§ 5. Measurable functions and sets
1. Definition of measurable functions and sets
Definition 1
Let be a locally compact space, a measure on . A mapping of into a topological space is said to be measurable for the measure (or to be -measurable) if, for every compact subset of , there exist a -negligible set and a partition of formed by a sequence (finite or infinite) of compact sets, such that the restriction of to each is continuous.
It is clear that every continuous mapping of into is measurable.
Note that if and are two measures on such that every -negligible set is -negligible, then every -measurable function is also -measurable (cf. Ch. V, §5, Nos. 5, 6).
Definition 1 may be transformed into the following criterion:
Proposition 1
For a mapping of into to be measurable, it is necessary and sufficient that, for every compact set and every number , there exist a compact set such that and the restriction of to is continuous.
If this condition is fulfilled, we may define recursively a sequence of pairwise disjoint compact sets such that and such that the restriction of to each is continuous (, No. 6, Th. 4); the complement with respect to of the union of the is then negligible (, No. 5, Cor. of Prop. 7), thus is measurable. Conversely, suppose there exist a negligible set and a partition of formed of compact sets such that the restriction of to each is continuous; for every there exists an integer such that, if , then (§ 4, No. 5, Cor. of Prop. 7); the set is compact, the () form a finite partition of into compact sets, and the restriction of to each is continuous; therefore the restriction of to is continuous.
Proposition 2
Let* be a sequence of topological spaces and, for each , let be a measurable mapping of into . For every compact set and every , there exists a compact set such that and the restriction to of each of the functions is continuous.
For each integer there exists a compact set such that and the restriction of to is continuous. The set is compact, the restrictions to of all of the functions are continuous and, since is contained in the union of the , .
Definition 2
A subset* of is said to be measurable if its characteristic function is measurable.
In view of Def. 1, it comes to the same to say that a measurable set is a set such that, for every compact set , there exist a negligible set and a partition of formed by a sequence of compact sets each of which is contained either in or in .
This definition yields at once the following criterion:
Proposition 3
For a set* to be measurable, it is necessary and sufficient that, for every compact set , be integrable.
The condition is necessary, because the union of a sequence of integrable sets is integrable when is finite (§ 4, No. 5, Cor. of Prop. 8). The condition is sufficient because, for every integrable set , there exist a negligible set and a partition of into a sequence of compact sets (§ 4, No. 6, Cor. 2 of Th. 4).
Corollary 1
The open sets and the closed sets are measurable*.
In particular, the entire space is measurable.
Corollary 2
— If X is metrizable, then every Souslin subset A of X (GT, IX, §6, No. 2) is μ-measurable for every measure μ on X.
By virtue of Prop. 3, it suffices to verify that every relatively compact Souslin set A is μ-integrable. Now, such a set A is capacitable for (GT, IX, §6, No. 9, Th. 5). Therefore, for every there exists a compact subset K of A such that . Let U be a relatively compact open set in X containing A such that
Then , therefore , which proves that A is μ-integrable (§4, No. 6, Cor. 1 of Th. 4).
2. Principle of localization. Locally negligible sets
Proposition 4 (Principle of localization)
— *Let f be a mapping of X into a topological space F. Suppose that for every , there exist an integrable neighborhood of x and a measurable mapping of X into F such that almost everywhere in . Then f is measurable.
Let K be a compact set; there exists a finite number of points such that the form a covering of K. It follows at once (§4, No. 9, Lemma) that there exist a negligible set and a finite partition of formed of integrable sets such that each of the sets is the union of a subset of N and a certain number of the , and such that on each of the , is equal to one of the functions . Now, for each there exist a negligible set and a partition of formed by a sequence of compact sets ; on the other hand, for each there exist a negligible set and a partition of formed by a sequence of compact sets such that the restriction of to each of the is continuous. Since the union of N, the and the is negligible, is measurable.
The concept of measurable function is therefore a concept of local character.
Definition 3
— *A set is said to be locally negligible (for the measure ) if, for every , there exists a neighborhood of such that is negligible.
By the principle of localization, every locally negligible set is measurable. The properties of negligible sets (§2) show that every subset of a locally negligible set is locally negligible, and that every countable union of locally negligible sets is locally negligible.
Proposition 5
— *For a set A to be locally negligible, it is necessary and sufficient that, for every compact set K, be negligible.
The condition is obviously sufficient since every point of X has a compact neighborhood. It is necessary, because if, for every , there exists a neighborhood of such that is negligible, then there exists a finite number of points such that the form a covering of K, and is contained in the union of the negligible sets .
Corollary 1
— *For a set A to be negligible, it is necessary and sufficient that it be locally negligible and of finite outer measure.
The condition is obviously necessary. Conversely, if it is satisfied then A is contained in an integrable open set G, which is the union of a negligible set N and a sequence of compact sets (§ 4, No. 6, Cor. 2 of Th. 4); since and the sets are negligible, the same is true of their union A.
Corollary 2
— Every locally negligible open set is negligible (and is therefore contained in the complement of the support of ).
For, the outer measure of an open set G is the supremum of the measures of the compact sets (§ 4, No. 6, Cor. 4 of Th. 4); if G is locally negligible then for every compact set K contained in G, therefore .
Corollary 3
— *In a locally compact space X that is countable at infinity, every locally negligible set is negligible.
Since X is the union of a sequence of compact sets, every locally negligible set A is the union of the negligible sets , hence is negligible.
One can give examples of locally compact spaces that are not countable at infinity, and of measures on such a space X such that there exist sets in X that are locally negligible but not negligible (§ 1, Exer. 5).
Corollary 4
— *Let f be a mapping of X into a topological space F. If the set N of points of discontinuity of f is locally negligible, then f is measurable.
