When is not bijective, we introduce a combinatorial construction
DEFINITION For , the -quantiles are the set
ℝ
- When is continuous ∷ (hvor , det er der kun et af)
- When is discontinuous ∷ the jump interval (where is the jump point,
and
- When has a “flat interval” ∷ the constant value on the flat interval ⇒ the flat interval
CONJECTURE
PROOF (by a “funnel argument”)
124
A funnel argument ∷ find such that , find s.t.
- (in fact, sufficient to find s.t. since .
Then, find those such that “ ”
Now consider
and let’s find . Then cut the interval in half depending on what happens in the midpoint.
- If take
- If take
In both cases ∷ we have a new interval, such that
Moreover
so we’ve found a new interval with half length but with the same properties.
REPEAT
Find
suth that ,
- funnel = tragt (Danish version: “ruse” (like the fishermen use)
Completeness of ℝ implies that there exists .
TO SHOW ∷ is a -quantile, i.e. it must satisfy ℝ
AD ∷
- Note that , hence
lim y right continuity
AD ∷
- so
because is left-continuous

15.1.3 Basic quantile theory and quantile functions
LEMMA is non-empty compact interval (or a point) for any

LEMMA ∷ let . If
- is a -quantile for
- is a -quantile for
- ⇒ then .
Quantile functions
DEFINITION. A quantile function for is any function ℝ that satisfies that is a -quantile
for any
- Always possible – sometimes there is a whole interval where we only need to pick one.
125
- Attempt to create inverse more generally
NOTE ∷ a quantile function is always increasing
THEOREM ∷ Let be a ℝ -measure with cdf and let be a quantile function. It holds that
sup
REMARK ∷ I.e. we can recreate the cdf from the quantile function.
EXAMPLE
Pick ℝ. Define such that “divides their preimages”
NOTE ∷
- are intervals ∷ since is “voksende”, we can write (semiclosed?) and .
- and .
Consider ∷ maybe , maybe . We can prove, that .
QQ-plots
DEFINITION ∷ A QQ-plot of two probability measures on ℝ is a graph of the form
ℝ
- We plot the quantile functions for each measure against oneanother
- If the two distribution functions are the same, then , then the QQ-plot would just show us the
diagonal, i.e. the line .
IN PRACTICE
- Compare the empirical distribution with the (hypothesized) theoretical distribution.
- We use the empirical distribution function, , where the ’s are one-point-measures.
- EXAMPLE
- Three observations, ↷ .
15.1.4 Quantile functions of transformed measures
THEOREM
Let be a probability measure on ℝ with distribution function , and let be a quantile function for .
Let ℝ ℝ be a measurable function, increasing on an interval .
If then is a quantile function for .
REMARKS
Note that , ℝ
DIFFICULTY ∷ is not continuous, and it’s only weakly increasing.
PROOF (in the case that is strictly increasing on and is continuous and strictly increasing.
TO SHOW ∷ , , is a -quantile for
So, we want to compute
126
- since is increasing, all ’s that make some number ⇒ will make some number
since is continuous.
But this means precisely that is a -quantile for .
∎
POINT
You can transform quantile functions and get quantile functions for transformed measures.
15.1.5 Corollay: transformation and the uniform distribution
INTRODUCTION
uniform istri ution on
istri ution function
Hence, the cdf of Uniform(0,1) is zero up to , the “diagonal” for and constantly 1 for .
QUANTILE FUNCTION
Corollary
Let be a continuous probability measure on ℝ with distribution function . Then is the uniform
distribution on .
ILLUSTRATION
Let be a quantile function for .
has quantile function (by the theorem before)
Note that
WHY?
- satisfies ,
- and since we assumed that is continuous.
Corollary
Let be a probability measure on ℝ with quantile function . If is the uniform distribution on ,
then .
PROOF
has quantile function .
The uniform distribution has quantile function
127
Then has quantile function (since is the identity transformation)

now appeal to the uniqueness of quantile functions.
∎
COROLLARY
NOTE THAT THIS MEANS THAT BY SAMPLING FROM UNI(0,1), WE CAN SAMPLE FROM ANY
DISTRIBUTION!
- seq_of_uni = randuni(10,1)
- seq_of_normals = quantile_normal(seq_of_uni)
- … where quantile_normal is the quantile distribution for the normal distribution.
COMPUTATIONS
If you want random number generators, it is enough to write a good algorithm for sampling uniform variables
and then just take the normal quantile function on the sampled values.
15.2 Correlations
15.2.1 Bundled stochastic variables
We have a background space and two stochastic variables, (with space ) and (with space
)
We might also bundle the stochastic variables into , having values in .
LEMMA
The marginal distributions can be computed in this fashion
- since is an “empty statement”

