Let $(X,\mathcal A,\mu)$ be a $\sigma$-finite measure space.
Suppose $(A_j)_{j\in\mathbb N}\subset \mathcal A$ satisfies
$\mu(A_j)\rightarrow 0$ as $j\rightarrow \infty$. Show that
$$\lim_{j\rightarrow \infty}\int_{A_j} u d\mu=0, \forall u\in \mathcal L^1(\mu)$$
If I'd knew that the sequence $(A_j)_{j\in\mathbb N}\subset \mathcal A$ was increasing then I would have use the fact that
$\lim_{j\rightarrow \infty}\mu(A_j)=0$ and the continuity of the measure to see that
$\mu( \lim_{j\rightarrow \infty} A_j)=0$ hence
$$\lim_{j\rightarrow \infty} A_j=N\in\mathcal N_{\mu}$$
Then using the fact that $u$ is integrable I could have applied Beppo-Levi theorem to
$$\lim_{j\rightarrow \infty} \int 1_{A_j}u^{\pm}d\mu$$ leading to
$$\int 1_{N}u^{\pm}d\mu$$ which is the integral of $u$ over a $\mu$-null set and hence equal $0$.
But the problem is that I don't know whether the sequence $(A_j)_{j\in\mathbb N}\subset \mathcal A$ is decreasing, increasing or none.
I was advised to use Vitali's convergent theorem, but I don't really see how :
Let $f_j:=u1_{A_j}$, then it's a sequence of measurable functions,
We see that for any $\epsilon>0$
$$\mu(\{|f_j-0|>\epsilon\}\cap A_j)<\mu(A_j)\rightarrow 0$$
but this does not ensure that the sequence $(f_j)_j$ converges in measure to $0$ basically because to make that assertion we need
$$\mu(\{|f_j-0|>\epsilon\}\cap A)\rightarrow 0, \color{red}{ \forall A\in \mathcal A, \mu(A)<\infty}$$
How can I solve this?
Thanks in advance.
Answer
Let $u_N=u\mathbf 1_{\{\left\lvert u\right\rvert\leqslant N\}}$; then
$$
\left\lvert\int_{A_j}u \right\rvert\leqslant \left\lvert\int_{A_j}u_N \right\rvert
+\left\lvert\int_{A_j}(u-u_N) \right\rvert\leqslant \mu(A_j)N+\int_X\left\lvert u-u_N\right\rvert.
$$
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