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On a finite measure space, the truncated L^1 metric metrises convergence in measure

Statement

Let (X,A,μ) be a measure space with μ(X)<+∞. For measurable f,g:X→R, define d(f,g):=∫min⁡{∣f−g∣,1} dμ.

Then:

  1. d(f,g)=0 exactly when f=g μ-almost everywhere, so d descends to a metric on almost-everywhere equivalence classes of measurable functions.
  2. For a sequence (fn) of measurable functions and a measurable f, d(fn,f)→0 if and only if fn→f in measure.

Facts & Assumptions

Given: A finite measure space (X,A,μ) and measurable functions f,g,h,fn:X→R.

[L1]

Convergence in measure means that for every real ε>0, μ({∣fn−f∣>ε})→0. (Convergence in measure)

[L2]

For a measurable set E and a nonnegative measurable function u, ∫Eu dμ=∫uχE dμ. (Integral over a measurable subset)

[L3]

The nonnegative integral is monotone and homogeneous. (Monotonicity and nonnegative homogeneity of the nonnegative integral)

[L4]

A nonnegative measurable function has integral 0 exactly when it vanishes almost everywhere. (A nonnegative measurable function has integral 0 exactly when it vanishes almost everywhere)

Proof

technique · direct
1.1L3algebra

One has d(f,f)=0 and d(f,g)=d(g,f) by the pointwise identities min⁡{∣f−f∣,1}=0 and min⁡{∣f−g∣,1}=min⁡{∣g−f∣,1}. Also ∣f−h∣≤∣f−g∣+∣g−h∣ implies min⁡{∣f−h∣,1}≤min⁡{∣f−g∣,1}+min⁡{∣g−h∣,1}, so [L3] gives d(f,h)≤d(f,g)+d(g,h).

1.2L1L2L3algebra

Suppose d(fn,f)→0. Fix ε>0 and put An:={∣fn−f∣>ε}. On An one has min⁡{∣fn−f∣,1}≥min⁡{ε,1}, so min⁡{ε,1} μ(An)≤d(fn,f). Hence μ(An)→0, which is exactly [L1].

1.3L1L2L3algebra

Conversely, assume fn→f in measure. Let ε∈(0,1) and put An:={∣fn−f∣>ε}. Then d(fn,f)≤∫X∖Anε dμ+∫An1 dμ≤εμ(X)+μ(An). By [L1], μ(An)→0, so lim sup⁡n→∞d(fn,f)≤εμ(X). Since ε∈(0,1) was arbitrary and μ(X)<+∞, it follows that d(fn,f)→0.

1.4L4

If d(f,g)=0, then [L4] applied to min⁡{∣f−g∣,1} shows min⁡{∣f−g∣,1}=0 almost everywhere, which is equivalent to f=g almost everywhere. Conversely, if f=g almost everywhere, then [L4] gives d(f,g)=0.

2.1step 1.1step 1.4algebra

Let [f] denote the almost-everywhere class of f. If f∼f′ and g∼g′, then step 1.4 gives d(f,f′)=d(g,g′)=0, so step 1.1 yields d(f,g)≤d(f,f′)+d(f′,g′)+d(g′,g)=d(f′,g′). The same argument with the pairs reversed gives d(f′,g′)≤d(f,g), so d(f,g)=d(f′,g′). Thus the value d([f],[g]) is well defined and step 1.1 makes it a metric on the quotient.

3.1step 1.2step 1.3step 2.1∎

Step 2.1 identifies the quotient metric, and steps 1.2 and 1.3 prove that its convergence is exactly convergence in measure. So the truncated distance metrises convergence in measure on finite measure spaces.

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