For every compact set , is negligible (Prop. 5), therefore, for every , there exists a compact set such that (§ 4, No. 6, Th. 4), and by hypothesis the restriction of f to is continuous, whence the conclusion.
If is a property, the property « P\{x\} locally almost everywhere (with respect to )» is by definition equivalent to the property «the set of x such that* (x X and not ) is locally negligible (for the measure )». If F is any set, the relation « locally almost everywhere» is an equivalence relation in the set of mappings of X into F. In particular, if F is a vector space, a mapping of X into F such that f(x) = 0\text{ locally almost everywhere is said to be } \textit{locally negligible}. We leave to the reader the task of establishing for these concepts most of the properties corresponding to those that have been enumerated in §2, Nos. 4, 5 and 6 for functions equal almost everywhere. We shall limit ourselves to observing that if two \emph{continuous} mappings of X into a Hausdorff topological space F are equal \emph{locally almost everywhere}, then they are equal \emph{almost everywhere} by virtue of Cor. 2 of Prop. 5 (hence are equal at every point of the support of (§ 2, No. 4, Prop. 9)); however, we state explicitly the following proposition, which is an immediate consequence of the principle of localization:
Proposition 6
Let be a measurable mapping of X into a topological space F. Every mapping of X into F, equal to locally almost everywhere, is measurable.
3. Elementary properties of measurable functions
Theorem 1
Let X be a locally compact space, a measure on X, a sequence of topological spaces, their product. For each index n, let be a measurable mapping of X into , and let ; then, for every continuous mapping u of into a topological space G, the function is measurable.
For every compact subset K of X and every number , there exists a compact set such that and such that the restrictions to of all the functions are continuous (No. 1, Prop. 2); it is clear that is continuous on , whence the theorem.
Remark
— 1) The theorem does not extend to an \emph{arbitrary} product of topological spaces (Exer. 1). 2) If is a continuous mapping of X into itself, and is a measurable mapping of X into F, then is not necessarily measurable (Exer. 2).
Corollary 1
The upper envelope and the lower envelope of a finite number of measurable numerical functions (finite or not) are measurable.* For, and are continuous on .
Corollary 2
For a numerical function (finite or not) to be measurable, it is necessary and sufficient that and be measurable.* The condition is necessary by Cor. 1; it is sufficient because the image A of X in under the mapping does not contain the points and , consequently the mapping is continuous on A.
Corollary 3
— *If f and g are two measurable mappings of X into a topological vector space F, then f + g and αf are measurable (α any scalar).
The set of measurable mappings of X into a topological vector space F is thus a vector space.
Corollary 4
— Let F be a vector space of dimension n over R and let (ek)_{1 \leq k \leq n} be a basis of F. In order that a function f = \sum_{k=1}^{n} e_k f_k be measurable, it is necessary and sufficient that each of the numerical functions f_k be measurable.
Corollary 5
— *Let F, G, H be three topological vector spaces, and let (u, v) \to [u \cdot v] be a continuous bilinear mapping of F \times G into H. If f is a measurable mapping of X into F, and g is a measurable mapping of X into G, then [f \cdot g] is a measurable mapping of X into H.
In particular, if f is a measurable mapping of X into a real (resp. complex) normed space F, and g is a measurable mapping of X into R (resp. C), then gf is measurable. If F is a normed algebra and f, g are two measurable mappings of X into F, then fg is measurable.
Corollary 6
— *If f is a measurable mapping of X into a normed space F, then the numerical function |f| is measurable.
4. Limits of measurable functions
Theorem 2 (Egoroff)
— *Let X be a locally compact space, μ a measure on X, A a countable set, a filter on A having a countable base, and a family of measurable mappings of X into a metrizable space F. Assume that exists in the complement of a locally negligible subset N of X. Under these conditions, 1° the function f (extended to N in any manner whatsoever) is measurable; 2° for every compact subset K of X and every , there exists a compact set such that and such that the restrictions of the to are continuous and converge uniformly to f on .
The first assertion obviously follows from the second, which we are going to prove. There exists a compact set such that and such that the restrictions to of all the functions are continuous (No. 1, Prop. 2). Let be a decreasing countable base for the filter ; let d be a metric on F compatible with the topology. For every pair of integers , let be the set of points such that, for at least one pair of indices belonging to , ; for fixed and , the set of such that is closed in , hence is compact; consequently, is a countable union of compact sets contained in , hence is integrable (§ 4, No. 5, Props. 6 and 8). If is fixed, the intersection of the decreasing sequence of sets () has measure zero, since tends to almost everywhere in with respect to the filter ; thus (§ 4, No. 5, Cor. of Prop. 7), consequently there exists an integer such that . Let be the union (for ) of the sets ; is integrable and
(§ 4, No. 5, Cor. of Prop. 8). Let be the complement of in ; by construction, converges uniformly to in with respect to the filter , and since the restrictions of the to are continuous, so is the restriction of to . It then suffices to take a compact set such that in order to satisfy the conditions of the statement, since .
The conclusions of Th. 2 do not necessarily hold if is not metrizable (Exer. 1). If is metrizable, and the set is not countable but the filter has a countable base, then the first conclusion of Th. 2 is again valid; for, if is a countable base for and is an element of , then is the limit of the sequence locally almost everywhere, hence is measurable; however, the second conclusion of Th. 2 is no longer necessarily valid (cf. Exer. 4).
Corollary 1
— Let be a sequence of numerical functions (finite or not). If the are measurable, then the functions , , and are measurable.
For, the extended real line , being homeomorphic to a compact interval of , is metrizable. The function is the pointwise limit of the increasing sequence of functions , which are measurable (No. 3, Cor. 1 of Th. 1); similarly, is the pointwise limit of the decreasing sequence of functions , each of which is measurable by the foregoing. Finally, since and , these functions are measurable.
