MTH309M (2024-25, E VEN S EMESTER )
P ROBLEM S ET 3: B OREL S ET, L EBESGUE -S TIELTJES
MEASURE , AND M EASURABLE FUNCTION
1. On [0, 1], let F be the algebra (field) generated by finite unions of left-open, right-closed
intervals and let B be the Borel sigma-algebra. Define µ : A → [0, 1] by µ( A) = 1 if
A ⊇ (0, ε) for some ε > 0 and µ( A) = 0 otherwise.
Show that µ is a finitely additive measure on A but that it does not extend to a measure on
B . Why does this not contradict the Carathéodory extension theorem?
2. Let F be the distribution function on R given by
0 if x < −1
1 + x if − 1 ≤ x < 0
F(x) =
2 + x2 if 0 ≤ x < 2
9 if x ≥ 2.
If µ is the Lebesgue-Stieltjes measure corresponding to F, compute the measure of the
following sets:
(a) {2},
(b) { x | | x | + 2x2 > 1}, and
(c) { x | x ∈ Q ∩ [0, 1]}.
3. A non-empty set A is called an “atom” of a σ-field A, if A ∈ A, but no non-empty proper
subset of A belongs to A.
1
(a) What are the atoms of the Borel σ-field on R? Give an example of another σ-field on R,
which has the same atoms as the Borel σ-field?
(b) Show that if f : (Ω, A) → (R̄, B(R̄)) is a measurable function, then for any atom A of
A, f must be constant on A. Is the converse true?
4. Let ( X, F ) and (Y, G) be measure spaces. If T : X → Y is a function, show that { T −1 B : B ∈
G} is a sigma-algebra on X and { B ∈ G : T −1 B ∈ F } is sigma-algebra on Y.
5. A measure space (Ω, F , µ) is complete iff A ∈ F and µ( A) = 0 implies for all B ⊆ A, we
have B ∈ F .
Let (Ω, F , µ) be a complete measure space. If f : (Ω, F ) → (Ω′ , F ′ ) and g : Ω → Ω′ and
g = f except on a subset of a set A ∈ F with µ( A) = 0. Show that g is measurable.
6. Let f and g are extended real-valued Borel measurable functions on (Ω, F ). Define
f (ω ) if ω ∈ A
h(ω ) =
g(ω ) if ω ∈ Ac
where A is a set in F . Show that h is Borel measurable.
7. If f 1 , f 2 , . . . are extended real-valued Borel measurable functions on (Ω, F ). Show that
supn f n and infn f n are Borel measurable.
8. Let f : R → R be a right continuous function. For n ∈ N, define
k+1
f n (x) = ∑ f(
n
) 1 [ k , k +1 ) ( x ) .
n n
k ∈Z
(a) Show that f n ( x ) → f ( x ) for all x ∈ R.
(b) Show that f n is Borel measurable for all n ∈ N.
(c) Can we conclude that f is measurable?
9. Prove that f : R → R is Borel measurable if f is monotonic.
10. Let f , g be two extended real-valued measurable functions on a measurable space (Ω, A).
Consider the function defined as h(ω ) = f (ω ) + g(ω ), whenever the sum is well-defined,
and, h(ω ) = −23.06 log 7, otherwise. Show that h is measurable.
2
11. Let f n be a sequence of extended real-valued Borel measurable functions. Define g(ω ) =
lim sup f n (ω ) and h(ω ) = lim inf f n (ω ) for all ω ∈ Ω. Show that g and h are Borel measur-
able functions.
12. Define T : Ω → Rn by T (ω ) = (1 A1 (ω ), 1 A2 (ω ), . . . , 1 An (ω )) where A1 , . . . , An are given
subsets of Ω. What is the smallest σ-algebra on Ω for which T becomes a measurable
function? Please provide arguments to justify your answer.
13. Let X : Ω1 → Ω2 be a random variable. If X (ω ) = X (ω ′ ) for some ω, ω ′ ∈ Ω1 , show that
/ A or vice versa. [Extra! If Y : Ω1 → Ω2
there is no set A ∈ σ( X ) such that ω ∈ A and ω ′ ∈
is another r.v. which is measurable w.r.t. σ ( X ) on Ω1 , then show that Y is a function of X].