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Math4121Introduction to Lebesgue Integration (Lecture 21)

Math4121 Lecture 21

Rolling from last lecture

Convergence of integrals

Arzela-Osgood Theorem

Let {fn}\{f_n\} be a sequence of function, f(x)=limnfn(x)f(x)=\lim_{n\to\infty}f_n(x) for every x[0,1]x\in [0,1], if fR[0,1]f\in \mathscr{R}[0,1], and B>0\exists B>0 such that fn(x)Bx[0,1]|f_n(x)|\leq B \forall x\in [0,1]. (uniformly bounded and integrable)

limn01fn(x)dx=01f(x)dx\lim_{n\to\infty}\int_0^1 f_n(x) dx = \int_0^1 f(x) dx

If we let Γα\Gamma_{\alpha} be the set of intervals where fnf_n is not continuous,

Γα={x[0,1]: for any mN,δ>0,nm,y(xδ,x+δ) s.t. fn(y)f(y)>α}\Gamma_{\alpha} = \{x\in [0,1] : \textup{ for any }m\in \mathbb{N}, \delta > 0, \exists n\geq m, y\in (x-\delta, x+\delta) \text{ s.t. } |f_n(y)-f(y)|>\alpha\}

Fact: Γα\Gamma_{\alpha} is closed and nowhere dense.

Proof

Without loss of generality, we can assume f=0f=0. Given any α>0\alpha > 0, N\exists N such that

01fn(x)dx<α\left|\int_0^1 f_n(x) dx \right| < \alpha

for all nNn\geq N.

Consider the set Γα/2=n=1En\Gamma_{\alpha/2} = \bigcup_{n=1}^{\infty} E_n, for each gΓα/2g\in \Gamma_{\alpha/2}, we still have limnfn(g)=0\lim_{n\to\infty}f_n(g) = 0.

So we define

Gi={gΓα/2:fn(g)<α2 for all ni}G_i=\{g\in \Gamma_{\alpha/2} :|f_n(g)|<\frac{\alpha}{2} \text{ for all }n\geq i\}

So G1G2G_1\subset G_2\subset \cdots and Γα/2=i=1Gi\Gamma_{\alpha/2} = \bigcup_{i=1}^{\infty} G_i.

By Osgood Lemma, since Γα/2\Gamma_{\alpha/2} is closed, K\exists K such that ce(GK)>ce(Γα/2)α4Bc_e(G_K)>c_e(\Gamma_{\alpha/2})-\frac{\alpha}{4B}.

By definition of cec_e, we cna find open I1,,INI_1,\ldots,I_N which cover Γα/2\Gamma_{\alpha/2} and

i=1N(Ii)<ce(Γα/2)+α4B\sum_{i=1}^N \ell(I_i) < c_e(\Gamma_{\alpha/2})+\frac{\alpha}{4B}

Let U=i=1NIi\mathcal{U}=\bigcup_{i=1}^N I_i, and C=[0,1]U\mathcal{C}=[0,1]\setminus \mathcal{U}.

Part 1: Control the integral on C\mathcal{C}

for each xCx\in \mathcal{C}, xΓα/2x\notin \Gamma_{\alpha/2}, so \exists and open interval I(x)I(x) and an integer m(x)m(x) such that fm(x)(x)<α2|f_{m(x)}(x)|<\frac{\alpha}{2} and nm(x),yI(x)\forall n\geq m(x), y\in I(x)

So CxCI(x)\mathcal{C}\subset \bigcup_{x\in \mathcal{C}} I(x), and C\mathcal{C} is closed and bounded, x1,,xJ\exists x_1,\ldots,x_J such that Cj=1JI(xj)\mathcal{C}\subset \bigcup_{j=1}^J I(x_j). So if nmaxj=1,,Jm(xj)n\geq \max_{j=1,\ldots,J} m(x_j), and xCx\in \mathcal{C}, then fn(x)<α2|f_n(x)|<\frac{\alpha}{2}.

So Cfn(x)dx<α2ce(C)\int_\mathcal{C} |f_n(x)| dx < \frac{\alpha}{2} c_e(\mathcal{C}).

Part 2: Control the integral on U\mathcal{U}

If [xi,xi+1]Gk[x_i,x_{i+1}]\cap G_k\neq \emptyset, then infx[xi,xi+1]fn(x)<α2\inf_{x\in [x_i,x_{i+1}]} |f_n(x)| < \frac{\alpha}{2} for all nKn\geq K. Denote such set as P1P_1.

Otherwise, we denote such set as P2P_2.

So (U)=(P1)+(P2)ce(GK)+(P2)\ell(\mathcal{U})=\ell(P_1)+\ell(P_2)\geq c_e(G_K)+\ell(P_2).

This implies (P2)α4B\ell(P_2)\leq \frac{\alpha}{4B}.

Continue on Friday.

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