Corollary 2
— The measurable sets in form a tribe (GT, IX, §6, No. 3).
For, if M and N are measurable then the functions
are measurable by No. 3, Cors. 3 and 5 of Th. 1. If is a sequence of measurable sets and M is their union, then is measurable by Cor. 1 of Th. 2, whence the corollary.
In particular, since the open sets are measurable:
Corollary 3
The Borel sets in X* (GT, IX, §6, No. 3, Def. 4) are -measurable for every measure on X.
5. Criteria for measurability
When F is a topological vector space, every step function over the measurable sets (§4, No. 9, Def. 4), with values in F, is obviously measurable (No. 3, Cor. 3 of Th. 1); such a function takes on only a finite number of values, and for every , is measurable. More generally, let F be any topological space, a mapping of X into F taking on only a finite number of distinct values (); if the sets are measurable, then the function is measurable. For, for every compact set K and for each of the sets , there exist a negligible set and a partition of formed by a sequence of compact sets; since K is the union of the sets and the restriction of to each of the is constant, therefore continuous, is measurable. By an abuse of language we shall say that a mapping of X into F is a measurable step function if it takes on only a finite number of values and if, for every , is measurable.
Theorem 3
For a mapping of X into a metrizable space F to be measurable, it is necessary and sufficient that, for every compact set , there exist a sequence of measurable step functions, with values in F, such that tends to for almost every *.
The condition is sufficient by Egoroff’s theorem and the principle of localization. Let us show that it is necessary: by hypothesis, there exist a negligible set and a partition of formed of compact sets such that the restriction of to each is continuous. To define the sequence , it suffices to proceed in the following manner: let be a metric compatible with the topology of F; for each with index , there exists a finite partition of into integrable sets () sufficiently small that the oscillation of on each of the is (§ 4, No. 9, Lemma); take to be constant on each , equal to one of the values of in this set (for ), and equal to a fixed element for every point of that does not belong to any of the . It is clear that the sequence converges to at every point of not belonging to .
Corollary 1
Let be a measurable mapping of into a Banach space ; for every compact set , there exists a sequence of measurable step functions, with supports contained in , such that for all and such that tends to for almost every .
With notations as in the proof of Th. 3, and denoting by one of the values of in , it suffices to take, as the value of in , the point 0 if and the point otherwise; finally, set on the complement of the union of the ().
Corollary 2
Let be a locally compact space that is countable at infinity. If is a measurable mapping of into a metrizable space , then there exists a sequence of measurable step functions, with values in , such that tends to for almost every .
If is the union of an increasing sequence of compact sets, the sets that are nonempty form a partition of into integrable sets; consequently, there exist a negligible set and a partition of formed by a sequence of compact sets such that the restriction of to each is continuous; the proof can then be concluded as in Th. 3 without modification.
Proposition 7
Let be a measurable mapping of into a topological space ; the inverse image under of every closed (resp. open) set in is measurable.
It suffices to carry out the proof for the inverse image of a closed set in . Let be a compact subset of ; there exist a negligible set and a partition of formed of compact sets such that the restriction of to each is continuous. The intersection is thus the inverse image of the closed set under the restriction of to ; it is therefore a closed set in , hence is compact. The set is therefore the union of the negligible set and the compact sets , which proves that is measurable.
Theorem 4
— Let F be a metrizable space and let d be a metric on F compatible with the topology. For a mapping f of X into F to be measurable, it is necessary and sufficient that it satisfy the following two conditions: a) the inverse image under f of every closed ball of F is measurable; b) for every compact set K ⊂ X, there exists a countable subset H of F such that for almost every .
The condition a) is necessary by Prop. 7; on the other hand, in the notations of Th. 3, condition b) is satisfied by taking H to be the countable set formed by the values of all of the functions .
Let us now show that the conditions a) and b) are sufficient. Let K be any compact subset of X; there exists a negligible subset N of K such that is contained in the closure of a countable set of points of F, which we arrange in a sequence . Let be the set of such that . It follows from condition a) that is measurable. For fixed , define a sequence of sets recursively by setting
the sets are measurable, and those that are nonempty form a partition of . Let be the function equal to on the set for and equal to a constant on the complement of the union of these sets; is a measurable step function; as tends to infinity, converges pointwise to the function equal to on () and to on , therefore (Th. 2) is measurable. As tends to infinity, tends to for every , and to for ; the limit of the is therefore measurable, and the principle of localization proves that itself is measurable.
Remark 1
Condition a) alone is not sufficient for to be measurable (Exer. 7).
Remark 2
If the topology of F has a countable base then condition b) of Th. 4 is automatically satisfied for every mapping of X into F. The proof shows, moreover, that it suffices to assume that the inverse images under of the closed balls with rational radii, whose centers belong to a dense countable subset of F, are measurable sets.
Remark 3
The hypothesis a) can be replaced by the condition that the inverse image under of every open ball of F is measurable.
The case of numerical functions (finite or not) deserves special mention:
Proposition 8
— Let D be a countable dense subset of . In order that a numerical function (finite or not) be measurable, it is sufficient (and necessary) that for every , the set of such that be measurable.
For, if this is so, for every the set of such that is measurable, being the intersection of the sets (which form a countable family) of the such that , as runs over the set of points of D that are . The set of such that is measurable, being the complement of a measurable set. Next, if is finite then the set of such that is measurable, being the intersection of the sets of the such that ; and is measurable, being the intersection of the sets of the such that , as runs over . Finally, the inverse image under of every closed interval of is measurable, being the intersection of two measurable sets, and Th. 4 may be applied.
One could show similarly that it suffices that for every , the set of such that be measurable.
