Outline

Lebesgue Measurable Set

Properties
Algebra of Sets
Properties
References

Lebesgue Measurable Sets

Dr. Aditya Kaushik

Directorate of Distance Education

Kurukshetra University, Kurukshetra Haryana 136119 India

Dr.A.Kaushik: Lecture-6 M.Sc.-I (Mathematics) Directorate of Distance Education, K.U. Kurukshetra

 Outline
Lebesgue Measurable Set
Properties
Algebra of Sets
Properties
References

Lebesgue Measurable Sets

Properties
Algebra of Sets
References

Dr.A.Kaushik: Lecture-6 M.Sc.-I (Mathematics) Directorate of Distance Education, K.U. Kurukshetra

 Outline
Lebesgue Measurable Set
Properties
Algebra of Sets
Properties
References

Definition
A set E ⊆ R is said to be Lebesgue measurable if for any A ⊆ R
we have  \   \ 
m∗ (A) = m∗ A E + m∗ A E c . (1)

We may write the above equality as a combination of

following two inequalities
m∗ (A) ≤ m∗ (A T E ) + m∗ (A T E c ).
T T
1
2 m∗ (A) ≥ m∗ (A E ) + m∗ (A E c ).
Is there any wild guess !!! Why we are doing this?

Dr.A.Kaushik: Lecture-6 M.Sc.-I (Mathematics) Directorate of Distance Education, K.U. Kurukshetra

 Outline
Lebesgue Measurable Set
Properties
Algebra of Sets
Properties
References

E )c , we then have
T S T
Write, A = (A E) (A
h \  [  \ c i
m∗ (G ) = m∗ A E A E
 \   \ c
≤ m∗ A E + m ∗ A E . (2)

Are you able conclude anything from here? I think yes !!!
If NO is your answer, I suggest you to look back to equality
(1).
Then, have a look at (2). What do you think is left to prove
(1) if (2) holds eventually?
A necessary and sufficient condition for E to be measurable is
that for any set A ⊆ R
 \   \ 
m∗ (A) ≥ m∗ A E + m∗ A E c .

Dr.A.Kaushik: Lecture-6 M.Sc.-I (Mathematics) Directorate of Distance Education, K.U. Kurukshetra

 Outline
Lebesgue Measurable Set
Properties
Algebra of Sets
Properties
References

Let us begin with the very simple yet important lemma:

Lemma
If m∗ (E ) = 0, then E is measurable.

Proof.
Let A be any set of real numbers. Then,
T T
A E ⊆ E ⇒ m∗ (A E ) ≤ m∗ (E ) and
A E c ⊆ A ⇒ m∗ (A E c ) ≤ m∗ (A) .
T T

Therefore,
 \   \ 
m∗ A E + m∗ A E c ≤ m∗ (E ) + m∗ (A) ,
= 0 + m∗ (A) .

Hence, E is measurable.
Dr.A.Kaushik: Lecture-6 M.Sc.-I (Mathematics) Directorate of Distance Education, K.U. Kurukshetra
 Outline
Lebesgue Measurable Set
Properties
Algebra of Sets
Properties
References

Suppose we are given with a measurable set, then what about its
complement?
Lemma
E is measurable iff Ec is measurable.

Proof.
Let A ⊆ R and E be a measurable set. Then,
 \   \ 
m∗ (A) = m∗ A E + m∗ A E c
 \   \ c  c
= m∗ A E c + m∗ A E c , ∵ E = E c .

Therefore, E c is measurable.

Dr.A.Kaushik: Lecture-6 M.Sc.-I (Mathematics) Directorate of Distance Education, K.U. Kurukshetra

 Outline
Lebesgue Measurable Set
Properties
Algebra of Sets
Properties
References

Proof Continues.
Conversely, suppose that Ec is measurable. Then
 \   \ c
m∗ (A) = m∗ A E c + m∗ A E c
 \   \ c c
= m∗ A E c + m∗ A E c ∵ Ec = E .


Hence, E is measurable.

Dr.A.Kaushik: Lecture-6 M.Sc.-I (Mathematics) Directorate of Distance Education, K.U. Kurukshetra

 Outline
Lebesgue Measurable Set
Properties
Algebra of Sets
Properties
References

Moreover, in the next theorem we see that union of two

measurable sets is again a measurable set.
Theorem
S
Let E1 and E2 be two measurable sets, then E1 E2 is measurable.

Proof.
Let A be any set of reals and E1 , E2 be two measurable sets. Since
E2 is m’able we have
 \   \ \   \ \ 
m∗ A E1c = m∗ A E1c E2 + m∗ A E1c E2c .

