Paper 2, Section II, 26 K26 \mathrm{~K}

Probability and Measure
Part II, 2013

Let (fn:nN)\left(f_{n}: n \in \mathbb{N}\right) be a sequence of non-negative measurable functions defined on a measure space (E,E,μ)(E, \mathcal{E}, \mu). Show that lim infnfn\liminf _{n} f_{n} is also a non-negative measurable function.

State the Monotone Convergence Theorem.

State and prove Fatou's Lemma.

Let (fn:nN)\left(f_{n}: n \in \mathbb{N}\right) be as above. Suppose that fn(x)f(x)f_{n}(x) \rightarrow f(x) as nn \rightarrow \infty for all xEx \in E. Show that

μ(min{fn,f})μ(f).\mu\left(\min \left\{f_{n}, f\right\}\right) \rightarrow \mu(f) .

Deduce that, if ff is integrable and μ(fn)μ(f)\mu\left(f_{n}\right) \rightarrow \mu(f), then fnf_{n} converges to ff in L1L^{1}. [Still assume that fnf_{n} and ff are as above.]