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I post this question with some personal specifications. I hope it does not overlap with old posted questions.

Recently I strongly feel that I have to review the knowledge of measure theory for the sake of starting my thesis.

I am not totally new with measure theory, since I have taken and past one course at the graduate level. Unfortunately, because the lecturer was not so good at teaching, I followed the course by self-study. Now I feel that all the knowledge has gone after the exam and still don’t have a clear overview on the structure of measure theory. And here come my specified requirements for a reference book.

  1. I wish the book elaborates the proofs, since I will read it on my own again, sadly. And this is the most important criterion for the book.

  2. I wish the book covers most of the topics in measure theory. Although the topic of my thesis is on stochastic integration, I do want to review measure theory at a more general level, which means it could emphasize on both aspects of analysis and probability. If such a condition cannot be achieved, I'd like to more focus on probability.

  3. I wish the book could deal with convergences and uniform integrability carefully, as Chung’s probability book.

My expectation is after thorough reading, I could have strong background to start a thesis on stochastic integration at an analytic level.

Sorry for such a tedious question.

P.S: the textbook I used is Schilling’s book: measures, integrals and martingales. It is a pretty good textbook, but misprints really ruin the fun of reading.

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9 Answers 9

up vote 11 down vote accepted

Schilling was my introduction to the subject too. There are a few misprints, but a lot of them are corrected in the errata.

I've found Rudin's Real and Complex Analysis useful as a reference / second text. You could also take a look at Folland's Real Analysis. Terry Tao has notes about the subject on his blog, see here.

One of the most comprehensive books, besides Kallenberg's Foundations of Modern Probability, is probably Bogachev's Measure Theory (2-volumes). Its Table of Contents can be viewed at Springer.

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+1 For Bogachev, excellent books. –  Jonas Teuwen Jun 19 '11 at 12:45
    
I second Bogachev's Measure Theory, too. The two volumes are more than comprehensive and still very accessible. Also, I very much like his functional analyst's point of view on the subject. –  lvb Jun 19 '11 at 13:12
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Nothing beats Fremlin's measure theory when it comes to comprehensiveness. However, the writing style is idiosyncratic and takes some time of getting used to. –  t.b. Jun 19 '11 at 13:28
    
+1 I like the suggestion of Folland's "Real Analysis". It is undoubtedly a very well written book and has a nice introduction to further topics in analysis at the end. –  Amitesh Datta Jun 19 '11 at 13:51
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Sure, if you read an advanced textbook, then less advanced books will seem easy and have less general statements. If you can handle such a book as introduction, all the better. But I suspect that Rudin's treatment of measure would have been slightly over my head when I was learning this stuff. By the way, personally I am not that fond of his treatment of complex analysis. But that's just because I prefer a more geometric/topological spirit, where obviously his spirit is analytical. –  wildildildlife Jun 20 '11 at 12:48

Folland's text ("Real Analysis") is highly extensive and covers many topics in measure theory which you rarely see in other books, e.g. interpolation theorems for $L^p$ spaces. It also has a chapter on probability theory, in which he gives rigorous proofs to the basic theorems in the theory (the law of large numbers, the central limit theorem), talks about the construction of product spaces in the context of probability theory, and discusses Brownian motion and Wiener measure.

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+1 Folland's "Real Analysis" is an excellent recommendation. –  Amitesh Datta Jun 20 '11 at 5:37
    
+1 Second this assessment. –  Mathemagician1234 Sep 10 '11 at 22:51

Textbook: Real and Complex Analysis by Walter Rudin

Explanation: Chapters 1, 2, 3, 6, 7 and 8 constitute an excellent general treatment of measure theory. Let me elaborate:

Chapter 1: The notions of an abtract measure space and an abstract topological space are introduced and studied in concurrence. This treatment allows the reader to see the close connections between the two subjects that appear both in practice and in theory. Elementary examples and properties of measurable functions and measures are discussed. Furthermore, Lebesgue's monotone convergence theorem, Fatou's lemma, and Lebesgue's dominated convergence theorem are proven in this chapter. Finally, the chapter discusses consequences of these results. The elegance of the treatment allows the reader to quickly become accustomed to the basic theory of measure.