Dr.A.Kaushik: Lecture-6 M.Sc.-I (Mathematics) Directorate of Distance Education, K.U. Kurukshetra

 Outline
Lebesgue Measurable Set
Properties
Algebra of Sets
Properties
References

Proof Coninues.
Now,
\ [  h \ i[h \ i
A E1 E2 = A E1 A E2
h \ i[h \ \ i
= A E1 A E2 E1c .
 \  [   \  h \ \ i
⇒ m∗ A E1 E2 ≤ m∗ A E1 + m∗ A E2 E1c

Dr.A.Kaushik: Lecture-6 M.Sc.-I (Mathematics) Directorate of Distance Education, K.U. Kurukshetra

 Outline
Lebesgue Measurable Set
Properties
Algebra of Sets
Properties
References

Proof Continues.
Let us now consider
 \  [   \  [ c 
m∗ A E1 E2 + m∗ A E1 E2
 \   \ 
≤ m∗ A E1 + m∗ A E1c
= m∗ (A) .
S
Since E1 is also given measurable. Hence, E1 E2 is also
measurable.

Dr.A.Kaushik: Lecture-6 M.Sc.-I (Mathematics) Directorate of Distance Education, K.U. Kurukshetra

 Outline
Lebesgue Measurable Set
Properties
Algebra of Sets
Properties
References

Definition
A class a of sets is said to be an algebra if it satisfies the following
conditions:
1 If E ∈ a then E c ∈ a.
S
2 If E1 and E2 ∈ a, then E1 E2 ∈ a.
Thus a class a of sets is said to be algebra if it is closed under the
formation of complements or finite unions.

Dr.A.Kaushik: Lecture-6 M.Sc.-I (Mathematics) Directorate of Distance Education, K.U. Kurukshetra

 Outline
Lebesgue Measurable Set
Properties
Algebra of Sets
Properties
References

Lemma
Algebra is closed under the formation of finite intersections.

Proof.
Let A1 , A2 , .........., An ∈ a. Then,
 \ \ c [ [ [
A1 A2 ..... An = Ac1 Ac2 ..... Acn .

Now, An ∈ a ∀n, then Acn ∈ a because a is algebra and is therefore

closed under the formation of compliments.

Dr.A.Kaushik: Lecture-6 M.Sc.-I (Mathematics) Directorate of Distance Education, K.U. Kurukshetra

 Outline
Lebesgue Measurable Set
Properties
Algebra of Sets
Properties
References

Proof Continues.
Further, a being algebra is closed under the formation finite
unions. This implies that
[ [ [
Ac1 Ac2 ... Acn ∈ a
n \ \ \ oc
∴ A1 A2 ... An ∈ a.

It follows that \ \ \
A1 A2 ... An ∈ a.

Dr.A.Kaushik: Lecture-6 M.Sc.-I (Mathematics) Directorate of Distance Education, K.U. Kurukshetra

 Outline
Lebesgue Measurable Set
Properties
Algebra of Sets
Properties
References

Definition (σ-Algebra)
A class a is said to be σ-algebra, if it is closed under the formation
of countable unions and of complements.

It is an easy exercise for the readers to verify that that

σ-algebra is closed under the formation of finite intersection.

Dr.A.Kaushik: Lecture-6 M.Sc.-I (Mathematics) Directorate of Distance Education, K.U. Kurukshetra

 Outline
Lebesgue Measurable Set
Properties
Algebra of Sets
Properties
References

Theorem
Let A be any set of real number and let E1 , E2 , ..........., En be
pair-wise disjoint Lebesgue measurable sets then
∞
!! n
\ [ X  \ 
∗
m A Ei = m ∗ A Ei .
i=1 i=1

Dr.A.Kaushik: Lecture-6 M.Sc.-I (Mathematics) Directorate of Distance Education, K.U. Kurukshetra

 Outline
Lebesgue Measurable Set
Properties
Algebra of Sets
Properties
References

Proof.
We prove the result using mathematical induction on n.
For, n = 1  \   \ 
m ∗ A E1 = m ∗ A E1

Thus, the result is true for n = 1.

Suppose that the result is true for (n-1) sets Ei then we have
  
∞
[ Xn  \ 
∗
m An  En   = m∗ An Ei
j=1 j=1

Dr.A.Kaushik: Lecture-6 M.Sc.-I (Mathematics) Directorate of Distance Education, K.U. Kurukshetra

 Outline
Lebesgue Measurable Set
Properties
Algebra of Sets
Properties
References

Proof Continues.

Now, since Ei ’s are disjoint, we have

 
\ [ ∞ \ \
A  En  En = A En .
j=1

And " # !
\ n
\[ \ n−1
[
A Enc Ei == A Ei .
i=1 i=1

Dr.A.Kaushik: Lecture-6 M.Sc.-I (Mathematics) Directorate of Distance Education, K.U. Kurukshetra

 Outline
Lebesgue Measurable Set
Properties
Algebra of Sets
Properties
References

Proof Continues.

