REAL ANALYSIS 245A

CHRISTOPH THIELE

1. Lebesgue measure 1.1. A review of the Riemann integral and its deciency. We recall the denition of Riemann integrability. Denition 1. A function f : [a, b) I is Riemann integrable if R inf UP (f ) = sup LP (f ) .
P P

(1)

riemannsum

Here on both sides of the equation P runs through all nite partitions a = x0 < x1 < < xn = b of the interval [a, b) and the upper and lower Riemann sums are dened as
n

UP (f ) =
i=1 n

|xi xi1 |

sup
xi1 x<xI

f (x)

LP (f ) =
i=1

|xi xi1 |

xi1 x<xI

inf

f (x)

The common value in (1) is then called the Riemann integral. It is undisputed that the Riemann integral provides the only reasonable value for an integral for all Riemann integrable functions. However, the catch with Riemann integrability is that the class of Riemann integrable functions is rather limited and does not behave well under limit processes: relatively simple limits of Riemann integrable functions are not Riemann integrable. An example of a function that is not Riemann integrable is the characteristic function of the set of all rational numbers contained in [0, 1) (The characteristic function 1E of a set E takes the value 1E (x) = 1 if x E and 1E (x) = 0 if x E.) For this function on [0, 1), all upper Riemann sums / are 1 while all lower Riemann sums are 0. Taking for granted for the moment that the function just described will pose no diculty for Lebesgue integration, we take note that the shortcoming of Riemann integrability already occurs for a very simple functions such as characteristic functions, which carry no further information than their
Date: September 28, 2011.
1

CHRISTOPH THIELE

support. In fact, the integral of a characteristic function is a quantity associated with the set only, and could be considered the measure of the set. We may write formally 1E = I (E) R I R Thus a good integration theory implies a good measure theory. Conversely, at least for non-negative functions, the integral of a function on I can be R thought of as the two dimensional measure of the set of all points (x, y) with 0 y < f (x) for all x I We may formally write R. I R f = I 2 ({(x, y) : 0 y < f (x)}) R

If we then more generally understand the theory of measure in I d for any R dimension d , we automatically obtain a theory of integration of positive functions (on I d1 ). Restriction to positive functions is not a severe limitaR tion, on easily can build a linear theory of integration from the integral on positive functions, because non-positive functions can be written as nite linear combinations of positive functions. Hence the Lebesgue integration thery is really a theory of measure in I d . R 1.2. A rst discussion of desireable properties of measure. We proceed to list a set of axioms we (may) demand for a theory of measure, together with a thorough discussion of the axioms. R (1) A measure is a function from the set 2I (power set of I i.e., the R, set of all subsets of I into the extended positive half axis [0, ]. R) (From experience with the Riemann integral we are ready to concede that I will have innite measure, so we need to work with the R extended positive numbers. Note that addition is possible unrestrictedly in this set, indeed even addition of countably many elements is always possible in extended positive numbers and another advantage of working with this set. (2) The measure is translation invariant, i.e. for all E I and all R x I we have (E) = (E + x), where E + x = {y + x, y R E}. This is bowing to the additive group structure of I There is R. certainly an interesting theory of measures that are not translation invariant, but for the moment we try to understand the translation invariant case Hence for now this condition is not negotiable. Note that the Riemann integral is translation invariant, if one allows the boundaries a, b to vary. (3) For two disjoint sets E1 and E2 we have (E1 E2 ) = (E1 ) + (E2 ) . This property is called the extensive property in physics ( satised by quantities such as volume, mass, energy content, etc) as opposed to intensive properties (satised by quantities such as temperature,

REAL ANALYSIS 245A

pressure). The extensive property would follow from linearity of the proposed integral, 1E1 E1 = (1E1 + 1E2 ) = 1E1 + 1E2 .

