L0, convergence in measure, equi-integrability, the Vitali convergence theorem, and the de la Vallée-Poussin criterion

Jordan Bell
June 10, 2015

1 Measurable spaces

Let ¯={-,}, with the order topology. We assign the Borel σ-algebra. It is a fact that for E¯, E¯ if and only if E{-,}.

Theorem 1.

Let (Ω,Σ) be a measurable space. If fj is a sequence of measurable functions Ω¯, then for each k,

gk(x)=supjkfj(x),hk(x)=infjkfj(x),

are measurable Ω¯, and

g(x)=lim supjfj(x),h(x)=lim infjfj(x),

are measurable Ω¯.

Proof.

Let a. For each j, fj-1(a,]Σ, so

j=kfj-1(a,]Σ.

For each jk,

fj-1(a,]{xΩ:supikfi(x)>a},

so

j=kfj-1(a,]{xΩ:supikfi(x)>a}.

If yj=kfj-1(a,], then for each jk, fj(y)a, hence gk(y)a, which means that y{xΩ:gk(x)>a}. Therefore,

j=kfj-1(a,]={xΩ:gk(x)>a},

and thus gk-1(a,]Σ. Because this is true for all a and ¯ is generated by the collection {(a,]:a}, it follows that gk:Ω¯ is measurable.

That hk is measurable follows from the fact that if f:Ω¯ is measurable then -f:Ω¯ is measurable, and that hk(x)=infjkfj(x)=-supjk(-fj(x)).

For xΩ,

g(x)=infk1gk(x),

and because each gk is measurable it follows that g is measurable. Likewise,

h(x)=supk1hk(x),

and because each hk is measurable it follows that h is measurable. ∎

2 Convergence in measure

Let (Ω,Σ,μ) be a probability space. Let L0(μ) be the collection of equivalence classes of measurable functions Ω, where has the Borel σ-algebra, and where two functions f and g are equivalent when

μ{xΩ:f(x)g(x)}=0.

L0(μ) is a vector space. For f,gL0(μ) we define

ρ(f,g)=Ω|f-g|1+|f-g|𝑑μ.

This is a metric on L0(μ), and one proves that with this metric L0(μ) is a topological vector space. We call the topology induced by ρ the topology of convergence in measure.11 1 Charalambos D. Aliprantis and Kim C. Border, Infinite Dimensional Analysis: A Hitchhiker’s Guide, third ed., p. 480, Lemma 13.40.

Theorem 2.

Suppose that fn is a sequence in L0(μ). fn0 in the topology of convergence in measure if and only if for each ϵ>0,

limnμ({xΩ:|fn(x)|ϵ})=0.
Proof.

Suppose that fn0 in the topology of convergence in measure and let ϵ>0. For each n, let

An={xΩ:|fn(x)|ϵ}={xΩ:|fn(x)|1+|fn(x)|ϵ1+ϵ}.

Because ϵ1+ϵχAn|fn|1+|fn|,

Ωϵ1+ϵχAn𝑑μΩ|fn|1+|fn|𝑑μ=ρ(fn,0),

i.e. μ(An)1+ϵϵρ(fn,0), which tends to 0 as n.

Let ϵ>0 and for each n, let

An={xΩ:|fn(x)|ϵ}={xΩ:|fn(x)|1+|fn(x)|ϵ1+ϵ}.

Suppose that μ(An)0 as n. There is some nϵ such that nnϵ implies that μ(An)<ϵ. For nnϵ,

ρ(fn,0) =An|fn|1+|fn|𝑑μ+ΩAn|fn|1+|fn|𝑑μ
An1𝑑μ+ΩAnϵ1+ϵ𝑑μ
=1+ϵ1+ϵμ(An)+ϵ1+ϵμ(ΩAn)
=11+ϵμ(An)+ϵ1+ϵ(μ(An)+μ(ΩAn))
=11+ϵμ(An)+ϵ1+ϵ
<11+ϵϵ+ϵ1+ϵ
<2ϵ.

