REAL ANALYSIS AND MEASURE

THEORY

BY

DR. PRATULANANDA DAS

DEPARTMENT OF MATHEMATICS
JADAVPUR UNIVERSITY
KOLKATA- 700032
WEST BENGAL, INDIA
E-mail : [email protected]
 Chapter 1

Lebesgue Outer Measure

Module 3

Examples and some further

observations on measurable sets

1
Lemma 1.16. (a, ∞) is measurable.

Proof: Let A ⊂ R. Let I1 = (a, ∞) and I2 = (−∞, a]. We have to show

µ∗ (A ∩ I1 ) + µ∗ (A ∩ I2 ) ≤ µ∗ (A). Without any loss of generality we assume that
µ∗ (A) < ∞. Let ε > 0 be given. Then we can find a countable collection of
open intervals {Jn }n∈N such that
∞
[ ∞
X
A⊂ Jn and `(Jn ) < µ∗ (A) + ε.
n=1 n=1

Writing Jn0 = Jn ∩I1 and Jn00 = Jn ∩I2 , we observe that Jn0 , Jn00 are disjoint. Jn =
Jn0 ∪ Jn00 and they are either empty or an interval. Then `(Jn ) = `(Jn0 ) + `(Jn00 ).
So
X∞ ∞
X ∞
X
µ∗ (A) + ε > `(Jn ) = `(Jn0 ) + `(Jn00 ) =
n=1 n=1 n=1
∞
X ∞
X
µ∗ (Jn0 ) + µ∗ (Jn00 ) ≥ µ∗ (A ∩ I1 ) + µ∗ (A ∩ I2 ).
n=1 n=1

Since ε > 0 is arbitrary so we have

µ∗ (A) ≥ µ∗ (A ∩ I1 ) + µ∗ (A ∩ I2 ).

This shows that (a, ∞) is measurable.

Theorem 1.17. Every open set and every closed set in R is measurable. In
particular every Borel set is measurable where Borel sets are the members of
the σ-algebra generated by the class of all open sets (for formal definition see
Module 9).

Proof: Since (a, ∞) is measurable so its complement (−∞, a] is also mea-

surable for any a ∈ R. Then (a, b] = (−∞, b] ∩ (a, ∞) is measurable where
a < b. Therefore any open interval (a, b) = (a, b] − {b} is also measurable where
a < b. Consequently any open set being countable union of open intervals is also
measurable and their complements, namely the closed sets are also measurable.
Finally the measurablity of Borel sets follows from the fact that S is a σ-algebra
containing the class of open sets and the collection of Borel sets is the smallest
σ-algebra containing open sets.

Remark 1.18. We will now give an example of an uncountable perfect nowhere

dense measurable set whose measure is zero. Let D1 = [0, 1], D2 = [0, 31 ] ∪
[ 32 , 1], D3 = [0, 19 ] ∪ [ 29 , 13 ] ∪ [ 32 , 97 ] ∪ [ 89 , 1], ....... In each step we divide the intervals
∞
\
into three equal parts and eliminate the middle open interval. Let C = Dn . C
n=1
is called the Cantor set. C is clearly measurable and µ(C) ≤ ( 23 )n . So µ(C) = 0.

2
 That C is uncountable follows from the fact that every point of C has a
unique representation of the form
r1 r2 rn
x= + 2 + .... + n + . . .
3 3 3
where ri = 0 or 2. Now recall that any element a of [0, 1] has a unique binary
representation of the form a = s21 + 2s22 + .... + 2snn + . . . where si = 0 or 1. Then
defining a map f : [0, 1] → C by
2s1 2s2 2sn
f (a) = + 2 + .... + n + . . .
3 3 3
we observe that f is surjective which shows that C is uncountable. Note that
C is also perfect and nowhere dense.

We end this section showing that measurability remains invariant under

translation.

Lemma 1.19. If E ⊂ R is any measurable set then the set (E + x) = {y + x :

y ∈ E} for every x ∈ R is measurable and µ(E + x) = µ(E).

Proof: Let A ⊂ R. Since E is measurable so

µ∗ (A) = µ∗ (A ∩ E) + µ∗ (A ∩ E c ).

