Questions related to measures, sigma-algebras, measure spaces, Lebesgue integration and the like.

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54
votes
4answers
3k views

Is it possible for a function to be in $L^p$ for only one $p$?

I'm wondering if it's possible for a function to be an $L^p$ space for only one value of $p \in [1,\infty)$ (on either a bounded domain or an unbounded domain). One can use interpolation to show that ...
33
votes
8answers
2k views

Why do we restrict the definition of Lebesgue Integrability?

The function $f(x) = \sin(x)/x$ is Riemann Integrable from $0$ to $\infty$, but it is not Lebesgue Integrable on that same interval. (Note, it is not absolutely Riemann Integrable.) Why is it we ...
33
votes
2answers
1k views

Integration of forms and integration on a measure space

In Terence Tao's PCM article: DIFFERENTIAL FORMS AND INTEGRATION, it is pointed out that there are three concepts of integration which appear in the subject(single-variable calculus): the ...
32
votes
6answers
5k views

Tricks to remember Fatou's lemma

For a sequence of non-negative measurable functions $f_n$, Fatou's lemma is a statement about the inequality $\int \liminf_{n\rightarrow \infty} f_n \mathrm{d}\mu \leq \liminf_{n\rightarrow ...
32
votes
4answers
710 views

To show that the set point distant by 1 of a compact set has Lebesgue measure $0$

Could any one tell me how to solve this one? Let $K$ be a compact subset of $\mathbb{R}^n$, and $$A:=\{x\in\mathbb{R}^n:d(x,K)=1\}.$$ Show that $A$ has Lebesgue measure $0$. Thank you!
32
votes
3answers
3k views

The sum of an uncountable number of positive numbers

Claim:If $(x_\alpha)_{\alpha\in A}$ is a collection of real numbers $x_\alpha\in [0,\infty]$ such that $\sum_{\alpha\in A}x_\alpha<\infty$, then $x_\alpha=0$ for all but at most countably many ...
31
votes
5answers
1k views

False beliefs about Lebesgue measure on $\mathbb{R}$

I'm trying to develop intuition about Lebesgue measure on $\mathbb{R}$ and I'd like to build a list of false beliefs about it, for example: every set is measurable, every set of measure zero is ...
31
votes
3answers
3k views

How do people apply the Lebesgue integration theory?

This question has puzzled me for a long time. It may be too vague to ask here. I hope I can narrow down the question well so that one can offer some ideas. In a lot of calculus textbooks, there is ...
29
votes
2answers
2k views

Set of continuity points of a real function

I have a question about subsets $$ A \subseteq \mathbb R $$ for which there exists a function $$f : \mathbb R \to \mathbb R$$ such that the set of continuity points of $f$ is $A$. Can I characterize ...
29
votes
4answers
5k views

Construction of a Borel set with positive but not full measure in each interval

I was wondering how one can construct a Borel set that doesn't have full measure on any interval of the real line but does have positive measure everywhere. To be precise, if $\mu$ denotes Lebesgue ...
27
votes
3answers
1k views

Random Variable Inequality

Doing a little reading over the break (The Probabilistic Method by Alon and Spencer); can't come up with the solution for this seemingly simple (and perhaps even a little surprising?) result: (A-S ...
26
votes
4answers
4k views

Is every Lebesgue measurable function on $\mathbb{R}$ the pointwise limit of continuous functions?

I know that if $f$ is a Lebesgue measurable function on $[a,b]$ then there exists a continuous function $g$ such that $|f(x)-g(x)|< \epsilon$ for all $x\in [a,b]\setminus P$ where the measure of ...
26
votes
2answers
7k views

$L^p$ and $L^q$ space inclusion

Let $(X, \mathcal B, m)$ be a measure space. For $1 \leq p < q \leq \infty$, under what condition is it true that $L^q(X, \mathcal B, m) \subset L^p(X, \mathcal B, m)$ and what is a counterexample ...
26
votes
4answers
2k views

Why is the Daniell integral not so popular?

The Riemann integral is the most common integral in use and is the first integral I was taught to use. After doing some more advanced analysis it becomes clear that the Riemann integral has some ...
25
votes
2answers
1k views

If a continuous function is positive on the rationals, is it positive almost everywhere?

