Paper 2, Section II, H

Probability and Measure
Part II, 2021

Let (E,E,μ)(E, \mathcal{E}, \mu) be a measure space. A function ff is simple if it is of the form f=i=1Nai1Aif=\sum_{i=1}^{N} a_{i} 1_{A_{i}}, where aiR,NNa_{i} \in \mathbb{R}, N \in \mathbb{N} and AiEA_{i} \in \mathcal{E}.

Now let f:(E,E,μ)[0,]f:(E, \mathcal{E}, \mu) \rightarrow[0, \infty] be a Borel-measurable map. Show that there exists a sequence fnf_{n} of simple functions such that fn(x)f(x)f_{n}(x) \rightarrow f(x) for all xEx \in E as nn \rightarrow \infty.

Next suppose ff is also μ\mu-integrable. Construct a sequence fnf_{n} of simple μ\mu-integrable functions such that Efnfdμ0\int_{E}\left|f_{n}-f\right| d \mu \rightarrow 0 as nn \rightarrow \infty.

Finally, suppose ff is also bounded. Show that there exists a sequence fnf_{n} of simple functions such that fnff_{n} \rightarrow f uniformly on EE as nn \rightarrow \infty.