DEFINITION
and are independent if and only if
and we write (with two vertical lines but word can’t do that)
PROBABILISTIC PHRASING
15.2.2 Covariance and independence
Let and stochastic. Assume they have 1st moment.

DEFINITION
The bundled variable has covariance if the product has 1st moment. In this case, the covariance is
A simple computation shows
THEOREM
128
st
If and are independent with first moment, then has 1 moment, and
In particular, has covariance, and .

PROOF by Tonelli and Fubini
INTERPRETATION ∷ covariance measures deviation from independence.
- WARNING ∷ many forms of dependency implies zero covariance.
15.2.3 Correlation
Cauchy-Schwarz’ inequality ∷ if and have 2nd moment, then
C-S ∷
⇒
APPLY this to and , we get
DEFINITION
The correlation between and is
OBSERVE that .
RULES
THEOREM
If
there are ℝ such that holds -almost surely.

PROOF
Consider
where and and .
Now
y a ove
y normalization
As we see that a.e.
129
∎
REMARKS
Only detects linear dependency.
16 Multidim
16.1 Moments for Stochastic Vectors
THEOREM
Let , where ℝ and is
If the -variables have 1 moment, then the -variables have 1st moment and
st
If the -variables have 2nd moment, then the -variables have 2nd moment and
is ilinear
whereas
… something something…
COROLLARY
The variance matrix is symmetric and positive semi-definite
ℝ
“Proof”
Symmetry follows from the fact that
Positive definiteness:
Take ℝ and let .
→ formula gives
130
(since is a real-valued ),
16.1.1 Ordered variables
Consider the map ℝ ℝ given by
where are the ordered values of the ’s.

EXAMPLE
- If we consider , we see that min max .
DISTRIBUTION FUNCTION FOR ORDERED VARIABLES
THEOREM
Let be independent, all with cdf . For , the variable has cdf
PROOF
at least es are exactly es are
exactly es are
Ok, so how do we calculate this fucker?

→ let’s decide precisely which of the ’es are smaller.
Take such that and .
exactly es are
es are in ep
(since there are precisely elements in and elements in .

all elements of sum have same value
Ok, so
exactly es are
but
exactly es are
∎
131
REMARKS
So the idea was to translate from “at least ” to “precisely ”.
EXAMPLE ∷ uniform distribution,
for we see that
long te ious calculations
16.2 Tabulation
Let be independent, identically distributed variables with values in . Assume that
The ’s are classification values (or types).

E.g. we have individuals, who may work in one of different sectors.
Instead of just listing all values, we may just list how many are of type
- E.g. we have 100 people, 8 teachers, 41 students and 51 workers.
FORMALLY
of type
The is the formal way of making a table – is a cell count.

NOTE
inom
CHALLENGE
Find the joint distribution of
MORE FORMALLY
We consider the map ℕ given by the formula
and we let
132
NOTE
we know that
If the first of the ’s are known, then the last one is also known. Hence, the ’s can’t be independent.
16.2.1 Theorem
THEOREM
Assume that
Let be the tabulation of the ’s. The is multinomially distributed with and probability
vector .
PROOF
TO SHOW
WHY?
Note that
But this means that
but what is the probability of one specific -sequence, i.e. what is ?

something something something
→ well, something like
- but the something’s are known – they’re in the table (they are the sum of observations of category .
NOTE! There are no ’es in this expression!

no of elements in
TO SHOW: multinomial coefficient.

But this is the same as asking “how many -sequences will give rise to in category , …, in category
?
- Let’s first place those in category 1: we must find people out of the people total ∷
- Let’s place the second: we have available places and must pick ∷
- …
133
- The last: we have places left and need to place people. But so this is just
one (no freedom left)
…
- The total: use the multiplication principle
16.3 Convolution of measures

Let and be probability measures on ℝ .
Consider the function ℝ ℝ given by
ℝ
DEFINITION
The image measure
is the convolution of and .