This shows that fn0 in the topology of convergence in measure. ∎

We now prove that if a sequence in L0(μ) converges almost everywhere to 0 then it converges in measure to 0.22 2 Charalambos D. Aliprantis and Kim C. Border, Infinite Dimensional Analysis: A Hitchhiker’s Guide, third ed., p. 479, Theorem 13.37.

Theorem 3.

Suppose that fn is a sequence in L0(μ) and that for almost all xΩ, fn(x)0 as n. Then fn0 in the topology of convergence in measure.

Proof.

Let ϵ>0 and let η>0. Egorov’s theorem tells us that there is some EΣ with μ(E)<η such that fn0 uniformly on ΩE. So there is some n0 such that if nn0 and xΩE then |fn(x)|<ϵ. Thus for nn0,

μ({xΩ:|fn(x)|ϵ}) μ(E)+μ({xΩE:|fn(x)|ϵ})
=μ(E)
<η.

Then μ({xΩ:|fn(x)|ϵ})0 as n, namely, fn0 in measure. ∎

Theorem 4.

If fn is a sequence in L1(μ) that converges in L1(μ) to 0, then fn converges in measure to 0.

Proof.

Let ϵ>0 and let An={xΩ:|fn(x)|ϵ}. By Chebyshev’s inequality,

μ(An)1ϵfn1,

hence μ(An)0 as n, namely, fn converges to 0 in measure. ∎

The following theorem shows that a sequence in L0(μ) that converges in measure to 0 then it has a subsequence that almost everywhere converges to 0.33 3 Charalambos D. Aliprantis and Kim C. Border, Infinite Dimensional Analysis: A Hitchhiker’s Guide, third ed., p. 479, Theorem 13.38.

Theorem 5.

Suppose that fn is a sequence in L0(μ) that converges in measure to 0. Then there is a subsequence fa(n) of fn such that for almost all xΩ, fa(n)(x)0.

Proof.

For each n, with ϵ=1n, there is some a(n) such that ma(n) implies that

μ({xΩ:|fm(x)|1n})<12n.

For each n, let

En={xΩ:|fa(n)(x)|1n},

for which μ(En)<12n. Let

E=n=1m=nEm,

and for each n,

μ(E)μ(m=nEm)m=nμ(Em)<m=n12m=12n2=21-n.

Because this is true for all n, μ(E)=0. If xΩE, then there is some nx such that xm=nxEm. This means that for mnx we have xEm, i.e. |fa(m)(x)|<1m. This implies that for xE, fa(n)(x)0 as n, showing that for almost all xΩ, fa(n)(x)0 as n. ∎

We now prove that ρ is a complete metric, namely that L0(μ) with this metric is an F-space.44 4 Charalambos D. Aliprantis and Kim C. Border, Infinite Dimensional Analysis: A Hitchhiker’s Guide, third ed., p. 481, Theorem 13.41; Gerald B. Folland, Real Analysis: Modern Techniques and Their Applications, second ed., p. 61, Theorem 2.30.

Theorem 6.

ρ is a complete metric on L0(μ).

Proof.

Suppose that fn is a Cauchy sequence in L0(μ). To prove that fn is convergent it suffices to prove that fn has a convergent subsequence. If (X,d) is a metric space and xn is a Cauchy sequence in X, for any N let aN be such that n,maN implies that d(xn,xm)<1N and a fortiori d(xn,xm)<1aN. Thus we presume that fn itself satisfies ρ(fn,fm)<1n for mn.

Let

Ak,m(ϵ)={xΩ:|fk(x)-fm(x)|ϵ}={xΩ:|fk(x)-fm(x)|1+|fk(x)-fm(x)|ϵ1+ϵ},

for which

ϵ1+ϵχAk,m(ϵ)|fk(x)-fm(x)|1+|fk(x)-fm(x)|.