Over mathematics history, measure has become somewhat of the paradigmatic extensive property, while the integral has become somewhat of the the paradigmatic linear quantity. Thus the extensive property is not negotiable. Note that by induction we have the analogous property for a nite collection of pairwise disjoint sets. (4) Note that the extensive property implies () {0, } because the empty set is the disjoint union with itself, = (the empty set has no element in common with itself). We thus have () = ()+(), which cannot be satised by a nite number. If () = , then we conclude similarly (E) = (E ) = for every set E. Since such measures are rather boring, we may exclude the latter case and thus demand () = 0 By the above discussion we may consider this non-negotiable. (5) Countable version of extensive property: For a sequence Ei of pairwise disjoint sets we have

(
i=1

Ei ) =
i=1

(Ei )

This cannot be proved by induction from the nite extensive property. (Indee,d one can prove by induction that any analogous conclusion one draws form nite extensive property with be a statement about nite collections of sets.) The countable extensive property is the main idea of Lebesgue measure theory, which distinguishes it for example from Riemann integration theory. This property will provide for a good theory of limiting processes. Note that the sum on the right hand side is a countable sum of (extended) positive numbers, which always exists. Note also that the countable extensive property follows from a countable linearity property for positive functions: i fi i fi = (6) We demand that the measure of the unit cube [0, 1)n in I n is equal to 1. Since we may always normalize a measure (mulR tiply by a nite constant), the main content of this demand is that the measure of the cube be neither 0 nor . By the countable extensive property and translation invariance, if the measure of the cube was 0, then the measure of all translated cubes was zero. Tiling all of I n into countably many cubes (all those with corners in Zn ) we R would give (I n ) = 0 . Then also (E) = 0 for all subsets of I R R

CHRISTOPH THIELE

by the nite extensive property. This is not a very interesting measure and may be discarded. There are interesting measures where the unit cube has measure . One such example is the counting measure wich assigns to the set {0} a nite measure, say 1 (we may normalize). Then all singletons {x} have counting measure one, and the counting measure of a nite set is equal to the cardinality of the set by the nite extensive property. Innite sets have measure , since they contain a nite set of ony presecribed cardinality and by nite additivity the counting measure of the innite set exceeds any nite number. Hausdor measures are another (even more) interesting class of measures, most of which assign the unit cube innite measure. A discussion of Hausdor measure is beyond the scope of the current lecture, but we note in passing that counting measure is 0 dimensional Hausdor measure, while Lebesgue measure in I d will R be d-dimensional Hausdor measure. For the time being we shall focus on the case of nite volume of the standard unit cube. This is consistent with the Riemann integral and non-negotiable for our current investigation in similar spirit as is translation invariance. Note that the system of six axioms is redunant, clearly ([0, 1)n ) = 1 implies () = 0 because this is the only way we can satisfy the countable extensive property and niteness of measure of the unit cube: 1 = ([0, 1)d ) = ([0, 1)d ) + () + () + . . . Furthermore,countable extensive property implies the nite one by setting all but nitely many sets in the sequence equal to . The countable extensive property is the main new idea in Lebesgue integration. As an example for such reasoning, note that all singletons E = {x} have measure zero by the discussion of the normalization of the unit cube. Assuming countable extensive property, any countable set has measure zero. Hence the set of rationals inside [0, 1) has measure zero, a fact invisible by the Riemann integral. (Note the Riemann integral does not suggest a different value for the measure of this set, it merely fails to provide a value for the measure of the st. One may ask about demanding uncountable extensive property. However, by the same reasoning as above this would give any uncountable set measure zero, and hence any subset of I R. This is obviously not very interesting and one has to refrain from uncountable extensive property. Note that an uncountable sum of positive numbers can be nite only if all but countably many summands are zero. This may be consolation that we do not loose too much on the nitary side by not having the uncountable extensive property. 1.3. A set which cannot have a measure. Having declared all of the above conditions except possibly the rst as non-negotiable, we shall now see that we indeed have to modify the rst axiom or else one cannot fullll all these requirements simultaneously.

