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proof of Fatou's lemma
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(Proof)
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Let $f(x)=\liminf_{n\to\infty} f_n(x)$ and let $g_n(x)=\inf_{k\ge n} f_k(x)$ so that we have $$ f(x) = \sup_n g_n(x). $$
As $g_n$ is an increasing sequence of measurable nonnegative functions we can apply the monotone convergence Theorem to obtain $$ \int_X f\, d\mu = \lim_{n\to\infty} \int_X g_n\, d\mu. $$ On the other hand, being $g_n\le f_n$ we conclude by observing $$ \lim_{n\to\infty} \int_X g_n\, d\mu = \liminf_{n\to\infty}\int_X g_n\, d\mu \le \liminf_{n\to\infty}\int_X f_n\, d\mu. $$
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"proof of Fatou's lemma" is owned by paolini.
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Cross-references: monotone convergence theorem, functions, measurable, sequence, increasing
This is version 1 of proof of Fatou's lemma, born on 2003-03-07.
Object id is 4076, canonical name is ProofOfFatousLemma.
Accessed 9107 times total.
Classification:
| AMS MSC: | 28A20 (Measure and integration :: Classical measure theory :: Measurable and nonmeasurable functions, sequences of measurable functions, modes of convergence) |
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Pending Errata and Addenda
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