Monday, 26 September 2016

measure theory - Using Fatou's Lemma



Let (X,Σ,μ) be a measure space and let {En}n=1 be a sequence of sets in Σ. I try to show that lim by using the Fatou's lemma.




Attempt: Let f_n=\chi_{E_n}. By Fatou's lemma, we have \liminf\int f_n \ge\int\liminf f_n. Clearly, \liminf\int f_n=\liminf \mu(E_n). So it remains to show that \int \liminf f_n \ge \lim_{m\to \infty}\mu(\cap_{n=m}^\infty E_n)



I know this link has the same question but I want to conclude my attempt. Thanks!


Answer



Hint: Since f_n only takes the values 0 and 1, the same is true of \liminf f_n. Hence \liminf f_n is itself the characteristic function of some set. Try to find out which set.


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