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Fatou's Lemma and applications

2025-04-07·7 min read·

We discuss Fatou's lemma, a fundamental inequality that allows interchange of limits and integrals for nonnegative measurable functions, together with its classical applications to MCT, DCT and completeness of Lp space.

Fatou's Lemma

Lemma (Fatou's Lemma)

Let (X,μ)(X,\mu) be a measure space and let {fn}:X→[0,+∞]\{f_n\}: X \to [0,+\infty] be μ\mu-measurable sequence of functions. Then one has

∫lim inf⁡n→+∞fn dμ≤lim inf⁡n→+∞∫fn dμ.\int \liminf_{n \to +\infty} f_n \, d\mu \leq \liminf_{n \to +\infty} \int f_n \, d\mu.
Proof.

Let g:X→[0,+∞]g: X \to [0,+\infty] be any simple function such that g≤lim inf⁡n→+∞fng \leq \liminf_{n \to+\infty} f_n, μ\mu.a.e. We write

g=∑i=1N1Eiai,g = \sum_{i=1}^N \mathbf{1}_{E_i} a_i,

where {Ei}i\{E_i\}_i are disjoint and their union is XX.

Step 1. The condition g≤lim inf⁡fng \leq \liminf f_n gives no direct pointwise comparison between gg and individual fnf_n. To obtain this, let 0<t<10 < t < 1 be arbitrary, then one has

tg<g≤lim inf⁡n→+∞fn,μ.a.e x.tg < g \leq \liminf_{n \to+\infty} f_n, \quad \mu\text{.a.e } x.

Since the sequence {inf⁡k≥nfk}n\{\inf_{k \geq n} f_k\}_n is increasing to lim inf⁡n→+∞fn\liminf_{n \to +\infty} f_n, there exists Nx>0N_x > 0 such that

fn≥inf⁡k≥nfk≥tg,∀n≥Nx, μ.a.e, x.f_n \geq \inf_{k \geq n} f_k \geq tg, \quad \forall n \geq N_x,\ \mu\text{.a.e},\ x.

Step 2. Define the set

Bi,n={x∈Ei∣fk(x)>tai, ∀k≥n}.B_{i,n} = \{x \in E_i \mid f_k(x) > ta_i,\ \forall k \geq n\}.

Notice Bi,n⊆Bi,n+1B_{i,n} \subseteq B_{i,n+1} for all i,ni,n. We will show that ⋃n=1∞Bi,n=Ei\bigcup_{n=1}^\infty B_{i,n} = E_i. Let x∈Eix \in E_i, then tg(x)=taitg(x) = ta_i, we choose NxN_x as above and obtain

fn≥tai=tg(x),∀n≥Nx, μ.a.e.f_n \geq ta_i = tg(x), \quad \forall n \geq N_x,\ \mu\text{.a.e.}

Thus x∈Bi,nx \in B_{i,n} for all n≥Nxn \geq N_x. Therefore Ei⊆⋃n=1∞Bi,nE_i \subseteq \bigcup_{n=1}^\infty B_{i,n} and since Bi,nB_{i,n} is monotone by nn, we obtain lim⁡n→+∞μ(Bi,n)=μ(Ei)\lim_{n\to+\infty} \mu(B_{i,n}) = \mu(E_i). The reverse side follows automatically since each Bi,nB_{i,n} is a subset of EiE_i.

Step 3. We already know that to prove a≤ba \leq b, when it's hard to find the relation of aa and bb, we can instead prove ca≤bca \leq b for all 0<c<10 < c < 1 and let c→1−c \to 1^-. Following this trick, we start estimating from the right side

∫fn dμ=∑k=1N∫Ekfn dμ≥∑k=1N∫Bk,nfn dμ≥∑k=1Ntak μ(Bk,n).(1)\int f_n \, d\mu = \sum_{k=1}^N \int_{E_k} f_n \, d\mu \geq \sum_{k=1}^N \int_{B_{k,n}} f_n \, d\mu \geq \sum_{k=1}^N ta_k\,\mu(B_{k,n}). \tag{1}

Since Bk,nB_{k,n} is increasing by nn, we have

lim inf⁡n→+∞μ(Bk,n)=lim⁡n→+∞inf⁡i≥nμ(Bk,i)=lim⁡n→+∞μ(Bk,n).\liminf_{n \to +\infty} \mu(B_{k,n}) = \lim_{n\to+\infty} \inf_{i \geq n} \mu(B_{k,i}) = \lim_{n\to+\infty} \mu(B_{k,n}).