Corollary
— Every lower (resp. upper) semi-continuous function is measurable.
For, if is lower semi-continuous, then the set of such that is closed for every .
When F is metrizable and compact, Prop. 7 makes it possible to sharpen Th. 3 as follows:
Proposition 9
— If F is a metrizable compact space, then every measurable mapping f of X into F is the uniform limit (on all of X) of a sequence of measurable step functions.
Let be a metric compatible with the topology of F. For every positive integer there exists a finite number of points such that the closed balls with center and radius form a covering of F; the sets are therefore measurable (Prop. 7) and form a covering of X. Consequently (§ 4, No. 9, Lemma) there exists a partition of X into a finite number of measurable sets such that each is the union of certain of the . Let be a point of and let be the measurable step function equal to on (for each index ). It is clear that for all .
Proposition 10
— Let F be a separable Banach space, F' its dual, and a weakly dense sequence in the unit ball of F' (TVS, III, § 3, No. 4, Cor. 2 of Prop. 6).¹ For a mapping f of X into F to be measurable, it is necessary and sufficient that for every n the scalar function be measurable.
The condition being obviously necessary (No. 3, Th. 1), let us prove that it is sufficient; it suffices to verify condition a) of Th. 4 and, to this end,
¹ See the footnote at the end of § 2, No. 4.
it will suffice by the principle of localization to prove that, for every compact subset K of X and every closed ball , with center and radius , the set is measurable; now, for every ,
is thus the intersection of and the sets defined by
as these sets are measurable by hypothesis, is measurable.
Corollary 1
Let F be a Banach space. In order that a mapping f of X into F be measurable, it is necessary and sufficient that it satisfy the following two conditions:
a) for every , the scalar function is measurable;
b) for every compact set , there exists a countable subset H of F such that for almost every .
The necessity of the conditions follows from No. 3, Th. 1, and Th. 4. To prove that the conditions are sufficient, it again suffices to verify condition a) of Th. 4. With notations as in the proof of Prop. 10, we may (on account of b)) suppose, after modifying if necessary on a negligible set, that , where is a countable subset of . If is the closed linear subspace of generated by the set , then is a separable Banach space and every continuous linear form on is the restriction of a form ; the same reasoning as in Prop. 10 then shows that is measurable.
Corollary 2
Let F be a locally convex space that is metrizable and separable, and let be its dual. For a mapping f of X into F to be measurable, it is necessary and sufficient that for every , the scalar function be measurable.
We may regard F as a subspace of a countable product of Banach spaces (TVS, II, §4, No. 3), and we can suppose that is dense in , which is therefore separable. For every , the mapping is then measurable by Prop. 10, therefore is measurable by No. 3, Th. 1.
Proposition 11
Let F be a locally convex space that is the direct limit of a sequence of separable metrizable locally convex spaces , F being the union of the . Let be the dual of F, equipped with the weak topology . For a mapping f of X into to be measurable, it is necessary and sufficient that, for every , the scalar function be measurable.
The condition is necessary by No. 3, Th. 1; let us prove that it is sufficient. Suppose first that F is metrizable and separable, and let D be a countable dense set in F. Let be a decreasing fundamental sequence of balanced convex open neighborhoods of 0 in F; the polar sets are equicontinuous and their union is all of . Let ; the sequence is increasing and ; let us show that each is -measurable. Indeed, is dense in ; for every let be the set of such that ; the hypothesis implies that each of the is measurable, and is the intersection of the countable family of for . This being so, for every compact subset K of X and every , there exists an integer n such that , and then a compact subset of such that ; finally, there exists a compact subset of such that and such that the restrictions to of all of the functions , where , are continuous (No. 1, Prop. 2). Since the set is equicontinuous, the topology induced by on is identical to the topology of pointwise convergence in D (GT, X, §2, No. 4, Th. 1); the restriction of f to is therefore continuous, whence our assertion in this first case.
Let us pass to the general case. If is a continuous linear form on F, its restriction to is continuous; since , the dual of F may be identified (algebraically) with a linear subspace of the product , and then . Moreover, since each finite subset of F is contained in one of the , the topology is none other than the topology induced by the product topology of the topologies . This being so, if is measurable for every , then so is for every n and every , since ; the first part of the proof then shows that is measurable for every n, therefore so is f (No. 3, Th. 1).
6. Criteria for integrability
Theorem 5
— In order that a mapping f of X into a Banach space F be p-th power integrable (), it is necessary and sufficient that f be measurable and that be finite.
The condition is necessary: for, if then there exists a sequence of continuous functions with compact support that converges almost everywhere to f (, No. 4, Cor. 2 of Th. 3); by Th. 2 of No. 4, f is measurable.
To prove that the conditions are sufficient, we first establish a lemma:
Lemma 1
Let g be a function with values in F, such that N_p(g) < +\infty* (in other words, a function in ). *The set A of points x \in X such that g(x) \neq 0 is contained in the union of a negligible set and a sequence of compact sets.
Let be the set of points such that ; A is the union of the , and , whence ; it follows that is contained in the union of a negligible set and a sequence of compact sets (§ 4, No. 6, Cor. 3 of Th. 4), therefore so is A.
The lemma proved, consider first the case that f has compact support K. By Cor. 1 of Th. 3 of No. 5, there exists a sequence of measurable step functions such that at every point and such that tends to almost everywhere. Now, is a linear combination of characteristic functions of measurable sets contained in K; since these sets are integrable by Prop. 3 of No. 1, belongs to . Since , Lebesgue’s theorem (§ 3, No. 7, Th. 6) shows that f belongs to .
