Let (Ω,A,μ) be a measure space, where μ(Ω)<∞. Further (An)n∈N is a a sequence of A-measurable sets. I want to prove, that
μ(lim infn→∞An)≤lim infn→∞μ(An)≤lim supn→∞μ(An)≤μ(lim supn→∞An)
holds for any sequence (An)n∈N.
I have no experience working with the limit superior/inferior. Clearly
μ(lim infn→∞An)≤μ(lim supn→∞An)
holds, since it is easy to prove that the one is a superset of the other. Also
lim infn→∞μ(An)≤lim supn→∞μ(An)
holds, for any sqeuence. But I am stuck how to show the connection. I could use the Definitions, then I get
μ(∞⋃n∞⋂k=nAn)≤limn→∞infk≥nμ(An)≤infn≥0supk≥nμ(An)≤μ(∞⋂n∞⋃k=nAn)
But I don't know if this helps. Anyone got a hint how to go on?
Answer
Consider sets
Bn=∞⋂k=nAk
Obviously, Bn⊂Ak for all k≥n, so μ(Bn)≤μ(Ak) for all k≥n
After taking infimum we get μ(Bn)≤infk≥nμ(Ak). Since Bn⊂Bn+1 for all n∈N then the sequence {μ(Bn):n∈N} is non-decreasing, so there exist limn→∞μ(Bn). Similarly the sequence {infk≥nμ(Ak):n∈N} is non-decreasing hence there exist limn→∞infk≥nμ(Ak). Since existence of limits is justified we can say
limn→∞μ(Bn)≤limn→∞infk≥nμ(Ak)=lim infn→∞μ(An)
Again recall that Bn⊂Bn+1 for all n∈N, so
μ(∞⋃n=1Bn)=limn→∞μ(Bn)
It is remains to note that
lim infn→∞An=∞⋃n=1∞⋂k=nAk=∞⋃n=1Bn
From (1), (2) and (3) we have
μ(lim infn→∞An)≤lim infn→∞μ(An)
Now try to prove in the similar way the second inequality.
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