It follows that
" n # !
\ [ \  \ 
m∗ A Ei En = m ∗ A En ,
i=1

and
" n # ! "n−1 #!
\ [ \ \ [
m∗ A Ei Enc = m∗ A En Ei .
i=1 i=1

Addition of above two equations leads us to the required

results.

Dr.A.Kaushik: Lecture-6 M.Sc.-I (Mathematics) Directorate of Distance Education, K.U. Kurukshetra

 Outline
Lebesgue Measurable Set
Properties
Algebra of Sets
Properties
References

Theorem
Countable union of measurable sets is measurable.

Proof.
Let {A
Sn∞} be any countable condition of measurable sets and
E = n=1 An . We know that the class of Lebesgue measurable set
constitutes algebra. Therefore, there is a sequence {En } of
pair-wise disjoint measurable sets such that
∞
[ ∞
[
E= An = En .
n=1 n=1
S∞
Let Fn = i=1 Ei , then Fn is measurable for each n and Fn ⊂ E .
This implies thatFnc ⊃ E c .

Dr.A.Kaushik: Lecture-6 M.Sc.-I (Mathematics) Directorate of Distance Education, K.U. Kurukshetra

 Outline
Lebesgue Measurable Set
Properties
Algebra of Sets
Properties
References

Proof Continues.
Moreover, if A be any set of real numbers then
 \   \ 
A Fnc ⊃ A E c
 \   \ 
⇒ m∗ A E c ≤ m∗ A Fnc .

Dr.A.Kaushik: Lecture-6 M.Sc.-I (Mathematics) Directorate of Distance Education, K.U. Kurukshetra

 Outline
Lebesgue Measurable Set
Properties
Algebra of Sets
Properties
References

Proof Continues.
Since, Fn is measurable we have
 \   \ 
m∗ (A) ≥ m∗ A Fn + m∗ A Fnc ,
" n #!
\ [  \ 
≥ m A ∗
Ei + m∗ A E c ,
i=1
n
X  \   \ 
= m ∗ A Ei + m ∗ A E c .
i=1

L.H.S. being independent of n, it follows that

∞
X  \   \ 
m∗ (A) ≥ m ∗ A Ei + m ∗ A E c (3)
i=1

Dr.A.Kaushik: Lecture-6 M.Sc.-I (Mathematics) Directorate of Distance Education, K.U. Kurukshetra

 Outline
Lebesgue Measurable Set
Properties
Algebra of Sets
Properties
References

Proof Continues.
Now, "∞ #!
\ [ ∞  \ 
[
A Ei = A Ei .
i=1 i=1

Therefore
"∞ #! ∞  \ 
!
\ [ [
m∗ A Ei = m∗ A Ei
i=1 i=1
∞
X  \ 
≤ m ∗ A Ei
i=1

 \  ∞
X  \ 
⇒ m∗ A E ⇒ m ∗ A Ei (4)
i=1

Dr.A.Kaushik: Lecture-6 M.Sc.-I (Mathematics) Directorate of Distance Education, K.U. Kurukshetra

 Outline
Lebesgue Measurable Set
Properties
Algebra of Sets
Properties
References

Proof Continues.
Combining (3) and (4), it gives
 \   \ 
m∗ (A) ≥ m∗ A E + m∗ A E c .
S∞
Hence,E = i=1 Ei is measurable.
As a consequence of result we just proved, we have
Corollary
The class of Lebesgue measurable sets is a σ algebra.

Dr.A.Kaushik: Lecture-6 M.Sc.-I (Mathematics) Directorate of Distance Education, K.U. Kurukshetra

 Outline
Lebesgue Measurable Set
Properties
Algebra of Sets
Properties
References

Let us end this lecture with the statement of an important results.

Theorem
Interval (a,∞) is measurable.

Proof of the above theorem is left for the readers as an exercise.

Dr.A.Kaushik: Lecture-6 M.Sc.-I (Mathematics) Directorate of Distance Education, K.U. Kurukshetra

 Outline
Lebesgue Measurable Set
Properties
Algebra of Sets
Properties
References

G.de Barra : Measure theory and integration, New Age

International Publishers.
A. Kaushik, Lecture Notes, Directorate of Distance Education,
Kurukshetra University, Kurukshetra.

Dr.A.Kaushik: Lecture-6 M.Sc.-I (Mathematics) Directorate of Distance Education, K.U. Kurukshetra

 Outline
Lebesgue Measurable Set
Properties
Algebra of Sets
Properties
References

Thank You !

Dr.A.Kaushik: Lecture-6 M.Sc.-I (Mathematics) Directorate of Distance Education, K.U. Kurukshetra