THINK
We start out with two measures on ℝ
Then we use “ ” to create a measure on ℝ
Then we use to “go back” to a measure on ℝ.
MORE
Let r ℝ be the set of probability measures on ℝ .
As an algebraic operation on r ℝ , we see that is commutative and associative
- I.e.
- and
Q: Is there a neutral element?
A: YES! , the one-point measure in zero is neutral so that .
⇒ hence, we have a monoid.
Also, ⇒ .
16.3.1 Interpretation of convolution – equivalent of summing, but for measures
Let and be real-valued stochastic variables, defined on .

THEOREM
If and are independent, then
PROOF
We have two stochastic variables , both going from to ℝ.
We might also bundle the pair and consider from to ℝ .
→ and then we could use to go from ℝ to ℝ.
134
GOAL ∷ we want to say something about the image measure on ℝ .
Now we assume (burde være dobbelt lodret streg)
Then it turns out that
and by successive transformation,
now use that
∎
IN WORDS
Whenever we have to independent stochastic variables, the sum of them will have a distribution, which will
be the convolution of the marginal measures
THINK OF IT AS ADDITION OF TWO MEASURES!
(you don’t convolute stochastic variables, you add them – you don’t add measures, you convolute them)
16.3.2 Convolution of discrete measures
THEOREM
If and are concentrated on with point probabilities
Then is concentrated on . Hence, it can be described fully by it’s point masses, which are
PROOF
First, let’s disregard the nullset .
Those are disjoint
now use independence
135
16.3.3 Example: convolution of binomial distributions
Let with
in
We describe by it’s point probabilities since this will characterize it
where we don’t write the limits since we know that both and should be positive
- (we could write the sum out for to but there will be zeros)
NOW insert the pdf for Bin
hence
in
∎
PROOF OF
Let’s prove it using generating functions
Hence, we can identify the binomial coefficients in a expansion of

Now
which is a product of two polynomials.
now let
(this thing is called Cauchy multiplication)

POINT
136
We started with a polynomial and we ended with a polynomial of the same degree
⇒ hence, the coefficients must agree
Identifying coefficients,
CONCLUSION
If the success probabilities are the same, then the convolution of binomials is again binomial
(i.e. the sum of two binomials with same prob is again binomial.
16.3.4 Convolution of Poisson distributions
Let and
oisson oisson
“PROOF”
where again we’ve used thoughts on the concentration of and to avoid writing the entire infinite series
would be nice, if was a binomial bandit, but it can be
now apply the binomial theorem and get
but this is precisely the Poisson point mass with probability computed in the point
⇒ hence oisson
∎
16.3.5 These are two of the three only examples where this happens
We don’t really have any other types of distributions that have convolution stability.
(the NegBin has the same property)
137
16.4 Convolution from distribution functions
SETUP
We have and have the marginal distribution functions.
We want to take the bundled and then use and find the marginal measures by .
THEOREM
Let have distribution and distribution function . Let have distribution and distribution function . If
, then has distribution function given by
REMARKS
Use the integral, where we know the most about the measure being integrated with respect to…
i.e. if we know in great detail, compute by the first integral.
PROOF
where ℝ ℝ
but because of independence, we know that
Tonelli gives
use that is fixed in the inner integral
16.5 Convolution from densities

MOTIVATION ∷ would be much better if we could find a density
→ setup here: suppose and have densities wrt. Lebesgue
COROLLARY
such that
Then has density wrt. where
138
PROOF
Observe that is an ℳ function
- measurability goes by where all is measurable
So is measurable, since a function measurable in both coordinates, where one is integrated out, is meas..
NOW
Construct
let’s switch the order of integration
let’s do the substitution so

and let’s cheat instead of using monotone convergence and substituting on a finite interval
(and let’s not dvæle at the difference between the high school substitution (which only holds for continuous)
and the real substitution for Lebesgue, hidden somewhere in the transformation results
So
and since ” ” , by the theorem before, we get the same thing and since the cdf
uniquely determines the distribution, we get the result we want.
16.5.1 Convolution of normal densities
If and are independent and if
then
REMARKS
- the parameters of are not surprising
- the main result is that the distribution is in fact normal.
DO IT YOURSELF
- very long computations
139
16.5.2 Convolution of gamma densities
If , and if
then
17 Transformations of multidimensional measures
17.1 Differential calculus in R^k

Let ℝ be an open set and let ℝ be differentiable
The derivative in a point is
IDEA OF DIFF ∷ If is differentiable in , then is approximately affine.

