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Dominated convergence is a Vitali corollary
Statement
Let be a sigma-finite measure space. Let be measurable, let be nonnegative, and suppose almost everywhere for every and almost everywhere. Then and in .
Facts & Assumptions
Given: A sigma-finite measure space , measurable functions , and a nonnegative integrable function with almost everywhere and almost everywhere.
A dominated family is uniformly integrable. (Dominated families are uniformly integrable)
On a sigma-finite measure space, convergence in measure together with uniform integrability and tightness implies convergence in . (Vitali convergence theorem on finite and sigma-finite measure spaces)
On a finite measure space, almost-everywhere convergence implies convergence in measure. (On a finite measure space, almost-everywhere convergence implies convergence in measure)
If is measurable and , then . (Chebyshev-Markov inequality for the integral)
For an increasing sequence of nonnegative measurable functions, the integrals increase to the integral of the limit. (Monotone convergence for the integral)
If two integrable functions are equal almost everywhere, then their integrals over every measurable set agree. (Two integrable functions are equal almost everywhere exactly when all of their indefinite integrals agree)
Sigma-finiteness means that for some measurable sets of finite measure. (Finite, sigma-finite, and semifinite measures)
For a measurable set and a nonnegative measurable function , . (Integral over a measurable subset)
The nonnegative integral is monotone. (Monotonicity and nonnegative homogeneity of the nonnegative integral)
Countable unions of null sets are null. (Finite and countable subadditivity of measures)
Proof
Let be a null set outside which , and for each let be a null set outside which . Put By [L10], the set is null. On one has for every and for every , so also there.
By [L1], the family is uniformly integrable.
By [L7], choose measurable sets of finite measure with , and put . Then is measurable of finite measure, , and hence . Fact [L5] gives , so . Fix and choose with . For each , put . Then almost everywhere and pointwise, so [L6], [L8], and [L9] give So the family is tight.
Let . Choose so that . On the finite measure space , step 1.1 and [L3] make in measure. Define . Then and pointwise. Since is null, Therefore [L4], [L8], and [L9] give Combining this with convergence in measure on shows in measure on all of .
Step 1.2 gives uniform integrability, step 2.1 gives tightness, and step 2.2 gives convergence in measure. Applying [L2] yields and in .
Depends on
- Vitali convergence theorem on finite and sigma-finite measure spaces
- Dominated families are uniformly integrable
- On a finite measure space, almost-everywhere convergence implies convergence in measure
- Chebyshev-Markov inequality for the integral
- Monotone convergence for the integral
- Two integrable functions are equal almost everywhere exactly when all of their indefinite integrals agree
- Integral over a measurable subset
- Monotonicity and nonnegative homogeneity of the nonnegative integral
- Finite and countable subadditivity of measures
- Finite, sigma-finite, and semifinite measures
Used by
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Sources
- Terence Tao, 245A Notes 4: Modes of convergence, Theorem 29 (standard reference, not scraped)
- Richard F. Bass, Real Analysis for Graduate Students, Exercise 7.23 (standard reference, not scraped)