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Let $(X,\mathcal{M},\mu)$ be a measure space and suppose $\{f_n\}$ are non-negative measurable functions decreasing pointwise to $f$. Suppose also that $\int f_1 \lt \infty$. Then $$\int_X f~d\mu = \lim_{n\to\infty}\int_X f_n~d\mu.$$


Since $\{f_n\}$ are decreasing, and converges pointwise to $f$, then $\{-f_n\}$ is increasing pointwise to $f$. So by the monotone convergence theorem $$ \int_X -f~d\mu = \lim_{n\to\infty}\int_X -f_n ~d\mu$$ and so $$\int_X f~d\mu = \lim_{n\to\infty}\int_X f_n~d\mu.$$

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Your attempt is on the right track but is not quite right. In particular, you might think about the hypothesis $\int f_1 < \infty$ and whether you've used it. Hint: What do you know about $g_n = f_1 - f_n$? – cardinal Mar 24 '12 at 20:06
@cardinal: oh yes....$g_n \geq 0$...Thanks – Kuku Mar 24 '12 at 20:07
Yes, $g_n \geq 0$...and, what else? Davide's answer lays out the details. (+1 for showing your work.) – cardinal Mar 24 '12 at 20:08
@Cardinal...Is not homework. I saw it being used here: and thought I might try and prove it. – Kuku Mar 24 '12 at 20:16
Fair enough. Sorry, being a "standard" result, it sounded a bit like homework. Cheers. :) – cardinal Mar 24 '12 at 20:18
up vote 23 down vote accepted

The problem is that $-f_n$ increases to $-f$ which is not non-negative, so we can't apply directly to $-f_n$ the monotone convergence theorem. But if we take $g_n:=f_1-f_n$, then $\{g_n\}$ is an increasing sequence of non-negative measurable functions, which converges pointwise to $f_1-f$. Monotone convergence theorem yields: $$\lim_{n\to +\infty}\int_X (f_1-f_n)d\mu=\int_X\lim_{n\to +\infty} (f_1-f_n)d\mu=\int_X f_1d\mu-\int_X fd\mu$$ so $\lim_{n\to +\infty}\int_X f_nd\mu=\int_X fd\mu$.

Note that the fact that there is an integrable function in the sequence is primordial, indeed, if you take $X$ the real line, $\mathcal M$ its Borel $\sigma$-algebra and $\mu$ the Lebesgue measure, and $f_n(x)=\begin{cases} 1&\mbox{ if }x\geq n\\\ 0&\mbox{ otherwise} \end{cases}$ the sequence $f_n $ decreases to $0$ but $\int_{\mathbb R}f_nd\lambda =+\infty$ for all $n$.

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(+1) I was composing my comment simultaneously. We even managed to match notation. :) – cardinal Mar 24 '12 at 20:07
Thanks again...I should have thought about it more:) – Kuku Mar 24 '12 at 20:19
@cardinal Nice proof, yet I have a question: You say that $g_n:= f-f_n$ is an increasing sequence of function, I understand this, but why is she positive? I've thought that since $f_n$ is decreasing to f than $f_n \ge f \forall n$ but this would mean that $f-f_n$ is negative. Where is my error? I can't find it Thank you in advance if you answer :-) – Bman72 Jan 17 '14 at 7:53
I used it with $f_1$ not $f$. – Davide Giraudo Jan 17 '14 at 10:17
@Ale. $f_1\geq f_n$, since $f_n$ being decreasing and hence $f_1-f_n\geq 0$ for each $n$. – Alexander Jun 30 at 5:44

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