Now

µ∗ (A ∩ (E + x)) + µ∗ (A ∩ (E + x)c ) = µ∗ ((A − x) ∩ E) + x) + µ∗ ((A − x) ∩ E c ) + x)

= µ∗ ((A − x) ∩ E) + µ∗ ((A − x) ∩ E c )
= µ∗ (A − x) = µ∗ (A).

So (E + x) is measurable. The second assertion readily follows from the fact

that Lebesgue outer measure remains invariant under translation.

1.4. Self-check Exercises

Exercise 1.1. Let E be the set of rational numbers in the interval [0, 1]
and {In }kn=1 be a finite collection of open intervals that covers E. Prove that
Pk
`(In ) ≥ 1.
n=1

Solution: Since the rationals are dense in the real line, we have E = [0, 1]. By
k k
In . By the finite sub-additivity of µ∗ ,
S S
the property of closure E ⊂ In =
n=1 n=1

3
we have

1 = µ∗ ([0, 1]) = µ∗ (E)

k
X k
X
≤ µ∗ (In ) = `(In )
n=1 n=1
k
X
= `(In ).
n=1

Exercise 1.2. Show that if a set E ⊂ R has positive Lebesgue outer measure,
then there is a bounded subset of E that also has positive Lebesgue outer mea-
sure.

Solution: We prove by contradiction. Suppose that every bounded subset

of E has Lebesgue outer measure zero. Define Ik = [k, k + 1) for k ∈ Z.
Clearly {Ik }k∈Z is a countable collection of disjoint bounded intervals that de-
composes R. We canSthen decompose E as a countable union of bounded sub-
sets of E i.e. E = (E ∩ Ik ). By our hypothesis µ∗ (E ∩ Ik ) = 0 and hence
 k∈Z 
∗ ∗
S P ∗
0 < µ (E) = µ E ∩ Ik ≤ µ (E ∩ Ik ) = 0, a contradiction.
k∈Z k∈Z

Exercise 1.3. Let f : R → R be a continuous function and B be a Borel set.

Show that f −1 (B) is a Borel set.

Solution: Let B denote the Borel σ-algebra over the real line. Define C = {E ⊂
R : f −1 (E) ∈ B}. Since f is continuous, C contains all open subsets of R. We
first show that C is a σ-algebra.

Let E ∈ C. Now f −1 (R \ E) = R \ f −1 (E) ∈ B as f −1 (E) ∈ B and B is a

σ-algebra. Hence E c = R \ E ∈ C. Next let {Ek }k∈N be a collection of sets in
∞ ∞ ∞
−1
f −1 (Ek ) ∈ B and hence
S S S
C. Similarly we have f Ek = Ek ∈ C.
k=1 k=1 k=1
Hence C is a σ-algebra containing open sets and since B is the smallest σ-algebra
containing open sets, we must have B ⊂ C.

Thus if B is a Borel set i.e. B ∈ B then B ∈ C and hence f −1 (B) ∈ B is a

Borel set.

Exercise 1.4. Let {fn }∞ n=1 be a sequence of continuous real-valued functions

of R, and let F be the set of x ∈ R such that fn (x) converges to a limit in R as
n → ∞. Show that F is a Borel set.

Solution: Recall that a Borel set is a set belonging to the σ-algebra B gen-
erated by all intervals of the form [a, b) with a, b ∈ R. Note that any open
set in R is a countable union of intervals of this form and hence is a Borel

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set. Now F is the set of all x ∈ R such that, for all k ∈ N there exists a
n0 ∈ N such that for all m > n0 , n > n0 we have |fm (x) − fn (x)| < k1 . Thus
∞ S ∞
(k) (k)
Em,n where Em,n = {x : |fm (x) − fn (x)| < k1 }. Now
T T T
F =
k=1 n0 =1 m>n0 n>n0
(k) (k)
Em,n is open since fm − fn is continuous, hence Em,n ∈ B, and as B is a σ-
algebra it follows that F ∈ B i.e. F is a Borel set.

Exercise 1.5. Let E ⊂ R be a Lebesgue measurable set of finite measure.

