Paper 1, Section II, J

Probability and Measure
Part II, 2009

Let (E,E,μ)(E, \mathcal{E}, \mu) be a measure space. Explain what is meant by a simple function on (E,E,μ)(E, \mathcal{E}, \mu) and state the definition of the integral of a simple function with respect to μ\mu.

Explain what is meant by an integrable function on (E,E,μ)(E, \mathcal{E}, \mu) and explain how the integral of such a function is defined.

State the monotone convergence theorem.

Show that the following map is linear

fμ(f):L1(E,E,μ)Rf \mapsto \mu(f): L^{1}(E, \mathcal{E}, \mu) \rightarrow \mathbb{R}

where μ(f)\mu(f) denotes the integral of ff with respect to μ\mu.

[You may assume without proof any fact concerning simple functions and their integrals. You are not expected to prove the monotone convergence theorem.]