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Dominated convergence is a Vitali corollary

Statement

Let (X,A,μ) be a sigma-finite measure space. Let fn:XR be measurable, let gL1(μ) be nonnegative, and suppose fng almost everywhere for every n and fnf almost everywhere. Then fL1(μ) and fnf in L1(μ).

Facts & Assumptions

Given: A sigma-finite measure space (X,A,μ), measurable functions fn,f:XR, and a nonnegative integrable function g with fng almost everywhere and fnf almost everywhere.

[L1]

A dominated family is uniformly integrable. (Dominated families are uniformly integrable)

[L2]

On a sigma-finite measure space, convergence in measure together with uniform integrability and tightness implies convergence in L1. (Vitali convergence theorem on finite and sigma-finite measure spaces)

[L3]

On a finite measure space, almost-everywhere convergence implies convergence in measure. (On a finite measure space, almost-everywhere convergence implies convergence in measure)

[L4]

If h:X[0,+] is measurable and t>0, then μ({ht})t1hdμ. (Chebyshev-Markov inequality for the integral)

[L5]

For an increasing sequence of nonnegative measurable functions, the integrals increase to the integral of the limit. (Monotone convergence for the integral)

[L6]

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)

[L7]

Sigma-finiteness means that X=mXm for some measurable sets Xm of finite measure. (Finite, sigma-finite, and semifinite measures)

[L8]

For a measurable set E and a nonnegative measurable function u, Eudμ=uχEdμ. (Integral over a measurable subset)

[L10]

Countable unions of null sets are null. (Finite and countable subadditivity of measures)

Proof

technique · direct
1.1

Let N be a null set outside which fn(x)f(x), and for each nN let Nn be a null set outside which fng. Put N:=Nn=0Nn. By [L10], the set N is null. On XN one has fn(x)f(x) for every x and fn(x)g(x) for every n, so also f(x)g(x) there.

L10construct
1.2

By [L1], the family {fn:nN} is uniformly integrable.

L1
2.1

By [L7], choose measurable sets Ym of finite measure with X=mYm, and put Xm:=j=0mYj. Then Xm is measurable of finite measure, XmX, and hence gχXmg. Fact [L5] gives Xmgdμgdμ, so XXmgdμ0. Fix ε>0 and choose m with XXmgdμ<ε. For each n, put un,m:=fnχ(XXm)N. Then un,m=fnχXXm almost everywhere and un,mgχXXm pointwise, so [L6], [L8], and [L9] give XXmfndμ=XXmun,mdμXXmgdμ<ε. So the family {fn} is tight.

step 1.1L5L6L7L8L9algebra
2.2

Let ε,η>0. Choose m so that XXmgdμ<εη/8. On the finite measure space Xm, step 1.1 and [L3] make fnf in measure. Define hn:=fnfχ(XXm)N. Then {hn>ε}={fnf>ε}((XXm)N), and hn2gχXXm pointwise. Since N is null, μ({fnf>ε}(XXm))=μ({hn>ε}). Therefore [L4], [L8], and [L9] give μ({fnf>ε}(XXm))ε1XXmhndμ2εXXmgdμ<η/4. Combining this with convergence in measure on Xm shows fnf in measure on all of X.

step 1.1L3L4L8L9choosealgebra
3.1

Step 1.2 gives uniform integrability, step 2.1 gives tightness, and step 2.2 gives convergence in measure. Applying [L2] yields fL1(μ) and fnf in L1(μ).

step 1.2step 2.1step 2.2L2

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