M.Sc.

Course
in
Applied Mathematics with Oceanology
and
Computer Programming
Semester-I
Paper-MTM-101
Real Analysis
(Measurable Sets and Measurable Functions-II)

Unit Structure:

5.1 Introduction
The class of measurable functions plays a fundamental role in integration theory. It has some basic
properties in common with another most important class of functions, namely, the continuous ones. It
is helpful to keep these similarities in mind. Our presentation is therefore organized in such a way that
the analogies between the concepts of open set, and continuous function, on the one hand and measurable
space, measurable set and measurable function, on the other, are strongly emphasized. It seems that the
relations between these concepts emerge most commonly when the setting is quite abstract.

5.2 Objective
The classes of ‘nice’ sets are defined which we call here as σ-algebra and denote it by M. The σ-algebra is
introduced in this unit in order to obtain a set function which is countably additive on M. This countably
additive set function is called the measure on M. Throughout the unit, we assume that M is a sigma-
algebra on a set X and µ is a measure on M. Using the concept of measure, an abstract integration is
defined for simple measurable functions and non-negative measurable functions on a set X.

5.3 Measurable sets and measurable functions

Def. 5.3.1 (Measurable sets) A collection M of subsets of a set X is said to be a σ-algebra in X if M
has the following properties:
(i) ∅, X ∈ M.

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(ii) If A ∈ M, then Ac ∈ M.
∪
∞
(iii) If A = An and if An ∈ M for n = 1, 2, 3, . . . , then A ∈ M.
n=1

If M is a σ-algebra in X, then X is called a measurable space and the members of M are called the
measurable sets in X.

Def. 5.3.2 (Measurable functions) If X is a measurable space, Y is a metric space and f : X → Y is

a function, then f is said to be measurable provided that f −1 (V ) is a measurable set in X for every open
set V in Y .

Note 5.3.1 (i) Taking An+1 = An+2 = . . . = ∅ in (iii) of Definition 5.3.1, we see that A1 ∪A2 ∪. . .∪An ∈
M if Ai ∈ M for i = 1, 2, . . . , n.
(ii) Since
∞
∩ (∪ ∞ )
An = Acn ,
n=1 n=1

M is closed under the formation of countable (and also finite) intersections.

(iii) Since A − B = A ∩ B c , we have A − B ∈ M if A ∈ M and B ∈ M.

Theorem 5.3.1 Let Y and Z be metric spaces and let g : Y → Z be continuous. If X is a measurable
space, f : X → Y is measurable function and h = g ◦ f , then h : X → Z is measurable.

Proof. If V is open in Z, then g being continuous, g −1 (V ) is open in Y . Again f being measurable

function, f −1 (g −1 (V )) is a measurable set in X.
Now,

h−1 (V ) = (g ◦ f )−1 (V ) = f −1 (g −1 (V )).

This shows that h is a measurable function.

Theorem 5.3.2 Let u and v be real measurable functions on a measurable space X, Φ : R2 → R be a

continuous function and define

h(x) = Φ(u(x), v(x)), x ∈ X.

Then h : X → R is measurable.

Proof. Let f (x) = (u(x), v(x)), x ∈ X. Then f is a function from X into R2 .

Since h = Φ ◦ f , Theorem 5.3.1 shows that it is enough to prove the measurability of f .
If R is any open rectangle in R2 , with sides parallel to the axes, then R = I1 × I2 , where I1 and I2 are
two open intervals in R.
Now,

f −1 (R) = {x ∈ X : f (x) ∈ R = I1 × I2 }
= {x ∈ X : u(x) ∈ I1 and v(x) ∈ I2 }
= {x ∈ X : u(x) ∈ I1 } ∩ {x ∈ X : v(x) ∈ I2 }
= u−1 (I1 ) ∩ v −1 (I2 ),
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which is measurable in X, by our assumption on u and v.