If mk,

μ(Ak,m(ϵ))1+ϵϵΩ|fk-fm|1+|fk-fm|𝑑μ=1+ϵϵρ(fk,fm)<1+ϵϵ1k. (1)

For n=1 and ϵ1=121, let k1 be such that 1+ϵ1ϵ11k1121, i.e. k1211+ϵ1ϵ1. For n1 and ϵn=12n, assume that kn satisfies 1+ϵnϵn1kn12n and kn>kn-1. For ϵn+1=12n+1, let kn+1 be such that 1+ϵn+1ϵn+11kn+112n+1 and kn+1>kn. For any n we have, because knn, 1+ϵnϵn1kn12kn. Then using (1) with mkn,

μ(Akn,m(12n))<1+ϵnϵn1kn12kn. (2)

Let gn=fkn and let

En={xΩ:|gn+1(x)-gn(x)|12n},

for which, by (2), μ(En)<12n. Let

Fn=r=nEn,

which satisfies

μ(Fn)r=nμ(En)<r=n2-r=2-n+1.

Hence F=n=1Fn satisfies μ(F)=0.

If xF, then there is some n for which xFn, i.e. for each rn we have xEr, i.e. for each rn we have |gr+1(x)-gr(x)|<2-r. This implies that for kn and for any positive integer p,

|gk+p(x)-gk(x)| |gk+p(x)-gk+p-1(x)|++|gk+1(x)-gk(x)|
<2-k-p+1++2-k
<2-k+1,

so if jk then

|gj(x)-gk(x)|<2-k+1. (3)

This shows that if xF then gk(x) is a Cauchy sequence in , and hence converges. We define g:Ω by

g(x)=χΩF(x)lim supkgk(x),xΩ,

and by Theorem 1, gL0(μ). For xFk we have xF and so gl(x)g(x) as l. Then for xFk and jk, using (3) we have

|gj(x)-g(x)||gj(x)-gl(x)|+|gl(x)-g(x)|<2-k+1+|gl(x)-g(x)|2-k+1

as l, so |gj(x)-g(x)|<2-k+1. For ϵ>0, let k be such that 2-k+1ϵ. Then

μ({xΩ:|gk(x)-g(x)|ϵ})μ(Fk)+μ({xΩFk:|gk(x)-g(x)|ϵ})<2-k+1+μ({xΩFk:|gk(x)-g(x)|2-k+1})=2-k+1,

which tends to 0 as k, showing that gk converges to g in measure, and because gk is a subsequence of fk this completes the proof. ∎

3 Equi-integrability

Let (Ω,Σ,μ) be a probability space. A subset of L1(μ) is said to be equi-integrable if for every ϵ>0 there is some δ>0 such that for all EΣ with μ(E)δ and for all f,

E|f|𝑑μϵ.

In other words, to say that is equi-integrable means that

limμ(E)0supfE|f|𝑑μ=0.

The following theorem gives an equivalent condition for a bounded subset of L1(μ) to be equi-integrable.55 5 Fernando Albiac and Nigel J. Kalton, Topics in Banach Space Theory, p. 105, Lemma 5.2.6.

Theorem 7.

Suppose that is a bounded subset of L1(μ). Then the following are equivalent:

  1. 1.

    is equi-integrable.

  2. 2.

    limCsupf{|f|>C}|f|𝑑μ=0.

Proof.

Let K=supff1< and suppose that is equi-integrable. For f, Chebyshev’s inequality tells us

μ({|f|>M})f1MKM.

Because μ({|f|>M})0 as M and is equi-integrable,

limMsupf{|f|>M}|f|𝑑μ=0.

Suppose now that

limMsupf{|f|>M}|f|𝑑μ=0. (4)

For EΣ and f, if M>0 then

E|f|𝑑μ =E{|f|M}|f|𝑑μ+E{|f|>M}|f|𝑑μ
Mμ(E)+{|f|>M}|f|𝑑μ
Mμ(E)+supg{|g|>M}|g|𝑑μ,

hence

supfE|f|𝑑μMμ(E)+supg{|g|>M}|g|𝑑μ. (5)

Let ϵ>0. By (4) there is some M such that supg{|g|>M}|g|𝑑μϵ2. For δ=ϵ2M, if EΣ and μ(E)δ then (5) yields

supfE|f|𝑑μMδ+ϵ2=ϵ,

showing that is equi-integrable. ∎

Theorem 8 (Absolute continuity of Lebesgue integral).

