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This definition can be deceptively simple, however, as special care must be taken
regarding the σ-algebras involved. In particular, when a function is said to
be Lebesgue measurable what is actually meant is that is a
measurable function—that is, the domain and range represent different σ-algebras on the
same underlying set (here is the sigma algebra of Lebesgue measurable sets, and is
the Borel algebra on ). As a result, the composition of Lebesgue-measurable functions
need not be Lebesgue-measurable.
In probability theory, the sigma algebra often represents the set of available information,
and a function (in this context a random variable) is measurable if and only if it
represents an outcome that is knowable based on the available information. In contrast,
functions that are not Lebesgue measurable are generally considered pathological, at least
in the field of analysis.
Definitions
1)
Let be a set and be a -algebra of subsets of .Function f : R is measurable or
-measurable if the set x : f (x) >a belongs to for all a R.
2)
Let X and Y be nonempty sets and M and N be -algebras of subsets of X and Y respectively.
A function f : X Y is said to be (M,N)-measurable if E N f _1 (E) x X| f(x) E M .
3)
An extended real valued function defined on a measurable set is said to
be Lebesgue Measurable (or measurable) on if
1
is a Lebesgue measurable subset of for every
.
4)
Let (X,Σ) and (Y,Τ) be measurable spaces, meaning that X and Y are sets equipped with
respective sigma algebras Σ and Τ. A function is said to be measurable if
for every . The notion of measurability depends on the sigma algebras
Σ and Τ. To emphasize this dependency, if is a measurable function, we will
write
2
correct when the counter domain of the elements of the sequence is a metric
space.)
is Lebesgue measurable on
Instead, we’ll take more of a low road towards showing that the sum and product of two
measurable functions are measurable. We start with a useful lemma: if and are
extended real-valued measurable functions on a measurable space and if is any
real number, then each of the sets
3
has a measurable intersection with every measurable set. If is itself measurable, of
course, this just means that these three sets are measurable.
To see this for the set , consider the (countable) set of rational numbers. If
really is strictly less than , then there must be some rational number between
them. That is, if then for some we have and . And thus we
can write as the countable union
Anyway, now we can verify that the sum and product of two measurable extended real-
valued functions are measurable as well. We first handle infinite values separately. For
the product, if and only if . Since the sets
and are both measurable, the set
— their union — is measurable. We can handle ,
, and similarly.
So now we turn to our convenient condition for measurability. Since we’ve handled the
sets where and are infinite, we can assume that they’re finite. Given a real
number , we find
which is measurable by our lemma above (with in place of ). Since this is true for
every real number , the sum is measurable.
To verify our assertion for the product , we turn and recall the polarization identities
from when we worked with inner products. Remember, they told us that if we know how
to calculate squares, we can calculate products. Something similar is true now, as we
write
4
We just found that the sum and the difference are measurable. And any
positive integral power of a measurable function is measurable, so the squares of the sum
and difference functions are measurable. And then the product is a scalar multiple of
the difference of these squares, and is thus measurable.
Non-measurable functions
So long as there are non-measurable sets in a measure space, there are non-
measurable functions from that space. If (X,Σ) is some measurable space and
is a non-measurable set, i.e. if , then the indicator function
is non-measurable (where is equipped with the Borel
algebra as usual), since the preimage of the measurable set {1} is the non-
measurable set A. Here 1A is given by
So now let’s use our convenient condition. Given a real number we know that
if and only if for some . That is, we can write
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Each term on the right is measurable since each is a measurable function, and so the set
on the left is measurable. Thus we conclude that is measurable as well.
Indeed, in proving that is measurable we can use the exact same technique as above to
prove that the inner supremum is measurable; it doesn’t really depend on the supremum
starting at or higher. And then the outer infimum is exactly as before. Proving is
measurable is similar.
E tj = f2Ω () ≥ g
We must show that for any t > 0
Ω( E tj ) ! 0 as ! 1
2. For any t > 0 the inclusion
Def
lim sup ( E tj ) x : lim sup g j x t Lt
j j
holds. At the same time clearly
6
To use this fact, recall the expression
Example 4: Show that if is measurable then is also measurable. The converse is not
true. Clearly since is measurable, then for every , the sets, and
are measurable and so the set
One can see that this function is non measurable even though is measurable.
Example 6: Let be a real valued function defined on . Show that the measurability of
the set for every is not sufficient, for to be measurable.
Let be a non measurable set of , and consider the function defined as follows,
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Then the sets are either empty or singletons, and so they are measurable, but the
function is not measurable.
Hence
is a measurable set.
Example 8: Continuous real valued functions defined on measurable sets are measurable.
Let be a continuous function, on the measurable set , and be any real number.
We must show that is a measurable subset of . When ,
then it is measurable. Otherwise if , then by continuity, in some
neighborhood of , say . Consequently,
This shows that, is the intersection of an open set and a measurable set , and hence its
measurable.