Problem
Let XA,μ be a σ-finite measure space. Suppose f is non-negative and integrable. Prove that if ϵ>0, there exists A∈A such that μ(A)<∞ and ϵ+∫Af dμ>∫f dμ.
Attempt
First, I will prove two propositions.
Proposition 1: If f is non-negative measurable function, then lim
Proof: Note that \min(f,n) increases to f so the result follows from the monotone convergence theorem.
Proposition 2: Suppose \mu is \sigma-finite and f is integrable. Then given \epsilon>, there exists \delta such that \int_A |f(x)| \ d\mu < \epsilon, whenever \mu(A)<\delta.
Proof: Given \epsilon>0, from proposition 1 we may find n_0 such that \int_A |f(x)| \ d\mu - \int_A \min(|f(x)|,n_0) \ d\mu<\frac{\epsilon}{2}. Take \delta<\frac{\epsilon}{2n_0}. then:
\begin{align*} \int_A |f(x)|&=\int_A |f(x)| -\min(|f(x)|,n_0)\ d\mu+\int_A \min(|f(x)|,n_0)\ d\mu \\ &< \frac{\epsilon}{2}+n\mu(A) \\ &<\epsilon, \end{align*}
as soon as \mu(A)<\delta.
Finally we prove the result. \epsilon>0, use proposition 2 to insure that \int_B f\ d\mu <\epsilon whenever \mu(B)<\delta. Let B^c=A. Then
\begin{align*} \int f \ f\mu&=\int_A f\ d\mu+\int_B f\ d\mu \\ &<\int_A f \ f\mu+\epsilon, \end{align*}
as desired.
Concerns
For proposition 2 as well as for the problem, I did not use \sigma-finiteness. I cannot see anything wrong with proposition 2. However, in my solution to the problem, I have not guaranteed that such sets (i.e B such that \mu(B)<\delta) actually exist. Please let me know what I did wrong here.
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