Paper 1, Section II,
Part II, 2021
Below, is the -algebra of Lebesgue measurable sets and is Lebesgue measure.
(a) State the Lebesgue differentiation theorem for an integrable function . Let be integrable and define by for some . Show that is differentiable -almost everywhere.
(b) Suppose is strictly increasing, continuous, and maps sets of -measure zero to sets of -measure zero. Show that we can define a measure on by setting for , and establish that . Deduce that is differentiable -almost everywhere. Does the result continue to hold if is assumed to be non-decreasing rather than strictly increasing?
[You may assume without proof that a strictly increasing, continuous, function is injective, and is continuous.]