Suppose that fL1(μ). If ϵ>0 then there is some δ>0 such that for any EΣ with μ(E)δ,

E|f|𝑑μϵ.
Proof.

For n1, define

gn(x)=min{|f(x)|,n},xΩ.

Then gn is a sequence in L1(μ) such that for each xΩ, gn(x) is nondecreasing and gn(x)|f(x)|, and thus the monotone convergence theorem tells us that

limnΩgn𝑑μ=Ω|f|𝑑μ.

Then there is some N for which

0Ω|f|𝑑μ-ΩgN𝑑μϵ2.

For δ=ϵ2N and EΣ with μ(E)δ,

E|f|𝑑μ =E(|f|-gN)𝑑μ+EgN𝑑μ
ϵ2+EgN𝑑μ
ϵ2+Nμ(E)
ϵ2+Nδ
=ϵ.

The following is the Vitali convergence theorem.66 6 V. I. Bogachev, Measure Theory, volume I, p. 268, Theorem 4.5.4.

Theorem 9 (Vitali convergence theorem).

Suppose that fL0(μ) and fn is a sequence in L1(μ). Then the following are equivalent:

  1. 1.

    {fn} is equi-integrable, {fn} is bounded in L1(μ), and fnf in measure.

  2. 2.

    fL1(μ) and fnf in L1(μ).

Proof.

Suppose that {fn} is equi-integrable and fnf in measure. Because fnf in measure, there is a subsequence fa(n) of fn that converges almost everywhere to f and so |fa(n)| converges almost everywhere to |f|. Let K=supn1fa(n)1<. Fatou’s lemma tells us that |f|L1(μ) and

f1lim infnfa(n)1K.

Because fL0(μ) and |f|L1(μ), fL1(μ). To show that fn converges to f in L1(μ), it suffices to show that any subsequence of fn itself has a subsequence that converges to f in L1(μ). (Generally, a sequence in a topological space converges to x if and only if any subsequence itself has a subsequence that converges to x.) Thus, let gn be a subsequence of fn. Because fn converges to f in measure, the subsequence gn converges to f in measure and so there is a subsequence ga(n) of gn that converges almost everywhere to f. Let ϵ>0. Because {fn} is equi-integrable, there is some δ>0 such that for all EΣ with μ(E)δ and for all n,

E|ga(n)|𝑑μϵ.

If EΣ with μ(E)δ, then χEga(n) converges almost everywhere to χEf, and supn1χEga(n)1ϵ, so by Fatou’s lemma we obtain

E|f|𝑑μ=χEf1lim infnχEga(n)1ϵ.

But because ga(n) converges almost everywhere to f, by Egorov’s theorem there is some EΣ with μ(E)δ such that ga(n)f uniformly on ΩE, and so there is some n0 such that if nn0 and xΩE then |ga(n)(x)-f(x)|ϵ. Thus for nn0,

Ω|ga(n)-f|𝑑μ =ΩE|ga(n)-f|𝑑μ+E|ga(n)-f|𝑑μ
μ(ΩE)ϵ+E|ga(n)|𝑑μ+E|f|𝑑μ
ϵ+ϵ+ϵ,

which shows that ga(n)f in L1(μ). That is, we have shown that for any subsequence gn of fn there is a subsequence ga(n) of gn that converges to f in L1(μ), which implies that the sequence fn converges to f in L1(μ).

Suppose that fL1(μ) and fnf in L1(μ). First, because the sequence fn is convergent in L1(μ) the set {fn} is bounded in L1(μ). Second, fnf in L1(μ) implies that fnf in measure. Third, for ϵ>0, let n0 such that nn0 implies that fn-f1ϵ. For each 1n<n0, by Theorem 8 there is some δfn>0 such that for EΣ and μ(E)δfn,

E|fn|𝑑μϵ,

and likewise there is some δf such that for EΣ and μ(E)f,

E|f|𝑑μϵ.