Every open set V in R2 is a countable union of such rectangles Ri , and since
∞
∪ ∞
∪
−1 −1
f (V ) = f ( Ri ) = f −1 (Ri ),
i=1 i=1

f −1 (V ) is measurable.

Corollary 5.3.1 1. If f = u + iv, where u and v are real measurable functions on X, then f is a
complex measurable function on X.
This follows from Theorem 5.3.2, with Φ(z) = z.
2. If f = u + iv is a complex measurable function on X, then u, v and | f | are real measurable functions
on X.
This follows from Theorem 5.3.1, with g(z) = Re(z), Im(z) and | z | respectively.
3. If f and g are complex measurable (real measurable) functions on X, then so are f + g and f g.
For real f and g this follows from Theorem 5.3.2, with

Φ(s, t) = s + t and Φ(s, t) = st.

The complex case then follows from Corollary 1 and Corollary 2.

4. If E is a measurable set in X and if
{
1 if x ∈ E
χE (x) =
0 if x ∈
/ E,

then χE is a measurable function.

This is obvious.

Theorem 5.3.3 If F is any collection of subsets of X, there exist a smallest σ-algebra M∗ in X such
that F ⊂ M∗ .
This M∗ is sometimes called the σ-algebra generated by F .

Def. 5.3.3 (Borel Sets) Let X be a metric space. By Theorem 5.3.3, there exists a smallest σ-algebra
B in X such that every open set in X belongs to B. The members of B are called the Borel sets of X and
X is called a Borel measurable space.
In particular, closed sets are Borel sets (being, by definition, the complements of open sets), and so are
all countable unions of closed sets and all countable intersections of open sets. These last two are called
Fσ ’s and Gδ ’s, respectively.

Def. 5.3.4 (Borel measurable functions) If X is a Borel measurable space, Y is a metric space and
f : X → Y is a function, then f is said to be Borel measurable function if f −1 (V ) ∈ B for every open set
V in Y .

Theorem 5.3.4 Suppose M is a σ-algebra in X, and Y is a metric space. Let f : X → Y is a function.

(i) If Ω = {E ⊆ Y : f −1 (E) ∈ M}, then Ω is a σ-algebra.

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(ii) If f is measurable and E is a Borel set in Y , then f −1 (E) ∈ M.

(iii) If Y = [−∞, ∞] and f −1 ((α, ∞]) ∈ M for every real α, then f is measurable.

(iv) If f is measurable, Z is a metric space, g : Y → Z is a Borel measurable function and h = g ◦ f ,

then h : X → Z is measurable.

Proof. (i) follows from the relations

f −1 (Y ) = X,
f −1 (Y − A) = X − f −1 (A),
∞
∪ ∞
∪
and f −1 ( Ai ) = f −1 (Ai ).
i=1 i=1

To prove (ii), let Ω be as in (i). The measurability of f implies that Ω contains all open sets in Y and
since Ω is a σ-algebra, Ω contains all Borel sets in Y . Hence the result.
To prove (iii), let Ω = {E ⊆ [−∞, ∞] : f −1 (E) ∈ M}.
Choose a real number α and choose αn < α so that αn → α as n → ∞. Since (αn , ∞] ∈ Ω for each n,
since
∞
∪ ∞
∪
[−∞, α) = [−∞, αn ] = (αn , ∞]c ,
n=1 n=1

and since (i) shows that Ω is a σ-algebra, we see that [−∞, α) ∈ Ω. The same is true of

(α, β) = [−∞, β) ∩ (α, ∞].

Since every open set in [−∞, ∞] is a countable union of segments of the above types, Ω contains every
open set. Thus f is measurable.
To prove (iv), let V ⊆ Z be any open set. Then g −1 (V ) is a Borel set of Y and since

h−1 (V ) = f −1 (g −1 (V )),

(ii) shows that h−1 (V ) ∈ M.

5.4 Sequence of measurable functions

Def. 5.4.1 Let {an } be a sequence in [−∞, ∞], and put

bk = sup{ak , ak+1 , ak+2 , . . .}, k = 1, 2, 3, . . .

and

β = inf{b1 , b2 , b3 , . . .}.