In the general case, it follows from Lemma 1 that there exists an increasing sequence of compact sets such that is zero almost everywhere in the complement of the union of the . Let be the function equal to on and to 0 elsewhere; is measurable by No. 3, Cor. 5 of Th. 1; since , belongs to by the first part of the argument. Since is equal almost everywhere to the limit of the sequence , Lebesgue’s theorem again proves that , which completes the proof.
One should take care to note that a function that is locally negligible but not negligible is not integrable; thus, a function equal locally almost everywhere to an integrable function is not necessarily integrable.
Corollary 1
For a set to be integrable, it is necessary and sufficient that it be measurable and have finite outer measure.
Corollary 2
Let be a sequence of topological spaces; for every index n, let be a measurable mapping of X into and let ; finally, let u be a continuous mapping of into a Banach space G. For the function to be integrable, it is necessary and sufficient that .
For, g is measurable (No. 3, Th. 1).
Corollary 3
For every integrable function f and every measurable set A, the function is integrable.
For, it follows from Th. 5 and No. 3, Cor. 5 of Th. 1 that is measurable, and .
We write (or ) for every integrable function and every measurable set . We also write (or ) in place of for every numerical function (finite or not) (on setting if and ).
Corollary 4
For every sequence* of measurable functions on ,
In view of §1, No. 3, Th. 3, we are reduced to proving that for any two measurable functions on ,
This is nothing more than the additivity of the integral when and are integrable. In the contrary case, if for example is not integrable, then by Th. 5; a fortiori, .
Corollary 5
For every sequence* of pairwise disjoint measurable sets,
This follows from Cor. 4 applied to the .
7. Measure induced on a locally compact subspace
Let be a locally compact space, a measure on , and a locally compact subspace of . Since is the intersection of an open set and a closed set in (GT, I, §9, No. 7, Prop. 12), it is -measurable (No. 1, Cor. of Prop. 3). For every function let be the function, defined on all of , equal to on and to 0 on ; let us show that is -*integrable*. We can restrict ourselves to the case that is real and (on writing as a linear combination of such functions); since is bounded and has compact support, it suffices to show that is -measurable (No. 6, Th. 5); but this follows from the fact that is upper semi-continuous on (No. 5, Cor. of Prop. 8). We may therefore make the following definition:
Definition 4
— *Given a locally compact subspace Y of a locally compact space X, we call measure induced on Y by a measure on X, and denote by or , the measure defined by the formula
for every function , where denotes the function equal to on and to 0 on .
Example
— Let be Lebesgue measure on , I any interval in ; I is a locally compact subspace of , and the measure induced by on I is the linear form
on , where and are the endpoints (finite or not) of I (cf. § 4, No. 4, Example), in other words, what we have called Lebesgue measure on I.
When Y is an open subspace of X, Def. 4 coincides with the definition of the measure induced by on Y (or the restriction of to Y) given in Ch. III, §2, No. 1: indeed, for every function the function is then continuous on X.
We shall study integration with respect to an induced measure in detail in Ch. V, §7, and until then we shall need only the following results:
Lemma 2
— *Let be a positive measure on X, and let K be a compact subset of X.
(i) For every compact (resp. open) subset H of K, .
(ii) For a subset N of K to be -negligible, it is necessary and sufficient that it be -negligible.
(iii) If S is the support of , then .
(i) We can restrict ourselves to the case that H is compact. Denote by the characteristic function of H in the space K; is upper semi-continuous, hence is the lower envelope of a decreasing directed family of functions in ; we have (§ 4, No. 4, Cor. 2 of Prop. 5). If is the function equal to on K and to 0 on , then is upper semi-continuous, and the lower envelope of the decreasing directed family is the characteristic function of H in the space X; therefore
by (1).
(ii) If N is -negligible then, for every , there exists a relatively compact open neighborhood U of N in X such that ; since is compact, it follows from (i) that , thus N is -negligible. Conversely, if N is -negligible then there exists an open neighborhood V of N in X such that ; by (i), we have , therefore since is arbitrary.
(iii) For every open set U in K that intersects S, by hypothesis , therefore by (i), and since is open in S, by (i); since every nonempty open set in S is of the form , where U is open in K, this proves that .
Lemma 3
Let Y be a locally compact subspace of X; for every measure on X, .
Let f be a function in and any number ; by definition, there exists a function such that and . Denoting by and the functions obtained by extending f and g, respectively, to be 0 on , we have and, since ,
whence and, since is arbitrary,
On the other hand, let K be the support of f and let U be a compact neighborhood of K in X such that ; by Urysohn's theorem, there exists a function , extending f, with support contained in U and such that . There exists a function such that and . If h is the restriction of to Y, then , and , therefore
moreover, we have similarly
From this we infer that
and since is arbitrary, , which completes the proof.
8. -dense families of compact sets
Proposition 12
— Let be a measure on a locally compact space , a -measurable subset of , and a set of compact subsets of satisfying the following conditions: (PLI) Every closed (hence compact) subset of a set of belongs to . (PLII) Every finite union of sets of belongs to . The following four properties are then equivalent: a) For a subset of to be locally -negligible, it is necessary and sufficient that for all . b) For every compact subset of and every , there exists a set , contained in and such that . c) For every compact subset of , there exists a partition of formed by a -negligible set and a sequence of compact sets belonging to . d) For every compact subset of , there exists an increasing sequence of compact sets belonging to , contained in and such that the set is -negligible.
It is immediate (No. 2, Prop. 5) that d) implies implies d) on taking to be the union of the for and citing (PLII). To prove that b) implies c), one defines recursively a sequence of sets of such that and (§ 4, No. 6, Th. 4).
