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Is ess sup of product measurable function measurable? I am aware that from the argument of Brownian motions, RCLL stochastic processes or the accepted answer of this post that if the function is continuous in "parameter", if one takes the suprema over the parameter then the resulting function is again measurable.

I am also aware that the product measurability is not enough for the resulting function to be measurable. Counter examples can be found in this post.

Suppose we replace "sup" with "ess sup". Is $x\mapsto g(x):=\mathrm{ess sup}_{y}f(x,y)$, where $f$ is product measurable, measurable in general? Or is it the case if $f$ is defined on $\mathbb{R}^n\times\mathbb{R}^m$?

  • Related: http://mathoverflow.net/questions/67943/measurability-of-essential-supremum-of-function-of-two-variables – shall.i.am Sep 25 '15 at 03:04

1 Answers1

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Yes, under reasonable assumptions on the underlying measure space, the essentual supremum is again measurable.

To see this, I will assume that $(Y, B,\mu)$ is $\sigma$ finite. Assumptions on the other factor $(X, A)$ are not necessary. In general, some assumption like $\sigma$-finiteness is necessary, since by taking the counting measure, we can always achieve equality of esssup and the "ordinary" supremum and as you noted, this supremum need not be measurable.

Let us first assume that $f \geq 0$. Since $Y = \bigcup_n Y_n$ with $Y_n$ of finite measure and because of $$ \Vert f(x, \cdot) \Vert_{L^\infty (Y)} = \sup_n \Vert f(x, \cdot) \Vert_{L^\infty (Y_n)}, \qquad \qquad (1) $$ it suffices to assume that $\mu(Y) < \infty$.

Furthermore, by replacing $f$ by $f_N := f \cdot 1_{|f| \leq N}$ and noting $$ \Vert f (x, \cdot) \Vert_\infty = \lim_N \Vert f_N (x, \cdot) \Vert_\infty, \qquad \qquad (2) $$ we see that we can assume $f$ to be bounded. In particular (since $Y$ is of finite measure), we have $f(x, \cdot) \in L^p(\mu)$ for all $p$.

Now, this (Limit of $L^p$ norm) question shows $$ \Vert f(x, \cdot) \Vert_\infty = \lim_n \Vert f(x, \cdot) \Vert_n, $$ so that it suffices to show that $x \mapsto \Vert f(x, \cdot) \Vert_p$ is measurable for each $1 \leq p< \infty$. For this, it is enough to show that $x \mapsto \Vert f(x,\cdot) \Vert_p^p$ is measurable.

But $|f|^p$ is measurable with respect to the product $\sigma$ algebra and $Y$ is a finite measure space. Thus, part of the statement of the Fubini-Tonelli theorem implies that $$ x \mapsto \int_Y |f(x,y)|^p \, d\mu(y) = \Vert f(x, \cdot)\Vert_p^p $$ is measurable.

It remains to remove the assumption $f \geq 0$. As above, it suffices to assume that $f$ is bounded, say $|f| \leq M$. But then we have $M + f \geq 0$ and this function is measurable. Thus, $$ x \mapsto \Vert M+f \Vert_\infty = \mathrm{esssup}_y \,\, M + f(x,y) = M + \mathrm{esssup}_y \,\, f(x,y) $$ is measurable as seen above. By subtracting $M$ (which retains measurability), we obtain the claim.


EDIT: Here are some more details. First, let us prove (1) from above. For this, let $g = f(x, \cdot)$. It is trivial that $\Vert g \Vert_{L^\infty(Y_n)} \leq \Vert g \Vert_{L^\infty (Y)}$. For the converse direction, let $\alpha := \sup_n \Vert g \Vert_{L^\infty (Y_n)}$ and note $|g| \leq \alpha$ almost everywhere on $Y_n$ for each $n \in \Bbb{N}$. Since countable unions of null-sets are null-sets, we get $|g| \leq \alpha$ almost everywhere on $Y = \bigcup_n Y_n$ and thus $\Vert g \Vert_{L^\infty (Y_n)} \leq \alpha$, so that we have equality.

Now, note that if $(g_n)_n$ is a sequence of measurable functions, then $\sup_n g_n$ is also measurable, since we have $\sup_n g_n = \lim_k \max_{\ell = 1,\dots, k} g_k$ and it is easy to see that the maximum of finitely many measurable functions is again measurable.

The proof of equation (2) is similar to that of equation (1). Again, the estimate $\geq$ is trivial. Furthermore, if $\alpha := \lim_n \Vert f_N (x, \cdot) \Vert_\infty = \sup_n \Vert f_N (x, \cdot) \Vert_\infty$, then $|f_N| \leq \alpha$ almost everywhere for each $N$. Since $|f| = \lim_N |f_N|$, this implies $|f| \leq \alpha$ almost everywhere, so that we get equality.

PhoemueX
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  • Cool...Thank you. Although, I am not too shy to admit I didn't really understand the argument to reduce the problem to the finite measure space case. Namely, 1. "since by taking the counting measure, we can achieve..." and 2. $|f|{L^\infty(Y)}=\sup_n|f|{L^\infty(Y_n)}$. – shall.i.am Sep 23 '15 at 12:11
  • I think understanding 2 helps 1? I think you meant ${Y_n}$ is increasing. I have been trying to show $ \forall\epsilon>0$, $\exists m$: $\inf{t>0\mid \mu(y\in Y: |f(y)|>t)=0}-\epsilon\le \inf{s>0\mid \mu(y\in Y_m: |f(y)|>s)=0}$, which sounds true because ${Y_n}$ is increasing and the $s$ should get close to $|f|_\infty$ at some point, but I don't feel this argument is solid, as I am waving my hand to the inf, the measure inside, etc. – shall.i.am Sep 23 '15 at 12:11
  • I think to understand 2 helps $|f|{L^\infty(Y)}=\lim_N|f_N|{L^\infty(Y)}$ as well, which I am not confident either. It feels that I am asking too much or I understand too little. Or perhaps could I ask a reference? – shall.i.am Sep 23 '15 at 12:12
  • @Shall: I edited my answer to include some more details. Does this help you? – PhoemueX Sep 23 '15 at 12:49
  • @PhoemuX It really did help me. Thank you! Regarding the $\sigma$-finiteness assumption, I read the sentence "In general, some assumption..." wrong. Is the following what you meant?: – shall.i.am Sep 24 '15 at 03:52
  • @PhoemuX Let $\mu$ be the counting measure on $Y$. Then, since all non-empty sets have positive measure, essentially boundedness and boundedness is the same. But taking sup over $Y$ does not necessarily gives you a measurable function, and thus neither does ess sup. If $Y$ is not countable then $(Y,B,\mu)$ is not $\sigma$-finite (http://math.stackexchange.com/questions/664703/counting-measure-sigma-finite-not-sigma-finite-for-different-sets). Thus, we want some thing like $\sigma$-finiteness. This way, if $Y$ is not countable $\mu$ cannot be the counting measure. – shall.i.am Sep 24 '15 at 03:53
  • @Shall: Yes, that is what I meant. – PhoemueX Sep 24 '15 at 05:58