Saturday, October 14, 2017

measure theory - Limit inferior/superior of sequence of sets



Let (Ω,A,μ) be a measure space, where μ(Ω)<. Further (An)nN is a a sequence of A-measurable sets. I want to prove, that




μ(lim infnAn)lim infnμ(An)lim supnμ(An)μ(lim supnAn)


holds for any sequence (An)nN.
I have no experience working with the limit superior/inferior. Clearly
μ(lim infnAn)μ(lim supnAn)

holds, since it is easy to prove that the one is a superset of the other. Also
lim infnμ(An)lim supnμ(An)

holds, for any sqeuence. But I am stuck how to show the connection. I could use the Definitions, then I get
μ(nk=nAn)limninfknμ(An)infn0supknμ(An)μ(nk=nAn)

But I don't know if this helps. Anyone got a hint how to go on?



Answer



Consider sets
Bn=k=nAk


Obviously, BnAk for all kn, so μ(Bn)μ(Ak) for all kn
After taking infimum we get μ(Bn)infknμ(Ak). Since BnBn+1 for all nN then the sequence {μ(Bn):nN} is non-decreasing, so there exist limnμ(Bn). Similarly the sequence {infknμ(Ak):nN} is non-decreasing hence there exist limninfknμ(Ak). Since existence of limits is justified we can say
limnμ(Bn)limninfknμ(Ak)=lim infnμ(An)

Again recall that BnBn+1 for all nN, so
μ(n=1Bn)=limnμ(Bn)

It is remains to note that
lim infnAn=n=1k=nAk=n=1Bn

From (1), (2) and (3) we have
μ(lim infnAn)lim infnμ(An)

Now try to prove in the similar way the second inequality.


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