Let δ>0 be the minimum of δf1,,δfn-1,δf. Thus if EΣ and μ(E)δ, then for 1n<n,

E|fn|𝑑μϵ,

and for for nn0,

E|fn|𝑑μE|fn-f|𝑑μ+E|f|𝑑μfn-f1+E|f|𝑑μϵ+ϵ.

This shows that {fn} is equi-integrable, completing the proof. ∎

The following is the de la Vallée-Poussin criterion for equi-integrability.77 7 V. I. Bogachev, Measure Theory, volume I, p. 272, Theorem 4.5.9.

Theorem 10 (de la Vallée-Poussin criterion).

Suppose that L1(μ). is bounded and equi-integrable if and only if there is a there nonnegative nondecreasing function G on [0,) such that

limtG(t)t=andsupfΩG(|f(x)|)𝑑μ(x)<, (6)

and if there is a nonnegative nondecreasing function G satisfying (6) then there is a convex nonnegative nondecreasing function G satisfying (6).

Proof.

Suppose that G is a nonnegative nondecreasing function on [0,) satisfying (6). Let

supfΩG(|f(x)|)𝑑μ(x)M<.

For ϵ>0, there is some C such that tC implies that G(t)tMϵ, and hence, for f, if xΩ and |f(x)|C then G(|f(x)|)|f(x)|Mϵ, i.e. |f(x)|ϵMG(|f(x)|), which yields

{|f|C}|f|𝑑μ{|f|C}ϵMG(|f(x)|)𝑑μ(x)ϵMM=ϵ.

Therefore by Theorem 7, is bounded and equi-integrable.

Suppose that is bounded and equi-integrable. For f and j1, let

μj(f)=μ({xΩ:|f(x)|>j})Σ.

By induction, because is bounded and equi-integrable there is a strictly increasing sequence of positive integers Cn such that for each n,

supf{|f|>Cn}|f|𝑑μ2-n. (7)

For f and n1,

{|f|>Cn}|f|𝑑μ =j=Cn{j<|f|j+1}|f|𝑑μ
j=Cnjμ({xΩ:j<|f(x)|j+1})
=j=Cnj(μj(f)-μj+1(f))
=j=Cnμj(f).

Using this and (7), for f,

n=1j=Cnμj(f) n=1{|f|>Cn}|f|𝑑μ
n=12-n
=1.

For n0 we define

αn={0n<C1max{k:Ckn}nC1.

It is straightforward that αn as n. We define a step function g on [0,) by

g(t)=n=0αnχ(n,n+1](t),0t<,

and we define a function G on [0,) by

G(t)=0tg(s)𝑑s,0t<.

It is apparent that G is nonnegative and nondecreasing. For t1,t2[0,), t1t2, by the fundamental theorem of calculus,

G(t1)(t2-t1)=g(t1)(t2-t1)G(t2)-G(t1),

showing that G is convex. The above inequality also yields that for t>0, G(t)tg(t/2)2, and g(t/2) as t so we get that limtG(t)t=. For f, using G(0)=0, G(1)=0, and for n1,

G(n+1)g(1)+g(2)++g(n+1)=α0+α1++αn=α1++αn,

we get

ΩG(|f(x)|)𝑑μ(x) ={|f|=0}G(|f(x)|)𝑑μ(x)+n=0{n<|f|n+1}G(|f(x)|)𝑑μ(x)
n=0{n<|f|n+1}G(n+1)𝑑μ(x)
=n=1(μn(f)-μn+1(f))G(n+1)
n=1(μn(f)-μn+1(f))j=1nαj
=n=1μn(f)αn
=n=1j=Cnμj(f)
1,

showing that supfΩG(|f(x)|)𝑑μ(x)<, which completes the proof. ∎