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It is well known that if $f:\mathbb{R}\rightarrow \mathbb{R}$ is a measurable function and $f \ge 0$ then there exist a sequence of simple non-negative measurable functions {$ S_n $} such that $S_n\nearrow f$ but these simple functions have arbitrary measurable "components", that is, in it's canonical representation:

$$S_n=\sum_{j=1}^{n}c_j1_{A_j}$$

where $1_A$ denotes the characteristic function of $A$. The sets $A_j$ are measurable. \

The question is: if we restrict our attention to simple functions of the form:

$$S=\sum_{j=1}^{n}c_j1_{\left[ a_j,b_j \right]}$$

What is the class of measurable functions that can be approximated by sequences of simple functions that are sums of characteristic functions over compact intervals?

iki
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  • The standard approximation isn't arbitrary. It's of the form $[a_i, b_i)$ with the final $b_n$ (or $b_{n{2}^{n}}$) being $+\infty$. Closed intervals don't stitch together as well as half-open intervals; you will either have overlaps or gaps, both of which you can probably reduce to countably many densely spaced singletons in the limit. So you can "approximate" all measurable functions, modolo on a countable dense subset. If this is not satisfactory, add the condition that the measurable function is $0$ on a countable dense subset, then it should work everywhere. But I'm not entirely sure. – Linear Christmas Jul 13 '24 at 08:08
  • (I am assuming that the maximum diameter of the closed intervals goes to zero with $n$, excluding the final infinite interval) – Linear Christmas Jul 13 '24 at 08:12
  • @LinearChristmas As far as I know, the standard approximation uses $f^{-1}$[$a_i, b_i$) with the final $b_n$ infinity. This is the preimage of a compact interval, which is not in general a compact interval – iki Jul 13 '24 at 08:38
  • So it is arbitrary in the sense that if $f$ is a measurable function, we have (almost) no information on the sets $A_i = f^{-1}$[$a_i, b_i$) apart from the fact that $A_i$ is a measurable set. The question is: if you restrict yourself to the set of simple functions that are sums of characteristic functions over compact intervals, what class of functions $f$ can be approximated? – iki Jul 13 '24 at 08:43
  • Okay, indeed, I didn't think of it this way. When I see this result, I typically consider approximating only the identity function. This is cleaner and easier to understand, and then the more complicated situation is the result of the composition of this approximately identity function after $f$. – Linear Christmas Jul 13 '24 at 09:19

1 Answers1

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This depends on precisely what you meant by "approximated by". If you meant the exact same thing as in the first paragraph, i.e., there exists a sequence $S_n = \sum_{i = 1}^{k_n} c_{(n, i)}1_{[a_{(n, i)}, b_{(n, i)}]}$ s.t. $S_n \nearrow f$. (For simplicity, I'll assume $c_{(n, i)} > 0$ for all $n, i$ - this doesn't really matter since we're approximating nonnegative functions anyway. I'll also assume $a_{(n, i)} < b_{(n, i)}$ for all $n, i$ - I'll only be dealing with a.e. approximations, so a degenerate interval can simply be ignored.) Even if $\nearrow$ is only a.e., i.e., $S_n \leq S_m$ a.e. whenever $n \leq m$ and $f = \lim_n S_n$ a.e., you cannot get all measurable $f \geq 0$ from this. For example, let $A$ be any closed nowhere dense set with positive measure (say, a fat Cantor set), then $1_A$ cannot be so approximated. Indeed, if $S = \sum_{i = 1}^k c_i1_{[a_i, b_i]} \leq 1_A$, then $1_{[a_i, b_i]} \leq 1_A$ a.e., so the open set $(a_i, b_i) \subset A$ a.e., i.e., $(a_i, b_i) \setminus A$ is null. As $A$ is closed, $(a_i, b_i) \setminus A$ is open. The only null open set is the empty set, so $(a_i, b_i) \subset A$ fully - but this is impossible as $A$ has no interior.

In fact, the following is a characterization of all $f$ that can be approximated this way:

Proposition: $f \geq 0$ can be approximated as above iff for any $C \geq 0$, the sets $\{x: f(x) > C\}$ is almost open. (Here, by a set $A$ being almost open, I meant there exists an open set $O$ s.t. $O \triangle A$ is null.)

Proof: ($\Rightarrow$) Since we're only dealing with a.e. approximations, we may write $S_n = \sum_{i = 1}^{k_n} c_{(n, i)}1_{(a_{(n, i)}, b_{(n, i)})}$ and assume the intervals involved are disjoint. As $S_n \nearrow f$, it is then easy to see that, a.e.,

$$\{x: f(x) > C\} = \bigcup_{n = 1}^\infty \bigcup_{i: c_{(n, i)} > C} (a_{(n, i)}, b_{(n, i)})$$

Thus, $\{x: f(x) > C\}$ is almost open.

($\Leftarrow$) Since we're only dealing with a.e. convergence, instead of Lebesgue measure, I'll change to an equivalent probability measure $\mu$, say, the Gaussian measure. I'll prove then there is an increasing sequence $S_n$ s.t. $S_n \to f$ in measure. Then a subsequence would convergence to $f$ a.e. (See here.) Recall also the topology of convergence in measure is metrizable, so we may choose a metric $\rho$ generating it. $\rho$ may be chosen in such a way so that, if $f_1 \leq f_2 \leq f_3$ a.e., then $\rho(f_2, f_3) \leq \rho(f_1, f_3)$. (See here.)