Calculating the right side of (1)(1)

lim inf⁡n→+∞∑k=1Ntak μ(Bk,n)=lim⁡n→+∞∑k=1Ntak μ(Bk,n)=∑k=1Ntak μ(Ek).\liminf_{n \to +\infty} \sum_{k=1}^N ta_k\,\mu(B_{k,n}) = \lim_{n\to+\infty} \sum_{k=1}^N ta_k\,\mu(B_{k,n}) = \sum_{k=1}^N ta_k\,\mu(E_k).

Taking lim inf⁡n→+∞\liminf_{n \to +\infty} both sides from (1)(1)

lim inf⁡n→+∞∫fn dμ≥t∑k=1Nak μ(Ek)=t∫g dμ.\liminf_{n \to +\infty} \int f_n \, d\mu \geq t \sum_{k=1}^N a_k\,\mu(E_k) = t\int g \, d\mu.

As gg is arbitrary simple function less than lim inf⁡n→+∞fn\liminf_{n\to +\infty} f_n and 0<t<10 < t < 1 is any number, taking t→1−t \to 1^-, and taking supremum over all such simple gg, we obtain the Fatou's inequality

lim inf⁡n→+∞∫fn dμ≥∫lim inf⁡n→+∞fn dμ.\liminf_{n \to +\infty} \int f_n \, d\mu \geq \int \liminf_{n \to +\infty} f_n \, d\mu.
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In this section, we introduce some significant applications of Fatou's Lemma.

Monotone Convergence Theorem

Theorem (Monotone Convergence Theorem)

Let {fn}:X→[0,+∞]\{f_n\}: X \to [0,+\infty] be increasing, μ\mu-measurable sequence. Then

lim⁡n→+∞∫fn dμ=∫lim⁡n→+∞fn dμ.\lim_{n\to+\infty} \int f_n \, d\mu = \int \lim_{n\to+\infty} f_n \, d\mu.
Proof.

Since {fn}\{f_n\} is increasing, we have

fk≤lim⁡n→+∞fn∀k∈N.f_k \leq \lim_{n\to+\infty} f_n \quad \forall k \in \mathbb{N}.

Taking integral both sides

∫fk dμ≤∫lim⁡n→+∞fn dμ∀k∈N.\int f_k \, d\mu \leq \int \lim_{n\to+\infty} f_n \, d\mu \quad \forall k \in \mathbb{N}.

Since the left side holds for all kk and since {∫fn}\{\int f_n\} is also increasing by the monotone property of integral, we obtain

lim inf⁡n→+∞∫fn dμ=lim⁡n→+∞∫fn dμ≤∫lim⁡n→+∞fn dμ.\liminf_{n \to +\infty} \int f_n \, d\mu = \lim_{n\to+\infty} \int f_n \, d\mu \leq \int \lim_{n\to+\infty} f_n \, d\mu.

Applying Fatou's lemma and note that both {fn}\{f_n\} and {∫fn}\{\int f_n\} are increasing

∫lim⁡n→+∞fn dμ=∫lim inf⁡n→+∞fn dμ≤lim inf⁡n→+∞∫fn dμ=lim⁡n→+∞∫fn dμ.\int \lim_{n\to+\infty} f_n \, d\mu = \int \liminf_{n \to +\infty} f_n \, d\mu \leq \liminf_{n \to +\infty} \int f_n \, d\mu = \lim_{n\to+\infty} \int f_n \, d\mu.

Hence, the equality holds.

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Dominated Convergence Theorem

Theorem (Dominated Convergence Theorem)

Let g∈L1g \in L^1 be nonnegative, and f,{fn}f, \{f_n\} are measurable. Suppose fn→ff_n \to f and ∣fn∣≤g|f_n| \leq g, for all nn, μ\mu.a.e. Then one has

lim⁡n→+∞∫∣fn−f∣ dμ=0.\lim_{n\to+\infty} \int |f_n - f| \, d\mu = 0.
Proof.