REAL ANALYSIS 245A

Dene an equivalence relation on the set of reals: x y if xy is rational. Equivalence means (1) reexivity: x x, (2) symmetry: x y implies y x, (3) transitivity: x y and y z implies x z. All these properties are readily veryed. For each x we dene the equivalence class [x] to consist of all elements y such that x y. Note that for any two elements x, y we have either [x] = [y] or [x] [y] = . The former happens and can easily be shown if y [x], while the latter happens and can easily be shown when y [x]. / The map x [x] is a surjective map onto the set of equivalence classes. The axiom of choice (an axiom of set theory) states (in one of its many equivalent forms) that for any surjective map f : A B between to sets we can choose a subset A of A such that the restriction of f to A is a bijection from A to B. If A is uncountable, this axiom cannot be proven from simpler axioms in set theory, and generally (unless specic situations) the set A one obtains cannot be obtained constructively. By that axiom, there is a subset E I such that the restriction of the R map [] to the set E is a bijection onto the set of equivalence classes. In other words, there is a choice of a single representative x from each equivalence class and E forms the set of these representatives. Taking the fractional part of each representative (an operation that does not leave the equivalence class), we may assume the representative lives in [0, 1), hence E is a subset of [0, 1). We claim we cannot assign a measure to the set E that is consistent with translation invariance and the countable extensive property. Namely, consider the countable collection of all E + x where x is a rational in [1, 1) These are pairwise disjoint, because if y E + x1 and y E + x2 Then y x1 and y x2 are in E, but since [y x1 ] = [y x2 ] and E contains at most one representativeof this equivalence class, we have y x1 = y x2 and thus x1 = x2 . Moreover, the union of all these sets contains [0, 1). Namely, if y [0, 1), pick a representative x of [y] in E and note that y = x + x0 for some rational x0 in [1, 1). Hence y E + x0 . Finally, the union of all E + x is contained in [1, 2) by obvious inequalities. Hence, assuming we have a measure satisfying extensive property 1 = ([0, 1) ( But this is inconsistent with ( {E + x}) =
x

{E + x}) ([1, 2) = 3

(E + x) =
x

(E)

where x runs through the countably many rationals in [1, 1). If (E) = 0, then the right-hand-side is zero, while if (E) > 0 then the right-hand-side is .

CHRISTOPH THIELE

1.4. A new list of axioms for measure. To salvage the impossibility of our set of axioms, we shall modify the rst one in the above list that the function be dened on all subsets of I n . We will dene only on a subset R of the power set of I n , and we call these sets measurable: all the other R properties will then only be required to hold within the class of measurable sets. This is not unlike the situation for the Riemann integral, which is only dened for Riemann integrable functions, however the measurable sets we will choose will be far more general and indeed canonical from the set of axioms. The axiom of choice has a special role in set theory since it is only used to obtain very non-constructive objects: there is no way to constructively choose the representatives above. Mathematicians therefore like to keep track of the use of this axiom and contemplate a world without the axiom. For example, one can show that if we abandon the axiom of choice, we can no longer obtain contradictions from our above system of axioms and may thus assume every subset of I is measurable. We shall not elaborate on R such endeavour, for this lecture the axiom of choice is non-negotiable. We list a new set of axioms for Lebesgue measure theory with the concept of measurability included. The notion of measurability is intrduced ina fashion that it is least disruptive with the proeprties we already demand. (1) There is a collection IM of subsets of I d called the measurable sets R and a function : {IM} [0, ] (2) If E is measurable and x I d , then E + x is measurable and R (E) = (E + x) (3) For any countable collection (Ei )iIN0 of subsets of I d with Ei Ej = R for i = j, assuming that of the collection E := ( i Ei ), E1 , E2 , . . . there is at most one non-measurable set, then all these sets are measurable and (Ei ) (E) =
i

(4) The standard unit cube [0, 1)d is measurable and has measure 1. (5) The intersection of a measurable set with the standard unit cube [0, 1)d is measurable as well. Note that the last item is new in the list. The previous list had no pendant of it since it does not refer to the function but only to the set IM. We include it so as to be able to conclude a richness of measurable sets. Without the axiom, one might choose IM to be the collection of sets which are at most countable disjoint unions of translates of the standard unit cube and one the function that counts these cubes. 1.5. The denition of Lebesgue measurable sets and Lebesgue measure. The new set of axioms can be satised. We proceed by presenting the denitions of IM and . We will then prove a uniqueness result, which

