Suppose that f,(fn) are nonnegative measurable functions, that fn→f pointwise, and that fn≤f for all n. Prove that:
∫f=lim
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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