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Let $(X,\mathcal{M},\mu)$ be a measure space and suppose $\{f_n\}$ are non-negative measurable functions decreasing pointwise to $f$. Suppose also that $\int f_1 \lt \infty$. Then $$\int_X f~d\mu = \lim_{n\to\infty}\int_X f_n~d\mu.$$

Atempt:

Since $\{f_n\}$ are decreasing, and converges pointwise to $f$, then $\{-f_n\}$ is increasing pointwise to $f$. So by the monotone convergence theorem $$ \int_X -f~d\mu = \lim_{n\to\infty}\int_X -f_n ~d\mu$$ and so $$\int_X f~d\mu = \lim_{n\to\infty}\int_X f_n~d\mu.$$

T. Eskin
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Kuku
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    Your attempt is on the right track but is not quite right. In particular, you might think about the hypothesis $\int f_1 < \infty$ and whether you've used it. Hint: What do you know about $g_n = f_1 - f_n$? – cardinal Mar 24 '12 at 20:06
  • @cardinal: oh yes....$g_n \geq 0$...Thanks – Kuku Mar 24 '12 at 20:07
  • Yes, $g_n \geq 0$...and, what else? Davide's answer lays out the details. (+1 for showing your work.) – cardinal Mar 24 '12 at 20:08
  • @Cardinal...Is not homework. I saw it being used here: http://math.stackexchange.com/questions/86676/ and thought I might try and prove it. – Kuku Mar 24 '12 at 20:16
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    Fair enough. Sorry, being a "standard" result, it sounded a bit like homework. Cheers. :) – cardinal Mar 24 '12 at 20:18
  • @Cardinal: Thats okay...Cheers to you to. :) – Kuku Mar 24 '12 at 20:20
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    Why not invoking the dominated convergence theorem with dominating function $f_1$? – Mr_3_7 Aug 09 '17 at 13:24

1 Answers1

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The problem is that $-f_n$ increases to $-f$ which is not non-negative, so we can't apply directly to $-f_n$ the monotone convergence theorem. But if we take $g_n:=f_1-f_n$, then $\{g_n\}$ is an increasing sequence of non-negative measurable functions, which converges pointwise to $f_1-f$. Monotone convergence theorem yields: $$\lim_{n\to +\infty}\int_X (f_1-f_n)d\mu=\int_X\lim_{n\to +\infty} (f_1-f_n)d\mu=\int_X f_1d\mu-\int_X fd\mu$$ so $\lim_{n\to +\infty}\int_X f_nd\mu=\int_X fd\mu$.

Note that the fact that there is an integrable function in the sequence is primordial, indeed, if you take $X$ the real line, $\mathcal M$ its Borel $\sigma$-algebra and $\mu$ the Lebesgue measure, and $f_n(x)=\begin{cases} 1&\mbox{ if }x\geq n\\ 0&\mbox{ otherwise} \end{cases}$ the sequence $f_n $ decreases to $0$ but $\int_{\mathbb R}f_nd\mu=+\infty$ for all $n$.

hbghlyj
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Davide Giraudo
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  • (+1) I was composing my comment simultaneously. We even managed to match notation. :) – cardinal Mar 24 '12 at 20:07
  • Thanks again...I should have thought about it more:) – Kuku Mar 24 '12 at 20:19
  • @cardinal Nice proof, yet I have a question: You say that $g_n:= f-f_n$ is an increasing sequence of function, I understand this, but why is she positive? I've thought that since $f_n$ is decreasing to f than $f_n \ge f \forall n$ but this would mean that $f-f_n$ is negative. Where is my error? I can't find it Thank you in advance if you answer :-) – Bman72 Jan 17 '14 at 07:53
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    I used it with $f_1$ not $f$. – Davide Giraudo Jan 17 '14 at 10:17
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    @Ale. $f_1\geq f_n$, since $f_n$ being decreasing and hence $f_1-f_n\geq 0$ for each $n$. – Alexander Jun 30 '16 at 05:44
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    @AlwaysNeedHelp The last three lines of my post give an example of what could happen. – Davide Giraudo Nov 14 '17 at 15:45
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    Dear Davide! I read your proof and it is quite nice but let me ask you a couple of question: 1) You defined $g_n:=f_1-f_n$ but here you can run into $\infty-\infty$, right? So you have to clarify this moment. 2) How do you know that $f_1-f_n$ converges pointwise to $f_1-f$? The issue that you can have $\infty-\infty$ here. Would be thankful if you can explain them. – RFZ Aug 05 '20 at 15:35
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    @ZFR Since $f_1$ is integrable, $f_1<\infty$ almost everywhere hence $0\leq f_n<\infty$ almost everywhere. – Davide Giraudo Aug 05 '20 at 16:01
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    Yes that is true! But anyway the function $f_1-f_n$ could be undefined on the set of zero measure. But is it okay? Could you explain it a bit, please? – RFZ Aug 05 '20 at 18:16
  • Could you explain my above question, please? – RFZ Aug 05 '20 at 19:50
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    @ZFR: For every $k \ge 2$, the function $f_1 - f_k$ might be undefined on some negligible subset $N_k$. Let $N = \bigcup _{k \ge 2} N_k$ - it will be negligible, too. Prove the thorem now on $X \setminus N$. – Alex M. Nov 26 '22 at 13:46