REAL ANALYSIS 245A

will demonstrate that the choices we made are rather canonical. Finally we will prove that these data IM and satisfy the axioms. To dene measurable sets and the function , we do the following three steps: (1) We choose a collection of basic sets to work with. Denition 2. A dyadic interval is an interval of the form [2k n, 2k (n + 1)) with integers k and n. A dyadic cube in I d is a d-fold cartesian R product of dyadic intervals, all of the same length, Let Qk denote the dyadic cubes with sidelength 2k . They form a partition of I d , i.e., they are pairwise disjoint and their union is all R d of I . For k = 0 this can be seen as follows: teh point (x1 , . . . , xd ) R is contained in the dyadic cube with corners ([x1 ], [x2 ], . . . , [xd ]) and ([x1 ] + 1, [x2 ] + 1, . . . , [xd ] + 1), where the (Gaussian) bracket denotes the integer part of a number, and this is the unique dyadic cube containing the point. For dierent values of k one obtains the partition by dilating the partition for k = 0. Morover, for two dierent values of k, any cube of the larger collection is partitioned into a collection of cubes of the smaller scale. For scales k = 0, 1 and for the cube [0, 2)d ) this is clear by inspection, it can be partitioned into the cubes i [ni , ni + 1) where all ni range through {0, 1} and we allow all 2d possible choices of ni . By translation one obtains an analoguous partition of any cube of sidelength 2, and by scaling one can partition any dyadic dube into 2d dyadic cubes at the smaller scale. By induction on the dierence in scales one sees that any dyadic cube at scale k2 can be partitioned into 2d(k2 k1 ) dyadic cubes at scale k1 < k 2. The following lemma is at the heart of the geometric properties of dyadic cubes Lemma 1. For any two dyadic cubes Q, Q we have one of the following (a) Q Q = (b) Q Q (c) Q Q Proof: If Q and Q have the same scale then this follows by pairwise disjointness of dyadic cubes at the same scale. By symmetry we may then assume that Q has smaller scale than Q . If Q is one of the cubes used to partition Q , then Q Q , while if not, then Q Q = . Denition 3. If Q is a dyadic cube at scale k, then (Q) := 2dk

CHRISTOPH THIELE

(2) Given the basic collection of dyadic cubes, we dene Lebesgue outer measure Denition 4 (Lebesgue outer measure). For any subset E of I d R we dene (E) :=
Q :E

inf

QQ

QQ

(Q)

where the inmum on the right hand side runs over all countable covers Q of the set E by dyadic cubes. Note that in this denition me may restrict attention to pairwise disjoint covers of the set E, becasue if two dyadic cubes in the coiver intersect then the smaller cube is contained in the larger and we do not need the smaller cube in the cover. We have the following observation
dyadicconsistency

Lemma 2. For all dyadic cubes we have (Q) = (Q). We postpone the proof of this lemma. Moreover, note that () = 0 because the empty collection of dyadic cubes covers the empty set. Note that it is important that the outer measure be dened by virtue of countable coverings. If we were to only consider nite coverings, the upper bound for the measure would be very poor. Consider the set of rationals inside [0, 1). If we cover it by nitely many intervals , the sum of length of these intervals is at least 1. However, there is a countable cover of arbitrary small total length, just enumerate this set of rationals as {x1 , x2 , . . . } and cover xi by an interval of length at most 2i , then the total length of all intervals does not exceed . Thus the outer measure of this set is 0. (3) Now the nal idea is to determine measurability of a set, one tests the extensive property on very basic example: Denition 5. A set E is Lebesgue measurable if we have for every dyadic cube of sidelength 1 1 = (Q E) + (Q \ E) Finally,w e specify lebesgue measure to coincide with Lebesgue outer measure on measurable sets. Denition 6. If a se set E is Lebesgue measurable if we have for every dyadic cube of sidelength 1 1 = (Q E) + (Q \ E) 1.6. Uniqueness results for Lebesgue measure. To motivate the above denitions, we observe the following theorem.

