Sean Li

Math 6210 Notes Fall 2013

Grad Measure Theory and Lebesgue Integration
Lecture 1 8/28/13
Course Info
Raul Gomez, Malott 593, rg558@cornell.edu
TA: Sergio Da Silva, Malott 120, smd322@cornell.edu
Homework: Given Wednesday, due Wednesday.
Prelim: October 23rd.
Grading: The higher of 20% HW, 40% Prelim, 40% Final; and 10% HW, 30% Prelim, 60%
Final.
Text: The Elements of Integration and Lebesgue Measure by Bartle
Motivation. Riemann integral not good enough.
Let [a, b] be an interval. A partition of [a, b] is a set p = x
0
, . . . , x
n
such that a = x
0
<
x
1
< < x
n
= b. We dene the mesh or norm to be |p| = max
i
x
i
x
i1
.
Denition. Let f : [a, b] R be a function, p be a partition of [a, b], and let c
k
[x
k1
, x
k
],
k = 1, . . . , n.
Then we dene its Riemann sum to be

n
k=1
f(c
k
)x
k
where x
k
= x
k
x
k1
.
Denition. (Riemann, 1854): A function f : [a, b] R is integrable if the following holds:
There exists I R such that for all > 0, there exists > 0 s.t. if p = x
0
, . . . , x
n
,
c
k
[x
k1
, x
k
] is a tagged partition with |p| < , then

k=1
f(c
k
)x
k
I

<
In this case we dene

b
a
f(x)dx = I.
Denition. Let V be a vector space. A norm on V is a map | | : V R 0, such that
(a) |x + y| |x| + |y|, x, y V ,
(b) |cx| = [c[|x| if c is a scalar,
(c) |x| = 0 i x = 0.
Denition. Let (V, | |) be a normed vector space. We say that a sequence x
n
converges
to an element x if for all > 0, there exists N N such that if n > N, then |x x
n
| < .
Denition. Let (V, | |) be as before. Then x
n
is Cauchy if > 0, N N s.t. if
n, m > N, then |x
n
x
m
| < .
Denition. A normed vector space (V, | |) is complete if every Cauchy sequence has a
limit.
Denition. A Banach space is a normed vector space that is complete.
Example. Let C([a, b]) = f : [a, b] C[f is continuous.. We dene a norm on C([a, b])
by
|f| = sup
x[a,b]
[f(x)[.
This is a Banach space.
Proof: Let f
n
C([a, b]) be Cauchy. In particular, f
n
(x) is Cauchy. Set f(x) =
lim
n
f
n
(x). Want to show the convergence is uniform. Let > 0. We have |f f
n
|
|f f
m
| +|f
m
f
n
|, and by Cauchy there exists N s.t. if n, m > N, then |f
m
f
n
| <

2
.
Also, f(X) = lim
m
f
m
(x), so m >> 0 s.t. [f(x) f
m
(x)[ <

2
. This shows that f
n
f
uniformly, and since all the f
n
s are continuous, we know that f is continuous.
Denition. A Hilbert space is a Banach space (H, | |) together with a sesquilinear map
, : H H C
such that
|v| =

v, v.
Denition. Let (H, , ) be a Hilbert space. A Hilbert basis is a set v
i

iI
such that any
v H can be uniquely expressed as v =

iI
a
i
v
i
where a
i
= v
i
, v.
Theorem. Every Hilbert space has a Hilbert basis.
Denition. Let C(R/ Z) = f : R C[ f is cont. and f(x + n) = f(x)n Z.
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Denition. L
2
R
(R/ Z)
0
= f : R C[ f is Z-periodic and

1
0
[f(x)[
2
dx < . (The R
means Riemann-integrable.)
On L
2
R
(R/ Z) we dene a norm f, g =

1
0
f(x)g(x)dx. Set |f| =

1
0
[f(x)[
2
dx.
Ex. Let
f(x) =

0 if x [0, 1], x ,= 1/2,

1 if x = 1/2
.
Then

1
0
[f(x)[
2
dx = 0.
Denition. Given f, g L
2
R
(R/ Z)
0
, we say f g if

1
0
[f(x) g(x)[
2
dx = 0.
Set L
2
R
(R/ Z) = L
2
R
(R/ Z)
0
/ .
Theorem. L
2
R
(R/ Z) is not a Hilbert space.
Theorem. Let L
2
(R/ Z) = L
2
(R/ Z)
0
/ where the requirement is Lebesgue integrable,
not Riemann integrable. Then L
2
(R/ Z) is a Hilbert space with Hilbert basis f
n

nZ
where
f
n
(x) = e
2inx
.
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