- in a sense, differentiability is approximate affinity…
We say that is if the partial derivatives are continuous.
CHAIN RULE
ASSUME
1) ℝ ℝ is diff in
2) ℝ ℝ is diff in
(although we only need then defined in a neighbourhood around )
THEN the composite map ℝ ℝ is diff in and
→ this is a matrix product!
17.2 Nice transformation

We consider a map ℝ ℝ (the same dimension!) and open sets such that
2) is on
3) is on
INTUITION
- . Note that is not open in general!
- being ∷ this is why we need to be open
140
NOTE ∷ chain rule ∷ and ⇒
INTERMEZZO
- Let’s compute
- First, prior to usin the chain rule, note that the identity map,
o But note that
- Now use the chain rule
⇒ an are the inverses of each other

- d
RESULT
Then , where is given by
et
READ ∷
- is the restriction of (Lebesgue) to the set , i.e. (where is the Lebesgue
measure in ℝ ). In other words,
- In other words, has density wrt. the Lebesgue measure in ℝ .
- So below we have the density of wrt. .
et
17.3 Applying this result
17.3.1 Translations – proving translation invariance of the Lebesgue measure
LEMMA
If ℝ ℝ is given by , where ℝ
then
NOW let ℝ ℝ be given by for some fixed ℝ

- (this is a translation)
NOTE is globally bijective ℝ ℝ with
ℝ
the derivative is then (applying the above)
(just as )
IMAGE MEASURE
What happens with
The result from before said
et et
141
hence
CONCLUSION
What we’ve concluded is that the Lebesgue measure is translation invariant.
17.3.2 Isomorphisms
Let be an invertible matrix and let ℝ ℝ be the linear map
NOTE!
- Globally bijective ℝ ℝ
- and .
Derivatives? – yeah, this is an affine map
similarly
Transforming lebesgue
is what?
Let’s use the general formula, (note, we skip the collage form since ℝ ℝ
et et
which is a constant since is invertible.
- INTERMEZZO ∷ since et et et so with gives et et
et et
- Hence, so
et
et
17.4 The substitution formula

THEOREM
Let ℝ ℝ be measurable
2) is on
3) is on
For any function ℳ ℝ and any borel set it holds that
et
COMPARE to the high school formula
or alternatively
142
EXPLANATION
TECHNICAL DETAIL ∷ may not be the whole space… this is what 1-3 considers
SUPPOSE THAT IS A CLOBAL BIJECTION
In other words, ℝ
(swipes away a lot of complications)
et
et
et
Now use the abstract change of variable formula
et
now, use how we integrate wrt. a measure with a density,
et
et et
but now use that et et
17.4.1 Application: polar coordinates
Representing a point ℝ
→ might as well be represented by an angle and a radius (length)
I.e. we look at the space , i.e. and .
cos sin
so ℝ
NOTE however, that we remove the origin and the first axis
ℝ
Hence, on these two spaces, we get a bijection
INVERSE??
well we can see
what about the angle??

Well, use a triangle to use katete / hypotenuse
143
hence, cos so
cos
NOTE! The formula only holds for . Otherwise, we need another expression
…
so we can find local expressions for
sin cos
cos sin
⇒ et sin cos cos sin
(by the idiotformel)
(this is what we need to multiply by)
17.4.2 Griner
Let ℳ ℝ
ℝ ℝ
(which is ok since is a -nullset ( -axis and origin)
onelli
et cos sin
CONCLUSION
so we have to multiply by , then we can integrate wrt. polar coordinates – so long as we multiply by .
Application on sumthing
(note, the integration dummy doesn’t matter)

Now, consider the first integral as a constant wrt.
onelli
ℝ
olar coor inates
outsi e exp
144
17.5 More domain transformation
ℝ ℝ
satisfying 1,2,3
1) maps bijectively to
2) is on
3) is on
we also have
given y
⇒
wher
et
17.5.1 application
assume
Find the joint density of
and
Consider
what kind of image points do we get??
- which is a long “strip” lying down

we need to answer 1,2,3
SOLVE
but then we can obtain and if we know and .
So if there is such a thing as the inverse, then
note, this map actually maps .