It remains to prove that a) implies b). Let us argue by contradiction, and suppose that the supremum of the numbers , where runs over the set of subsets of belonging to , is . By (PLII), there exists an increasing sequence of compact subsets of , belonging to and such that . Set ; is integrable and , therefore . On the other hand, we shall see that for every set , , which, by virtue of a), will imply a contradiction. Indeed, if there existed a set such that , then there would exist a compact subset of such that . By (PLI), we would have , and, for sufficiently large,
But belongs to by (PLII), and this contradicts the definition of .
Definition 6
— Let be a -measurable subset of . A set of compact subsets of is said to be -dense in if it satisfies the conditions (PLI), (PLII), of Prop. 12.
The set of all compact subsets of is -dense in .
When , we shall say simply ' -dense set' in place of 'set -dense in '. If is locally -negligible, then every set of compact subsets of that is -dense in is also -dense in .
Remark
— Suppose that is the union of a sequence of compact sets and a -negligible (resp. locally -negligible) set, and let be a set of compact subsets that is -dense in . Applying to each the property c) of the statement of Prop. 12, we see that is the union a sequence of compact sets belonging to and a -negligible (resp. locally -negligible) set.
If is a compact subset of , it comes to the same to say that a set of compact subsets of is -dense in or that it is -*dense* in ; this follows from Lemmas 2 and 3 of No. 7 and condition b) of Prop. 12.
Proposition 13
Let be a -measurable subset of , a set of compact subsets that is -dense in . Let be a set of compact subsets of satisfying (PL) and (PL) and such that, for every , the set of such that is -*dense* (or, what amounts to the same, -*dense*) in . Then is -dense in .
For, let be a compact subset of . For every there exists a such that and , and then an such that and ; it follows that , whence the proposition.
9. Locally countable partitions
Definition 7
A set of subsets of a topological space is said to be locally countable if, for every , there exists a neighborhood of such that the set of that intersect is countable.
If the set of subsets of is locally countable then, for every compact subset of , the set of that intersect is countable, since can be covered by a finite number of open neighborhoods of points of , each of which intersects only a countable set of subsets belonging to .
Def. 7 shows that the union of a locally countable set of -measurable (resp. locally -negligible) subsets of a locally compact space is -measurable (resp. locally -negligible) (No. 1, Prop. 3 and No. 2, Prop. 5).
Proposition 14
Let be a locally compact space, a measure on , a -measurable subset of , and a set of compact subsets of that is -dense in . There exists a locally countable set , formed of pairwise disjoint sets, such that is locally -negligible and such that, for every , the support of is all of .
Consider sets formed of pairwise disjoint sets such that, for every , . The sets form a subset of that is nonempty (because it contains the element ) and which we shall order by the relation of inclusion in . It is immediate that is inductive; let be a maximal element of (S, R, §6, No. 10). Let us first show that is locally countable. Indeed, for every , let be a relatively compact open neighborhood of ; if is a finite family of distinct sets of that intersect , then
because the are pairwise disjoint, whence . It follows that if is the set of that intersect , then
and since for every , is necessarily countable. Next, let us prove that is locally -negligible. We saw above that is -measurable. If were not locally negligible, it would contain a non-negligible compact set , hence (No. 8, Prop. 12) a non-negligible compact set belonging to . Since (No. 7, Lemmas 2 and 3), the measure induced on by is nonzero; its support is therefore a nonempty compact set belonging to by (PL₁), and (No. 7, Lemma 2, (iii)). It follows that the set belongs to , which contradicts the definition of ; the set is therefore locally negligible, which completes the proof.
10. Measurable functions defined on a measurable subset
Proposition 15
Let be a locally compact space, a measure on , a -measurable subset of , and a mapping of into a topological space . The following conditions are equivalent:
a) The set of compact subsets of such that the restriction of to is continuous, is -dense in .
b) There exists a set of compact subsets of , -dense in , such that the restriction of to every is -measurable.
c) There exist a homeomorphism of onto a subspace of a topological space and a -measurable mapping of into , such that .
d) Every extension of to a mapping of into , constant on , is -measurable.
It is clear that a) implies b) and that d) implies c). The fact that c) implies a) follows from condition c) of Prop. 12 of No. 8. On the other hand, b) implies a): for, Def. 1 shows that, for each , the set of subsets contained in is -dense in (No. 8, Prop. 12, c)), and Prop. 13 of No. 8 shows that is -dense in . It remains to see that a) implies d). Let be an extension of to , constant on . For every compact subset of , and are -integrable; therefore, for every , there exist a compact subset and a compact subset such that
On the other hand, there exists a set contained in such that ; the restriction of to the compact set is then continuous ( being constant on ) and , which completes the proof.
Definition 8
Let be a locally compact space, a measure on , and a -measurable subset of . A mapping of into a topological space is said to be -measurable if it satisfies the equivalent conditions of Prop. 15.
If is locally -negligible, then every mapping of into is therefore -measurable.
Corollary 1
Let be a locally compact space, a measure on , a -measurable subset of , and a -measurable mapping of into a topological space . Let be a set of compact subsets of , -dense in . Then, there exists a partition of formed by a locally negligible set and a locally countable family of sets , such that is continuous for every .
In view of No. 9, Prop. 14, it suffices to show that the set of subsets such that and is continuous, is -dense in . Now, it follows at once from Prop. 1 of No. 1 and condition d) of Prop. 15 that, for every compact subset of and every , there exists a subset belonging to such that and is continuous; the conclusion therefore follows from Prop. 12 of No. 8.
Corollary 2
Let be a compact subspace of ; in order that a mapping of into a topological space be -measurable, it is necessary and sufficient that it be -measurable.
In view of Lemma 2 of No. 7, this follows at once from Prop. 1 of No. 1 and condition a) of Prop. 15.
Proposition 16
Let be a locally countable set of -measurable subsets of and let . For a mapping of into a topological space to be -measurable, it is necessary and sufficient that the restriction of to every be -measurable.