By Fatou's lemma, we have

∫2g dμ=∫lim inf⁡n→+∞(2g−∣f−fn∣) dμ≤lim inf⁡n→+∞∫2g−∣f−fn∣ dμ=∫2g−lim sup⁡n→+∞∫∣f−fn∣ dμ.\begin{aligned} \int 2g \, d\mu &= \int \liminf_{n \to +\infty}(2g - |f - f_n|) \, d\mu \leq \liminf_{n \to +\infty} \int 2g - |f - f_n| \, d\mu \\ &= \int 2g - \limsup_{n \to +\infty} \int |f - f_n| \, d\mu. \end{aligned}

Hence,

lim⁡n→+∞∫∣fn−f∣ dμ≤lim sup⁡n→+∞∫∣f−fn∣ dμ=0.\lim_{n\to+\infty} \int |f_n - f| \, d\mu \leq \limsup_{n \to +\infty} \int |f - f_n| \, d\mu = 0.
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LpL^p Space

Definition (Lp Space)

Let (X,A,μ)(X,\mathcal{A},\mu) be a measure space and 1≤p<∞1 \leq p < \infty. Let M(X)\mathcal{M}(X) be the space of all μ\mu-measurable functions f:X→Rf: X \to \mathbb{R} such that

∫X∣f∣p dμ<∞.\int_X |f|^p \, d\mu < \infty.

And let R\mathcal{R} be the equivalent relation

f∼g  ⟺  f=g, μ.a.ef,g∈M(X).f \sim g \iff f = g,\ \mu\text{.a.e} \quad f, g \in \mathcal{M}(X).

The Lp(μ)L^p(\mu) space is a quotient space defined by

Lp(μ):=M(X)/R,L^p(\mu) := \mathcal{M}(X) / \mathcal{R},

with the norm

∥f∥Lp:=(∫X∣f∣p dμ)1/p.\|f\|_{L^p} := \left(\int_X |f|^p \, d\mu\right)^{1/p}.

Riesz–Fischer Theorem

Theorem (Riesz–Fischer)

The LpL^p space is complete, i.e every Cauchy sequence in LpL^p converges to an element in LpL^p.

Proof.

Let (fn)⊆Lp(f_n) \subseteq L^p be Cauchy, then we can choose a subsequence (fnk)(f_{n_k}) satisfying

∥fnk+1−fnk∥Lp<12k.\|f_{n_{k+1}} - f_{n_k}\|_{L^p} < \frac{1}{2^k}.

Step 1. Let g=∑i=1∞∣fni+1−fni∣g = \sum_{i=1}^\infty |f_{n_{i+1}} - f_{n_i}| be the dominating function. By Minkowski's inequality

∥g∥Lp≤∑i=1∞∥fni+1−fni∥Lp≤∑i=1∞2−i=1<∞.\|g\|_{L^p} \leq \sum_{i=1}^\infty \|f_{n_{i+1}} - f_{n_i}\|_{L^p} \leq \sum_{i=1}^\infty 2^{-i} = 1 < \infty.

We obtain g∈Lpg \in L^p, follows that g<∞g < \infty, μ\mu.a.e, the series ∑i=1∞(fni+1−fni)\sum_{i=1}^\infty (f_{n_{i+1}} - f_{n_i}) absolutely converges, it thus converges, μ\mu.a.e pointwise. Thus we can write f=lim⁡n→+∞fnkf = \lim_{n\to+\infty} f_{n_k}, where

fnk=fn1+∑i=1k(fni+1−fni)f_{n_k} = f_{n_1} + \sum_{i=1}^k (f_{n_{i+1}} - f_{n_i})

is a convergent series, μ\mu.a.e.

Step 2. The function f=lim⁡n→+∞fnkf = \lim_{n\to+\infty} f_{n_k} is measurable. Applying the triangle inequality

∣fnk∣≤∣fn1∣+∑i=1k∣fni+1−fni∣≤∣fn1∣+g<∞,μ.a.e.(∗)|f_{n_k}| \leq |f_{n_1}| + \sum_{i=1}^k |f_{n_{i+1}} - f_{n_i}| \leq |f_{n_1}| + g < \infty, \quad \mu\text{.a.e.} \tag{$*$}

Since the pointwise limit of measurable functions is measurable and finite, μ\mu.a.e, it follows that lim⁡n→+∞fnk=f<∞\lim_{n\to+\infty} f_{n_k} = f < \infty pointwise, μ\mu.a.e, follows that ff is measurable.

Step 3. f∈Lpf \in L^p. We have the estimate

∥fnk∥Lp≤∥fn1∥Lp+∑i=1k∥fni+1−fni∥Lp≤∥fn1∥Lp+∑i=1k12i≤(1+∥fn1∥Lp).\|f_{n_k}\|_{L^p} \leq \|f_{n_1}\|_{L^p} + \sum_{i=1}^k \|f_{n_{i+1}} - f_{n_i}\|_{L^p} \leq \|f_{n_1}\|_{L^p} + \sum_{i=1}^k \frac{1}{2^i} \leq (1 + \|f_{n_1}\|_{L^p}).