REAL ANALYSIS 245A

Proposition 1. Assume we have a collection IM of subsets of I d and a R function : IM [0, ] that satises the axioms above. Then coincides with on IM IM Proof: We rst note that M contains all dyadic cubes. For the standard unit cube this is one of the axioms. For all other dyadic cubes at scale k = 0 this follows by the axiom of translation invariance. For cubes at larger scale this follows by the extensive property, since such cubes can be partitioned into cubes at scale 0. For cubes at smaller scale we note that the cube [0, 2k )d is the intersection of the cube [0, 1)d with the (non-integer-) translated cube [1 + 2k , 2k )d . By translation invariance and the last axiom this cube is measurable, and so are all translates of this cube. Next we note that coincides with on the set of dyadic cubes. The standard unit cube has measure 1, and so have all the translated unit cubes. Cubes at larger scale 2k can be partitioned into 2kd unit cubes as discussed above, and by the extensive property the measure of the larger dyadic cube is 2kd . Similarly one obtains the measure of smaller cubes by partitioning the unit cube into cubes at smaller scale and using translation invariance at the smaller scale. Next we note that if E is in M and Q is any cover of E by pairiwse disjoint dyadic cubes, then by the extensive property E =
Q

is measurable with measure (E) =

Q

(Q)

and by obtaining from the extensive property (note E and E are measurable) (E) + (E \ E) = (E ) we conclude (E)
Q

(Q)

Now taking the inmum over all coverings we obtain that (E) (E ) Now we have for every unit dyadic cube Q, since E Q is measurable (for standard cube this is an axiom, for other unit cubes this follows by translation invariance) 1 = (E Q) + (Q \ E) Using comparison with outer measure on the right hand side we have (E Q) + (Q \ E)

10

CHRISTOPH THIELE

But if E is in IM, then the last display is bounded by 1 as well. hence we have inequality in the last display, and the only way this can happen is if (E Q) = (E Q). Using this for all dyadic unit cubes and using the extensive property we have (E) = (E) Note that in the above prove we have only used translation invariance by vectors which are in (2k Z)d for some integer k. hence uniqueness can be proved under the corresponding weaker axiom of translation invariance. 1.7. Verication of the axioms of Lebesgue measure. We prove that IM and satisfy our list of axioms. We begin by lling in the proof of Lemma 2: Clearly we have for every dyadic cube (Q) (Q) because the set Q = {Q} covers Q. To see the reverse inequality, rst note that (Q)
Q Q

(Q )

(2)

mumusharp

for all coverings of Q with collections Q of cubes of xed scale k. Namely, if Q contains only cubes at scale k and covers Q, then it contains all cubes in the partition of Q into cubes at scale k. Then clearly (2). Now we prove (2) for all nite coverings Q. We may assume that the cubes in Q are disjoint, because when two dyadic cubes are not disjoint, one is contained in the other and we may remove the smaller cube from the collection without changing the covering property but strentghening the desired inequality. We proceed by induction on the dierence k2 k1 between largest and smallest scale in the cover. the case of vanishing dierence is settled already. As to the induction step, we replace each cube at scale k2 by 2d cubes at scale k2 1 without changing either the covering property nor the right hand side of (2). By induction this proves (2) for nite collections. Now for the general case of innite covering, we employ a compactness argument. Assume to get a contradiction that we have a covering Q with (Q)
Q Q

(Q) (1 + )

By scaling we may assume Q is a unit cube. Choose k0 a negative number of large absolute value. Let the inner boundary layer at this level consist of all dyadic cubes of sidelength 2k0 contained in Q which have common part of the boundary with Q. There are less than 2d2(d1)k0 such cubes. By choosing k0 appropriately we may assume that 2d2(d1)k0 2dk0 /10

REAL ANALYSIS 245A

11

Let Q be the collection of non-boundary layer cubes of sidelength 2k0 inside Q, then we have (Q) 1 /10
QQ

The point of this collection is that it is contained inside a compact square which itself is contained in Q and thus covered by Q. Now we turn to the cubes in Q, which we may assume to be pairwise disjoint. By a procedure as in the uinduction above we may assume that the largest scale in Q is less than k0 . Now we consider an outside boundary layers for each Q Q, of cubes of sidelength 2k0 times the sidelength of Q . Note there are at most 2d(2k0 + 2)d1 4d2(d1)k0 ) such boundary layer cubes . Adding these boundary layer cubes to the collection Q we obtain a new collection Q which satises (Q )
QQ

(1 + 4d2(d1)k0 2dk0 )(Q) (1 + /5)

Q Q Q Q

(Q) .