Define a function ϕE : R → R by ϕE (x) = µ (E ∩ (−∞, x]) for all x ∈ R. Prove
that
(a) ϕE is an increasing function on R.
(b) ϕE satisfies the Lipschitz condition on R i.e. |ϕE (x) − ϕE (y)| ≤ |x − y|,
for all x, y ∈ R.

Solution:
(a) Let x, y ∈ R be such that x < y. Now clearly E ∩ (−∞, x] ⊂ E ∩ (−∞, y]
and hence

ϕE (x) = m (E ∩ (−∞, x]) ≤ m (E ∩ (−∞, y]) = ϕE (y).

Hence ϕE is an increasing function on R.

(b) Let x, y ∈ R be such that x < y. Now

E ∩ (x, y] = (E ∩ (−∞, y]) \ (E ∩ (−∞, x])

and hence

µ (E ∩ (x, y]) = µ (E ∩ (−∞, y]) − µ (E ∩ (−∞, x])

as all the sets are Lebesgue measurable. Consequently we have

|ϕE (x) − ϕE (y)| = ϕE (y) − ϕE (x)

= µ (E ∩ (−∞, y]) − µ (E ∩ (−∞, x])
= µ (E ∩ (x, y]) ≤ µ((x, y]) = y − x = |x − y|.

Exercise 1.6. If the set A has Lebesgue outer measure zero then prove that
the set {x2 : x ∈ A} also has outer measure zero.

Solution: We prove the result assuming that 0 ∈/ A which is sufficient for our
purpose. Write B = {x2 : x ∈ A}. For each n ∈ N let An = A ∩ (−n, n) and
∞
[
Bn = B ∩ (0, n2 ). Since B = Bn and µ∗ is countably sub-additive, the proof
n=1

5
will be complete if we can show that µ∗ (Bn ) = 0 ∀n.

Let ε > 0 be given. Since µ∗ (An ) ≤ µ∗ (A) = 0 i.e. µ∗ (An ) = 0, so from

definition we can find a countable collection of open intervals {Ik }k∈N such that
∞ ∞
[ X ε
An ⊂ Ik , and `(Ik ) < .
3n
k=1 k=1

Without any loss of generality we can assume that none of Ik s contain 0 and
are contained in (−n, n). Write Ik = (ck , dk ) for each k. Consider the interval
Jk = (c2k , d2k ) if ck > 0 and Jk = (d2k , c2k ) if dk < 0. Clearly the countable
collection of open intervals {Jk }k∈N covers Bn and further
∞
X ∞
X ∞
X
`(Jk ) = |ck + dk |(dk − ck ) ≤ 2n `(Ik ) < ε.
k=1 k=1 k=1

This shows that µ∗ (Bn ) = 0.

Summary: In this chapter we have shown that how the usual notion of length
of intervals can be extended to general sets of real numbers which we call the
Lebesgue outer measure. we show that the Lebesgue outer measure µ∗ is non-
negative, monotone, countably sub-additive with µ∗ (φ) = 0. We then define the
notion of Lebesgue measurable sets and show that it forms a σ-algebra.

Following are the main definitions and points to be remembered.

• For any set A of real numbers the Lebesgue outer measure of A is defined
by
X
µ∗ (A) = inf{ `(In ) : {In }n∈N is a countable collection of open intervals covering A}.
n

• The Lebesgue outer measure µ∗ is non-negative, monotone, countably sub-

additive, translation invariant and outer measure of any interval is equal to its
length.

• A set E of real numbers is called Lebesgue measurable if for any A ⊂ R ,

µ∗ (A) = µ∗ (A ∩ E) + µ∗ (A ∩ E c ) where E c stands for the complement of E.

• Difference of two measurable sets is measurable as also countable union

of measurable sets. Complements of measurable sets are measurable. In other
words the collection of measurable sets S forms a σ-algebra. Translations of
measurable sets are also measurable and finally all Borel sets are measurable.

Acknowledgement: While writing this chapter the author has mainly followed
the excellent books by H.L. Royden et al and R.A. Gordon. The full references
of these books is given in ”Learn More” section.