Note that fnk→ff_{n_k} \to f implies ∣fnk∣p→∣f∣p|f_{n_k}|^p \to |f|^p and

lim inf⁡k→+∞∣fnk∣p=lim⁡k→+∞∣fnk∣p=∣f∣p.\liminf_{k\to+\infty} |f_{n_k}|^p = \lim_{k\to+\infty} |f_{n_k}|^p = |f|^p.

Apply Fatou lemma, one has

∥f∥Lpp=∫∣f∣p dμ=∫lim⁡n→+∞inf⁡∣fnk∣p dμ≤lim⁡n→+∞inf⁡∫∣fnk∣p dμ=lim⁡n→+∞inf⁡∥fnk∥Lpp≤(1+∥fn1∥Lp)p<∞.\begin{aligned} \|f\|_{L^p}^p &= \int |f|^p \, d\mu = \int \lim_{n\to+\infty} \inf |f_{n_k}|^p \, d\mu \\ &\leq \lim_{n\to+\infty} \inf \int |f_{n_k}|^p \, d\mu \\ &= \lim_{n\to+\infty} \inf \|f_{n_k}\|_{L^p}^p \\ &\leq (1 + \|f_{n_1}\|_{L^p})^p \\ &< \infty. \end{aligned}

Therefore f∈Lpf \in L^p.

Step 4. fnf_n converges to ff in LpL^p. Since fnk→ff_{n_k} \to f μ\mu-a.e, we have

∣fnk−f∣p→0,μ.a.e.|f_{n_k} - f|^p \to 0, \quad \mu\text{.a.e.}

From (∗)(*{}),

∣fnk∣≤∣fn1∣+g,μ.a.e.|f_{n_k}| \leq |f_{n_1}| + g, \quad \mu\text{.a.e.}

Taking k→+∞k \to +\infty yields

∣f∣≤∣fn1∣+g,μ.a.e.|f| \leq |f_{n_1}| + g, \quad \mu\text{.a.e.}

So

∣fnk−f∣p≤(∣f∣+∣fnk∣)p≤2p(∣fn1∣+g)p  ⟹  ∣fnk−f∣p∈Lp.|f_{n_k} - f|^p \leq (|f| + |f_{n_k}|)^p \leq 2^p(|f_{n_1}| + g)^p \implies |f_{n_k} - f|^p \in L^p.

Since g,fn1∈Lpg, f_{n_1} \in L^p, then 2p(∣fn1∣+g)p∈Lp2^p(|f_{n_1}| + g)^p \in L^p, implies that 2p(∣fn1∣+g)p∈L12^p(|f_{n_1}| + g)^p \in L^1. Apply the DCT theorem with the sequence ∣fnk−f∣p→0|f_{n_k} - f|^p \to 0 bounded by the function 2p(∣fn1∣+g)p∈L12^p(|f_{n_1}| + g)^p \in L^1, we obtain

∥fnk−f∥Lp=(∫∣fnk−f∣p dμ)1/p→0.\|f_{n_k} - f\|_{L^p} = \left(\int |f_{n_k} - f|^p \, d\mu\right)^{1/p} \to 0.

Since (fn)(f_n) is Cauchy in LpL^p and fnk→ff_{n_k} \to f in LpL^p, we conclude that fn→ff_n \to f in LpL^p. Indeed, for any ε>0\varepsilon > 0, choose NN large enough such that

∥fn−fm∥Lp<ε2,∀ n,m≥N.\|f_n - f_m\|_{L^p} < \frac{\varepsilon}{2}, \quad \forall\, n, m \geq N.

Choose kk large enough so that nk≥Nn_k \geq N and ∥fnk−f∥Lp<ε2\|f_{n_k} - f\|_{L^p} < \frac{\varepsilon}{2}. Then for all n≥Nn \geq N,

∥fn−f∥Lp≤∥fn−fnk∥Lp+∥fnk−f∥Lp<ε2+ε2=ε.\|f_n - f\|_{L^p} \leq \|f_n - f_{n_k}\|_{L^p} + \|f_{n_k} - f\|_{L^p} < \frac{\varepsilon}{2} + \frac{\varepsilon}{2} = \varepsilon.

Hence ∥fn−f∥Lp→0\|f_n - f\|_{L^p} \to 0.

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References

[1] L. Evans, R. Gariepy, Measure Theory and Fine Properties of Functions, Revised edition, CRC Press (2015).

[2] H. Brezis, Functional Analysis, Sobolev Spaces and Partial Differential Equations, Springer (2011).

2025-04-07

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