The point of extendng cubes by their boundary layer is that a cube plus its boundary layer covers an open cube containing the original cube. By compactness (any open cover of a compact set has a nit subcover) there is a nite subcollection Q of Q which cover the union of cubes in Q. By previous estimates we have (Q) (1 + /2)
QQ Q Q

(Q )

Since all cubes on the right hand side have smaller scale than the cubes on the left hand side, we can partition the collection on the right hand side corresponding to which cube in Q they are contained in (we may disregard the cubes not contained in any Q. By the triangle inequality, for at least one cube Q and corresponding collection QQ we must have (Q) (1 + /2)
Q QQ

(Q )

But this contradicts the inequality (2) which already was established for nite coverings. As a corollary we have verication of the rst axiom: Lemma 3. The set [0, 1)d is measurable and has measure 1. Proof: This follows from ([0, 1)d ) = 1 (previous lemma) and () = 0 and the denition of measurability. The other axiom concerning the unit cube is also fairly simple

12

CHRISTOPH THIELE

Lemma 4. If E is measurable and Q the standard unit cube, then E Q is measurable. Measurability of a set depends only on the sets E Q for all unit cubes But for any unit cube Q we have (E Q) Q is either or E Q. Since is measurable, the lemma follows. We proceed to prove the extensive property. First note that the outer measure is always subadditive: if E is contained in the disjoint union of a countable collection of sets Ei , then Q . (E)
i

(Ei )

(3)

outerinequality

This follows because given for each i a covering of Ei that is within 2i of attaining the outer measure of Ei , the union of all these coverings covers E and is within i 2i = of i (Ei ). The reverse inequality requires the assumption of measurability; the main point being the following lemma.
countableunionmeasure

Lemma 5. Let Ei be a countable collection of pairwise disjoint measurable sets, then their union is measurable as well. We need an auxiliary proposition, which in itself is an important charcterization of measurability (specialized to sets contained in a unit cube)

covermeasure

Lemma 6. A subset E of a dyadic unit cube Q is measurable if and only if for all > 0 there is a countable collection Q of pairwise disjoint dyadic cubes Q contained in Q covering E with ((
Q

Q) \ E)

Proof of Lemma 6: First we note that if E Q is measurable, then for every dyadic cube Q we have Q (Q ) = (E Q ) + (Q \ E) (4) To see this, consider the collection of all cubes at the same scale as we shall prove the statement for all these cubes simultaneously. From now on Q denotes an arbitrary cube in this partition. Then we have for every set E Q (E) = sup
Q Q Q

othercube

Q ,

(Q )

where the supremum runs over all covers of E Q. We may assume the cover consists only of cubes contained in Q. By an inductive argument as before we may assume it contains only cubes at scale at most the scale of cubes in Q . Then we can partition Q into subcollections QQ corresponding to which cube Q Q contains a given cube of Q . Then we can take the

REAL ANALYSIS 245A

13

inmum separately over these subcollections, and we obtain (E) =

Q

(E Q )

The same conclusion can be obtained for Q E c . We then have (Q) =

Q

(Q )
Q

( (Q E) + (Q \ E))

= (Q E) + (Q \ E) = (Q) Since rst and last are equal, we must have equality everywhere, which can only be if we have (4) Continuing the proof of Proposition 6, we assume rst E is measurable. Let Q be a disjoint cover of E which approximates the outer measure within . Then ( Q \ E) (Q \ E)
Q Q

=
Q

(Q)
Q

(Q E) ( (E) + ) (E) =

We prove the converse direction. Assume that for each there is a disjoint cover of E with the stated property. Assume for the moment that the union of any disjoint collection of dyadic cubes contained in Q is measurable, then we have for any E Q (Q E c ) (Q (
Q

Q )c ) Q )

= (Q) \ (Q
Q

(Q)
Q

(Q ) (Q) (Q E)

Since this holds for all , we see measurability of E. It remains to see that countable disjoint unions of dyadic cubes contained in Q are measurable. For nite collections this is true because we may reduce to collections of cubes at the same scale and obtain measurability immediately. For innite collections., we pick any > 0 and nd a nite subcollection Q such that (Q )
Q Q