We call β as the upper limit of {an } and write

β = lim sup an .
n→∞
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The lower limit is defined analogously simply interchanging sup and inf in the above.
Note that
lim inf an = − lim sup (−an ).
n→∞ n→∞

If {an } converges, then evidently

lim sup an = lim inf an = lim an .
n→∞ n→∞ n→∞

Suppose {fn } is a sequence of extended-real functions on a set X. Then sup fn and lim sup fn are the
n n→∞
functions defined on X by
( )
sup fn (x) = sup (fn (x)),
n n

( )
lim sup fn (x) = lim sup (fn (x)).
n→∞ n→∞

If
f (x) = lim fn (x),
n→∞

the limit being assumed to exist at every x ∈ X, then we call f the pointwise limit of the sequence {fn }.

Theorem 5.4.1 If fn : X → [−∞, ∞] is measurable for n = 1, 2, 3, . . . , and g = sup fn and h = lim sup fn ,
n≥1 n→∞
then g and h are measurable.

Proof. We have for every real number α,

g −1 ((α, ∞]) = {x ∈ X : g(x) ∈ (α, ∞]}
= {x ∈ X : g(x) > α}
∪∞
= fn−1 ((α, ∞]).
n=1

Hence, Theorem 5.3.4(iii) implies that g is measurable. The same result holds for inf in place of sup and
since
{ }
h = inf sup fi ,
k≥1 i≥k

it follows that h is measurable.

Corollary 5.4.1 (a) The limit of every pointwise convergent sequence of complex measurable functions is
measurable.
(b) If f and g are measurable (with range in [−∞, ∞]), then so are max{f, g} and min{f, g}. In
particular, this is true of the functions
f + = max{f, 0} and f − = − min{f, 0}.
The functions f + and f − are called the positive and negative parts of f .

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5.5 Elementary properties of measure

Def. 5.5.1 A positive measure is a function µ defined on a σ-algebra M, whose range is in [0, ∞] and
which is countably additive. This means that if {Ai } is a disjoint countable collection of members of M,
then
(∪ ∞ ) ∑ ∞
µ Ai = µ(Ai ).
i=1 i=1

A measure space is a measurable space which has a positive measure defined on the σ-algebra of its mea-
surable sets.

Theorem 5.5.1 Let µ be a positive measure on a σ-algebra M. Then

(i) µ(∅) = 0.
∪
n ∑
n
(ii) µ( Ai ) = µ(Ai ) if A1 , A2 , . . . , An are pairwise disjoint members of M.
i=1 i=1

(iii) A ⊆ B implies that µ(A) ≤ µ(B) if A, B ∈ M.

∪
∞
(iv) µ(An ) → µ(A) as n → ∞ if A = An , An ∈ M and A1 ⊆ A2 ⊆ A3 ⊆ . . ..
n=1

∩
∞
(v) µ(An ) → µ(A) as n → ∞ if A = An , An ∈ M and A1 ⊇ A2 ⊇ A3 ⊇ . . . and µ(A1 ) is finite.
n=1

Proof. Proof of (i) and (ii) follows from the Definition 5.5.1.
(iii) Since B = A ∪ (B − A) and A ∩ (B − A) = ∅, we have from (ii),

µ(B) = µ(A) + µ(B − A) ≥ µ(A).

(iv) Put B1 = A1 and put Bn = An − An−1 for n = 2, 3, 4, . . ..

