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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