We have already observed (No. 9) that is -measurable. The condition being obviously necessary, let us prove that it is sufficient. Thus, let be a compact subset of . By hypothesis, there exists a sequence of sets belonging to such that the form a covering of . Set and
Property d) of Prop. 15 makes it possible to immediately generalize the properties of measurable functions defined on all of , observed in Nos. 2 to 5, to measurable functions defined on a measurable subset of ; these generalizations are left to the reader. We only point out explicitly that the principle of localization (No. 2, Prop. 4) remains valid when it is assumed that each of the functions is only defined in (or almost everywhere in ) and is measurable.
11. Convergence in measure
Let be a locally compact space, a measure on , a -measurable subset of , and a uniform space; we shall denote by , or (or simply , or even , when ) the set of -*measurable mappings of into (No. 10, Def. 8). For every entourage of the uniform structure of , every -integrable set and every number , we shall denote by the set of pairs of functions in having the following property: the set of all for which is such that . Let us show that the sets form a fundamental system of entourages for a uniform structure on : it is clear that is symmetric if is, and that if and , then
it therefore suffices to verify the axiom (GT, II, §1, No. 1). Now, if is an entourage such that , then
Note that as runs over a -dense set of compact subsets of , the sets also form a fundamental system of entourages for the preceding uniform structure: for, for every integrable set , there exists a compact set contained in such that , and therefore .
Definition 9
The uniform structure on of which the form a fundamental system of entourages is called the uniform structure of convergence in measure in .*.
The corresponding topology is called the topology of convergence in measure in , and a filter (or a sequence) that converges for this topology is said to be convergent in measure in ; the mention of is often suppressed when .
Suppose is Hausdorff; then, for every -integrable set , the intersection of the entourages , where runs over a fundamental system of entourages of and runs over the set of numbers , is the set of pairs such that almost everywhere in (with respect to ). For, the set of such that is -integrable, because it is the inverse image, under the -measurable mapping , of the complement of the diagonal in , which is open (No. 5, Prop. 7); if , there exists a compact subset such that and such that the restrictions of and to are continuous; therefore, there exists an entourage of such that for all , consequently .
From this it follows that if is Hausdorff, then the intersection of all the entourages of is the set of pairs such that locally almost everywhere in . The Hausdorff uniform space associated with , which we shall denote or (or even or when ), therefore consists of the equivalence classes for the relation « locally almost everywhere in » in the set .
Proposition 17
— Let be a locally countable family of -measurable subsets of , pairwise disjoint and such that is locally -negligible. If, for every class and every , denotes the class of the restriction to of any of the functions in the class , then the mapping is an isomorphism of the uniform space onto the product uniform space .
It follows from No. 10, Prop. 16 that is bijective. Consider an entourage of that is the canonical image of a , where is a compact subset of ; we know that the set of such that is countable (No. 9), and ; therefore, there exists a finite subset of such that
The image of under is then contained in the canonical image of the product . On the other hand, if is the number of elements of , then the image of under contains the canonical image of the entourage , which proves the proposition.
Proposition 18
— *If is metrizable, and is the union of a locally -negligible set and a sequence of -integrable sets, then the space is metrizable.
Since each is the union of a negligible set and a sequence of compact sets, we can suppose that the are already compact and pairwise disjoint. Prop. 17 then allows us to suppose that is compact. If is a countable fundamental system of entourages of , it is clear that the form a fundamental system of entourages of as runs over , whence the proposition.
Lemma 4
— *Let be a metrizable uniform space, and let be a countable union of -integrable sets. Then, for every Cauchy sequence in , there exists a subsequence of such that is a Cauchy sequence in for almost every .
Suppose first that is integrable, and denote by a metric compatible with the uniform structure of . We shall define recursively a double sequence of functions in such that for every , is a subsequence of for every and, finally, such that for every the set of for which has measure ;
the possibility of such a definition follows from the fact that is a Cauchy sequence in . Set ; then
and, for every , we have for all and all ; the sequence is therefore a Cauchy sequence in . Now let ; is negligible. Set for every ; for every , the sequence is a subsequence of the sequence ; if , there exists an index such that , which proves that the sequence is a Cauchy sequence in .
If now is the union of a sequence of integrable sets, one can define recursively a double sequence such that , is a subsequence of for every , and such that the sequence is a Cauchy sequence in , where is negligible. Set for every , so that, for every , the sequence is a subsequence of ; the sequence is then a Cauchy sequence in for every , where is negligible.
Proposition 19
If the uniform space is metrizable and complete, then the uniform space is complete.
There exists a locally countable family of compact subsets of such that the are pairwise disjoint and is locally negligible (No. 9, Prop. 14). By Prop. 17, is isomorphic to the product ; we are thus reduced to proving the proposition when is integrable; is then metrizable (Prop. 18) and, by Lemma 4, for every Cauchy sequence in there exists a subsequence that is convergent in , where is negligible; the limit of (extended in any way whatsoever to all of ) is then -measurable, and it follows from the extension of Egoroff’s theorem mentioned in No. 10 that the sequence converges in measure to in . This implies that is a cluster point of the sequence in , and since the sequence is by hypothesis a Cauchy sequence, it converges to .
Q.E.D.
Corollary
— Let F be a metrizable uniform space.
(i) Every sequence of elements of that converges locally almost everywhere to a mapping (necessarily -measurable) of A into F, converges in measure to in A.
(ii) Let be a sequence of elements of that converges in measure to a mapping of A into F. For every set that is a countable union of integrable sets, there exists a subsequence of such that the sequence converges in F to for almost every .
(i) The assertion follows at once from the extension of Egoroff’s theorem mentioned in No. 10.