Chapter 2: This chapter delves further into the intimate connection between topological and measure theoretic notions. More specifically, the chapter begins with a treatment of some important results in general topology such as Urysohn's lemma and the construction of partitions of unity. Afterwards, these results are applied to establish the Riesz representation theorem for positive linear functionals. The proof of this result is long but is nonetheless carefully broken into small steps and the reader should find little or no difficulty in understanding each of these steps. The Riesz representation theorem is applied in a particularly elegant manner to the theory of positive Borel measures. Finally, the existence and basic properties of the Lebesgue measure are shown to be a virtually trivial consequence of the Riesz representation theorem. The chapter ends with a nice set of exercises that discusses, in particular, some interesting counterexamples in measure theory.

Chapter 3: The basic theory of $L^p$ spaces ($1\leq p\leq \infty$) is introduced. The chapter begins with an elementary treatment of convex functions. Rudin explains that many elementary inequalities in analysis may be established as easy consequences of the theory of convex functions and evidence is provided for this claim. In particular, Holder's and Minkowski's inequalities are proven. These results culminate in the proof that the $L^p$ spaces are indeed complex vector spaces. The completeness of the $L^p$ spaces and various important density results are also discussed.

Chapter 6: This chapter discusses the theory of complex measures, and in particular, the Radon-Nikodym theorem. Von Neumann's proof of the Radon-Nikodym theorem is presented and various consequences are discussed ranging from the characterization of the dual of the $L^p$ spaces ($1\leq p\leq \infty$) to the Hahn decomposition theorem. These results culminate in the proof of the Riesz representation theorem for bounded linear functions. A knowledge of chapters $4$ and $5$ are necessary in this chapter although they do not strictly cover measure theory. Uniform integrability and the Vitali convergence theorem are treated in the exercises at the end of the chapter.

Chapter 7: The main topic of this chapter is Fubini's theorem. A wealth of nice counterexamples is discussed and an important application is presented: the result that the convolution of two functions in $L^1$ is again in $L^1$. A wonderful feature of this treatment is the generality; the result is established in one of the most general forms possible.

Chapter 8: This chapter treats differentiation of measures and the Hardy-Littlewood maximal function which is an important tool in analysis. A number of applications are presented ranging from a proof of the change of variables theorem in Euclidean $n$-space (in a very general form) to a treatment of functions of bounded variation and absolute continuity. Several results from this chapter are also used later in this book; most notable is the use of the differentiation theorem of measures in the study of of harmonic functions in chapter 11.

Let me summarize with some general comments regarding the book:

Prerequisites: A good knowledge of set-theoretic notions, continuity and compactness suffice for the chapters that I have described. An at least rudimentary knowledge of differentiation and uniform convergence is very helpful at times. One need not be acquianted with the theory of the Riemann integral beforehand although one should at least be acquianted with its computation. In short, a knowledge of chapters 1, 2, 3, 4 and 7 of Rudin's earlier book Principles of Mathematical Analysis is advisable before one reads this textbook.

Exercises: The exercises in this textbook are wonderful. Many of the exercises build an intuition of the theory and applications treated in the text and therefore it is advisable to do as many exercises as possible. However, you should expect to work to solve a few of the exercises. A number of important concepts such as convergence in measure, uniform integrability, points of density, Minkowski's inequality for convolution, inclusions between $L^p$ spaces, Hardy's inequality etc. are treated in the exercises. However, if you are truly stuck you will find that many of these results are either theorems or exercises with detailed hints in other textbooks. (E.g., Folland's Real Analysis.)

Content: I have already described the content in some detail but let me say that the content is about exactly what one needs to study branches of mathematics where measure theory is applied. Of course, this is with the assumption that one at least attempts as many exercises as possible since a number of important results (from probability theory, for example) are treated in the exercises.

Style: The proofs in Rudin are (with possibly minor exceptions) complete. Unlike a number of other mathematics textbooks, Rudin prefers not to leave any parts of proofs to the reader and instead focusses on giving the reader non-trivial exercises as practice at the end of each chapter. The book reads magnificently and the flow of results is excellent; almost all results are stated in context. It is fair to say that the main text of the book lacks examples, which is perhaps one of the only points of complaints by students, but the exercises do contain examples. Finally, the book is rigorous and is completely free of mathematical errors.

I hope this review of Rudin's Real and Complex Analysis is helpful! I have read virtually the entire book (over $4$ months) and I found it to be one of the most enjoyable experiences of my life. It really motivated me to delve deeper into analysis. Perhaps the same will be true for you. I certainly recommend this book with my deepest enthusiasm.