∪
n ∪
∞
Then Bn ∈ M, Bi ∩ Bj = ∅ if i ̸= j, An = Bi and A = Bi . Hence
i=1 i=1

∑
n ∞
∑ ∑
n
µ(An ) = µ(Bi ) and µ(A) = µ(Bi ) = lim µ(Bi ) = lim µ(An ).
n→∞ n→∞
i=1 i=1 i=1

(v) Put Cn = A1 − An . Then C1 ⊆ C2 ⊆ C3 ⊆ . . .,

∞
∪
µ(Cn ) = µ(A1 ) − µ(An ) and A1 − A = Cn .
n=1

So, (iv) shows that

µ(A1 ) − µ(A) = µ(A1 − A) = lim µ(Cn ) = µ(A1 ) − lim µ(An )

n→∞ n→∞
i.e. µ(A) = lim µ(An ) ( since µ(A1 ) is finite, we may subtract it ).
n→∞

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Example 5.5.1 (i) For any set E ⊆ X, where X is any set, we define µ(E) = ∞ if E is an infinite
set, and let µ(E) equals the number of points in E if E is finite. This µ is called the counting measure
on X.

(ii) Fix x0 ∈ X and define µ(E) = 1 if x0 ∈ E and µ(E) = 0 if x0 ∈

/ E for any E ⊆ X. This µ is called
the unit mass concentrated at x0 .

5.6 Simple functions and their properties

Def. 5.6.1 A complex function s on a measurable space X whose range consists of only finitely many
points will be called a simple function. Among these are the non-negative simple functions, whose range is
a finite subset of [0, ∞). We explicitly exclude ∞ from the values of a simple function.
If α1 , α2 , . . . , αn are the distinct values of a simple function s, and if we set Ai = {x ∈ X : s(x) = αi },
then clearly

∑
n
s= αi χAi ,
i=1

where χAi is the characteristic function of Ai .

It is clear that s is measurable if and only if each of the sets Ai is measurable.

Theorem 5.6.1 Let f : X → [0, ∞] be measurable. There exist simple measurable functions sn on X such
that

(i) 0 ≤ s1 ≤ s2 ≤ . . . ≤ f ,

(ii) sn (x) → f (x) as n → ∞ for every x ∈ X.

5.6.1 Integration of positive functions

In this section, M will be a σ-algebra in a set X and µ will be a positive measure on M.

Def. 5.6.2 If s : X → [0, ∞] is a measurable simple function of the form

∑
n
s= αi χAi ,
i=1

where α1 , α2 , . . . , αn are the distinct values of s and if E ∈ M, we define

∫ ∑
n
s dµ = αi µ(Ai ∩ E).
E i=1

If f : X → [0, ∞] is measurable and E ∈ M, we define

∫ ∫
f dµ = sup{ s dµ : s is a simple measurable function such that 0 ≤ s ≤ f }.
E E

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the following results are immediate consequences of the above definitions. The functions and sets occur-
ring in them are assumed to be measurable.
∫ ∫
Theorem 5.6.2 (i) If 0 ≤ f ≤ g, then f dµ ≤ g dµ.
E E
∫ ∫
(ii) If A ⊆ B and f ≥ 0, then f dµ ≤ f dµ.
A B

(iii) If f ≥ 0 and c is a constant, 0 ≤ c < ∞, then

∫ ∫
cf dµ = c f dµ.
E E

∫
(iv) If f (x) = 0 for all x ∈ E, then f dµ = 0 even if µ(E) = ∞.
E
∫
(v) If µ(E) = 0, then f dµ = 0, even if f (x) = ∞ for every x ∈ E.
E
∫ ∫
(vi) If f ≥ 0, then f dµ = χE f dµ.
E X

Theorem 5.6.3 Let s and t be non-negative measurable simple functions on X. For E ∈ M, define
∫
ϕ(E) = s dµ. (5.1)
E

Then ϕ is a measure on M. Also

∫ ∫ ∫
(s + t) dµ = s dµ + t dµ. (5.2)
X X X

∪
∞
Proof. If s is as in Definition 5.6.2 and if E = Er ; E1 , E2 , . . . are disjoint members of M, the
r=1
countable additivity of µ shows that

∑
n
ϕ(E) = αi µ(Ai ∩ E)
i=1
∑n ∞
∑
= αi µ(Ai ∩ Er )
i=1 r=1
∞
∑∑ n
= αi µ(Ai ∩ Er )
r=1 i=1
∑∞
= ϕ(Er ).
r=1