(ii) By Lemma 4, there exists a subsequence of such that is a Cauchy sequence in F for every , where N is negligible; let be the limit of this sequence for . It is clear that is a -measurable mapping of into , and the sequence converges in measure to in by (i); is therefore equal to almost everywhere in B.
Proposition 20
— Let F be a Banach space, equipped with the uniform structure defined by its norm.
(i) For every -measurable subset A of X, the topology of convergence in measure is compatible with the vector space structure of .
(ii) The space is dense in .
(iii) For every real number , the topology induced on the space by the topology of convergence in measure is coarser than the topology of convergence in mean of order .
(i) For every -integrable subset B of A and every , denote by the set of for which the set C of such that satisfies the relation ; it is clear that if is the entourage of F formed by the pairs such that , the entourage is the set of pairs of measurable mappings of A into F such that . It is clear that the sets are symmetric, and that and for every nonzero scalar such that ; it therefore suffices to verify that the sets are absorbent (TVS, I, §1, No. 5, Prop. 4). Now, if is a -measurable mapping of A into F, the numerical function is also -measurable (No. 3, Cor. 6 of Th. 1). Let be the set of such that ; the form a decreasing sequence of integrable sets whose intersection is empty; therefore there exists an integer such that (§ 4, No. 5, Cor. of Prop. 7); we can moreover suppose that is taken sufficiently large that ; then , which completes the proof of assertion (i).
(iii) The relation implies that if is the set of such that , then
whence , which proves (iii).
(ii) In view of (iii), it suffices to show for example that is dense in , since by definition is dense in for the topology of convergence in mean. Now, let be any element of and let be a neighborhood of 0 in this space; we see as in (i) that there exists an integrable subset of such that and such that is bounded on ; denoting then by the function equal to on and to 0 on , it follows from No. 6, Th. 5 that is integrable, and obviously .
Remark
— 1) The topological vector space is not necessarily locally convex (Exer. 24). 2) The topology induced on the set of such that by the topology of convergence in measure may be strictly coarser than the topology induced on this set by the topology of convergence in mean of order (Exer. 22). However, see Prop. 21 below.
Definition 10
Let be a locally compact space, a measure on , a Banach space, and . A subset of is said to be equi-integrable of order (for ) if it satisfies the following conditions:
(i) For every there exists a such that, for every integrable set of measure and every ,
(ii) For every there exists a compact subset of such that, for every , .
When we say 'equi-integrable' instead of 'equi-integrable of order 1'.
Remark
— Suppose is bounded. For every , the set of measurable mappings of into such that almost everywhere is equi-integrable of order , and this is true for any .
Proposition 21
Let be a subset of that is equi-integrable of order . On , the uniform structure of convergence in measure is equal to the uniform structure induced by that of .
Let . There exist and with the properties (i) and (ii) of Def. 10. Let in be such that
for , except on a set of measure . Then
and similarly
Thus, the uniform structure of convergence in measure on is finer than the uniform structure induced by that of . It then suffices to apply Prop. 20.
12. A property of vague convergence
Lemma 5
Let be a locally compact space, a bounded positive measure on , a Banach space, and a bounded function on with values in . The following conditions are equivalent:
(i) The set of points of discontinuity of is -negligible.
(ii) For every , there exist elements of , functions belonging to , and a bounded continuous function on such that on , and .
Denote by the set of points of discontinuity of , and let .
(i) (ii). Suppose that condition (i) is satisfied. Let . The function is -integrable (No. 2, Cor. 4 of Prop. 5, and No. 6, Th. 5), therefore there exist in and in such that, on setting , we have (§ 3, No. 5,
Prop. 10). Multiplying by a suitable same element of , we can suppose in addition that
on X, whence . The set of points of discontinuity of is contained in , hence is negligible. For every , set .
Then on X, and on , that is, almost everywhere for , therefore . On the other hand, is bounded and upper semi-continuous, hence is the lower envelope of the set of bounded continuous functions . Therefore there exists a bounded continuous function on X such that and (§ 4, No. 4, Cor. 2 of Prop. 5). Then and .
(ii) (i). Suppose that condition (ii) is satisfied. For every let be the oscillation of f at x (GT, IX, § 2, No. 3). Let . There exist with the properties of (ii). For every , is the oscillation of at x, therefore . Thus . Consequently, the set of such that satisfies . This proves that , whence .
Proposition 22
— *Let F be a Banach space, X a locally compact space, the set of bounded positive measures on X, an element of , and a filter base on . Assume that converges vaguely to and that tends to with respect to . Let f be a mapping of X into F satisfying the following conditions:
(i) f is bounded, and is integrable for and for every measure that belongs to some element of ; (ii) the set of points of discontinuity of f is -negligible. Then tends to with respect to .
Let . There exist elements in F, functions in , and a bounded continuous function on X, such that
on X and (Lemma 5). Let . There exist a compact subset K of X such that (§ 4, No. 7, Prop. 12 and No. 6, Th. 4), a compact neighborhood of K in X, and a continuous mapping of X into such that on K, on ; replacing by , we can suppose in addition that . Then . On the other hand, , where . Taking into account § 4, No. 7, Prop. 12, the number
Remark
The conditions (i) and (ii) of Proposition 22 are satisfied if is continuous and bounded.
Example
Let us take for the compact space of complex numbers of absolute value 1. On setting for every , one defines a positive measure of mass 1 on . On the other hand, let be a real number; for every integer , let be the unit mass placed at the point of , and let
therefore tends to . Under these conditions, Proposition 22 can be applied, and we see in particular that if is a subset of with negligible boundary with respect to , then tends to . In other words, if denotes the number of integers such that , then tends to as tends to .
Exercises
See the exercises for § 5.