(Q )

Then (
Q

Q )
Q

(Q ) Q ) 1 + (Q \
Q Q

(Q ) + 1 + (Q \

Q )

14

CHRISTOPH THIELE

Since this holds for all , we conclude measurability of the union of cubes in Q . We may now complete the proof of Lemma 5. By denition of measurability, it suces to restrict attention to a unit cube and assume all sets Ei are contained in the cube. Cover Ei by a collection of dyadic cubes contained in Q such that the outer measure of Qi Q \ E is less than 2i . Let Q be the union of these covers, then (
Q

Q \ E)
i

(
Qi

Q \ E)
i

(
Qi

Q \ Ei )
i

2i

By The previous Lemma thuis proves meausrability of E. We now state the extensive property of Lebesgue measure as a theorem.
extensivethm

Theorem 1. For any countable collection of pairwise disjoint sets, if at most one of the sets occuring in the following display is non-measurable, then all are measurable and we have (E) =
i

(Ei )

with E =

i (Ei ).

Proof: First we conclude measurability of all sets in question. This is clear from Lemma 5 if all Ei are measurable. If the union E of all Ei is measurable and all of the Ei are measurable with exception of at most one, say E1 , we rst conlude from the last lemma that the union E of sets E2 , E3 , . . . is measurable. Since by denition measurability is preserved by taking complements we see that E1 = E \ E = (E E c )c is measurable (applying Lemma 5). This establishes measurability of E1 . It suces to prove the Theorem when all sets Ei are contained in a unit dyadic cube. Measurability in the general case is anyways dened by retsricting to cubes separately, and for the value of the function one uses that outer measures can be evaluated by using only cubes of sidelength at most 1, which again completely separates dierent unit dyadic cubes. We rst restrict attention to the case of nitely many non-empty sets Ei . For each i we choose a cover Qi of Q0 \ Ei which approximates the outer measure of Q0 \ Ei , which is ois 1 (Ei ) because Ei is measurable. By the method of small outer boundary layers as in the previous proof we may assume that Qi covers an open set Oi containing Q0 \ Ei . Then the complement Ki of this open set is relatively closed in Q0 , contains Ei , and satises by (3) (Ki ) (Ei ) 2i /5 By chipping o a tiny piece of Ki via removing a tiny inside boundary layer of Q0 we may assume that Ki is contained in a compact subset of Q0 and

REAL ANALYSIS 245A

15

thus is itself compact and satises (Ki ) (Ei ) 2i /4 Now we use the fact that the distance between two compact sets is positive. (The distance function is continuous on the compact set K1 K2 and attains its minimum, which is not 0.) Hence there is a such that the distance between any two of the sets Ki is at least . (Take the minimum of the various nitely many distances.) Now choose a covering of Ei approximating the outer measure and only having cubes of sidelength less than /2. Then none of these cubes intersects more than one of the compact sets Ki , and we may sort the cubes into collections Qi of those cubes which intersect of cubes intersecting no set Ki . Note that Ki and a remainder collection Q Qi is a cover of Ki . Then ( Ei ) ( (Q)) /10
i QQ

(
i QQi

(Q)) /10 (Ki )) /10

i

( (
i

(Ei ) 2i /4) /10 (

i

(Ei ))

Since was arbitrary, this proves the desired inequality in the case of nitely many Ei contained in a standard unit cube. To remove the niteness condition on the collection Ei , It simply suces to take a limit as j of (
i<j

Ei )
i<j

(Ei )

as j tends to and note that for every j (

i

Ei ) (
i<j

Ei )

by (3). Finally, we prove the translation invariance axiom. We rst prove the following useful description of Lebesgue measurability which is idnependent of dyadic cubes. Theorem 2. (1) A set in I d has outer measure 0 if and only if for R every > 0 there is a sequence of balls Bi covering E such that d i ri