so we conclude that is bijective with the above inverse map.
145
NOW ∷ let’s look at the joint density we start with
The joint density of is
this is the joint density of since they are independent ⇒ their joint density is the product of their
marginal
NOW we can obtain their density wrt.
I mean, has joint density et
First we find the determinant
⇒ et
recall
looks evil, but because it has the product structure, we can marginalize out either of the densities, which gives
independence (… woa…)
PRODUCT structure of ⇒
turns out that
has istri ution
has istri ution
17.6 Diffeomorphism plus marginalization

Let have joint density on ℝ wrt
Let ℝ ℝ be a map
PROBLEM ∷ find the density for
NOTE ∷ we are going down in dimension
STRATEGY
- Find a supplementary map ℝ ℝ such that the bundle is a nice bijection (or
something similar where we can use the strategy that we have just developed).
- Then find the joint density of
- ⇒ then find the density of by marginalization
17.6.1 EXAMPLE
independent real-valued variables with densities
146
PROBLEM find the density for
STRATEGY: supplement with
i.e.
the joint density of is
(where et
marginalization gives
IN OUR CASE ∷ the two variables will not be independent, so instead of we need something
slightly more complicated
147
18 That’s All Folks!
You cheap bastard… you didn’t actually read through this whole thing, did you?
148

MI Lecture Notes

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MI Lecture Notes

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Lecture notes for Measure & Integration Theory, Copenhagen Uni 2011 Anders Munk-Nielsen

Enjoy Measure Theory out there! Cheers,

An algebra is stable with respect to set-theoretic operations

1.1 Properties of pavings

1.2 Comment on original example

1.3 Sigma algebras

1.3.1 Examples of σ-algebras

EXAMPLE ∷ The power set

Smallest possible sinse any σ-algebra must contain these elements.

1.4 Practical information

1.5 Appendix B: countability (tællelighed)

Note: any finite set is countable.

If is countable then any subset is countable

1.5.4 Product sets of countable are countable

If and are countable, then is countable

Will this work?

by definition of ℚ this map is surjective.

1.5.6 0-1 sequences are not countable (Cantor’s diagonal argument)

Now take the diagonal elements and flip them

can’t be in this sequence (of all sequences).

1.5.7 Uncountablly many subsets of ℕ

CLAIM ∷ the collection of all subsets of ℕ, ℕ , is uncountable.

CLAIM ∷ Any non-empty interval is uncountable.

- E.g. but (must only use 1 or 0).

1.5.9 Theorem: Countable set operations

and similarly for ∩

2 Goal today: measures

2.1 Sigma algebras

2.2 Intersections of pavings

2.2.1 Lemma: intersections of σ-algebras is a σ-algebra.

Let be a family of pavings on a set . If each is σ-algebra then

2.2.2 Theorem: generated σ-algebra

Let be a paving on a set . Then there exists a σ-algebra on such that

is the smallest σ-algebra on which contains all the sets.

2.2.3 Important problem

If pavings on , when will ?

2.3 Part 2 of the lecture

(see the figure in the book)

NOTE! but (algebras are stable to ).

2.4 Pavings on the real line ℝ

2.5 The Borel σ-algebra on ℝ

- Take . How do we write it as , where .

2.5.1 Exercise: generating from other sets

Other generating systems for the Borel σ-algebra on ℝ

2.5.2 A hierarchy of pavings on ℝ

DEFINITION ∷ the enlargement of a paving on ℝ

For define iteratively

Note ∷ may not be a σ-algebra

Clearly, . However, it can be proved that .

2.6 Open sets in ℝ^k

where ℝ with for all .

2.8 Properties of the measure

2.8.1 Finite additivity

- If for all while , then

These are pairwise disjoint, therefore

Let be a measure on a measurable space . If satisfy , then

- This follows from (countable) additivity

2.8.3 Upward continuity

By letting , we conclude that

2.8.4 Boole’s inequality (helpful)

Let be a measure on a measurable space .

subtract from both sides to obtain it.