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Next, let s be as before, β1 , β2 , . . . , βm be the distinct values of t, and let Bj = {x : t(x) = βj }. If

Eij = Ai ∩ Bj , then
∫
(s + t) dµ = (αi + βj ) µ(Eij ) and
Eij
∫ ∫
s dµ + t dµ = αi µ(Eij ) + βj µ(Eij ).
Eij Eij

∪
n ∪
m
Thus (5.2) holds with Eij in place of X. Since X = Eij , the first part implies that (5.2) holds.
i=1 j=1
We now come to the interesting part of the theory.

Theorem 5.6.4 (Lebesgue’s Monotone Convergence Theorem) Let {fn } be a sequence of measur-
able functions on X and suppose that

(i) 0 ≤ f1 (x) ≤ f2 (x) ≤ . . . ≤ ∞ for every x ∈ X,

(ii) fn (x) → f (x) as n → ∞, for every x ∈ X.

Then f is measurable and

∫ ∫
fn dµ → f dµ as n → ∞.
X X
∫ ∫
Proof. Since fn dµ ≤ fn+1 dµ, there exists an α ∈ [0, ∞] such that
X X
∫
fn dµ → α as n → ∞. (5.3)
X
∫ ∫
By Theorem 5.4.1, f is measurable. Since fn ≤ f , we have fn dµ ≤ f dµ for every n. So (5.3) implies
X X
∫
α≤ f dµ. (5.4)
X

Let s be any simple measurable function such that 0 ≤ s ≤ f , c be a constant, 0 < c < 1 and define

En = {x ∈ X : fn (x) ≥ cs(x)}, n = 1, 2, 3, . . .
∪
∞
Each En is measurable, E1 ⊆ E2 ⊆ E3 ⊆ . . . and X = En . To see this equality, consider x ∈ X. If
n=1
f (x) = 0, then x ∈ E1 . If f (x) > 0, then cs(x) < f (x), since c < 1. Hence, x ∈ En for some n. Also
∫ ∫ ∫
fn dµ ≥ fn dµ ≥ c s dµ, n = 1, 2, 3, . . . . (5.5)
X En En

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Letting n → ∞, we have
∫
α≥c s dµ. (5.6)
X

Since (5.6) holds for every c < 1, letting c → 1 we have

∫
α ≥ s dµ (5.7)
X

for every simple measurable s satisfying 0 ≤ s ≤ f , so that

∫
α ≥ f dµ. (5.8)
X

Hence from (5.4) and (5.8), we have the equality.

Theorem 5.6.5 If fn : X → [0, ∞] is measurable for n = 1, 2, 3, . . . and
∞
∑
f (x) = fn (x), x ∈ X,
n=1

then
∫ ∞ ∫
∑
f dµ = fn dµ.
X n=1 X

Proof. By Theorem 5.6.1, there are sequences {s1i } and {s2i } of simple measurable functions such that
→ f1 and s2i → f2 . If si = s1i + s2i , then si → f1 + f2 and the monotone convergence theorem combined
s1i
with Theorem 5.6.3, shows that
∫ ∫ ∫
(f1 + f2 ) dµ = f1 dµ + f2 dµ. (5.9)
X X X

Next, put gN = f1 + . . . + fN . The sequence {gN } converges monotonically to f . If we apply induction to

(5.9), we have
∫ ∑N ∫
gN dµ = fn dµ.
X n=1 X

Applying the monotone convergence theorem to the above, we have

∫ ∫
lim gN dµ = lim gN dµ
N →∞ N →∞
X X
N ∫
∑ ∫
i.e. lim fn dµ = f dµ
N →∞
n=1 X X
∞ ∫
∑ ∫
i.e. fn dµ = f dµ.
n=1 X X

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This completes the proof.