Now, for each $k$, we define,

$$T_k' = \sum_{i = 0}^{k2^k - 1} 2^{-k} 1_{\{x: f(x) > i2^{-k}\}}$$

One may check that $T_k' \nearrow f$ everywhere. By assumption on $f$, $\{x: f(x) > i2^{-k}\}$ is almost open for all $k, i$, so we may replace these sets by open sets $O_{(k, i)}$, then,

$$T_k = \sum_{i = 0}^{k2^k - 1} 2^{-k} 1_{O_{(k, i)}}$$

and $T_k \nearrow f$ a.e. By Egorov's theorem, we have $\rho(T_k, f) \to 0$.

Now, every open set is a disjoint union of countably many open intervals (namely the connected components of the said open set). Up to a.e., we may take these intervals to be bounded. Thus, for each $k, i$, we may write,

$$O_{(k, i)} = \bigcup_{j = 1}^\infty (a_{(k, i, j)}, b_{(k, i, j)})$$

a.e., where the intervals on the right are disjoint from each other. But this means, for each $k$, if,

$$G_{(k, N)} = \sum_{i = 0}^{k2^k - 1} \sum_{j = 1}^N 2^{-k} 1_{[a_{(k, i, j)}, b_{(k, i, j)}]}$$

Then $G_{(k, N)} \nearrow T_k$ a.e. as $N \to \infty$. Again, by Egorov's theorem, $\rho(G_{(k, N)}, T_k) \to 0$ as $N \to \infty$.

Now, for each $n > 0$, first choose $k$ large enough s.t. $\rho(T_k, f) < \frac{1}{n}$, then choose $N$ large enough s.t. $\rho(G_{(k, N)}, T_k) < \frac{1}{n}$. Let $S_n' = G_{(k, N)}$. Then $S_n'$ is of the desired form and $\rho(S_n', f) < \frac{2}{n} \to 0$, so $S_n' \to f$ in measure. The only issue is that $S_n'$ may not be increasing. This, however, can be rectified by defining,

$$S_n = \max(S_1', \cdots, S_n')$$

Note that the maximum of finitely many simple functions of the desired form is again, up to a.e., a simple function of the desired form. Since all $S_n' \leq f$ a.e., we have $S_n' \leq S_n \leq f$ a.e., so $\rho(S_n, f) \leq \rho(S_n', f) \to 0$, i.e., $S_n \to f$ in measure. As $S_n$ is clearly increasing, this proves the claim. $\square$

Remark: There is a slightly simpler characterization: $f$ satisfies the properties in the proposition above iff $f$ equals a.e. to a lower semicontinuous function. Indeed, if $f$ equals a.e. to a lower semicontinuous function $g$, then $\{x: f(x) > C\}$ equals $\{x: g(x) > C\}$ a.e. and the latter set is open. Conversely, if $\{x: f(x) > C\}$ is almost open for all $C \geq 0$, then as we have seen, we have a sequence $T_k = \sum_{i = 0}^{k2^k - 1} 2^{-k} 1_{O_{(k, i)}}$ satisfying $T_k \nearrow f$ a.e. and with all $O_{(k, i)}$ open. But then all $T_k$ are lower semicontinuous, so $f = \sup_k T_k$ a.e. and the RHS, being the supremum of lower semicontinuous functions, is lower semicontinuous.

Now, the result is different if by "approximated by", you meant something weaker - say, there exists a sequence $S_n = \sum_{i = 1}^{k_n} c_{(n, i)}1_{[a_{(n, i)}, b_{(n, i)}]}$ s.t. $S_n \to f$ a.e., without assuming the sequence is increasing. In this case, it is actually the case that every measurable function can be approximated:

Proposition: Every measurable $f \geq 0$ can be approximated as above.

Proof: The proof is actually somewhat similar. Again, instead of Lebesgue measure, I'll change to an equivalent probability measure $\mu$. And again, I'll prove then there is a sequence $S_n$ of the desired form s.t. $S_n \to f$ in measure. Then a subsequence would convergence to $f$ a.e. Again, let $\rho$ metrizes the topology of convergence in measure. Let $T_k = \sum_{i = 1}^{m_k} c_{(k, i)} 1_{A_{(k, i)}}$ be any sequence of nonnegative simple functions that converge to $f$ a.e. For each $k, i$, by outer regularity of $\mu$, there is a decreasing sequence of open sets $(O_{(k, i, j)})_j$ s.t. $A_{(k, i)} = \cap_{j = 1}^\infty O_{(k, i, j)}$ a.e. But then, for each $k$, if,

$$G_{(k, j)} = \sum_{i = 1}^{m_k} c_{(k, i)} 1_{O_{(k, i, j)}}$$

We have $G_{(k, j)} \to T_k$ a.e. as $j \to \infty$. Now, for each $k, i, j$, as we have seen before, we may write,

$$O_{(k, i, j)} = \bigcup_{l = 1}^\infty (a_{(k, i, j, l)}, b_{(k, i, j, l)})$$

a.e., where the intervals on the right are disjoint from each other. But then, for each $k, j$, if,

$$H_{(k, j, N)} = \sum_{i = 1}^{m_k} \sum_{l = 1}^N c_{(k, i)} 1_{[a_{(k, i, j, l)}, b_{(k, i, j, l)}]}$$

Then $H_{(k, j, N)} \to G_{(k, j)}$ a.e. as $N \to \infty$. From this point we apply Egorov's theorem repetitively: For each $n$, first choose $k$ large enough s.t. $\rho(T_k, f) < \frac{1}{n}$, then choose $j$ large enough s.t. $\rho(G_{(k, j)}, T_k) < \frac{1}{n}$, and finally choose $N$ large enough s.t. $\rho(H_{(k, j, N)}, G_{(k, j)}) < \frac{1}{n}$. Let $S_n = H_{(k, j, N)}$. Then $\rho(S_n, f) < \frac{3}{n} \to 0$, so $S_n \to f$ in measure, as desired. $\square$

David Gao
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