Thursday, 9 June 2016

measure theory - Corollary of Monotone Convergence Theorem

Let (gn) be a sequence in M+, then



(n=1gn)dμ=n=1(gndμ)



proof: Let fn=g1++gn, then fn is a monotone increasing sequence of functions in M+. I wan t use Monotone Convergence Theorem but I don't know how to guarantee that fn converges to f=limnni=1gn=i=1gn.

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