If we let µ be the counting measure on a countable set, Theorem 5.6.5 is a statement about double series
of non-negative real numbers which can be proved by more elementary means.
Corollary 5.6.1 If aij ≥ 0 for i, j = 1, 2, 3, . . . , then
∞ ∑
∑ ∞ ∞ ∑
∑ ∞
aij = aij .
i=1 j=1 j=1 i=1

Theorem 5.6.6 (Fatou’s Lemma) If fn : X → [0, ∞] is measurable for each positive integer n, then
∫ ∫
( )
lim inf fn dµ ≤ lim inf fn dµ.
n→∞ n→∞
X X
Proof. By definition,
lim inf fn = sup{inf fi }
n→∞ n≥1 i≥n

Put
gn (x) = inf fi (x), n = 1, 2, 3, . . . ; x ∈ X.
i≥n

Then gn ≤ fn , so that
∫ ∫
gn dµ ≤ fn dµ, n = 1, 2, 3, . . . .
X X
Also, 0 ≤ g1 ≤ g2 ≤ . . ., each gn is measurable, by Theorem 5.4.1 and {gn } is an increasing sequence
converging to lim inf fn as n → ∞. Thus by monotone convergence theorem, we have
n→∞
∫ ∫
( ) ( )
lim inf fn dµ = lim inf fi dµ
n→∞ n→∞ i≥n
X X
∫
= lim gn dµ
n→∞
X
∫
≤ lim fn dµ
n→∞
X
∫
= lim inf fn dµ.
n→∞
X

Theorem 5.6.7 Suppose f : X → [0, ∞] is measurable and

∫
ϕ(E) = f dµ, E ∈ M.
X
Then ϕ is a measure on M and
∫ ∫
g dϕ = gf dµ
X X
for every measurable g on X with range in [0, ∞].

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5.7 Summary
In this unit, measurable sets, measurable functions, Borel sets and Borel measurable functions are defined.
Several results have been established to construct new measurable functions. It is proved that limit superior,
limit inferior, sup and inf of a sequence of measurable functions are all measurable. A new term called
‘measure’ is defined on a σ-algebra as a generalization of usual length function. Integration for simple and
non-negative measurable functions are defined using the concept of measure. Many properties of them
have been established. Some important theorems like Lebesgue’s monotone convergence theorem, Fatou’s
lemma have been proved.

5.8 Self Assessment Questions

1. Does there exist an infinite σ-algebra which has only countably many members?
2. Prove an analogue of Theorem 5.3.2 for n functions.
3. Prove that if f is a real function on a measurable space X such that {x : f (x) ≥ r} is measurable
for every rational r, then f is measurable.
4. Suppose f : X → [−∞, ∞] and g : X → [−∞, ∞] are measurable. Prove that the sets
{x : f (x) > g(x)}, {x : f (x) < g(x)}, {x : f (x) = g(x)}
are measurable.
5. Let {an } and {bn } be sequences in [−∞, ∞] and prove the following:
(a)
lim sup (−an ) = − lim inf an .
n→∞ n→∞

(b)
lim sup (an + bn ) ≤ lim sup (an ) + lim sup (bn )
n→∞ n→∞ n→∞

provided none of the sums is of the form ∞ − ∞.

(c) If an ≤ bn for all n, then
lim inf an ≤ lim inf bn .
n→∞ n→∞

Show by an example that strict inequality can hold in (c).

6. Prove that the set of points at which a sequence of measurable real-valued functions converges (to a
finite limit) is measurable.
7. Let X be an uncountable set and M = {E { ⊆ X : Either E or E is countable}. Let us define a
c

0 if E is countable
function µ : M → [0, ∞] such that µ(E) =
1 if E c is countable.
Prove that M is a σ-algebra in X and µ is a measure on M.
8. Put fn = χE if n is odd, fn = 1 − χE if n is even. What is the relevance of this example to Fatou’s
lemma?
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Real Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5.9 References or Bibliography

1. Inder K Rana, An Introduction to Measure and Integration, Second Edition, Narosa Publishers.

2. Walter Rudin, Real and Complex Analysis, Third Edition, Tata McGraw-Hill Edition.

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