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Wikipedia claims, if $\sigma$-finite the Dominated convergence theorem is still true when pointwise convergence is replaced by convergence in measure, does anyone know where to find a proof of this? Many thanks!

Statement of the theorem:

Let $\mu$ be $\sigma$-finite, $|f_n|\leq g$ and $f_n\rightarrow f$ in measure, then we must have

$\int f_n \rightarrow \int f$ and $\int|f_n-f| \rightarrow 0$

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2 Answers 2

up vote 6 down vote accepted

Let $(X,\mathcal B,\mu)$ be a $\sigma$-finite measure space, $\{f_n\}$ a sequence of functions which converges to $f$ in measure, and for almost every $x$ and all $n$, $|f_n(x)|\leqslant g(x)$, where $g$ is integrable. Then $\lVert f_n-f\rVert_{L^1}\to 0$.

Let $\{A_k\}$ be an increasing sequence of sets of finite measure such that $X=\bigcup_{k\geq 1}A_k=X$. We have for each $k$, $$\int_X|f_n(x)-f(x)|d\mu\leqslant 2\int_{X\setminus A_k}|g(x)|d\mu(x)+\int_{A_k}|f_n(x)-f(x)|d\mu(x).$$ If $\lVert f_n-f\rVert_{L^1}$ doesn't converge to $0$, we can find a $\delta>0$ and a subsequence $\{f_{n'}\}$ such that $\lVert f_{n'}-f\rVert_{L^1}\geqslant 2\delta$. We fix $k$ such that $2\int_{X\setminus A_k}|g(x)|d\mu(x)\leqslant\delta$ (such a $k$ exists by the monotone convergence theorem). Then $$\delta\leqslant \int_{A_k}|f_{n'}(x)-f(x)|d\mu(x).$$ Now, as $A_k$ has a finite measure, we can extract a subsequence $\{f_{n''}\}$ of $\{f_{n'}\}$ which converges almost everywhere on $A_k$. Applying the classical dominated convergence theorem to this sequence, we get a contradiction.

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Hi Davide, I don't understand two points in your proof: when you said We fix $k$ such that $2\int_{X\setminus A_k}|g(x)|d\mu(x)\leq\delta$, what gurantees the existence of such a $k$? Also, since $A_k$ has finite measure, why can we then extract a subsequence $\{f_{n''}\}$ of $\{f_{n'}\}$ which converges a.e. on $A_k$? I'm probably missing something quite important here, and thanks for your help! –  anegligibleperson Oct 5 '12 at 12:03
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For the first point, I apply monotone convergence theorem. For the second one, we use the fact that one a finite measure space, if a sequence converges in measure, we can extract a subsequence which converges almost everywhere. –  Davide Giraudo Oct 5 '12 at 12:11
    
Thanks! I finally understand it now. –  anegligibleperson Oct 5 '12 at 12:18
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Davide, I think in a general measure space (not neccessarily finite) if we have a sequence of functions converge in measure, then we can always extract a subsequence that converges almost everywhere. –  Hongshan Li Dec 9 '12 at 23:37
    
What happens if $||f_n-f||_{L^1}$ converges to $0$? –  Haikal Yeo Apr 8 '13 at 8:24

I think there is a point of reviving this post because I think this is also a nice proof pointed out to me when I posted this question by Chris Janjigian.

I have seen this question posted numerous times on this site, so I think there is a point of writing this out.

Let us consider the sequence $\int |f_n-f|$. then consider the following, take a subsequence $\int |f_{n_j}-f|$

For $f_{n_j}$, there must exist a sub-subsequence such that $f_{n_{j_k}}$ such that $f_{n_{j_k}}$ converges to $f(x)$ almost everywhere. (Since $f_n$, hence $f_{n_j}$ converges to $f(x)$ in measure)

It must also be the case $|f_{n_{j_k}}-f| \leq 2g$, we now apply dominated convergence to see that $\int|f_{n_{j_k}}-f| \rightarrow 0$

What we have shown is that, for every subsequence of $\int |f_n-f|$, we have a further subsequence, which converges to 0. Now using the lemma:

If for every subsequence of $x_n$, there exists a sub-subsequence which converges to 0, then $x_n$ converges to 0.

We are done.

The proof of the last lemma can be found Sufficient condition for convergence of a real sequence

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