I made up this question, but unable to solve it: Let $f : \mathbb R \to \mathbb R$ be a continuous function such that $f(x) > 0$ for all $x \in \mathbb Q$. Is it necessary that $f(x) > 0$ ...
25
votes
3answers
3k views

The set of differences for a set of positive Lebesgue measure

Quite a while ago, I heard about a statement in measure theory, that goes as follows: Let $A \subset \mathbb R^n$ be a Lebesgue-measurable set of positive measure. Then we follow that $A-A = \{ ...
22
votes
10answers
3k views

Seeking a layman's guide to Measure Theory

I would like to teach myself measure theory. Unfortunately most of the books that I've come across are very difficult and are quick to get into Lemmas and proofs. Can someone please recommend a ...
22
votes
1answer
686 views

Universally measurable sets of $\mathbb{R}^2$

$$\text{Is }{{\cal B}(\mathbb{R}^2})^u={{\cal B}(\mathbb{R}})^u\times {{\cal B}(\mathbb{R}})^u\,?\tag1$$ Is the $\sigma$-algebra of universally measurable sets on $\mathbb{R}^2$ equal to the product ...
21
votes
4answers
852 views

Correspondences between Borel algebras and topological spaces

Though tangentially related to another post on MathOverflow (here), the questions below are mainly out of curiosity. They may be very-well known ones with very well-known answers, but... Suppose ...
20
votes
4answers
889 views

Is there a $\sigma$-algebra on $\mathbb{R}$ strictly between the Borel and Lebesgue algebras?

So, after proving that $\mathfrak{B}(\mathbb{R})\subset \mathfrak{L}(\mathbb{R})$, I asked myself, and now asking you, is there a set $\mathfrak{S}(\mathbb{R})$, which satisfies: ...
20
votes
9answers
4k views

Reference book on measure theory

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 ...
20
votes
2answers
1k views

Is there a function with infinite integral on every interval?

Could give some examples of nonnegative measurable function $f:\mathbb{R}\to[0,\infty)$, such that its integral over any bounded interval is infinite?
20
votes
1answer
3k views

Cardinality of Borel sigma algebra

It seems it's well known that if a sigma algebra is generated by countably many sets, then the cardinality of it is either finite or $c$ (the cardinality of continuum). But it seems hard to prove it, ...
20
votes
5answers
4k views

If $S$ is an infinite $\sigma$ algebra on $X$ then $S$ is not countable

I am going over a tutorial in my real analysis course and there is an exercise that I don't understand a part of his solution. The exercise is: Let $S$ be an infinite $\sigma$ algebra on $X$ .Prove ...
20
votes
2answers
595 views

Lebesgue density strictly between 0 and 1

I am having trouble with the following problem: Let $A\subseteq \mathbb{R}$ be measurable, with $\mu(A)>0$ and $\mu(\mathbb{R}\backslash A)>0$. Then how do I show that there exists $x\in ...
20
votes
1answer
456 views

Measure theoretic definition of curl

Is there a good measure theoretic definition of curl? To give an idea of the sort of equation that I'm looking for, here's now I define grad and div. For the gradient, say we are given a Fréchet ...
20
votes
1answer
537 views

Reinventing The Wheel - Part 2: The Lebesgue Integral

Disclaimer After struggling for some time to find an appropriate definition for the notion of integration I came across another attempt for which I would need your help deciding to what extend this ...
19
votes
2answers
1k views

Clarifying the relationship between outer measures, measures and measurable spaces: the converse direction

This is related to my measure theory class, but it's not homework. The motivation behind this post is to understand the exact relationship between the three objects mentioned in the title. ...
19
votes
2answers
3k views

The union of a strictly increasing sequence of $\sigma$-algebras is not a $\sigma$-algebra

The union of a sequence of $\sigma$-algebras need not be a $\sigma$-algebra, but how do I prove the stronger statement below? Let $\mathcal{F}_n$ be a sequence of $\sigma$-algebras. If the ...
19
votes
2answers
4k views

Lebesgue measurable but not Borel measurable

I'm trying to find a set which is Lebesgue measurable but not Borel measurable. So I was thinking of taking a Lebesgue set of measure zero and intersecting it with something so that the result is not ...
19
votes
2answers
2k views

Two definitions of Lebesgue integration

Normally, Lebesgue integral, for positive measures, is defined in the following way. First, one defines the integral for indicator functions, and linearly extend to simple functions. Then, for a ...
19
votes
1answer
642 views

What are some good intuitions for understanding Souslin's operation $\mathcal{A}$?

What are some good intuitions for understanding Souslin's operation $\mathcal{A}$? Recall the definition: Let $S = \mathbb{N^{<N}} = \bigcup_{n = 1}^\infty \mathbb{N}^n$ be the set of ...
18
votes
1answer
1k views

Lebesgue measure of the graph of a function

Let $f:R^n \rightarrow R^m$ be any function. Will the graph of f always have Lebesgue measure zero? 1) I could prove that this is true if $f$ is continuous. 2) I suspect it is true if $f$ is ...
18
votes
2answers
2k views

Comparing the Lebesgue measure of an open set and its closure

Let $E$ be an open set in $[0,1]^n$ and $m$ be the Lebesgue measure. Is it possible that $m(E)\neq m(\bar{E})$, where $\bar{E}$ stands for the closure of $E$?
18
votes
2answers
1k views

Infinite product of measurable spaces

Suppose there is a family (can be infinite) of measurable spaces. What are the usual ways to define a sigma algebra on their Cartesian product? There is one way in the context of defining product ...
18
votes
1answer
272 views

Measure of the Cantor set multiplied by the Cantor set

It is a quite famous fact that $C+C=[0,2]$, what about $ C \cdot C $ ? Is it measurable? Yes It's clearly measurable because it's compact, being a continuous image of the compact set C×C. Is ...
18
votes
1answer
661 views

Do inequalities that hold for infinite sums hold for integrals too?