16

CHRISTOPH THIELE

(2) A set in I d is measurable if there is a countable intersection G of R open sets such that E G and the measure of G \ E is zero. Proof: For the characterization of measure zero sets, Assume rst E has measure zero. We can nd a sequence of dyadic cubes Qi of sidelength ri covering the set and satisfying the above estimate. Since every dyadic cube can be covered by a ball of radius less than 3ri ,we obtain the desired covering by balls. Conversely, if a set can be covered by balls as above, we may cover every such ball by a bounded number of dyadic cubes with sidelength less than ri and we obtain that the outer measure of the set is less than for arbitrary epsilon > 0. Assume E is measurable, then we can coer it by dyadic cubes of total measure less than (E) + . Adding small outer boundary layers to these cubes, we nd an open set containing E which has outer emasure less than (E) + . Considering a sequence of such open sets for = 1/n, integer n, and taking the interesction of these sets, we obtain a set with outer measure at most (E). (Contable intersections of measurable sets are measurable, by continued application of extensive property.) Conversely, assume E is contained in a countable intersection of open sets and the dierence set has outer measure 0. Since every open set is the union of maximal disjoint dyadic cubes contained in it, it is measurable, and so is the intersection of these open sets. Then the dierence set between this intersection and E has outer measure 0 and is thus measurable. Hence E is measurable. We now state a more general theorem than the invariance axiom.
invariancethm

Theorem 3. For every measurable set E and every x I d R (E) = (E + x) For any set E and any > 0 (E) = d (E) where E denotes the set {x : x E} and (T E) = (E) where T is a rotation of Rd , i.e. a linear transformation preserving the unit ball around the origin. Note that it suces to use dyadic cubes of scale at most 2k when dening outer measure. This collection is invariant under translation by vectors in (2k Z)d . Hence, trivially, Lebesgue measure is invariant under any such translations. Indeed, Lebesgue measure is unique measure that satises the weakened translation invariance axiom and all other axioms in the list. For a given arbitrary , we may translate each dyadic cube by and dene a modied Lebesgue measure using these cubes. By the previous charcterization of measurable sets it is clear we obtain the same measurable sets. By

REAL ANALYSIS 245A

17

uniqueness of the lebesgue measure (the modied measure is also invariant under shifts by vectors in (2k Z)d , the two measures dier by at most a scalar multiple. It remains to see that the measure of any translated unit cube is equal to 1. This however can easily be ssen by en axplicit decomposition of the cube and reassemblence into standard cube by translation of the pieces by integer amounts. With general trnaslation invariance in place, we cna prove invariance under rotations by using rotated dyadic grids. By uniqueness the modied lebesgue measure coincides with the original one up to constant scalar. Using that the unit ball around the origin is preserved under the rotation, we conclude this constant is 1. Similarly we prove invariance under scaling, here the cosntant needs to be callculated by coounting dyadic cubes inside a dilated dyadic cube. 1.8. Remarks. (1) For general theory it is notewirthy that we have charcterization of measurable sets that depends only ont he notion of outer measure, but not on specic choice of unit cubes or topological notions such as open sets. Lemma 7 (Caratheodory). A set E is measurable if and only if for every set A we have (A) = (E) + (A \ E) Proof: Since A may be chosen to be the standard unit cube, the only statement to prove is that the identity holds for every measurable set E and every set A. The inequality (A) (E) + (A \ E) is trivial. To prove the reverse inequality, Find a cover Q of A with (A) +
Q

(Q)

Using that E is measurable we obtain (A) +

Q

(Q E) + (Q E c ) Q) E c ) (A E) + (A E c )
Q

= ((
Q

Q) E) + ((

(2) A sigma algebra of subsets of I d is a collection of subsets which is R closed under countable union and taking complements. Thus IM is a sigma algebra. There is a canocnical smallest sigma algebra which contains all open sets. (It is the intersection of all sigma algebras that contain

18

CHRISTOPH THIELE

the open sets). The sets in this sigma algebra are called Borel sets. Clearly each Borel set is measurable. One can show that the Borel sigma algebra has the same cardinality as I while IM has cardinality strictly larger than I Hence R, R. these are not the same. All the axioms of Lebesgue measure are also satised for the restriction of to Borel sets. Another way to reduce the cardinality of objects of study is to consider equivalence classes of sets: two sets are equivalent if the symmetriuc set dierence has measure zero. Each equivalence class has at least one representative which is the countable intersection of open sets. Hence the cardinality of the set of equivalence classes is also that of the continuum.