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Excellent review and a good suggestion, of course. There is one thing that bothers me, though: You seem to be downvoting concurring answers or answers you don't like. I observed this several times already. Please don't do that, this is really not nice and not especially helpful either. The suggestions of Carl and especially those by ncmathsadist are also excellent, if not better. Look at their profiles and look at who they are. They know what they are talking about. –  t.b. Jun 19 '11 at 9:05
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@Theo: That kind of question is hard to vote on. For example, I consider this a very helpful answer (e.g. because of the detail), but I don't think that Rudin is a good recommendation. Should I upvote or downvote? I suppose it would be a downvote if the question was community wiki. –  Stefan Walter Jun 19 '11 at 10:20
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Dear Theo, I downvoted a couple of answers because I felt that there was no indication as to why the recommendation was good. For example, I think Halmos was recommended above but there was no explanation as to why it is good except that the author is well-regarded. I understand I should have at least explained this (in comment form) and not doing this can be injustice to the author. I apologize for this. However, I did not downvote because they were competing answers. (I also vote based on the content and not on the author.) I agree that I have downvoted answers rather harshly in the past. –  Amitesh Datta Jun 19 '11 at 11:16
    
Dear Stefan, you are, of course, free to either upvote or downvote my answer. I certainly do not mind if my answer is downvoted since it gives me an indication of what sorts of answers the community likes and if I should improve the answers I author in the future. –  Amitesh Datta Jun 19 '11 at 11:40
    
My point is: If your answer is downvoted, you might get the impression that detailed reviews of books are not appreciated, while in fact the reason is just that people don't like the book you recommend. So I think there should be some convention on what a vote means in case of book recommendations. Maybe someone can point me to a meta question about that. I couldn't find any. –  Stefan Walter Jun 19 '11 at 12:01

When I learned the subject, I found three books to be immensely useful. Royden's Real Analysis is a good general book and has nice problems. Bartle's elements of integration does the abstract theory of integration cleanly and concisely. In addition, you need a good book on Lebesgue measure on Euclidean spaaces. For this I recommend Wheeden and Zygmund's Measure and Integral.

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Royden's Real Analysis is a decent book but there are a few features that I did not like. For example, Royden discusses measure theory on Euclidean space and then covers abstract measure theory later in the book. General measure theory provides a more unified approach to the subject and measure theory on Euclidean space is not really simpler; in fact, it brings into the picture many structures on Euclidean space that are not logically relevant and only obscure the general theory ... –  Amitesh Datta Jun 19 '11 at 11:29
    
... In my opinion, it is much easier and saves the student's time to establish measure theory on Euclidean space as a special case of general measure theory. –  Amitesh Datta Jun 19 '11 at 11:29
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Actually for a lot of people it is the right level of abstraction. I think it depends on your inclinations. –  ncmathsadist Jul 19 '13 at 3:00

Donald L. Cohn-"Measure theory". Everything is detailed.

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It seems unnecessary to add to this long list of great books, but Real Analysis and Probability by R.M. Dudley is wonderful. His book fits your need to emphasize on both aspects of analysis and probability.

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If you are looking for a book in measure theory, you should certainly get a copy of the book of that title by Halmos. You may need a second book for details on stochastic processes, but for the underlying analysis it will be hard to find a more comprehensive book, or a better-regarded author.

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I agree that Halmos's book on measure theory is an excellent textbook (the same can be said for all of Halmos' publications) but it would help if you detailed somewhat why it is a good book. –  Amitesh Datta Jun 19 '11 at 11:32
    
There is a detailed review and description of the book's contents in MathSciNet. –  Carl Mummert Jun 19 '11 at 12:24
    
Halmos' book is classic! But it seems to be a little old-fashioned. Personally I prefer algebra approach rather than rings/monotone class,etc. –  newbie Jun 19 '11 at 16:29
    
I like the fact that he has a chapter on probability, but it sounds like the OP already knows what is contained therein. –  Trurl Jun 3 at 1:04

Nobody seems to mention the book "Measure and Integration" by De Barra. It covers all the standard topics and is very detailed. The exercises have detailed solutions too.

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Foundations of modern probability, Second edition, by Olav Kallenberg‏.

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I'm voting this up because it's a great book! –  Byron Schmuland Jun 19 '11 at 16:08
    
Yes, it could be called a bible for probabilists, but I would rather categorize it into probability rather than measure theory, which is well explained by its own title. –  newbie Jun 19 '11 at 16:26
    
@newbie Yes, you are quite right. –  Byron Schmuland Jun 19 '11 at 16:43

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