Sunday 30 June 2013

real analysis - Lebesgue integral of non-negative measurable sequence of functions (not monotone)



Suppose that $f, (f_n)$ are nonnegative measurable functions, that $f_n \to f$ pointwise, and that $f_n \leq f$ for all n. Prove that:



$\int f = \lim_{n \to \infty} \int f_n$



My attempt




One direction seems fairly obvious.
Since $f_n \leq f$ for all n, then:
$\int f_n \leq \int f$ for all n.



So we should have:
$\lim_{n \to \infty} \int f_n \leq \int f$



In the other direction, use Fatou’s Lemma to see that:



$\int f \leq \lim_{n \to \infty} \inf \int f_n$




However, it’s not actually clear that $\lim_{n \to \infty} \int f_n$ is well-defined, so it doesn’t necessarily make sense to get there from the $\lim_{n \to \infty} \inf$.



As a concept, my idea would then (or maybe instead?) create a subsequence from $(f_n)$ that is monotone and then invoke MCT? But I am not sure how to go about this.


Answer



Fatou's Lemma gives
\begin{align*}
\int f\leq\liminf\int f_{n}.
\end{align*}
From

\begin{align*}
f_{n}\leq f,
\end{align*}
we get
\begin{align*}
\int f_{n}\leq\int f,
\end{align*}
and hence
\begin{align*}
\limsup\int f_{n}\leq\int f.

\end{align*}
We conclude that
\begin{align*}
\int f\leq\liminf\int f_{n}\leq\limsup\int f_{n}\leq\int f,
\end{align*}
so the limit exists and
\begin{align*}
\lim\int f_{n}=\int f.
\end{align*}


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