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Let $\{f_n\}$ be a sequence of measurable real-valued functions on $[0, 1]$ that is uniformly bounded. Does there exist a subsequence $n_j$ such that $$\int_A f_{n_j}(x)\,dx$$ converges for each Borel subset $A$ of $[0, 1]$?

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    $\begingroup$ Such that $\int_A f_{n_j} (x) \, dx$ what? $\endgroup$
    – user296602
    Jul 17, 2016 at 20:50

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Note that your sequence $f_n$ is a bounded sequence in $L^\infty$ and $L^\infty$ is the dual space of $L^1$, thus the Banach–Alaoglu theorem implies that there is a subsequence $f_{n_j}$ and $f\in L^\infty$ so that

$$ \int g f_{n_j} dx \to \int gf dx,\ \ \ \forall g\in L^1$$

(Note the identification $(L^1)^* \cong L^\infty$ is given by $L(g) = \int g f dx$). Thus setting $g = \chi_A$, you have

$$\int_A f_{n_j} dx \to \int_A f dx$$

for all Borel set $A$.

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