Let $\mathbb{R}_{\geq0}$ denote the set of non-negative reals and $+\infty$, and $\mathbb{Z}^+$ denote the set of positive integers. I will also let $\lambda$ denote the Lebesgue measure on ...
17
votes
3answers
2k views

The $\sigma$-algebra of subsets of $X$ generated by a set $\mathcal{A}$ is the smallest sigma algebra including $\mathcal{A}$

I am struggling to understand why it should be that the $\sigma$-algebra of subsets of $X$ generated by $\mathcal{A}$ should be the smallest $\sigma$-algebra of subsets of $X$ including $\mathcal{A}$. ...
17
votes
5answers
474 views

Examples of properties that hold almost everywhere, but that explicit examples unknown.

In measure theory one makes rigorous the concept of something holding "almost everywhere" or "almost surely", meaning the set on which the property fails has measure zero. I think it is very ...
17
votes
2answers
6k views

Limit of $L^p$ norm

Could someone help me prove that given a measure space $(X, \mathcal{M}, \sigma)$ and a measurable function $f:X\to\mathbb{R}$ in $L^{\infty}$ and some $L^{q}$, ...
17
votes
1answer
2k views

Example of a Borel set that is neither $F_\sigma$ nor $G_\delta$

I'm looking for subset $A$ of $\mathbb R$ such that $A$ is a Borel set but $A$ is neither $F_\sigma$ nor $G_\delta$.
17
votes
1answer
817 views

$\sigma$-algebra in Riesz representation theorem

Let $X$ be a locally compact Hausdorff space and $I$ - a positive linear functional on $C_c(X)$. Then according to the Riesz representation theorem there exist a $\sigma$-algebra $\mathfrak{M}$ in $X$ ...
17
votes
1answer
2k views

What is the Kolmogorov Extension Theorem good for?

The Kolmogorov Extension Theorem says, essentially, that one can get a process on $\mathbb{R}^T$ for $T$ being an arbitrary, non-empty index set, by specifying all finite dimensional distributions in ...
16
votes
4answers
1k views

Continuous functions are differentiable on a measurable set?

I came across the following challenging problem in my self-study: Let $f: \mathbb{R} \rightarrow \mathbb{R}$ be continuous. Then the set of points where $f$ is differentiable is a measurable set. I ...
16
votes
1answer
738 views

Medial Limit of Mokobodzki (case of Banach Limit)

A classical Banach limit is very usefull concept for me, but there is a problem with the integration and even with the measurability, this means for a sequence $(f_n)_{n\in \mathbb{N}}$ of measurable ...
16
votes
2answers
5k views

Does convergence in $L^{p}$ implies convergence almost everywhere?

If I know $\|f_{n}(x) - f(x)\|_{L^{p}(\mathbb{R})} \rightarrow 0$ as $n \rightarrow \infty$, do I know $\lim_{n \rightarrow \infty}f_{n}(x) = f(x)$ for almost every $x$?
15
votes
5answers
564 views

Why do we consider Lebesgue spaces for $p$ greater than and equal to $1$ only?

Why do we consider Lebesgue spaces for $p$ greater than and equal to $1$ only and not for $p$ any real number?
15
votes
2answers
2k views

Vitali-type set with given outer measure

Is it possible to construct a non-measurable set in $[0,1]$ of a given outer measure $x \in [0,1]$? This will probably require the axiom of choice. Does anyone have a suggestion? Edit: I forgot to ...
15
votes
1answer
2k views

A function that is $L^p$ for all $p$ but is not $L^\infty$?

Let $X$ be the interval $[0,1]$ with Lebesgue measure. Is there a function $f\in L^p(X)$ for all $p\in[1,\infty)$ that is not $\in L^\infty(X)$? If so, what is an example? Motivation: In a course ...
15
votes
2answers
577 views

A snappy proof of Fatou's lemma

I'm studying basic real analysis and stumbled across three big results (Fatou's lemma, Lebesgue's Dominated Convergence theorem, and the Monotone Convergence theorem) in the theory of Lebesgue ...